Module net.finmath.lib
Package net.finmath.marketdata2.products
package net.finmath.marketdata2.products
Provides interface specification and implementation of products, e.g., calibration products.
Products can be valued using the model (which provides valuation curves).
- Author:
- Christian Fries
-
Interface SummaryInterfaceDescriptionThe interface which has to be implemented by a product which may be evaluated using an
AnalyticModelFromCurvesAndVols. -
Class SummaryClassDescriptionImplements the valuation of a single cashflow by a discount curve.Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).Implements the valuation of a forward using curves (discount curve, forward curve).Implements the valuation of a FRA in multi-curve setting.Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).Implements an analytic product given by the ratio of two analytic products.Implements the valuation of a portfolio of products implementing
AnalyticProductInterface.Implements the valuation of a swap using curves (discount curve, forward curve).Implements the valuation of a swap annuity using curves (discount curve).Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).