Uses of Class
net.finmath.montecarlo.interestrate.products.indices.AbstractIndex
Package
Description
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.Provides a set product components which allow to build financial products by composition.
Provides a set of indices which can be used as part of a period.
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Uses of AbstractIndex in net.finmath.montecarlo.interestrate.products
ModifierConstructorDescriptionSimpleZeroSwap
(double[] fixingDates, double[] paymentDates, double[] swaprates, AbstractIndex floatIndex, boolean isPayFix) Create a swap.Swap
(Notional notional, Schedule scheduleReceiveLeg, AbstractIndex indexReceiveLeg, double spreadReceiveLeg, Schedule schedulePayLeg, AbstractIndex indexPayLeg, double spreadPayLeg) Create a swap from schedules, notional, indices and spreads (fixed coupons).SwapLeg
(Schedule legSchedule, Notional[] notionals, AbstractIndex index, double[] spreads, boolean couponFlow, boolean isNotionalExchanged) Creates a swap leg.SwapLeg
(Schedule legSchedule, Notional notional, AbstractIndex index, double spread, boolean isNotionalExchanged) Creates a swap leg.SwapLeg
(Schedule legSchedule, Notional notional, AbstractIndex index, double spread, boolean couponFlow, boolean isNotionalExchanged, boolean isNotionalAccruing) Creates a swap leg.SwapLegWithFundingProvider
(Schedule legSchedule, double[] notionals, AbstractIndex index, double[] spreads, net.finmath.montecarlo.interestrate.models.funding.FundingCapacity fundingCapacity) Creates a swap leg. -
Uses of AbstractIndex in net.finmath.montecarlo.interestrate.products.components
ModifierConstructorDescriptionAccrualAccount
(String currency, AnalyticModelIndex pastFixings, AbstractIndex accrualIndex, double accrualPeriod) Create an accrual account. -
Uses of AbstractIndex in net.finmath.montecarlo.interestrate.products.indices
Modifier and TypeClassDescriptionclass
An accrued interest index.class
An index which is given by a name referencing a curve of an analytic model.class
An index which is given by a name referencing a curve of an analytic model.class
An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementingAbstractIndex
.class
An idealized (single curve) CMS index with given maturity and given period length.class
An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.class
A fixed coupon index paying constant coupon..class
A fixed coupon index paying coupon calculated from a forward curve.class
A time-lagged index paying index(t+fixingOffset)class
A (floating) forward rate index for a given period start offset (offset from fixing) and period length.class
A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)class
A maximum index.class
A minumum index.class
A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.class
A (floating) rate index representing the performance of the numeraire asset.class
A performance index being numeratorIndex(t) / denominatorIndex(t)class
A power index.class
A product index being index1(t) * index2(t)class
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
A trigger index.class
An index throwing an exception if hisgetValue
method is called.ModifierConstructorDescriptionAccruedInterest
(String name, String currency, LocalDate referenceDate, LocalDate periodStartDate, LocalDate periodEndDate, AbstractIndex index, Double indexFixingTime, DayCountConvention daycountConvention, boolean isNegativeAccruedInterest) Create an accrued interest index.CappedFlooredIndex
(AbstractIndex index, AbstractIndex cap, AbstractIndex floor) Create an capped and floored index paying min(max(index(t),floor(t)),cap(t)).ProductIndex
(AbstractIndex index1, AbstractIndex index2) Create a performance index being numeratorIndex(t) / denominatorIndex(t)TimeDiscreteEndOfMonthIndex
(String name, AbstractIndex baseIndex, int fixingOffsetMonths) Creates a time discrete index.