Uses of Class
net.finmath.montecarlo.AbstractMonteCarloProduct

Packages that use AbstractMonteCarloProduct

Package	Description
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
net.finmath.montecarlo.assetderivativevaluation.products	Products which may be valued using an AssetModelMonteCarloSimulationModel.
net.finmath.montecarlo.conditionalexpectation	Algorithms to perform the calculation of conditional expectations in Monte-Carlo simulations, also known as "American Monte-Carlo".
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.components	Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.
net.finmath.montecarlo.products	Products which are model independent, but assume a Monte-Carlo simulation.

Uses of AbstractMonteCarloProduct in net.finmath.modelling.productfactory

Subclasses of AbstractMonteCarloProduct in net.finmath.modelling.productfactory

Modifier and Type	Class and Description
static class	InterestRateMonteCarloProductFactory.SwapLegMonteCarlo Monte-Carlo method based implementation of a interest rate swap leg from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwapMonteCarlo Monte-Carlo method based implementation of a interest rate swap from a product descriptor.
static class	InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo Monte-Carlo method based implementation of a physically settled interest rate swaption from a product descriptor.
class	SingleAssetMonteCarloProductFactory.DigitalOptionMonteCarlo Monte-Carlo method based implementation of a digital option from a product descriptor.
class	SingleAssetMonteCarloProductFactory.EuropeanOptionMonteCarlo Monte-Carlo method based implementation of a European option from a product descriptor.

Uses of AbstractMonteCarloProduct in net.finmath.montecarlo.assetderivativevaluation.products

Subclasses of AbstractMonteCarloProduct in net.finmath.montecarlo.assetderivativevaluation.products

Modifier and Type	Class and Description
class	AbstractAssetMonteCarloProduct Base class for products requiring an AssetModelMonteCarloSimulationModel for valuation.
class	AsianOption Implements the valuation of an Asian option.
class	BasketOption Implements valuation of a European option on a basket of asset.
class	BermudanDigitalOption This class implements the valuation of a Bermudan digital option paying \( N_{i} \cdot \mathbb{1}(S(T_{i}) - K_{i}) \) at \( T_{i} \), when exercised in \( T_{i} \), where \( N_{i} \) is the notional, \( \mathbb{1} \) is the indicator function, \( S \) is the underlying, \( K_{i} \) is the strike and \( T_{i} \) the exercise date.
class	BermudanOption This class implements the valuation of a Bermudan option paying N(i) * (S(T(i)) - K(i)) at T(i), when exercised in T(i), where N(i) is the notional, S is the underlying, K(i) is the strike and T(i) the exercise date.
class	BlackScholesDeltaHedgedPortfolio This class implements a delta hedged portfolio of an European option (a hedge simulator).
class	BlackScholesHedgedPortfolio This class implements a delta and delta-gamma hedged portfolio of an European option (a hedge simulator).
class	DeltaHedgedPortfolioWithAAD This class implements a delta hedged portfolio (a hedge simulator).
class	DigitalOption Implements the valuation of a digital option on a single asset.
class	DigitalOptionDeltaLikelihood Implements calculation of the delta of a digital option.
class	EuropeanOption Implements the valuation of a European option on a single asset.
class	FiniteDifferenceDeltaHedgedPortfolio This class implements a delta hedged portfolio of a given product (a hedge simulator).
class	LocalRiskMinimizingHedgePortfolio This class implements a mean variance hedged portfolio of a given product (a hedge simulator).

Uses of AbstractMonteCarloProduct in net.finmath.montecarlo.conditionalexpectation

Constructor parameters in net.finmath.montecarlo.conditionalexpectation with type arguments of type AbstractMonteCarloProduct

Constructor and Description
RegressionBasisFunctionsFromProducts(List<AbstractMonteCarloProduct> products)

Uses of AbstractMonteCarloProduct in net.finmath.montecarlo.interestrate.products

Subclasses of AbstractMonteCarloProduct in net.finmath.montecarlo.interestrate.products

Modifier and Type	Class and Description
class	AbstractLIBORMonteCarloProduct Base class for products requiring an LIBORModelMonteCarloSimulationModel as base class
class	BermudanSwaption Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
class	BermudanSwaptionFromSwapSchedules Implements the valuation of a Bermudan swaption under a LIBORModelMonteCarloSimulationModel
class	Bond This class implements the valuation of a zero coupon bond.
class	CancelableSwap Implements the pricing of a cancelable swap under a LIBORModelMonteCarloSimulationModel
class	Caplet Implements the pricing of a Caplet using a given AbstractLIBORMarketModel.
class	CMSOption Implements the valuation of an option on a CMS rate.
class	DigitalCaplet Implements the valuation of a digital caplet using a given LIBORModelMonteCarloSimulationModel.
class	DigitalFloorlet Implements the pricing of a digtal floorlet using a given LIBORModelMonteCarloSimulationModel.
class	FlexiCap This class implements the valuation of a Flexi Cap (aka Auto Cap).
class	ForwardRateVolatilitySurfaceCurvature This class implements the calculation of the curvature of the volatility surface of the forward rates.
class	LIBORBond This class implements the valuation of a zero (forward) bond on the models forward rate curve.
class	MoneyMarketAccount Implements the valuation of a money market account.
class	Portfolio Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.
class	SimpleCappedFlooredFloatingRateBond
class	SimpleSwap Implements the valuation of a swap under a LIBORModelMonteCarloSimulationModel
class	SimpleZeroSwap Implements the valuation of a zero swap under a LIBORModelMonteCarloSimulationModel.
class	Swap Create a swap from schedules, notional, indices and spreads (fixed coupons).
class	SwapLeg
class	SwaprateCovarianceAnalyticApproximation This class implements an analytic approximation of the integrated instantaneous covariance of two swap rates under a LIBOR market model.
class	Swaption Implements the Monte-Carlo valuation of a swaption under a LIBORModelMonteCarloSimulationModel.
class	SwaptionAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionAnalyticApproximationRebonato This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionATM A lightweight ATM swaption product used for calibration.
class	SwaptionFromSwapSchedules Implementation of a Monte-Carlo valuation of a swaption valuation being compatible with AAD.
class	SwaptionGeneralizedAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionSimple Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationModel
class	SwaptionSingleCurve Implements the valuation of a swaption under a LIBORModelMonteCarloSimulationModel Important: If the LIBOR Market Model is a multi-curve 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.
class	SwaptionSingleCurveAnalyticApproximation This class implements an analytic swaption valuation formula under a LIBOR market model.
class	SwaptionWithComponents Implements the pricing of a swap under a AbstractLIBORMarketModel
class	SwapWithComponents Implements the pricing of a swap under a AbstractLIBORMarketModel

Uses of AbstractMonteCarloProduct in net.finmath.montecarlo.interestrate.products.components

Subclasses of AbstractMonteCarloProduct in net.finmath.montecarlo.interestrate.products.components

Modifier and Type	Class and Description
class	AbstractPeriod Base class for a period.
class	AbstractProductComponent Base class for product components.
class	AccrualAccount Implementation of a general accrual account.
class	Cashflow A single deterministic cashflow at a fixed time
class	ExposureEstimator Implements (a numerical approximation of) the function \( (t,V) \mapsto E( V(t) \vert \mathcal{F}_t ) \) where \( V(t) \) is the (sum of) discounted future value(s) of an underlying \( V \), discounted to \( t \) and \( t \) is a given evaluation time.
class	IndexedValue An indexed value.
class	Numeraire A single deterministic cashflow at a fixed time
class	Option An option.
class	Period A period.
class	ProductCollection A collection of product components (like periods, options, etc.) paying the sum of their payouts.
class	Selector A selection of a value on another component.

Uses of AbstractMonteCarloProduct in net.finmath.montecarlo.interestrate.products.indices

Subclasses of AbstractMonteCarloProduct in net.finmath.montecarlo.interestrate.products.indices

Modifier and Type	Class and Description
class	AbstractIndex Base class for indices.
class	AccruedInterest An accrued interest index.
class	AnalyticModelForwardCurveIndex An index which is given by a name referencing a curve of an analytic model.
class	AnalyticModelIndex An index which is given by a name referencing a curve of an analytic model.
class	CappedFlooredIndex An capped and floored index paying min(max(index(t),floor(t)),cap(t)), where index, floor and cap are indices, i.e., objects implementing AbstractIndex.
class	ConstantMaturitySwaprate An idealized (single curve) CMS index with given maturity and given period length.
class	DateIndex An index whose value is a function of the fixing date, for example the DAY, MONTH or NUMBER_OF_DAYS_IN_MONTH.
class	FixedCoupon A fixed coupon index paying constant coupon..
class	ForwardCurveIndex A fixed coupon index paying coupon calculated from a forward curve.
class	LaggedIndex A time-lagged index paying index(t+fixingOffset)
class	LIBORIndex A (floating) forward rate index for a given period start offset (offset from fixing) and period length.
class	LinearCombinationIndex A linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
class	MaxIndex A maximum index.
class	MinIndex A minumum index.
class	NumerairePerformanceIndex A (floating) rate index representing the performance of the numeraire asset for a given period start offset (offset from fixing) and period length.
class	NumerairePerformanceOnScheduleIndex A (floating) rate index representing the performance of the numeraire asset.
class	PerformanceIndex A performance index being numeratorIndex(t) / denominatorIndex(t)
class	PowIndex A power index.
class	ProductIndex A product index being index1(t) * index2(t)
class	TimeDiscreteEndOfMonthIndex An index which maps is evaluation point to a fixed discrete point, the end of the month, then takes the value of a given base index at this point.
class	TriggerIndex A trigger index.
class	UnsupportedIndex An index throwing an exception if his getValue method is called.

Uses of AbstractMonteCarloProduct in net.finmath.montecarlo.products

Subclasses of AbstractMonteCarloProduct in net.finmath.montecarlo.products

Modifier and Type	Class and Description
class	PortfolioMonteCarloProduct A portfolio of products, each product being of AbstractMonteCarloProduct type.