Serialized Form

Package net.finmath.exception

Class net.finmath.exception.CalculationException extends Exception implements Serializable

serialVersionUID:

6848163003188948320L

Package net.finmath.interpolation

Class net.finmath.interpolation.RationalFunctionInterpolation extends Object implements Serializable

serialVersionUID:

-3214160594013393575L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

extrapolationMethod

RationalFunctionInterpolation.ExtrapolationMethod extrapolationMethod

interpolatingRationalFunctions

net.finmath.interpolation.RationalFunctionInterpolation.RationalFunction[] interpolatingRationalFunctions

interpolationMethod

RationalFunctionInterpolation.InterpolationMethod interpolationMethod

points

double[] points

values

double[] values

Package net.finmath.marketdata.model

Class net.finmath.marketdata.model.AnalyticModelFromCurvesAndVols extends Object implements Serializable

serialVersionUID:

6906386712907555046L

Serialized Fields

curvesMap

Map<String,Curve> curvesMap

referenceDate

LocalDate referenceDate

volatilitySurfaceMap

Map<String,VolatilitySurface> volatilitySurfaceMap

Package net.finmath.marketdata.model.bond

Class net.finmath.marketdata.model.bond.BondCurve extends AbstractCurve implements Serializable

serialVersionUID:

-7832169179168188306L

Serialized Fields

name

String name

referenceCurve

Curve referenceCurve

referenceDate

LocalDate referenceDate

spreadCurve

Curve spreadCurve

type

BondCurve.Type type

Package net.finmath.marketdata.model.curves

Class net.finmath.marketdata.model.curves.AbstractCurve extends Object implements Serializable

serialVersionUID:

584342257323693502L

Serialized Fields

name

String name

referenceDate

LocalDate referenceDate

Class net.finmath.marketdata.model.curves.AbstractForwardCurve extends CurveInterpolation implements Serializable

serialVersionUID:

3735595267579329042L

Serialized Fields

discountCurveName

String discountCurveName

paymentBusinessdayCalendar

BusinessdayCalendar paymentBusinessdayCalendar

paymentDateRollConvention

BusinessdayCalendar.DateRollConvention paymentDateRollConvention

paymentOffset

double paymentOffset

paymentOffsetCode

String paymentOffsetCode

paymentOffsets

Map<Double,Double> paymentOffsets

Class net.finmath.marketdata.model.curves.CurveFromProductOfCurves extends AbstractCurve implements Serializable

serialVersionUID:

8850409340966149755L

Serialized Fields

curves

Curve[] curves

Class net.finmath.marketdata.model.curves.CurveInterpolation extends AbstractCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

extrapolationMethod

CurveInterpolation.ExtrapolationMethod extrapolationMethod

interpolationEntity

CurveInterpolation.InterpolationEntity interpolationEntity

interpolationMethod

CurveInterpolation.InterpolationMethod interpolationMethod

points

ArrayList<CurveInterpolation.Point> points

pointsBeingParameters

ArrayList<CurveInterpolation.Point> pointsBeingParameters

rationalFunctionInterpolation

RationalFunctionInterpolation rationalFunctionInterpolation

Class net.finmath.marketdata.model.curves.CurveInterpolation.Point extends Object implements Serializable

serialVersionUID:

8857387999991917430L

Serialized Fields

isParameter

boolean isParameter

time

double time

value

double value

Class net.finmath.marketdata.model.curves.DiscountCurveFromForwardCurve extends AbstractCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialized Fields

forwardCurve

ForwardCurve forwardCurve

forwardCurveName

String forwardCurveName

timeScaling

double timeScaling

Class net.finmath.marketdata.model.curves.DiscountCurveFromProductOfCurves extends AbstractCurve implements Serializable

serialVersionUID:

6643801855646089707L

Serialized Fields

curveNames

String[] curveNames

curves

DiscountCurve[] curves

Class net.finmath.marketdata.model.curves.DiscountCurveInterpolation extends CurveInterpolation implements Serializable

serialVersionUID:

-4126228588123963885L

Class net.finmath.marketdata.model.curves.DiscountCurveNelsonSiegelSvensson extends AbstractCurve implements Serializable

serialVersionUID:

8024640795839972709L

Serialized Fields

parameter

double[] parameter

timeScaling

double timeScaling

Class net.finmath.marketdata.model.curves.DiscountCurveRenormalized extends Object implements Serializable

serialVersionUID:

-7603795467908495733L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

baseCurveName

String baseCurveName

name

String name

referenceDate

LocalDate referenceDate

spotDate

LocalDate spotDate

Class net.finmath.marketdata.model.curves.ForwardCurveFromDiscountCurve extends AbstractForwardCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialized Fields

daycountConvention

DayCountConvention daycountConvention

daycountScaling

double daycountScaling

periodOffset

double periodOffset

referenceDiscountCurveForForwardsName

String referenceDiscountCurveForForwardsName

Class net.finmath.marketdata.model.curves.ForwardCurveInterpolation extends AbstractForwardCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialized Fields

interpolationEntityForward

ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward

Class net.finmath.marketdata.model.curves.ForwardCurveNelsonSiegelSvensson extends AbstractCurve implements Serializable

serialVersionUID:

8024640795839972709L

Serialized Fields

daycountConvention

DayCountConvention daycountConvention

discountCurve

DiscountCurveNelsonSiegelSvensson discountCurve

paymentBusinessdayCalendar

BusinessdayCalendar paymentBusinessdayCalendar

paymentDateRollConvention

BusinessdayCalendar.DateRollConvention paymentDateRollConvention

paymentOffsetCode

String paymentOffsetCode

periodOffset

double periodOffset

Class net.finmath.marketdata.model.curves.ForwardCurveWithFixings extends PiecewiseCurve implements Serializable

serialVersionUID:

-6192098475095644443L

Class net.finmath.marketdata.model.curves.IndexCurveFromDiscountCurve extends AbstractCurve implements Serializable

serialVersionUID:

-3760460344256117452L

Serialized Fields

discountCurve

DiscountCurve discountCurve

indexValue

double indexValue

Class net.finmath.marketdata.model.curves.PiecewiseCurve extends AbstractCurve implements Serializable

serialVersionUID:

8846923173857477343L

Serialized Fields

baseCurve

Curve baseCurve

fixedPartCurve

Curve fixedPartCurve

fixedPartEndTime

double fixedPartEndTime

fixedPartStartTime

double fixedPartStartTime

Class net.finmath.marketdata.model.curves.SeasonalCurve extends AbstractCurve implements Serializable

serialVersionUID:

4021745191829488593L

Serialized Fields

baseCurve

Curve baseCurve

Package net.finmath.marketdata.model.volatilities

Class net.finmath.marketdata.model.volatilities.SwaptionDataLattice extends Object implements Serializable

serialVersionUID:

5041960065072626043L

Serialized Fields

discountCurveName

String discountCurveName

displacement

double displacement

entryMap

Map<net.finmath.marketdata.model.volatilities.SwaptionDataLattice.DataKey,Double> entryMap

fixMetaSchedule

SchedulePrototype fixMetaSchedule

floatMetaSchedule

SchedulePrototype floatMetaSchedule

forwardCurveName

String forwardCurveName

quotingConvention

SwaptionDataLattice.QuotingConvention quotingConvention

referenceDate

LocalDate referenceDate

Package net.finmath.marketdata.products

Class net.finmath.marketdata.products.Swap extends AbstractAnalyticProduct implements Serializable

serialVersionUID:

6546984174616265190L

Serialized Fields

legPayer

AnalyticProduct legPayer

legReceiver

AnalyticProduct legReceiver

Class net.finmath.marketdata.products.SwapLeg extends AbstractAnalyticProduct implements Serializable

serialVersionUID:

8311623431369392396L

Serialized Fields

cashFlowEffectiveDate

LocalDateTime cashFlowEffectiveDate

discountCurveForNotionalResetName

String discountCurveForNotionalResetName

discountCurveName

String discountCurveName

forwardCurveName

String forwardCurveName

isNotionalExchanged

boolean isNotionalExchanged

legSchedule

Schedule legSchedule

notionals

double[] notionals

spreads

double[] spreads

Package net.finmath.marketdata2.model

Class net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols extends Object implements Serializable

serialVersionUID:

-1551367852009541732L

Serialized Fields

curvesMap

Map<String,Curve> curvesMap

randomVariableFactory

RandomVariableFactory randomVariableFactory

volatilitySurfaceMap

Map<String,VolatilitySurface> volatilitySurfaceMap

Package net.finmath.marketdata2.model.curves

Class net.finmath.marketdata2.model.curves.AbstractForwardCurve extends CurveInterpolation implements Serializable

serialVersionUID:

3735595267579329042L

Serialized Fields

discountCurveName

String discountCurveName

paymentBusinessdayCalendar

BusinessdayCalendar paymentBusinessdayCalendar

paymentDateRollConvention

BusinessdayCalendar.DateRollConvention paymentDateRollConvention

paymentOffset

double paymentOffset

paymentOffsetCode

String paymentOffsetCode

paymentOffsets

Map<Double,Double> paymentOffsets

Class net.finmath.marketdata2.model.curves.CurveInterpolation extends AbstractCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

curveCacheReference

SoftReference<Map<Double,RandomVariable>> curveCacheReference

extrapolationMethod

CurveInterpolation.ExtrapolationMethod extrapolationMethod

interpolationEntity

CurveInterpolation.InterpolationEntity interpolationEntity

interpolationMethod

CurveInterpolation.InterpolationMethod interpolationMethod

points

ArrayList<net.finmath.marketdata2.model.curves.CurveInterpolation.Point> points

pointsBeingParameters

ArrayList<net.finmath.marketdata2.model.curves.CurveInterpolation.Point> pointsBeingParameters

rationalFunctionInterpolation

RationalFunctionInterpolation rationalFunctionInterpolation

Class net.finmath.marketdata2.model.curves.DiscountCurveFromForwardCurve extends AbstractCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialized Fields

forwardCurve

ForwardCurveInterface forwardCurve

forwardCurveName

String forwardCurveName

timeScaling

double timeScaling

Class net.finmath.marketdata2.model.curves.DiscountCurveInterpolation extends CurveInterpolation implements Serializable

serialVersionUID:

-4126228588123963885L

Class net.finmath.marketdata2.model.curves.ForwardCurveFromDiscountCurve extends AbstractForwardCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialized Fields

daycountScaling

double daycountScaling

periodOffset

double periodOffset

referenceDiscountCurveForForwardsName

String referenceDiscountCurveForForwardsName

Class net.finmath.marketdata2.model.curves.ForwardCurveInterpolation extends AbstractForwardCurve implements Serializable

serialVersionUID:

-4126228588123963885L

Serialized Fields

interpolationEntityForward

ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward

Package net.finmath.modelling

Class net.finmath.modelling.UnsupportedProduct extends Object implements Serializable

serialVersionUID:

5375406324063846793L

Serialized Fields

exception

Exception exception

Package net.finmath.modelling.modelfactory

Class net.finmath.modelling.modelfactory.AnalyticModelFactory.DescribedAnalyticModel extends AnalyticModelFromCurvesAndVols implements Serializable

serialVersionUID:

-2884913997994052340L

Package net.finmath.montecarlo

Class net.finmath.montecarlo.AbstractRandomVariableFactory extends Object implements Serializable

serialVersionUID:

-4412332958142580025L

Class net.finmath.montecarlo.BrownianMotionFromMersenneRandomNumbers extends Object implements Serializable

serialVersionUID:

-5430067621669213475L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

numberOfFactors

int numberOfFactors

numberOfPaths

int numberOfPaths

randomVariableFactory

RandomVariableFactory randomVariableFactory

seed

int seed

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.BrownianMotionFromRandomNumberGenerator extends Object implements Serializable

serialVersionUID:

-5430067621669213475L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

numberOfFactors

int numberOfFactors

numberOfPaths

int numberOfPaths

randomNumberGenerator

RandomNumberGenerator randomNumberGenerator

randomVariableFactory

RandomVariableFactory randomVariableFactory

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.BrownianMotionLazyInit extends BrownianMotionFromMersenneRandomNumbers implements Serializable

serialVersionUID:

-5430067621669213475L

Class net.finmath.montecarlo.GammaProcess extends Object implements Serializable

serialVersionUID:

-5430067621669213475L

Serialized Fields

numberOfFactors

int numberOfFactors

numberOfPaths

int numberOfPaths

randomVariableFactory

RandomVariableFactory randomVariableFactory

scale

double scale

seed

int seed

shape

double shape

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.IndependentIncrementsFromICDF extends Object implements Serializable

serialVersionUID:

6270884840989559532L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

inverseCumulativeDistributionFunctions

IntFunction<IntFunction<DoubleUnaryOperator>> inverseCumulativeDistributionFunctions

numberOfFactors

int numberOfFactors

numberOfPaths

int numberOfPaths

randomVariableFactory

RandomVariableFactory randomVariableFactory

seed

int seed

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.JumpProcessIncrements extends Object implements Serializable

serialVersionUID:

-5430067621669213475L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws ClassNotFoundException,
IOException

Throws:

ClassNotFoundException

IOException

Serialized Fields

jumpIntensities

double[] jumpIntensities

numberOfPaths

int numberOfPaths

randomVariableFactory

RandomVariableFactory randomVariableFactory

seed

int seed

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.MertonJumpProcess extends Object implements Serializable

serialVersionUID:

-6984273344382051927L

Serialized Fields

internalProcess

IndependentIncrements internalProcess

jumpIntensity

double jumpIntensity

jumpSizeMean

double jumpSizeMean

jumpSizeStDev

double jumpSizeStDev

randomVariableFactory

RandomVariableFactory randomVariableFactory

Class net.finmath.montecarlo.RandomVariableFloatFactory extends AbstractRandomVariableFactory implements Serializable

serialVersionUID:

3368581641610610123L

Class net.finmath.montecarlo.RandomVariableFromArrayFactory extends AbstractRandomVariableFactory implements Serializable

serialVersionUID:

9124600813005863273L

Serialized Fields

isUseDoublePrecisionFloatingPointImplementation

boolean isUseDoublePrecisionFloatingPointImplementation

Class net.finmath.montecarlo.RandomVariableFromDoubleArray extends Object implements Serializable

serialVersionUID:

-1352953450936857742L

Serialized Fields

realizations

double[] realizations

time

double time

typePriority

int typePriority

valueIfNonStochastic

double valueIfNonStochastic

Class net.finmath.montecarlo.RandomVariableFromFloatArray extends Object implements Serializable

serialVersionUID:

-1352953450936857742L

Serialized Fields

realizations

float[] realizations

time

double time

typePriority

int typePriority

valueIfNonStochastic

double valueIfNonStochastic

Class net.finmath.montecarlo.RandomVariableLazyEvaluation extends Object implements Serializable

serialVersionUID:

8413020544732461630L

Serialized Fields

realizations

IntToDoubleFunction realizations

size

int size

time

double time

valueIfNonStochastic

double valueIfNonStochastic

Class net.finmath.montecarlo.RandomVariableLazyEvaluationFactory extends AbstractRandomVariableFactory implements Serializable

serialVersionUID:

5474699190536441150L

Class net.finmath.montecarlo.VarianceGammaProcess extends Object implements Serializable

serialVersionUID:

-338038617011804530L

Serialized Fields

myBrownianMotion

BrownianMotion myBrownianMotion

myGammaProcess

GammaProcess myGammaProcess

nu

double nu

numberOfFactors

int numberOfFactors

numberOfPaths

int numberOfPaths

randomVariableFactory

RandomVariableFactory randomVariableFactory

seed

int seed

sigma

double sigma

theta

double theta

timeDiscretization

TimeDiscretization timeDiscretization

Package net.finmath.montecarlo.automaticdifferentiation

Class net.finmath.montecarlo.automaticdifferentiation.AbstractRandomVariableDifferentiableFactory extends AbstractRandomVariableFactory implements Serializable

serialVersionUID:

8262731847824139905L

Serialized Fields

randomVariableFactoryForNonDifferentiable

RandomVariableFactory randomVariableFactoryForNonDifferentiable

Package net.finmath.montecarlo.automaticdifferentiation.backward

Class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD extends Object implements Serializable

serialVersionUID:

2459373647785530657L

Serialized Fields

factory

RandomVariableDifferentiableAADFactory factory

operatorTreeNode

net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAAD.OperatorTreeNode operatorTreeNode

typePriority

int typePriority

values

RandomVariable values

Class net.finmath.montecarlo.automaticdifferentiation.backward.RandomVariableDifferentiableAADFactory extends AbstractRandomVariableDifferentiableFactory implements Serializable

serialVersionUID:

-6035830497454502442L

Serialized Fields

diracDeltaApproximationDensityRegressionWidthPerStdDev

double diracDeltaApproximationDensityRegressionWidthPerStdDev

diracDeltaApproximationMethod

RandomVariableDifferentiableAADFactory.DiracDeltaApproximationMethod diracDeltaApproximationMethod

diracDeltaApproximationWidthPerStdDev

double diracDeltaApproximationWidthPerStdDev

isGradientRetainsLeafNodesOnly

boolean isGradientRetainsLeafNodesOnly

Package net.finmath.montecarlo.automaticdifferentiation.forward

Class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD extends Object implements Serializable

serialVersionUID:

2459373647785530657L

Serialized Fields

operatorTreeNode

net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorTreeNode operatorTreeNode

typePriority

int typePriority

values

RandomVariable values

Class net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableADFactory extends AbstractRandomVariableDifferentiableFactory implements Serializable

serialVersionUID:

252965311623985432L

Package net.finmath.montecarlo.interestrate.models

Class net.finmath.montecarlo.interestrate.models.HullWhiteModel extends AbstractProcessModel implements Serializable

serialVersionUID:

8677410149401310062L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws IOException,
ClassNotFoundException

Throws:

IOException

ClassNotFoundException

Serialized Fields

analyticModel

AnalyticModel analyticModel

discountCurve

DiscountCurve discountCurve

discountCurveFromForwardCurve

DiscountCurve discountCurveFromForwardCurve

forwardCurveName

String forwardCurveName

forwardRateCurve

ForwardCurve forwardRateCurve

isInterpolateDiscountFactorsOnLiborPeriodDiscretization

boolean isInterpolateDiscountFactorsOnLiborPeriodDiscretization

liborPeriodDiscretization

TimeDiscretization liborPeriodDiscretization

properties

Map<String,Object> properties

randomVariableFactory

RandomVariableFactory randomVariableFactory

volatilityModel

ShortRateVolatilityModel volatilityModel

Class net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel extends AbstractProcessModel implements Serializable

serialVersionUID:

4166077559001066615L

Serialization Methods

readObject

private void readObject(ObjectInputStream in)
                 throws IOException,
ClassNotFoundException

Throws:

IOException

ClassNotFoundException

Serialized Fields

covarianceModel

LIBORCovarianceModel covarianceModel

curveModel

AnalyticModel curveModel

discountCurve

DiscountCurve discountCurve

driftApproximationMethod

LIBORMarketModelFromCovarianceModel.Driftapproximation driftApproximationMethod

forwardRateCurve

ForwardCurve forwardRateCurve

integratedLIBORCovariance

double[][][] integratedLIBORCovariance

interpolationMethod

LIBORMarketModelFromCovarianceModel.InterpolationMethod interpolationMethod

liborCap

double liborCap

liborPeriodDiscretization

TimeDiscretization liborPeriodDiscretization

measure

LIBORMarketModelFromCovarianceModel.Measure measure

randomVariableFactory

RandomVariableFactory randomVariableFactory

simulationTimeInterpolationMethod

LIBORMarketModelFromCovarianceModel.SimulationTimeInterpolationMethod simulationTimeInterpolationMethod

stateSpace

LIBORMarketModelFromCovarianceModel.StateSpace stateSpace

swaptionMarketData

SwaptionMarketData swaptionMarketData

Package net.finmath.montecarlo.interestrate.models.covariance

Class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel extends Object implements Serializable

serialVersionUID:

5364544247367259329L

Serialized Fields

liborPeriodDiscretization

TimeDiscretization liborPeriodDiscretization

numberOfFactors

int numberOfFactors

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric extends AbstractLIBORCovarianceModel implements Serializable

serialVersionUID:

7015719361182945464L

Class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModel extends Object implements Serializable

serialVersionUID:

5364544247367259329L

Serialized Fields

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric extends AbstractShortRateVolatilityModel implements Serializable

serialVersionUID:

7015719361182945464L

Class net.finmath.montecarlo.interestrate.models.covariance.BlendedLocalVolatilityModel extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

-5042461187735524974L

Serialized Fields

covarianceModel

AbstractLIBORCovarianceModelParametric covarianceModel

displacement

RandomVariable displacement

forwardCurve

ForwardCurve forwardCurve

isCalibrateable

boolean isCalibrateable

randomVariableFactory

RandomVariableFactory randomVariableFactory

Class net.finmath.montecarlo.interestrate.models.covariance.DisplacedLocalVolatilityModel extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

4522227972747028512L

Serialized Fields

covarianceModel

AbstractLIBORCovarianceModelParametric covarianceModel

displacement

RandomVariable displacement

forwardCurve

ForwardCurve forwardCurve

isCalibrateable

boolean isCalibrateable

Class net.finmath.montecarlo.interestrate.models.covariance.ExponentialDecayLocalVolatilityModel extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

4522227972747028512L

Serialized Fields

covarianceModel

AbstractLIBORCovarianceModelParametric covarianceModel

decay

RandomVariable decay

isCalibrateable

boolean isCalibrateable

randomVariableFactory

RandomVariableFactory randomVariableFactory

Class net.finmath.montecarlo.interestrate.models.covariance.HullWhiteLocalVolatilityModel extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

-4182083344704425769L

Serialized Fields

covarianceModel

AbstractLIBORCovarianceModelParametric covarianceModel

periodLength

double periodLength

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel extends Object implements Serializable

serialVersionUID:

-6780424108470638825L

Serialized Fields

liborPeriodDiscretization

TimeDiscretization liborPeriodDiscretization

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelExponentialDecay extends LIBORCorrelationModel implements Serializable

serialVersionUID:

-8218022418731667531L

Serialized Fields

a

double a

correlationMatrix

double[][] correlationMatrix

factorMatrix

double[][] factorMatrix

isCalibrateable

boolean isCalibrateable

numberOfFactors

int numberOfFactors

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModelThreeParameterExponentialDecay extends LIBORCorrelationModel implements Serializable

serialVersionUID:

5063076041285957177L

Serialized Fields

a

double a

b

double b

c

double c

isCalibrateable

boolean isCalibrateable

lazyInitLock

Object lazyInitLock

numberOfFactors

int numberOfFactors

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelBH extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

2094266336585778694L

Serialized Fields

parameter

double[] parameter

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm5Param extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

-6538642489767323201L

Serialized Fields

correlationModel

LIBORCorrelationModel correlationModel

parameter

RandomVariable[] parameter

volatilityModel

LIBORVolatilityModel volatilityModel

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelExponentialForm7Param extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

-7980504204664006566L

Serialized Fields

correlationModel

LIBORCorrelationModelThreeParameterExponentialDecay correlationModel

parameter

double[] parameter

volatilityModel

LIBORVolatilityModelMaturityDependentFourParameterExponentialForm volatilityModel

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelFromVolatilityAndCorrelation extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

-8782024526695367005L

Serialized Fields

correlationModel

LIBORCorrelationModel correlationModel

volatilityModel

LIBORVolatilityModel volatilityModel

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticHestonVolatility extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

-1438451123632424212L

Serialized Fields

brownianMotion

BrownianMotion brownianMotion

covarianceModel

AbstractLIBORCovarianceModelParametric covarianceModel

isCalibrateable

boolean isCalibrateable

kappa

RandomVariable kappa

theta

RandomVariable theta

xi

RandomVariable xi

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModelStochasticVolatility extends AbstractLIBORCovarianceModelParametric implements Serializable

serialVersionUID:

-559341617850035368L

Serialized Fields

brownianMotion

BrownianMotion brownianMotion

covarianceModel

AbstractLIBORCovarianceModelParametric covarianceModel

isCalibrateable

boolean isCalibrateable

nu

RandomVariable nu

rho

RandomVariable rho

stochasticVolatilityScalings

MonteCarloProcess stochasticVolatilityScalings

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel extends Object implements Serializable

serialVersionUID:

5481713000841480672L

Serialized Fields

liborPeriodDiscretization

TimeDiscretization liborPeriodDiscretization

timeDiscretization

TimeDiscretization timeDiscretization

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialForm extends LIBORVolatilityModel implements Serializable

serialVersionUID:

-7371483471144264848L

Serialized Fields

a

RandomVariable a

b

RandomVariable b

c

RandomVariable c

d

RandomVariable d

isCalibrateable

boolean isCalibrateable

randomVariableFactory

RandomVariableFactory randomVariableFactory

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFourParameterExponentialFormIntegrated extends LIBORVolatilityModel implements Serializable

serialVersionUID:

-1613728266481870311L

Serialized Fields

a

RandomVariable a

b

RandomVariable b

c

RandomVariable c

coeffTaylorE1

double[] coeffTaylorE1

coeffTaylorE17

double[] coeffTaylorE17

coeffTaylorE2

double[] coeffTaylorE2

coeffTaylorE27

double[] coeffTaylorE27

coeffTaylorE3

double[] coeffTaylorE3

coeffTaylorE37

double[] coeffTaylorE37

d

RandomVariable d

isCalibrateable

boolean isCalibrateable

randomVariableFactory

RandomVariableFactory randomVariableFactory

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelFromGivenMatrix extends LIBORVolatilityModel implements Serializable

serialVersionUID:

-8017326082950665302L

Serialized Fields

isCalibrateable

boolean isCalibrateable

randomVariableFactory

RandomVariableFactory randomVariableFactory

volatility

RandomVariable[][] volatility

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm extends LIBORVolatilityModel implements Serializable

serialVersionUID:

1412665163004646789L

Serialized Fields

a

RandomVariable[] a

b

RandomVariable[] b

c

RandomVariable[] c

d

RandomVariable[] d

randomVariableFactory

RandomVariableFactory randomVariableFactory

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelPiecewiseConstant extends LIBORVolatilityModel implements Serializable

serialVersionUID:

3258093488453501312L

Serialized Fields

indexMap

Map<Integer,Map<Integer,Integer>> indexMap

isCalibrateable

boolean isCalibrateable

randomVariableFactory

RandomVariableFactory randomVariableFactory

simulationTimeDiscretization

TimeDiscretization simulationTimeDiscretization

timeToMaturityDiscretization

TimeDiscretization timeToMaturityDiscretization

volatility

RandomVariable[] volatility

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTimeHomogenousPiecewiseConstant extends LIBORVolatilityModel implements Serializable

serialVersionUID:

-1942151065049237807L

Serialized Fields

randomVariableFactory

RandomVariableFactory randomVariableFactory

timeToMaturityDiscretization

TimeDiscretization timeToMaturityDiscretization

volatility

RandomVariable[] volatility

Class net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModelTwoParameterExponentialForm extends LIBORVolatilityModel implements Serializable

serialVersionUID:

8398006103722351360L

Serialized Fields

a

RandomVariable a

b

RandomVariable b

isCalibrateable

boolean isCalibrateable

randomVariableFactory

RandomVariableFactory randomVariableFactory

volatilityLazyInitLock

Object volatilityLazyInitLock

Class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelAsGiven extends Object implements Serializable

serialVersionUID:

2471249188261414930L

Serialized Fields

meanReversion

double[] meanReversion

timeDiscretization

TimeDiscretization timeDiscretization

volatility

double[] volatility

Class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelHoLee extends Object implements Serializable

serialVersionUID:

-4958907273981969081L

Serialized Fields

timeDiscretization

TimeDiscretization timeDiscretization

volatility

RandomVariable volatility

Class net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelPiecewiseConstant extends AbstractShortRateVolatilityModelParametric implements Serializable

serialVersionUID:

4266489807755944607L

Serialized Fields

isMeanReversionCalibrateable

boolean isMeanReversionCalibrateable

isVolatilityCalibrateable

boolean isVolatilityCalibrateable

meanReversion

RandomVariable[] meanReversion

randomVariableFactory

RandomVariableFactory randomVariableFactory

timeDiscretization

TimeDiscretization timeDiscretization

volatility

RandomVariable[] volatility

volatilityTimeDiscretization

TimeDiscretization volatilityTimeDiscretization

Package net.finmath.montecarlo.interestrate.models.funding

Class net.finmath.montecarlo.interestrate.models.funding.FundingCapacityWithMemory extends AbstractProductComponent implements Serializable

serialVersionUID:

6863200178588875665L

Serialized Fields

currentCapacity

RandomVariable currentCapacity

currentTime

Double currentTime

instantaneousSurvivalProbability

SortedMap<Double,Double> instantaneousSurvivalProbability

Class net.finmath.montecarlo.interestrate.models.funding.FundingCapacityWithoutMemory extends AbstractProductComponent implements Serializable

serialVersionUID:

6863200178588875665L

Serialized Fields

currentCapacity

RandomVariable currentCapacity

currentTime

Double currentTime

instantaneousSurvivalProbability

SortedMap<Double,Double> instantaneousSurvivalProbability

Package net.finmath.montecarlo.interestrate.products

Class net.finmath.montecarlo.interestrate.products.Portfolio extends AbstractProductComponent implements Serializable

serialVersionUID:

-1360506093081238482L

Serialized Fields

products

AbstractTermStructureMonteCarloProduct[] products

weights

double[] weights

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

Class net.finmath.montecarlo.interestrate.products.components.AbstractPeriod extends AbstractProductComponent implements Serializable

serialVersionUID:

8035860121112226049L

Serialized Fields

daycountFraction

double daycountFraction

fixingDate

double fixingDate

index

AbstractProductComponent index

notional

Notional notional

paymentDate

double paymentDate

periodEnd

double periodEnd

periodStart

double periodStart

referenceDate

LocalDateTime referenceDate

Class net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent extends AbstractTermStructureMonteCarloProduct implements Serializable

serialVersionUID:

-916286619811716575L

Class net.finmath.montecarlo.interestrate.products.components.AccrualAccount extends AbstractProductComponent implements Serializable

serialVersionUID:

188297603697240319L

Serialized Fields

accrualIndex

AbstractIndex accrualIndex

accrualPeriod

double accrualPeriod

pastFixings

AnalyticModelIndex pastFixings

Class net.finmath.montecarlo.interestrate.products.components.Cashflow extends AbstractProductComponent implements Serializable

serialVersionUID:

2336470863786839896L

Serialized Fields

flowAmount

double flowAmount

flowDate

double flowDate

isPayer

boolean isPayer

Class net.finmath.montecarlo.interestrate.products.components.Choice extends AbstractProductComponent implements Serializable

serialVersionUID:

3211126102506873636L

Serialized Fields

exerciseDate

double exerciseDate

underlying1

TermStructureMonteCarloProduct underlying1

underlying2

TermStructureMonteCarloProduct underlying2

Class net.finmath.montecarlo.interestrate.products.components.ExpectedTailLoss extends AbstractProductComponent implements Serializable

serialVersionUID:

3211126102506873636L

Serialized Fields

exerciseDate

double exerciseDate

quantile

double quantile

underlying

TermStructureMonteCarloProduct underlying

Class net.finmath.montecarlo.interestrate.products.components.ExposureEstimator extends AbstractProductComponent implements Serializable

serialVersionUID:

2987369289230532162L

Serialized Fields

underlying

AbstractTermStructureMonteCarloProduct underlying

Class net.finmath.montecarlo.interestrate.products.components.IndexedValue extends AbstractProductComponent implements Serializable

serialVersionUID:

-7268432817913776974L

Serialized Fields

exerciseDate

double exerciseDate

index

AbstractProductComponent index

underlying

AbstractProductComponent underlying

Class net.finmath.montecarlo.interestrate.products.components.Numeraire extends AbstractProductComponent implements Serializable

serialVersionUID:

2336470863786839896L

Class net.finmath.montecarlo.interestrate.products.components.Option extends AbstractProductComponent implements Serializable

serialVersionUID:

2987369289230532162L

Serialized Fields

exerciseDate

double exerciseDate

isCall

boolean isCall

regressionBasisFunctionsProvider

RegressionBasisFunctionsProvider regressionBasisFunctionsProvider

strikePrice

double strikePrice

strikeProduct

TermStructureMonteCarloProduct strikeProduct

underlying

AbstractTermStructureMonteCarloProduct underlying

Class net.finmath.montecarlo.interestrate.products.components.Period extends AbstractPeriod implements Serializable

serialVersionUID:

-7107623461781510475L

Serialized Fields

couponFlow

boolean couponFlow

isExcludeAccruedInterest

boolean isExcludeAccruedInterest

notionalFlow

boolean notionalFlow

payer

boolean payer

Class net.finmath.montecarlo.interestrate.products.components.ProductCollection extends AbstractProductComponent implements Serializable

serialVersionUID:

-3058874897795789705L

Serialized Fields

products

Collection<AbstractProductComponent> products

Class net.finmath.montecarlo.interestrate.products.components.Selector extends AbstractProductComponent implements Serializable

serialVersionUID:

3211126102506873636L

Serialized Fields

key

String key

underlying

TermStructureMonteCarloProduct underlying

Package net.finmath.montecarlo.interestrate.products.indices

Class net.finmath.montecarlo.interestrate.products.indices.AbstractIndex extends AbstractProductComponent implements Serializable

serialVersionUID:

7992943924779922710L

Serialized Fields

name

String name

Class net.finmath.montecarlo.interestrate.products.indices.AccruedInterest extends AbstractIndex implements Serializable

serialVersionUID:

147619920344514766L

Serialized Fields

daycountConvention

DayCountConvention daycountConvention

index

AbstractIndex index

indexFixingTime

Double indexFixingTime

isNegativeAccruedInterest

boolean isNegativeAccruedInterest

periodEndDate

LocalDate periodEndDate

periodStartDate

LocalDate periodStartDate

referenceDate

LocalDate referenceDate

Class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelForwardCurveIndex extends AbstractIndex implements Serializable

serialVersionUID:

1L

Serialized Fields

curveName

String curveName

fixingOffet

double fixingOffet

paymentOffset

double paymentOffset

Class net.finmath.montecarlo.interestrate.products.indices.AnalyticModelIndex extends AbstractIndex implements Serializable

serialVersionUID:

1L

Serialized Fields

curveName

String curveName

fixingOffet

double fixingOffet

Class net.finmath.montecarlo.interestrate.products.indices.CappedFlooredIndex extends AbstractIndex implements Serializable

serialVersionUID:

7835825574794506180L

Serialized Fields

cap

AbstractIndex cap

floor

AbstractIndex floor

index

AbstractIndex index

Class net.finmath.montecarlo.interestrate.products.indices.ConstantMaturitySwaprate extends AbstractIndex implements Serializable

serialVersionUID:

-5353191308059733179L

Serialized Fields

fixingOffset

double fixingOffset

periodLengths

double[] periodLengths

Class net.finmath.montecarlo.interestrate.products.indices.DateIndex extends AbstractIndex implements Serializable

serialVersionUID:

7457336500162149869L

Serialized Fields

dateIndexType

DateIndex.DateIndexType dateIndexType

Class net.finmath.montecarlo.interestrate.products.indices.FixedCoupon extends AbstractIndex implements Serializable

serialVersionUID:

5375406324063846793L

Serialized Fields

coupon

RandomVariable coupon

Class net.finmath.montecarlo.interestrate.products.indices.ForwardCurveIndex extends AbstractIndex implements Serializable

serialVersionUID:

5375406324063846793L

Serialized Fields

forwardCurve

ForwardCurve forwardCurve

Class net.finmath.montecarlo.interestrate.products.indices.LaggedIndex extends AbstractIndex implements Serializable

serialVersionUID:

4899043672016395530L

Serialized Fields

fixingOffset

double fixingOffset

fixingOffsetCode

String fixingOffsetCode

index

AbstractProductComponent index

paymentBusinessdayCalendar

BusinessdayCalendar paymentBusinessdayCalendar

Class net.finmath.montecarlo.interestrate.products.indices.LIBORIndex extends AbstractIndex implements Serializable

serialVersionUID:

1L

Serialized Fields

paymentBusinessdayCalendar

BusinessdayCalendar paymentBusinessdayCalendar

paymentDateRollConvention

BusinessdayCalendar.DateRollConvention paymentDateRollConvention

paymentOffsetCode

String paymentOffsetCode

periodLength

double periodLength

periodStartOffset

double periodStartOffset

Class net.finmath.montecarlo.interestrate.products.indices.LinearCombinationIndex extends AbstractIndex implements Serializable

serialVersionUID:

-8181742829635380940L

Serialized Fields

index1

AbstractProductComponent index1

index2

AbstractProductComponent index2

scaling1

double scaling1

scaling2

double scaling2

Class net.finmath.montecarlo.interestrate.products.indices.MaxIndex extends AbstractIndex implements Serializable

serialVersionUID:

-1512137372132830198L

Serialized Fields

indexArguments

AbstractProductComponent[] indexArguments

Class net.finmath.montecarlo.interestrate.products.indices.MinIndex extends AbstractIndex implements Serializable

serialVersionUID:

-1512137372132830198L

Serialized Fields

indexArguments

AbstractProductComponent[] indexArguments

Class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceIndex extends AbstractIndex implements Serializable

serialVersionUID:

1L

Serialized Fields

daycountConvention

DayCountConvention daycountConvention

paymentBusinessdayCalendar

BusinessdayCalendar paymentBusinessdayCalendar

paymentDateRollConvention

BusinessdayCalendar.DateRollConvention paymentDateRollConvention

paymentOffsetCode

String paymentOffsetCode

Class net.finmath.montecarlo.interestrate.products.indices.NumerairePerformanceOnScheduleIndex extends AbstractIndex implements Serializable

serialVersionUID:

1L

Serialized Fields

schedule

Schedule schedule

Class net.finmath.montecarlo.interestrate.products.indices.PerformanceIndex extends AbstractIndex implements Serializable

serialVersionUID:

-8181742829635380940L

Serialized Fields

denominatorIndex

AbstractProductComponent denominatorIndex

numeratorIndex

AbstractProductComponent numeratorIndex

Class net.finmath.montecarlo.interestrate.products.indices.PowIndex extends AbstractIndex implements Serializable

serialVersionUID:

-1512137372132830198L

Serialized Fields

exponent

double exponent

index

AbstractProductComponent index

Class net.finmath.montecarlo.interestrate.products.indices.ProductIndex extends AbstractIndex implements Serializable

serialVersionUID:

-8181742829635380940L

Serialized Fields

index1

AbstractProductComponent index1

index2

AbstractProductComponent index2

Class net.finmath.montecarlo.interestrate.products.indices.TimeDiscreteEndOfMonthIndex extends AbstractIndex implements Serializable

serialVersionUID:

-490057583438933158L

Serialized Fields

baseIndex

AbstractIndex baseIndex

fixingOffsetMonths

int fixingOffsetMonths

Class net.finmath.montecarlo.interestrate.products.indices.TriggerIndex extends AbstractIndex implements Serializable

serialVersionUID:

2329303879116802448L

Serialized Fields

indexIfTriggerIsNegative

AbstractProductComponent indexIfTriggerIsNegative

indexIfTriggerIsPositive

AbstractProductComponent indexIfTriggerIsPositive

trigger

AbstractProductComponent trigger

Class net.finmath.montecarlo.interestrate.products.indices.UnsupportedIndex extends AbstractIndex implements Serializable

serialVersionUID:

5375406324063846793L

Serialized Fields

exception

Exception exception

Package net.finmath.optimizer

Class net.finmath.optimizer.LevenbergMarquardt extends Object implements Serializable

serialVersionUID:

4560864869394838155L

Serialized Fields

beta

double[] beta

derivativeCurrent

double[][] derivativeCurrent

errorMeanSquaredCurrent

double errorMeanSquaredCurrent

errorRootMeanSquaredChange

double errorRootMeanSquaredChange

errorRootMeanSquaredTolerance

double errorRootMeanSquaredTolerance

executor

ExecutorService executor

executorShutdownWhenDone

boolean executorShutdownWhenDone

hessianMatrix

double[][] hessianMatrix

initialParameters

double[] initialParameters

isParameterCurrentDerivativeValid

boolean isParameterCurrentDerivativeValid

iteration

int iteration

lambda

double lambda

lambdaDivisor

double lambdaDivisor

lambdaMultiplicator

double lambdaMultiplicator

logger

Logger logger

maxIteration

int maxIteration

numberOfThreads

int numberOfThreads

parameterCurrent

double[] parameterCurrent

parameterIncrement

double[] parameterIncrement

parameterSteps

double[] parameterSteps

parameterTest

double[] parameterTest

regularizationMethod

LevenbergMarquardt.RegularizationMethod regularizationMethod

targetValues

double[] targetValues

valueCurrent

double[] valueCurrent

valueTest

double[] valueTest

weights

double[] weights

Class net.finmath.optimizer.SolverException extends Exception implements Serializable

serialVersionUID:

7123998462171729835L

Class net.finmath.optimizer.StochasticLevenbergMarquardt extends Object implements Serializable

serialVersionUID:

4560864869394838155L

Serialized Fields

derivativeCurrent

RandomVariable[][] derivativeCurrent

errorMeanSquaredCurrent

double errorMeanSquaredCurrent

errorRootMeanSquaredChange

double errorRootMeanSquaredChange

errorTolerance

double errorTolerance

executor

ExecutorService executor

executorShutdownWhenDone

boolean executorShutdownWhenDone

initialParameters

RandomVariable[] initialParameters

isParameterCurrentDerivativeValid

boolean isParameterCurrentDerivativeValid

iteration

int iteration

lambda

double lambda

lambdaDivisor

double lambdaDivisor

lambdaInitialValue

double lambdaInitialValue

lambdaMultiplicator

double lambdaMultiplicator

logger

Logger logger

maxIteration

int maxIteration

numberOfThreads

int numberOfThreads

parameterCurrent

RandomVariable[] parameterCurrent

parameterSteps

RandomVariable[] parameterSteps

parameterTest

RandomVariable[] parameterTest

regularizationMethod

StochasticLevenbergMarquardt.RegularizationMethod regularizationMethod

targetValues

RandomVariable[] targetValues

valueCurrent

RandomVariable[] valueCurrent

valueTest

RandomVariable[] valueTest

Class net.finmath.optimizer.StochasticLevenbergMarquardtAD extends StochasticLevenbergMarquardt implements Serializable

serialVersionUID:

-8852002990042152135L

Serialized Fields

isGradientValuationParallel

boolean isGradientValuationParallel

Class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardt extends Object implements Serializable

serialVersionUID:

4560864869394838155L

Serialized Fields

derivativeCurrent

RandomVariable[][] derivativeCurrent

errorMeanSquaredCurrent

RandomVariable errorMeanSquaredCurrent

errorRootMeanSquaredChange

RandomVariable errorRootMeanSquaredChange

errorTolerance

RandomVariable errorTolerance

executor

ExecutorService executor

executorShutdownWhenDone

boolean executorShutdownWhenDone

initialParameters

RandomVariable[] initialParameters

isParameterCurrentDerivativeValid

boolean[] isParameterCurrentDerivativeValid

iteration

int iteration

lambda

double[] lambda

lambdaDivisor

double lambdaDivisor

lambdaInitialValue

double lambdaInitialValue

lambdaMultiplicator

double lambdaMultiplicator

logger

Logger logger

maxIteration

int maxIteration

numberOfPaths

int numberOfPaths

parameterCurrent

RandomVariable[] parameterCurrent

parameterSteps

RandomVariable[] parameterSteps

parameterTest

RandomVariable[] parameterTest

targetValues

RandomVariable[] targetValues

valueCurrent

RandomVariable[] valueCurrent

valueTest

RandomVariable[] valueTest

weights

RandomVariable[] weights

Class net.finmath.optimizer.StochasticPathwiseLevenbergMarquardtAD extends StochasticPathwiseLevenbergMarquardt implements Serializable

serialVersionUID:

-8852002990042152135L

Package net.finmath.randomnumbers

Class net.finmath.randomnumbers.AcceptanceRejectionRandomNumberGenerator extends Object implements Serializable

serialVersionUID:

-9060003224133337426L

Serialized Fields

acceptanceLevel

double acceptanceLevel

referenceDensity

DoubleUnaryOperator referenceDensity

referenceDistributionICDF

DoubleUnaryOperator referenceDistributionICDF

targetDensity

DoubleUnaryOperator targetDensity

uniformRandomNumberGenerator

RandomNumberGenerator uniformRandomNumberGenerator

Class net.finmath.randomnumbers.HaltonSequence extends Object implements Serializable

serialVersionUID:

-4799340450248196350L

Serialized Fields

base

int[] base

currentIndex

AtomicLong currentIndex

Class net.finmath.randomnumbers.HighEntropyRandomNumberGenerator extends Object implements Serializable

serialVersionUID:

-818028598001664L

Serialized Fields

secureRandomNumberGenerator

SecureRandom secureRandomNumberGenerator

Class net.finmath.randomnumbers.MersenneTwister extends Object implements Serializable

serialVersionUID:

-1827470318370174186L

Serialized Fields

mersenneTwister

org.apache.commons.math3.random.MersenneTwister mersenneTwister

seed

Long seed

Class net.finmath.randomnumbers.SobolSequence extends Object implements Serializable

serialVersionUID:

-1904010803493075019L

Serialized Fields

dimension

int dimension

generator

org.apache.commons.math3.random.SobolSequenceGenerator generator

Class net.finmath.randomnumbers.SobolSequence1D extends Object implements Serializable

serialVersionUID:

1368710922067034251L

Serialized Fields

sobolSequence

SobolSequence sobolSequence

Class net.finmath.randomnumbers.VanDerCorputSequence extends Object implements Serializable

serialVersionUID:

1368710922067034251L

Serialized Fields

base

int base

index

AtomicInteger index

Package net.finmath.singleswaprate.data

Class net.finmath.singleswaprate.data.DataTableBasic extends Object implements Serializable

serialVersionUID:

-529758680500367511L

Serialized Fields

convention

DataTable.TableConvention convention

entries

HashMap<DataTableBasic.DoubleKey,Double> entries

maturitySet

TreeSet<Integer> maturitySet

metaSchedule

SchedulePrototype metaSchedule

name

String name

referenceDate

LocalDate referenceDate

terminationSet

TreeSet<Integer> terminationSet

Class net.finmath.singleswaprate.data.DataTableBasic.DoubleKey extends Object implements Serializable

serialVersionUID:

-2372959679853584772L

Serialized Fields

maturity

double maturity

termination

double termination

Class net.finmath.singleswaprate.data.DataTableExtrapolated extends DataTableInterpolated implements Serializable

serialVersionUID:

1237834784985091980L

Class net.finmath.singleswaprate.data.DataTableInterpolated extends DataTableBasic implements Serializable

serialVersionUID:

-6852590286897952990L

Class net.finmath.singleswaprate.data.DataTableLight extends Object implements Serializable

serialVersionUID:

-8655513677146846285L

Serialized Fields

convention

DataTable.TableConvention convention

entries

HashMap<net.finmath.singleswaprate.data.DataTableLight.DataKey,Double> entries

maturitySet

TreeSet<Integer> maturitySet

name

String name

terminationSet

TreeSet<Integer> terminationSet

Class net.finmath.singleswaprate.data.DataTableLinear extends DataTableBasic implements Serializable

serialVersionUID:

-2406767129264582719L

Package net.finmath.singleswaprate.model

Class net.finmath.singleswaprate.model.AnalyticModelWithVolatilityCubes extends AnalyticModelFromCurvesAndVols implements Serializable

serialVersionUID:

5548526355763266102L

Serialized Fields

volatilityCubeMap

Map<String,VolatilityCube> volatilityCubeMap

Package net.finmath.singleswaprate.model.curves

Class net.finmath.singleswaprate.model.curves.ExponentialCorrelationCurve extends AbstractCurve implements Serializable

serialVersionUID:

-2781643232961198556L

Serialized Fields

correlationDecay

double correlationDecay

termination

double termination

Package net.finmath.singleswaprate.model.volatilities

Class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCube extends Object implements Serializable

serialVersionUID:

-3359125061963953634L

Serialized Fields

baseVolTable

DataTable baseVolTable

correlationDecay

double correlationDecay

iborOisDecorrelation

double iborOisDecorrelation

name

String name

quotingConvention

VolatilitySurface.QuotingConvention quotingConvention

referenceDate

LocalDate referenceDate

rhoTable

DataTable rhoTable

sabrBeta

double sabrBeta

sabrDisplacement

double sabrDisplacement

underlyingTable

DataTable underlyingTable

volvolTable

DataTable volvolTable

Class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeParallel extends Object implements Serializable

serialVersionUID:

4210804671265036606L

Serialized Fields

baseVolTable

DataTable baseVolTable

correlationDecay

double correlationDecay

iborOisDecorrelation

double iborOisDecorrelation

name

String name

quotingConvention

VolatilitySurface.QuotingConvention quotingConvention

referenceDate

LocalDate referenceDate

sabrBeta

double sabrBeta

sabrDisplacement

double sabrDisplacement

sabrRho

double sabrRho

sabrVolvol

double sabrVolvol

underlyingTable

DataTable underlyingTable

Class net.finmath.singleswaprate.model.volatilities.SABRVolatilityCubeSingleSmile extends Object implements Serializable

serialVersionUID:

-2465149876882995369L

Serialized Fields

correlationDecay

double correlationDecay

iborOisDecorrelation

double iborOisDecorrelation

name

String name

quotingConvention

VolatilitySurface.QuotingConvention quotingConvention

referenceDate

LocalDate referenceDate

sabrAlpha

double sabrAlpha

sabrBeta

double sabrBeta

sabrDisplacement

double sabrDisplacement

sabrNu

double sabrNu

sabrRho

double sabrRho

underlying

double underlying

Package net.finmath.stochastic

Class net.finmath.stochastic.RandomVariableArrayImplementation extends Object implements Serializable

serialVersionUID:

-5718980901166760522L

Serialized Fields

elements

RandomVariable[] elements

Class net.finmath.stochastic.Scalar extends Object implements Serializable

serialVersionUID:

-729437972787062992L

Serialized Fields

value

double value

Package net.finmath.swing

Class net.finmath.swing.JNumberField extends JTextField implements Serializable

serialVersionUID:

-138039675088007707L

Serialized Fields

admissibleValues

double[] admissibleValues

formatter

DecimalFormat formatter

lowerBound

double lowerBound

preferedValueIncrement

double preferedValueIncrement

updateLock

Object updateLock

upperBound

double upperBound

value

Number value

Package net.finmath.time

Class net.finmath.time.Period extends Object implements Serializable

serialVersionUID:

4622662040390651119L

Serialized Fields

fixing

LocalDate fixing

payment

LocalDate payment

periodEnd

LocalDate periodEnd

periodStart

LocalDate periodStart

Class net.finmath.time.ScheduleFromPeriods extends Object implements Serializable

serialVersionUID:

4460864939790714361L

Serialized Fields

daycountconvention

DayCountConvention daycountconvention

fixingTimes

double[] fixingTimes

paymentTimes

double[] paymentTimes

periodEndTimes

double[] periodEndTimes

periodLength

double[] periodLength

periods

List<Period> periods

periodStartTimes

double[] periodStartTimes

referenceDate

LocalDate referenceDate

Class net.finmath.time.ScheduleMetaData extends SchedulePrototype implements Serializable

serialVersionUID:

2208562942537781355L

Class net.finmath.time.SchedulePrototype extends Object implements Serializable

serialVersionUID:

1547837440284116534L

Serialized Fields

businessdayCalendar

BusinessdayCalendar businessdayCalendar

dateRollConvention

BusinessdayCalendar.DateRollConvention dateRollConvention

daycountConvention

ScheduleGenerator.DaycountConvention daycountConvention

fixingOffsetDays

int fixingOffsetDays

frequency

ScheduleGenerator.Frequency frequency

isUseEndOfMonth

boolean isUseEndOfMonth

paymentOffsetDays

int paymentOffsetDays

shortPeriodConvention

ScheduleGenerator.ShortPeriodConvention shortPeriodConvention

Class net.finmath.time.TenorFromArray extends TimeDiscretizationFromArray implements Serializable

serialVersionUID:

4027884423439197483L

Serialized Fields

dates

LocalDate[] dates

referenceDate

LocalDate referenceDate

Class net.finmath.time.TimeDiscretizationFromArray extends Object implements Serializable

serialVersionUID:

6880668325019167781L

Serialized Fields

timeDiscretization

double[] timeDiscretization

timeTickSize

double timeTickSize

Package net.finmath.time.businessdaycalendar

Class net.finmath.time.businessdaycalendar.AbstractBusinessdayCalendar extends Object implements Serializable

serialVersionUID:

-970677373015282512L

Class net.finmath.time.businessdaycalendar.BusinessdayCalendarAny extends AbstractBusinessdayCalendar implements Serializable

serialVersionUID:

-2440422998196510638L

Class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenHolidays extends AbstractBusinessdayCalendar implements Serializable

serialVersionUID:

-7060298609732249650L

Serialized Fields

baseCalendar

BusinessdayCalendar baseCalendar

isExcludeWeekends

boolean isExcludeWeekends

name

String name

Class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingGivenSetOfHolidays extends BusinessdayCalendarExcludingGivenHolidays implements Serializable

serialVersionUID:

-485496533316101770L

Serialized Fields

holidays

Set<LocalDate> holidays

Class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingLONHolidays extends BusinessdayCalendarExcludingGivenHolidays implements Serializable

serialVersionUID:

7451923974528392081L

Class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingNYCHolidays extends BusinessdayCalendarExcludingGivenHolidays implements Serializable

serialVersionUID:

-3512269252486431367L

Class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingTARGETHolidays extends AbstractBusinessdayCalendar implements Serializable

serialVersionUID:

-607317161321548729L

Serialized Fields

baseCalendar

BusinessdayCalendar baseCalendar

weekdayCalendar

BusinessdayCalendar weekdayCalendar

Class net.finmath.time.businessdaycalendar.BusinessdayCalendarExcludingWeekends extends AbstractBusinessdayCalendar implements Serializable

serialVersionUID:

-664535279499214108L

Serialized Fields

baseCalendar

BusinessdayCalendar baseCalendar

Package net.finmath.time.daycount

Class net.finmath.time.daycount.DayCountConvention_30E_360 extends Object implements Serializable

serialVersionUID:

9198199320837217485L

Serialized Fields

is30Eplus360

boolean is30Eplus360

Class net.finmath.time.daycount.DayCountConvention_30E_360_ISDA extends Object implements Serializable

serialVersionUID:

-4076488918432119303L

Serialized Fields

isTreatEndDateAsTerminationDate

boolean isTreatEndDateAsTerminationDate

Class net.finmath.time.daycount.DayCountConvention_30U_360 extends Object implements Serializable

serialVersionUID:

-1362506929067333038L

Serialized Fields

isEndOfMonth

boolean isEndOfMonth

Class net.finmath.time.daycount.DayCountConvention_ACT_360 extends DayCountConvention_ACT implements Serializable

serialVersionUID:

-2141383519298897543L

Class net.finmath.time.daycount.DayCountConvention_ACT_365 extends DayCountConvention_ACT implements Serializable

serialVersionUID:

6805037680877652658L

Class net.finmath.time.daycount.DayCountConvention_ACT_365A extends DayCountConvention_ACT implements Serializable

serialVersionUID:

2721876966484669015L

Class net.finmath.time.daycount.DayCountConvention_ACT_365L extends DayCountConvention_ACT implements Serializable

serialVersionUID:

-3145006200220799991L

Class net.finmath.time.daycount.DayCountConvention_ACT_ACT_AFB extends DayCountConvention_ACT implements Serializable

serialVersionUID:

3362135261620939045L

Class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ICMA extends DayCountConvention_ACT implements Serializable

serialVersionUID:

-6104391125796839417L

Serialized Fields

frequency

int frequency

periods

ArrayList<Period> periods

Class net.finmath.time.daycount.DayCountConvention_ACT_ACT_ISDA extends DayCountConvention_ACT implements Serializable

serialVersionUID:

-3351464849368249181L

Serialized Fields

isCountLastDayNotFirst

boolean isCountLastDayNotFirst

Class net.finmath.time.daycount.DayCountConvention_ACT_ACT_YEARFRAC extends DayCountConvention_ACT implements Serializable

serialVersionUID:

-970929056011501752L

Class net.finmath.time.daycount.DayCountConvention_NL_365 extends Object implements Serializable

serialVersionUID:

-8175671041380283261L

Class net.finmath.time.daycount.DayCountConvention_NONE extends Object implements Serializable

serialVersionUID:

1234679674480984332L

Class net.finmath.time.daycount.DayCountConvention_UNKNOWN extends Object implements Serializable

serialVersionUID:

-3204506898077711668L

Serialized Fields

errorMessage

String errorMessage

Class net.finmath.time.daycount.DayCountConventionFactory extends Object implements Serializable

serialVersionUID:

-3477824315144792988L