Package net.finmath.montecarlo.interestrate.products

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

See: Description

Class Summary

Class	Description
AbstractLIBORMonteCarloProduct	Base calls for product that need an AbstractLIBORMarketModel as base class
BermudanSwaption	Implements the valuation of a cancelable swap under a LIBORModelMonteCarloSimulationInterface
Bond	This class implements the valuation of a zero coupon bond.
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 LIBORModelMonteCarloSimulationInterface.
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.
MoneyMarketAccount	Implements the valuation of a money market account.
Portfolio	Implements the pricing of a portfolio of AbstractLIBORMonteCarloProduct products under a AbstractLIBORMarketModel.
SimpleSwap	Implements the valuation of a swap under a LIBORModelMonteCarloSimulationInterface
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 valuation of a swaption under a LIBORModelMonteCarloSimulationInterface
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.
SwaptionFactory	A factory (helper class) to create swaptions extending AbstractLIBORMonteCarloProduct according to some (simplified) specifications.
SwaptionSimple	Implements the valuation of a simplified (idealized) swaption under a LIBORModelMonteCarloSimulationInterface
SwaptionSingleCurveAnalyticApproximation	This class implements an analytic swaption valuation formula under a LIBOR market model.

Enum Summary

Enum	Description
SwaptionAnalyticApproximation.ValueUnit
SwaptionAnalyticApproximationRebonato.ValueUnit
SwaptionSimple.ValueUnit
SwaptionSingleCurveAnalyticApproximation.ValueUnit

Package net.finmath.montecarlo.interestrate.products Description

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