Module net.finmath.lib

Package net.finmath.fouriermethod.products

package net.finmath.fouriermethod.products

Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).

Author:

Christian Fries

Related Packages

Package	Description
net.finmath.fouriermethod	Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.
net.finmath.fouriermethod.products.smile	Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to the corresponding product value.
net.finmath.fouriermethod.calibration	Classes related to the calibration of Fourier models.
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).

Class	Description
AbstractFourierTransformProduct
DigitalOption	Implements valuation of a European option on a single asset.
EuropeanOption	Implements valuation of a European option on a single asset.
FourierTransformProduct