Package net.finmath.marketdata2.products

Provides interface specification and implementation of products, e.g., calibration products.

See: Description

Interface Summary

Interface	Description
AnalyticProduct	The interface which has to be implemented by a product which may be evaluated using an AnalyticModelFromCuvesAndVols.

Class Summary

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

Package net.finmath.marketdata2.products Description

Provides interface specification and implementation of products, e.g., calibration products. Products can be valued using the model (which provides valuation curves).

Author:

Christian Fries