Package net.finmath.montecarlo.interestrate.products.components

package net.finmath.montecarlo.interestrate.products.components
Provides a set product components which allow to build financial products by composition.
Christian Fries
  • Interface Summary
    Base class for notional classes.
  • Class Summary
    Base class for a period.
    Base class for product components.
    Implementation of a general accrual account.
    A single deterministic cashflow at a fixed time
    An right to choose between two underlyings.
    The expected tail loss.
    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.
    An indexed value.
    A stochastic notional derived from the valuation of a component.
    A constant (non-stochastic) notional.
    A single deterministic cashflow at a fixed time
    An option.
    A period.
    A collection of product components (like periods, options, etc.) paying the sum of their payouts.
    A selection of a value on another component.