Module net.finmath.lib
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

Interface Summary Interface Description TermStructureMonteCarloProduct Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class 
Class Summary Class Description AbstractLIBORMonteCarloProduct Base class for products requiring an LIBORModelMonteCarloSimulationModel as base classBermudanSwaption Implements the valuation of a Bermudan swaption under aLIBORModelMonteCarloSimulationModel
BermudanSwaptionFromSwapSchedules Implements the valuation of a Bermudan swaption under aLIBORModelMonteCarloSimulationModel
Bond This class implements the valuation of a zero coupon bond.CancelableSwap Implements the pricing of a cancelable swap under aLIBORModelMonteCarloSimulationModel
Caplet Implements the pricing of a Caplet using a givenAbstractLIBORMarketModel
.CMSOption Implements the valuation of an option on a CMS rate.DigitalCaplet Implements the valuation of a digital caplet using a givenLIBORModelMonteCarloSimulationModel
.DigitalFloorlet Implements the pricing of a digtal floorlet using a givenLIBORModelMonteCarloSimulationModel
.FlexiCap This class implements the valuation of a Flexi Cap (aka Auto Cap).ForwardRateVolatilitySurfaceCurvature This class implements the calculation of the curvature of the volatility surface of the forward rates.LIBORBond This class implements the valuation of a zero (forward) bond on the models forward rate curve.MoneyMarketAccount Implements the valuation of a money market account.Portfolio Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.SimpleCappedFlooredFloatingRateBond SimpleSwap Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModelSimpleZeroSwap Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.Swap Create a swap from schedules, notional, indices and spreads (fixed coupons).SwapLeg SwapLegWithFundingProvider SwaprateCovarianceAnalyticApproximation This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.Swaption Implements the MonteCarlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.SwaptionAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionAnalyticApproximationRebonato This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionATM A lightweight ATM swaption product used for calibration.SwaptionFactory A factory (helper class) to create swaptions extendingAbstractLIBORMonteCarloProduct
according to some (simplified) specifications.SwaptionFromSwapSchedules Implementation of a MonteCarlo valuation of a swaption valuation being compatible with AAD.SwaptionGeneralizedAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionSimple Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModelSwaptionSingleCurve Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationModel Important: If the LIBOR Market Model is a multicurve 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.SwaptionSingleCurveAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.SwaptionWithComponents Implements the pricing of a swap under a AbstractLIBORMarketModelSwapWithComponents Implements the pricing of a swap under a AbstractLIBORMarketModel