Uses of Interface
net.finmath.finitedifference.interestrate.models.FiniteDifferenceInterestRateModel

Packages that use FiniteDifferenceInterestRateModel

Package	Description
net.finmath.finitedifference.interestrate.models	Package net.finmath.finitedifference.interestrate.models.
net.finmath.finitedifference.interestrate.products	Package net.finmath.finitedifference.interestrate.products.
net.finmath.finitedifference.solvers	Package net.finmath.finitedifference.solvers.

Uses of FiniteDifferenceInterestRateModel in net.finmath.finitedifference.interestrate.models

Classes in net.finmath.finitedifference.interestrate.models that implement FiniteDifferenceInterestRateModel

Modifier and Type	Class	Description
class	FDMHullWhiteModel	One-factor Hull-White interest-rate model for finite-difference valuation.

Methods in net.finmath.finitedifference.interestrate.models that return FiniteDifferenceInterestRateModel

Modifier and Type	Method	Description
FiniteDifferenceInterestRateModel	FiniteDifferenceInterestRateModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization spaceTimeDiscretization)	Returns a clone of the model using a modified space-time discretization.

Uses of FiniteDifferenceInterestRateModel in net.finmath.finitedifference.interestrate.products

Subinterfaces with type arguments of type FiniteDifferenceInterestRateModel in net.finmath.finitedifference.interestrate.products

Modifier and Type	Interface	Description
interface	FiniteDifferenceInterestRateProduct	Interface for products valued by a finite-difference interest-rate model.

Methods in net.finmath.finitedifference.interestrate.products that return types with arguments of type FiniteDifferenceInterestRateModel

Modifier and Type	Method	Description
default Class<FiniteDifferenceInterestRateModel>	FiniteDifferenceInterestRateProduct.getModelClass()

Methods in net.finmath.finitedifference.interestrate.products with parameters of type FiniteDifferenceInterestRateModel

Modifier and Type	Method	Description
double[]	Bond.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceInterestRateModel model)
default double[]	FiniteDifferenceInterestRateProduct.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceInterestRateModel model)	Applies the event condition at a given event time.
double[]	Swaption.ResolvedSwaption.applyEventCondition(double time, double[] valuesAfterEvent, FiniteDifferenceInterestRateModel model)
static double	Swap.getForwardSwapRate(double evaluationTime, Schedule fixSchedule, Schedule floatSchedule, String forwardCurveName, FiniteDifferenceInterestRateModel model, double... stateVariables)	Returns the forward swap rate corresponding to the given fixed-leg and floating-leg schedules under the specified model state.
double	Swaption.getIntrinsicValue(double time, int scheduleIndex, double stateVariable, FiniteDifferenceInterestRateModel model)	Returns the intrinsic value at the given time and state for the schedule indexed by scheduleIndex.
Swaption.ResolvedExerciseData	Swaption.getResolvedExerciseData(FiniteDifferenceInterestRateModel model)	Resolves the exercise data to be used numerically under the given model.
static double	SwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, FiniteDifferenceInterestRateModel model, double... stateVariables)	Returns the reduced-scope swap annuity at the given evaluation time and state.
double	Swaption.getUnderlyingSwapValue(double time, int scheduleIndex, double stateVariable, FiniteDifferenceInterestRateModel model)	Returns the underlying swap value at the given time and state for the schedule indexed by scheduleIndex.
double[]	Bond.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model)
double[]	OptionOnBond.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model)
double[]	Swap.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model)
double[]	SwapLeg.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model)
double[]	Swaption.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model)
double[]	Swaption.ResolvedSwaption.getValue(double evaluationTime, FiniteDifferenceInterestRateModel model)
double	Swap.getValueAt(double evaluationTime, double stateVariable, FiniteDifferenceInterestRateModel model)	Returns the swap value at the given evaluation time and state.
double	SwapLeg.getValueAt(double evaluationTime, double stateVariable, FiniteDifferenceInterestRateModel model)	Returns the leg value at the given evaluation time and state.
double[][]	Bond.getValues(FiniteDifferenceInterestRateModel model)
double[][]	OptionOnBond.getValues(FiniteDifferenceInterestRateModel model)
double[][]	Swap.getValues(FiniteDifferenceInterestRateModel model)
double[][]	SwapLeg.getValues(FiniteDifferenceInterestRateModel model)
double[][]	Swaption.getValues(FiniteDifferenceInterestRateModel model)
double[][]	Swaption.ResolvedSwaption.getValues(FiniteDifferenceInterestRateModel model)

Uses of FiniteDifferenceInterestRateModel in net.finmath.finitedifference.solvers

Constructors in net.finmath.finitedifference.solvers with parameters of type FiniteDifferenceInterestRateModel

Modifier	Constructor	Description
	FDMThetaMethod1D(FiniteDifferenceInterestRateModel model, FiniteDifferenceInterestRateProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise)	Creates a theta-method finite-difference solver for a one-dimensional backward PDE.