Module net.finmath.lib

Package net.finmath.marketdata.model.bond

package net.finmath.marketdata.model.bond

Provides classes related to the modeling of Bond curves. See Beier/Fries (2017).

Author:

Christian Fries, Moritz Scherrmann

Related Packages

Package	Description
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.

Class	Description
Bond	Implements the valuation of a bond (zero-coupon, fixed coupon or floating coupon) with unit notional of 1 using curves: a forward curve, if the bond has floating rate coupons a discount curve as a base curve for discounting a survival probability curve for additional credit risk related discount factor a basis factor curve for additional bond related discount factor Support for day counting is provided via the class implementing Schedule.
BondCurve	Implements the bond curve as a curve object, see Curve.
BondCurve.Type	Possible curve types, where the first term stands for the reference discount curve and the second term stands for the spread curve.