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

Related Packages

Package	Description
net.finmath.fouriermethod.calibration	Classes related to the calibration of Fourier models.
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).

Interfaces

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