Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.products
package net.finmath.montecarlo.interestrate.products
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.- Author:
- Christian Fries
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Interface SummaryInterfaceDescriptionInterface for products requiring an LIBORModelMonteCarloSimulationModel as base class
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Class SummaryClassDescriptionFor backward compatibility - same as AbstractTermStructureMonteCarloProduct.Base class for products requiring an TermStructureMonteCarloSimulationModel (or LIBORModelMonteCarloSimulationModel) as base class for the valuation model argumentImplements the valuation of a Bermudan swaption under a
LIBORModelMonteCarloSimulationModelImplements the valuation of a Bermudan swaption under aLIBORModelMonteCarloSimulationModelThis class implements the valuation of a zero coupon bond.Implements the pricing of a cancelable swap under aLIBORModelMonteCarloSimulationModelImplements the pricing of a Caplet using a givenTermStructureMonteCarloSimulationModel.Implements the valuation of an option on a CMS rate.Implements the valuation of a digital caplet using a givenLIBORModelMonteCarloSimulationModel.Implements the pricing of a digtal floorlet using a givenLIBORModelMonteCarloSimulationModel.This class implements the valuation of a Flexi Cap (aka Auto Cap).This class implements the calculation of the curvature of the volatility surface of the forward rates.This class implements the valuation of a zero (forward) bond on the models forward rate curve.Implements the valuation of a money market account.Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModelImplements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.Create a swap from schedules, notional, indices and spreads (fixed coupons).This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.This class implements an analytic swaption valuation formula under a LIBOR market model.This class implements an analytic swaption valuation formula under a LIBOR market model.A lightweight ATM swaption product used for calibration.A factory (helper class) to create swaptions extendingAbstractTermStructureMonteCarloProductaccording to some (simplified) specifications.Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.This class implements an analytic swaption valuation formula under a LIBOR market model.Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModelImplements 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.This class implements an analytic swaption valuation formula under a LIBOR market model.Implements the pricing of a swap under a AbstractLIBORMarketModelImplements the pricing of a swap under a AbstractLIBORMarketModel -
Enum Summary