Module net.finmath.lib

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.

Author:

Christian Fries

Interface Summary

Interface	Description
Notional	Base class for notional classes.

Class Summary

Class	Description
AbstractPeriod	Base class for a period.
AbstractProductComponent	Base class for product components.
AccrualAccount	Implementation of a general accrual account.
AccruingNotional
Cashflow	A single deterministic cashflow at a fixed time
Choice	An right to choose between two underlyings.
ExpectedTailLoss	The expected tail loss.
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.
IndexedValue	An indexed value.
NotionalFromComponent	A stochastic notional derived from the valuation of a component.
NotionalFromConstant	A constant (non-stochastic) notional.
Numeraire	A single deterministic cashflow at a fixed time
Option	An option.
Period	A period.
ProductCollection	A collection of product components (like periods, options, etc.) paying the sum of their payouts.
Selector	A selection of a value on another component.