Uses of Interface
net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct

Packages that use TermStructureMonteCarloProduct

Package	Description
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
net.finmath.montecarlo.interestrate.models.funding	Model components related to non-linear discounting / funding.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components	Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.

Uses of TermStructureMonteCarloProduct in net.finmath.modelling.productfactory

Classes in net.finmath.modelling.productfactory that implement TermStructureMonteCarloProduct

Modifier and Type	Class	Description
static class	InterestRateMonteCarloProductFactory.SwapLegMonteCarlo	Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwapMonteCarlo	Monte-Carlo method based implementation of a interest rate swap from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo	Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.

Uses of TermStructureMonteCarloProduct in net.finmath.montecarlo.interestrate.models.funding

Classes in net.finmath.montecarlo.interestrate.models.funding that implement TermStructureMonteCarloProduct

Modifier and Type	Class	Description
class	FundingCapacityWithMemory	Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.
class	FundingCapacityWithoutMemory	Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.

Uses of TermStructureMonteCarloProduct in net.finmath.montecarlo.interestrate.products

Classes in net.finmath.montecarlo.interestrate.products that implement TermStructureMonteCarloProduct

Modifier and Type	Class	Description
class	AbstractLIBORMonteCarloProduct	For backward compatibility - same as AbstractTermStructureMonteCarloProduct.
class	AbstractTermStructureMonteCarloProduct	Base class for products requiring an TermStructureMonteCarloSimulationModel (or LIBORModelMonteCarloSimulationModel) as base class for the valuation model argument
class	BermudanSwaption	Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
class	BermudanSwaptionFromSwapSchedules	Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
class	Bond	This class implements the valuation of a zero coupon bond.
class	CancelableSwap	Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
class	Caplet	Implements the pricing of a Caplet using a given TermStructureMonteCarloSimulationModel.
class	CMSOption	Implements the valuation of an option on a CMS rate.
class	DigitalCaplet	Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationModel.
class	DigitalFloorlet	Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel.
class	FlexiCap	This class implements the valuation of a Flexi Cap (aka Auto Cap).
class	ForwardRateVolatilitySurfaceCurvature	This class implements the calculation of the curvature of the volatility surface of the forward rates.
class	LIBORBond	This class implements the valuation of a zero (forward) bond on the models forward rate curve.
class	MoneyMarketAccount	Implements the valuation of a money market account.
class	Portfolio	Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.
class	SimpleCappedFlooredFloatingRateBond
class	SimpleSwap	Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModel
class	SimpleZeroSwap	Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.
class	Swap	Create a swap from schedules, notional, indices and spreads (fixed coupons).
class	SwapLeg
class	SwapLegWithFundingProvider
class	Swaption	Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.
class	SwaptionAnalyticApproximation	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionAnalyticApproximationRebonato	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionATM	A lightweight ATM swaption product used for calibration.
class	SwaptionFromSwapSchedules	Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.
class	SwaptionGeneralizedAnalyticApproximation	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionSimple	Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModel
class	SwaptionSingleCurve	Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationModel Important: If the LIBOR Market Model is a multi-curve model in the sense that the numeraire is not calculated from the forward curve, then this valuation does not result in the valuation of a collaterlized option on a collateralized swap.
class	SwaptionSingleCurveAnalyticApproximation	This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionWithComponents	Implements the pricing of a swap under a AbstractLIBORMarketModel
class	SwapWithComponents	Implements the pricing of a swap under a AbstractLIBORMarketModel

Methods in net.finmath.montecarlo.interestrate.products that return TermStructureMonteCarloProduct

Modifier and Type	Method	Description
static TermStructureMonteCarloProduct	SwaptionFactory.createSwaption(String className, double swaprate, TimeDiscretization swapTenor, String valueUnitAsString)
TermStructureMonteCarloProduct[]	Portfolio.getProducts()

Constructors in net.finmath.montecarlo.interestrate.products with parameters of type TermStructureMonteCarloProduct

Modifier	Constructor	Description
	Swap(TermStructureMonteCarloProduct legReceiver, TermStructureMonteCarloProduct legPayer)	Create a swap which values as legReceiver - legPayer.

Uses of TermStructureMonteCarloProduct in net.finmath.montecarlo.interestrate.products.components

Classes in net.finmath.montecarlo.interestrate.products.components that implement TermStructureMonteCarloProduct

Modifier and Type	Class	Description
class	AbstractPeriod	Base class for a period.
class	AbstractProductComponent	Base class for product components.
class	AccrualAccount	Implementation of a general accrual account.
class	Cashflow	A single deterministic cashflow at a fixed time
class	Choice	An right to choose between two underlyings.
class	ExpectedTailLoss	The expected tail loss.
class	ExposureEstimator	Implements (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.
class	IndexedValue	An indexed value.
class	Numeraire	A single deterministic cashflow at a fixed time
class	Option	An option.
class	Period	A period.
class	ProductCollection	A collection of product components (like periods, options, etc.) paying the sum of their payouts.
class	Selector	A selection of a value on another component.

Constructors in net.finmath.montecarlo.interestrate.products.components with parameters of type TermStructureMonteCarloProduct

Modifier	Constructor	Description
	Choice(double exerciseDate, TermStructureMonteCarloProduct underlying1, TermStructureMonteCarloProduct underlying2)	Creates the function underlying1(exerciseDate) > underlying2(exerciseDate) ? underlying1 : underlying2.
	ExpectedTailLoss(double exerciseDate, double quantile, TermStructureMonteCarloProduct underlying)	Creates the function underlying(exerciseDate) ≥ quantileValue ? underlying : 0.0, where quantileValue is such that P(underlying > quantileValue) = quantile
	Option(double exerciseDate, boolean isCall, TermStructureMonteCarloProduct strikeProduct, AbstractTermStructureMonteCarloProduct underlying)	Creates the function underlying(exerciseDate) ≥ strikeProduct ? underlying : strikeProduct
	Option(double exerciseDate, boolean isCall, TermStructureMonteCarloProduct strikeProduct, AbstractTermStructureMonteCarloProduct underlying, RegressionBasisFunctionsProvider regressionBasisFunctionsProvider)	Creates the function underlying(exerciseDate) ≥ strikeProduct ? underlying : strikeProduct
	Selector(String key, TermStructureMonteCarloProduct underlying)	Creates the function underlying.getValues()[key]

Uses of TermStructureMonteCarloProduct in net.finmath.montecarlo.interestrate.products.indices

Classes in net.finmath.montecarlo.interestrate.products.indices that implement TermStructureMonteCarloProduct

Modifier and Type	Class	Description
class	AbstractIndex	Base class for indices.
class	AccruedInterest	An accrued interest index.
class	AnalyticModelForwardCurveIndex	An index which is given by a name referencing a curve of an analytic model.
class	AnalyticModelIndex	An index which is given by a name referencing a curve of an analytic model.
class	CappedFlooredIndex	An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementing AbstractIndex.
class	ConstantMaturitySwaprate	An idealized (single curve) CMS index with given maturity and given period length.
class	DateIndex	An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
class	FixedCoupon	A fixed coupon index paying constant coupon..
class	ForwardCurveIndex	A fixed coupon index paying coupon calculated from a forward curve.
class	LaggedIndex	A time-lagged index paying index(t+fixingOffset)
class	LIBORIndex	A (floating) forward rate index for a given period start offset (offset from fixing) and period length.
class	LinearCombinationIndex	A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
class	MaxIndex	A maximum index.
class	MinIndex	A minumum index.
class	NumerairePerformanceIndex	A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.
class	NumerairePerformanceOnScheduleIndex	A (floating) rate index representing the performance of the numeraire asset.
class	PerformanceIndex	A performance index being numeratorIndex(t) / denominatorIndex(t)
class	PowIndex	A power index.
class	ProductIndex	A product index being index1(t) * index2(t)
class	TimeDiscreteEndOfMonthIndex	An index which maps is evaluation point to a fixed discrete point, the end of the month, then takes the value of a given base index at this point.
class	TriggerIndex	A trigger index.
class	UnsupportedIndex	An index throwing an exception if his getValue method is called.