Uses of Class
net.finmath.montecarlo.interestrate.products.components.AbstractProductComponent

Packages that use AbstractProductComponent

Package	Description
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g.
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 AbstractProductComponent in net.finmath.montecarlo.interestrate.models

Subclasses of AbstractProductComponent in net.finmath.montecarlo.interestrate.models

Modifier and Type	Class	Description
class	FundingCapacity	Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.

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

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

Modifier and Type	Class	Description
class	Portfolio	Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.

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

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

Modifier and Type	Class	Description
class	AbstractPeriod	Base class for a period.
class	AccrualAccount	Implementation of a general accrual account.
class	Cashflow	A single deterministic cashflow at a fixed time
class	Choice	An right to choose between two underlyings.
class	ExpectedTailLoss	The expected tail loss.
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.

Methods in net.finmath.montecarlo.interestrate.products.components that return AbstractProductComponent

Modifier and Type	Method	Description
AbstractProductComponent	AbstractPeriod.getIndex()

Methods in net.finmath.montecarlo.interestrate.products.components that return types with arguments of type AbstractProductComponent

Modifier and Type	Method	Description
Collection<AbstractProductComponent>	ProductCollection.getProducts()	Returns the collection containing all products as an unmodifiable collection.

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

Modifier	Constructor	Description
	AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index)	Initialize basic properties of the period using the idealized daycount faction periodEnd-periodStart.
	AbstractPeriod(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)	Initialize basic properties of the period.
	AbstractPeriod(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction)	Initialize basic properties of the period.
	IndexedValue(double exerciseDate, AbstractProductComponent index, AbstractProductComponent underlying)	Creates the function J(t) V(t), where J(t) = E(I(t)|F_t) for the given I(t).
	NotionalFromComponent(AbstractProductComponent notional)	Creates a notional which is derived by calling the getValue method on the period start of a given component.
	Period(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, boolean couponFlow, boolean notionalFlow, boolean payer)	Create a simple period with notional and index (coupon) flow.
	Period(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer)	Create a simple period with notional and index (coupon) flow.
	Period(double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest)	Create a simple period with notional and index (coupon) flow.
	Period(LocalDateTime referenceDate, double periodStart, double periodEnd, double fixingDate, double paymentDate, Notional notional, AbstractProductComponent index, double daycountFraction, boolean couponFlow, boolean notionalFlow, boolean payer, boolean isExcludeAccruedInterest)	Create a simple period with notional and index (coupon) flow.
	ProductCollection(AbstractProductComponent... products)	Creates a collection of product components paying the sum of their payouts.

Constructor parameters in net.finmath.montecarlo.interestrate.products.components with type arguments of type AbstractProductComponent

Modifier	Constructor	Description
	ProductCollection(Collection<AbstractProductComponent> products)	Creates a collection of product components paying the sum of their payouts.

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

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

Modifier and Type	Class	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.

Methods in net.finmath.montecarlo.interestrate.products.indices that return AbstractProductComponent

Modifier and Type	Method	Description
AbstractProductComponent	PerformanceIndex.getDenominatorIndex()	Returns the denominator index.
AbstractProductComponent	LinearCombinationIndex.getIndex1()	Returns the index 1.
AbstractProductComponent	LinearCombinationIndex.getIndex2()	Returns the index 2.
AbstractProductComponent	PerformanceIndex.getNumeratorIndex()	Returns the numerator index.

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

Modifier	Constructor	Description
	LaggedIndex(AbstractProductComponent index, double fixingOffset)	Creates a time-lagged index paying index(t+fixingOffset).
	LaggedIndex(AbstractProductComponent index, String fixingOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar)
	LinearCombinationIndex(double scaling1, AbstractProductComponent index1, double scaling2, AbstractProductComponent index2)	Create a linear combination index paying scaling1 * index1(t) + scaling2 * index2(t)
	MaxIndex(AbstractProductComponent... indexArguments)	Creates the function max(index1(t), index2(t), ...)
	MinIndex(AbstractProductComponent... indexArguments)	Creates the function min(index1(t), index2(t), ...)
	PerformanceIndex(AbstractProductComponent numeratorIndex, AbstractProductComponent denominatorIndex)	Create a performance index being numeratorIndex(t) / denominatorIndex(t)
	PowIndex(AbstractProductComponent index, double exponent)	Creates the function pow(index(t), exponent)
	TriggerIndex(AbstractProductComponent trigger, AbstractProductComponent indexIfTriggerIsPositive, AbstractProductComponent indexIfTriggerIsNegative)	Creates the function trigger(t) ≥ 0.0 ? indexIfTriggerIsPositive(t) : indexIfTriggerIsNegative(t)