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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
The newest version!
/**
* Provides interfaces and classes needed to generate interest rate models model (using numerical
* algorithms from net.finmath.montecarlo.process.
*
* The basic interface and classes provide a TermStructureModel which provides a
* forward rate {@link net.finmath.montecarlo.interestrate.TermStructureModel#getForwardRate(net.finmath.montecarlo.process.MonteCarloProcess, double, double, double)}
* and a
* numeraire {@link net.finmath.montecarlo.interestrate.TermStructureModel#getNumeraire(net.finmath.montecarlo.process.MonteCarloProcess, double)}
*
* There is a legacy interface LIBORModel which provides the
* forward rates on a tenor time discretization under the name
* {@link net.finmath.montecarlo.interestrate.LIBORModel#getLIBOR(net.finmath.montecarlo.process.MonteCarloProcess, int, int)}
*
* @author Christian Fries
*/
package net.finmath.montecarlo.interestrate;