Uses of Interface
net.finmath.marketdata.products.AnalyticProduct
Packages that use AnalyticProduct
Package
Description
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
Provides classes related to the modeling of Bond curves.
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface separating models and products.
Provides interface specification and implementation of product based on a single interest rate curve.
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Uses of AnalyticProduct in net.finmath.marketdata.calibration
Methods in net.finmath.marketdata.calibration that return AnalyticProductModifier and TypeMethodDescriptionCalibratedCurves.getCalibrationProductForSpec
(CalibratedCurves.CalibrationSpec calibrationSpec) CalibratedCurves.getCalibrationProductForSymbol
(String symbol) Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.Constructor parameters in net.finmath.marketdata.calibration with type arguments of type AnalyticProductModifierConstructorDescriptionSolver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, OptimizerFactory optimizerFactory) Generate a solver for the given parameter objects (independents) and objective functions (dependents). -
Uses of AnalyticProduct in net.finmath.marketdata.model.bond
Classes in net.finmath.marketdata.model.bond that implement AnalyticProductModifier and TypeClassDescriptionclass
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 implementingSchedule
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Uses of AnalyticProduct in net.finmath.marketdata.model.volatilities
Method parameters in net.finmath.marketdata.model.volatilities with type arguments of type AnalyticProductModifier and TypeMethodDescriptionAbstractVolatilitySurfaceParametric.getCloneCalibrated
(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String, Object> calibrationParameters) AbstractVolatilitySurfaceParametric.getCloneCalibrated
(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String, Object> calibrationParameters, ParameterTransformation parameterTransformation) AbstractVolatilitySurfaceParametric.getCloneCalibrated
(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String, Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) Create a clone of this volatility surface using a generic calibration of its parameters to given market data. -
Uses of AnalyticProduct in net.finmath.marketdata.model.volatility.caplet
Classes in net.finmath.marketdata.model.volatility.caplet that implement AnalyticProductModifier and TypeClassDescriptionclass
Implements the valuation of a cap via an analytic model, i.e. -
Uses of AnalyticProduct in net.finmath.marketdata.products
Classes in net.finmath.marketdata.products that implement AnalyticProductModifier and TypeClassDescriptionclass
class
Implements the valuation of a cap via an analytic model, i.e.class
Implements the valuation of a single cashflow by a discount curve.class
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).class
Implements the valuation of a forward using curves (discount curve, forward curve).class
Implements the valuation of a FRA in multi-curve setting.class
Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).class
Implements an analytic product given by the ratio of two analytic products.class
Implements the valuation of a portfolio of products implementingAnalyticProductInterface
.class
Implements the valuation of a swap using curves (discount curve, forward curve).class
Implements the valuation of a swap annuity using curves (discount curve).class
Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).Methods in net.finmath.marketdata.products that return AnalyticProductModifier and TypeMethodDescriptionSwap.getLegPayer()
Return the payer leg of the swap, i.e.Swap.getLegReceiver()
Return the receiver leg of the swap, i.e.Methods in net.finmath.marketdata.products that return types with arguments of type AnalyticProductModifier and TypeMethodDescriptionPortfolio.getProducts()
Returns the list of products as an unmodifiable list.Constructors in net.finmath.marketdata.products with parameters of type AnalyticProductModifierConstructorDescriptionPortfolio
(AnalyticProduct product, double weight) Create a portfolio consisting of a single product with a given weight.Swap
(AnalyticProduct legReceiver, AnalyticProduct legPayer) Create a swap which values aslegReceiver - legPayer
.Constructor parameters in net.finmath.marketdata.products with type arguments of type AnalyticProductModifierConstructorDescriptionPortfolio
(List<AnalyticProduct> products) Create a portfolio of products implementingAnalyticProductInterface
.Portfolio
(List<AnalyticProduct> products, List<Double> weights) Create a portfolio of products implementingAnalyticProductInterface
.Create a portfolio of products implementingAnalyticProductInterface
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Uses of AnalyticProduct in net.finmath.modelling
Classes in net.finmath.modelling that implement AnalyticProductModifier and TypeClassDescriptionclass
A product throwing an exception if itsgetValue
method is called. -
Uses of AnalyticProduct in net.finmath.singleswaprate.products
Subinterfaces of AnalyticProduct in net.finmath.singleswaprate.productsModifier and TypeInterfaceDescriptioninterface
The interface of a product to be evaluated using aVolatilityCubeModel
.Classes in net.finmath.singleswaprate.products that implement AnalyticProductModifier and TypeClassDescriptionclass
Abstract layer between interface and implementation, which ensures compatibility of model and product.class
An abstract class providing valuation methods for single swap rate products.class
A dummy product that only evaluates the value of aAnnuityMapping
.class
A European cash settled payer swaption.class
A European cash settled receiver swaption.class
A constant maturity swap.class
A dummy product that only evaluates the value of aNormalizingFunction
.