Uses of Interface
net.finmath.marketdata.products.AnalyticProduct

Packages that use AnalyticProduct

Package	Description
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.bond	Provided classes related to the modelling of Bond curves.
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	Provides interface separating models and products.

Uses of AnalyticProduct in net.finmath.marketdata.calibration

Methods in net.finmath.marketdata.calibration that return AnalyticProduct

Modifier and Type	Method and Description
AnalyticProduct	CalibratedCurves.getCalibrationProductForSpec(CalibratedCurves.CalibrationSpec calibrationSpec)
AnalyticProduct	CalibratedCurves.getCalibrationProductForSymbol(String symbol) Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.

Constructor parameters in net.finmath.marketdata.calibration with type arguments of type AnalyticProduct

Constructor and Description
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, OptimizerFactory optimizerFactory) Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Uses of AnalyticProduct in net.finmath.marketdata.model.bond

Classes in net.finmath.marketdata.model.bond that implement AnalyticProduct

Modifier and Type

Class and Description

class

Bond Implements the valuation of a bond (zero-coupon, fixed coupon or floating coupon) with unit notional of 1 using curves: a forward curve, if the bond has floating rate coupons a discount curve as a base curve for discounting a survival probability curve for additional credit risk related discount factor a basis factor curve for additional bond related discount factor Support for day counting is provided via the class implementing Schedule.

Uses of AnalyticProduct in net.finmath.marketdata.model.volatilities

Method parameters in net.finmath.marketdata.model.volatilities with type arguments of type AnalyticProduct

Modifier and Type	Method and Description
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) Create a clone of this volatility surface using a generic calibration of its parameters to given market data.

Uses of AnalyticProduct in net.finmath.marketdata.products

Classes in net.finmath.marketdata.products that implement AnalyticProduct

Modifier and Type	Class and Description
class	AbstractAnalyticProduct
class	Cap Implements the valuation of a cap via an analytic model, i.e. the specification of a forward curve, discount curve and volatility surface.
class	Cashflow Implements the valuation of a single cashflow by a discount curve.
class	Deposit Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).
class	Forward Implements the valuation of a forward using curves (discount curve, forward curve).
class	ForwardRateAgreement Implements the valuation of a FRA in multi-curve setting.
class	MarketForwardRateAgreement Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).
class	Performance Implements an analytic product given by the ratio of two analytic products.
class	Portfolio Implements the valuation of a portfolio of products implementing AnalyticProductInterface.
class	Swap Implements the valuation of a swap using curves (discount curve, forward curve).
class	SwapAnnuity Implements the valuation of a swap annuity using curves (discount curve).
class	SwapLeg Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).

Methods in net.finmath.marketdata.products that return AnalyticProduct

Modifier and Type	Method and Description
AnalyticProduct	Swap.getLegPayer() Return the payer leg of the swap, i.e. the leg who's value is subtracted from the swap value.
AnalyticProduct	Swap.getLegReceiver() Return the receiver leg of the swap, i.e. the leg who's value is added to the swap value.

Methods in net.finmath.marketdata.products that return types with arguments of type AnalyticProduct

Modifier and Type	Method and Description
List<AnalyticProduct>	Portfolio.getProducts() Returns the list of products as an unmodifiable list.

Constructors in net.finmath.marketdata.products with parameters of type AnalyticProduct

Constructor and Description
Portfolio(AnalyticProduct product, double weight) Create a portfolio consisting of a single product with a given weight.
Swap(AnalyticProduct legReceiver, AnalyticProduct legPayer) Create a swap which values as legReceiver - legPayer.

Constructor parameters in net.finmath.marketdata.products with type arguments of type AnalyticProduct

Constructor and Description
Portfolio(List<AnalyticProduct> products) Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(List<AnalyticProduct> products, List<Double> weights) Create a portfolio of products implementing AnalyticProductInterface.
Portfolio(Portfolio portfolio, List<AnalyticProduct> products, List<Double> weights) Create a portfolio of products implementing AnalyticProductInterface.

Uses of AnalyticProduct in net.finmath.modelling

Classes in net.finmath.modelling that implement AnalyticProduct

Modifier and Type	Class and Description
class	UnsupportedProduct A product throwing an exception if its getValue method is called.