Uses of Interface
net.finmath.montecarlo.interestrate.products.TermStructureMonteCarloProduct

Packages that use TermStructureMonteCarloProduct

Package	Description
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
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.

Uses of TermStructureMonteCarloProduct in net.finmath.modelling.productfactory

Classes in net.finmath.modelling.productfactory that implement TermStructureMonteCarloProduct

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.

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

Classes in net.finmath.montecarlo.interestrate.products that implement TermStructureMonteCarloProduct

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	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

Methods in net.finmath.montecarlo.interestrate.products that return TermStructureMonteCarloProduct

Modifier and Type	Method and Description
static TermStructureMonteCarloProduct	SwaptionFactory.createSwaption(String className, double swaprate, TimeDiscretization swapTenor, String valueUnitAsString)
TermStructureMonteCarloProduct[]	Portfolio.getProducts()

Constructors in net.finmath.montecarlo.interestrate.products with parameters of type TermStructureMonteCarloProduct

Constructor and Description
Swap(TermStructureMonteCarloProduct legReceiver, TermStructureMonteCarloProduct legPayer) Create a swap which values as legReceiver - legPayer.

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

Classes in net.finmath.montecarlo.interestrate.products.components that implement TermStructureMonteCarloProduct

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.

Constructors in net.finmath.montecarlo.interestrate.products.components with parameters of type TermStructureMonteCarloProduct

Constructor and Description
Option(double exerciseDate, boolean isCall, TermStructureMonteCarloProduct strikeProduct, AbstractLIBORMonteCarloProduct underlying) Creates the function underlying(exerciseDate) ≥ strikeProduct ?
Option(double exerciseDate, boolean isCall, TermStructureMonteCarloProduct strikeProduct, AbstractLIBORMonteCarloProduct underlying, RegressionBasisFunctionsProvider regressionBasisFunctionsProvider) Creates the function underlying(exerciseDate) ≥ strikeProduct ?
Selector(String key, TermStructureMonteCarloProduct underlying) Creates the function underlying.getValues()[key]

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

Classes in net.finmath.montecarlo.interestrate.products.indices that implement TermStructureMonteCarloProduct

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.