Module net.finmath.lib

Package net.finmath.fouriermethod

package net.finmath.fouriermethod

Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.

Author:

Christian Fries

Interface Summary

Interface	Description
CharacteristicFunction	Interface which has to be implemented by characteristic functions of random variables, e.g., Fourier transforms of values (payoffs).