Uses of Class
net.finmath.montecarlo.interestrate.products.indices.AbstractIndex

Packages that use AbstractIndex

Package	Description
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 AbstractIndex in net.finmath.montecarlo.interestrate.products

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

Constructor and Description
SimpleZeroSwap(double[] fixingDates, double[] paymentDates, double[] swaprates, AbstractIndex floatIndex, boolean isPayFix) Create a swap.
Swap(AbstractNotional notional, Schedule scheduleReceiveLeg, AbstractIndex indexReceiveLeg, double spreadReceiveLeg, Schedule schedulePayLeg, AbstractIndex indexPayLeg, double spreadPayLeg) Create a swap from schedules, notional, indices and spreads (fixed coupons).
SwapLeg(Schedule legSchedule, AbstractNotional[] notionals, AbstractIndex index, double[] spreads, boolean couponFlow, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, AbstractNotional notional, AbstractIndex index, double spread, boolean isNotionalExchanged) Creates a swap leg.
SwapLeg(Schedule legSchedule, AbstractNotional notional, AbstractIndex index, double spread, boolean couponFlow, boolean isNotionalExchanged, boolean isNotionalAccruing) Creates a swap leg.

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

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

Constructor and Description
AccrualAccount(String currency, AnalyticModelIndex pastFixings, AbstractIndex accrualIndex, double accrualPeriod) Create an accrual account.

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

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

Modifier and Type	Class and Description
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.

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

Constructor and Description
AccruedInterest(String name, String currency, LocalDate referenceDate, LocalDate periodStartDate, LocalDate periodEndDate, AbstractIndex index, Double indexFixingTime, DayCountConvention daycountConvention, boolean isNegativeAccruedInterest) Create an accrued interest index.
CappedFlooredIndex(AbstractIndex index, AbstractIndex cap, AbstractIndex floor) Create an capped and floored index paying min(max(index(t),floor(t)),cap(t)).
ProductIndex(AbstractIndex index1, AbstractIndex index2) Create a performance index being numeratorIndex(t) / denominatorIndex(t)
TimeDiscreteEndOfMonthIndex(String name, AbstractIndex baseIndex, int fixingOffsetMonths) Creates a time discrete index.