Package net.finmath.montecarlo.interestrate.products

Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

See: Description

Interface Summary

Interface	Description
TermStructureMonteCarloProduct	Interface for products requiring an LIBORModelMonteCarloSimulationModel as base class

Class Summary

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

Enum Summary

Enum	Description
BermudanSwaptionFromSwapSchedules.SwaptionType
Caplet.ValueUnit
SwaptionFromSwapSchedules.SwaptionType
SwaptionGeneralizedAnalyticApproximation.StateSpace
SwaptionGeneralizedAnalyticApproximation.ValueUnit

Package net.finmath.montecarlo.interestrate.products Description

Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

Author:

Christian Fries