| Package | Description |
|---|---|
| net.finmath.fouriermethod.models |
Provides characteristic functions of stochastic processes (models).
|
| net.finmath.marketdata.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
|
| net.finmath.marketdata.model |
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
|
| net.finmath.marketdata.model.bond |
Provided classes related to the modelling of Bond curves.
|
| net.finmath.marketdata.model.curves |
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
|
| net.finmath.marketdata.model.curves.locallinearregression |
Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
|
| net.finmath.marketdata.model.volatilities |
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
|
| net.finmath.marketdata.products |
Provides interface specification and implementation of products, e.g., calibration products.
|
| net.finmath.modelling.descriptor |
Provides interface separating implementation from specification (of models and products)
|
| net.finmath.modelling.modelfactory |
Provides classes to build models from descriptors.
|
| net.finmath.montecarlo.assetderivativevaluation.models |
Equity models implementing
ProcessModel
e.g. by extending AbstractProcessModel. |
| net.finmath.montecarlo.hybridassetinterestrate |
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
|
| net.finmath.montecarlo.interestrate |
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process. |
| net.finmath.montecarlo.interestrate.models |
Interest rate models implementing
ProcessModel
e.g. by extending AbstractProcessModel. |
| net.finmath.montecarlo.interestrate.models.covariance |
Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
|
| net.finmath.montecarlo.interestrate.products |
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel. |
| net.finmath.montecarlo.interestrate.products.indices |
Provides a set of indices which can be used as part of a period.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| Class and Description |
|---|
| Curve
The interface which is implemented by a general curve.
|
| Class and Description |
|---|
| Curve
The interface which is implemented by a general curve.
|
| DiscountCurve
The interface which is implemented by discount curves.
|
| ForwardCurve
The interface which is implemented by forward curves.
|
| Class and Description |
|---|
| AbstractCurve
Abstract base class for a curve.
|
| Curve
The interface which is implemented by a general curve.
|
| CurveBuilder
Interface of builders which allow to build curve objects by successively adding
points.
|
| Class and Description |
|---|
| AbstractCurve
Abstract base class for a curve.
|
| AbstractForwardCurve
Abstract base class for a forward curve, extending a curve object
It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
|
| Curve
The interface which is implemented by a general curve.
|
| CurveBuilder
Interface of builders which allow to build curve objects by successively adding
points.
|
| CurveInterpolation
This class represents a curve build from a set of points in 2D.
|
| CurveInterpolation.Builder
A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
|
| CurveInterpolation.ExtrapolationMethod
Possible extrapolation methods.
|
| CurveInterpolation.InterpolationEntity
Possible interpolation entities.
|
| CurveInterpolation.InterpolationMethod
Possible interpolation methods.
|
| CurveInterpolation.Point
Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.
|
| DiscountCurve
The interface which is implemented by discount curves.
|
| DiscountCurveInterpolation
Implementation of a discount factor curve based on
CurveInterpolation. |
| DiscountCurveNelsonSiegelSvensson
Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
|
| DiscountCurveRenormalized
A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given
\( t_{0} \) derived from a base discount curve by a constant skaling.
|
| ForwardCurve
The interface which is implemented by forward curves.
|
| ForwardCurveInterpolation
A container for a forward (rate) curve.
|
| ForwardCurveInterpolation.InterpolationEntityForward
Additional choice of interpolation entities for forward curves.
|
| ForwardCurveNelsonSiegelSvensson
Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
|
| ForwardCurveWithFixings |
| PiecewiseCurve
A piecewise curve.
|
| PiecewiseCurve.Builder
A builder (following the builder pattern) for PiecewiseCurve objects.
|
| SeasonalCurve
The curve returns a value depending on the month of the time argument, that is,
a call
getValue(model, time) will map time to a 30/360 value using
the day and month only and delegate the call to a given base curve. |
| SeasonalCurve.Builder
A builder (following the builder pattern) for SeasonalCurve objects.
|
| Class and Description |
|---|
| Curve
The interface which is implemented by a general curve.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| ForwardCurve
The interface which is implemented by forward curves.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| ForwardCurve
The interface which is implemented by forward curves.
|
| Class and Description |
|---|
| Curve
The interface which is implemented by a general curve.
|
| DiscountCurve
The interface which is implemented by discount curves.
|
| Class and Description |
|---|
| Curve
The interface which is implemented by a general curve.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| ForwardCurve
The interface which is implemented by forward curves.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| ForwardCurve
The interface which is implemented by forward curves.
|
| Class and Description |
|---|
| ForwardCurve
The interface which is implemented by forward curves.
|
| Class and Description |
|---|
| DiscountCurve
The interface which is implemented by discount curves.
|
| ForwardCurve
The interface which is implemented by forward curves.
|
| Class and Description |
|---|
| ForwardCurve
The interface which is implemented by forward curves.
|
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