Index (finmath-smart-derivative-contract 0.1.4 API)

A B C D E G I M N P S T V

A

actionPerformed(ActionEvent) - Method in class net.finmath.smartcontract.demo.DemoScheduleSimulator
actionPerformed(ActionEvent) - Method in class net.finmath.smartcontract.demo.Visualiser
addProperty(ChartData.propertyKey, Object) - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartData
addPropertyChartTitle(String) - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartData

B

BrownianMotionOracle - Class in net.finmath.smartcontract.oracle: A dummy oracle which generates values using a geometric Brownian motion.
BrownianMotionOracle() - Constructor for class net.finmath.smartcontract.oracle.BrownianMotionOracle: A dummy oracle which generates values using a geometric Brownian motion.
BrownianMotionOracle(LocalDateTime) - Constructor for class net.finmath.smartcontract.oracle.BrownianMotionOracle: A dummy oracle which generates values using a geometric Brownian motion.
BrownianMotionOracle(LocalDateTime, double, double, double, double, int) - Constructor for class net.finmath.smartcontract.oracle.BrownianMotionOracle: A dummy oracle which generates values using a geometric Brownian motion.
BrownianMotionOracle(TimeDiscretization, LocalDateTime, double, double, double, int) - Constructor for class net.finmath.smartcontract.oracle.BrownianMotionOracle

C

calibrateModel(Stream<CalibrationSpecProvider>, CalibrationContext) - Method in class net.finmath.smartcontract.simulation.curvecalibration.Calibrator
CalibrationContext - Interface in net.finmath.smartcontract.simulation.curvecalibration: Interface for classes providing a calibration context in terms of a reference date and calibration info.
CalibrationContextImpl - Class in net.finmath.smartcontract.simulation.curvecalibration: A calibration context in terms of a reference date and calibration info.
CalibrationContextImpl(LocalDate, double) - Constructor for class net.finmath.smartcontract.simulation.curvecalibration.CalibrationContextImpl
CalibrationDatapoint - Class in net.finmath.smartcontract.simulation.curvecalibration: Contains a single data point used for the calibration of a financial model.
CalibrationDatapoint(String, String, String, double) - Constructor for class net.finmath.smartcontract.simulation.curvecalibration.CalibrationDatapoint
CalibrationParser - Interface in net.finmath.smartcontract.simulation.curvecalibration: Interface for parsers generating CalibrationSpecProvider from CalibrationDatapoint.
CalibrationParserDataPoints - Class in net.finmath.smartcontract.simulation.curvecalibration: Parses calibration data points and converts it to calibration specs
CalibrationParserDataPoints() - Constructor for class net.finmath.smartcontract.simulation.curvecalibration.CalibrationParserDataPoints
CalibrationResult - Class in net.finmath.smartcontract.simulation.curvecalibration: Contains the result of a calibration adding additional statistics to the calibrated model.
CalibrationResult(CalibratedCurves, CalibratedCurves.CalibrationSpec...) - Constructor for class net.finmath.smartcontract.simulation.curvecalibration.CalibrationResult
CalibrationSpecProvider - Interface in net.finmath.smartcontract.simulation.curvecalibration: Provides a way to get a CalibrationSpec for finmath calibration.
CalibrationSpecProviderOis - Class in net.finmath.smartcontract.simulation.curvecalibration: A calibration spec provider for OIS swaps.
CalibrationSpecProviderOis(String, String, double) - Constructor for class net.finmath.smartcontract.simulation.curvecalibration.CalibrationSpecProviderOis
CalibrationSpecProviderSwap - Class in net.finmath.smartcontract.simulation.curvecalibration: A calibration spec provider for swaps.
CalibrationSpecProviderSwap(String, String, String, double) - Constructor for class net.finmath.smartcontract.simulation.curvecalibration.CalibrationSpecProviderSwap
Calibrator - Class in net.finmath.smartcontract.simulation.curvecalibration: An object calibrating models from a stream of calibration spec providers
Calibrator() - Constructor for class net.finmath.smartcontract.simulation.curvecalibration.Calibrator
ChartData - Class in net.finmath.smartcontract.demo.chartdatageneration: A Class containing data (CategoryDataset) as well as other chart properties (Colors, Titles, Axes...)
ChartData(CategoryDataset) - Constructor for class net.finmath.smartcontract.demo.chartdatageneration.ChartData
ChartData.propertyKey - Enum in net.finmath.smartcontract.demo.chartdatageneration
ChartDataGenerator - Interface in net.finmath.smartcontract.demo.chartdatageneration: Interface for generationg a the underliyng dataset for a JFREEChart
ChartDataGeneratorMarketValue - Class in net.finmath.smartcontract.demo.chartdatageneration: This is a very simple dataset generator which generates chart data for a time series of market vaues
ChartDataGeneratorMarketValue(ValuationOraclePlainSwapHistoricScenarios, List<LocalDateTime>) - Constructor for class net.finmath.smartcontract.demo.chartdatageneration.ChartDataGeneratorMarketValue
ChartDataGeneratorSDCAccountBalance - Class in net.finmath.smartcontract.demo.chartdatageneration: This is a very simple dataset generator which generates ChartData (based on an ActionEvent) for a SDC Account Balance Simulation
ChartDataGeneratorSDCAccountBalance(double, ValuationOraclePlainSwapHistoricScenarios, List<LocalDateTime>) - Constructor for class net.finmath.smartcontract.demo.chartdatageneration.ChartDataGeneratorSDCAccountBalance
ContinouslyCompoundedBankAccountOracle - Class in net.finmath.smartcontract.oracle: A dummy oracle which generates values as initalValue * Math.exp(r T).
ContinouslyCompoundedBankAccountOracle() - Constructor for class net.finmath.smartcontract.oracle.ContinouslyCompoundedBankAccountOracle: A dummy oracle which generates values as initalValue * Math.exp(r T).
ContinouslyCompoundedBankAccountOracle(LocalDateTime) - Constructor for class net.finmath.smartcontract.oracle.ContinouslyCompoundedBankAccountOracle: A dummy oracle which generates values as initalValue * Math.exp(r T).
ContinouslyCompoundedBankAccountOracle(LocalDateTime, double, double, double) - Constructor for class net.finmath.smartcontract.oracle.ContinouslyCompoundedBankAccountOracle: A dummy oracle which generates values as initalValue * Math.exp(r T).
ContinouslyCompoundedBankAccountOracle(TimeDiscretization, LocalDateTime, double, double) - Constructor for class net.finmath.smartcontract.oracle.ContinouslyCompoundedBankAccountOracle
createPlot(ActionEvent) - Method in interface net.finmath.smartcontract.demo.plotgeneration.PlotGenerator
createPlot(ActionEvent) - Method in class net.finmath.smartcontract.demo.plotgeneration.StackedBarchartGenerator
createPlot(ActionEvent) - Method in class net.finmath.smartcontract.demo.plotgeneration.TimeSeriesChartGenerator
curveDataPointSet - Variable in class net.finmath.smartcontract.simulation.scenariogeneration.IRCurveData

D

DemoLauncher - Class in net.finmath.smartcontract.demo: Demo Launcher, generating historical Scenarios, building a DataGenerator, and starting Visualiser
DemoLauncher() - Constructor for class net.finmath.smartcontract.demo.DemoLauncher
DemoScheduleSimulator - Class in net.finmath.smartcontract.demo: Very basic schedule simulator which maps an eventtime on a schedule time
DemoScheduleSimulator(SmartDerivativeContractSchedule) - Constructor for class net.finmath.smartcontract.demo.DemoScheduleSimulator
DISCOUNT_EUR_OIS - Static variable in class net.finmath.smartcontract.simulation.curvecalibration.Calibrator

E

EventTimesImpl(LocalDateTime, LocalDateTime, Duration, LocalDateTime) - Constructor for class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator.EventTimesImpl

G

generateAnalyticSwapObject(LocalDate, String, double, boolean, String, String) - Static method in class net.finmath.smartcontract.simulation.products.IRSwapGenerator
generatedChartData(ActionEvent) - Method in interface net.finmath.smartcontract.demo.chartdatageneration.ChartDataGenerator
generatedChartData(ActionEvent) - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartDataGeneratorMarketValue
generatedChartData(ActionEvent) - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartDataGeneratorSDCAccountBalance
GeometricBrownianMotionOracle - Class in net.finmath.smartcontract.oracle: A dummy oracle which generates values using a geometric Brownian motion.
GeometricBrownianMotionOracle() - Constructor for class net.finmath.smartcontract.oracle.GeometricBrownianMotionOracle: A dummy oracle which generates values using a geometric Brownian motion.
GeometricBrownianMotionOracle(LocalDateTime) - Constructor for class net.finmath.smartcontract.oracle.GeometricBrownianMotionOracle: A dummy oracle which generates values using a geometric Brownian motion.
GeometricBrownianMotionOracle(LocalDateTime, double, double, double, double, int) - Constructor for class net.finmath.smartcontract.oracle.GeometricBrownianMotionOracle: A dummy oracle which generates values using a geometric Brownian motion.
GeometricBrownianMotionOracle(TimeDiscretization, LocalDateTime, double, double, double, int) - Constructor for class net.finmath.smartcontract.oracle.GeometricBrownianMotionOracle
getAccountAccessAllowedPeriod() - Method in interface net.finmath.smartcontract.contract.SmartDerivativeContractSchedule.EventTimes
getAccountAccessAllowedPeriod() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator.EventTimesImpl
getAccountAccessAllowedStart() - Method in interface net.finmath.smartcontract.contract.SmartDerivativeContractSchedule.EventTimes
getAccountAccessAllowedStart() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator.EventTimesImpl
getAccuracy() - Method in interface net.finmath.smartcontract.simulation.curvecalibration.CalibrationContext
getAccuracy() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationContextImpl
getAmount(LocalDateTime, LocalDateTime) - Method in interface net.finmath.smartcontract.oracle.ValuationOracle: Provides the value of the Oracle at a given evaluation time.
getAmount(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.oracle.ValuationOraclePlainSwapHistoricScenarios
getAmount(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.oracle.ValuationOracleSamplePath
getCalibratedModel() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationResult
getCalibrationSpec(CalibrationContext) - Method in interface net.finmath.smartcontract.simulation.curvecalibration.CalibrationSpecProvider
getCalibrationSpec(CalibrationContext) - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationSpecProviderOis
getCalibrationSpec(CalibrationContext) - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationSpecProviderSwap
getCurveData(String) - Method in class net.finmath.smartcontract.simulation.scenariogeneration.IRMarketDataScenario
getCurveName() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationDatapoint
getDataAsCalibrationDataProintStream(CalibrationParser) - Method in class net.finmath.smartcontract.simulation.scenariogeneration.IRMarketDataScenario: Returns a Stream of CalibrationSpecs, curveData provided as calibration data points, will be converted to calibration specs Currently only Swap-Rates are used.
getDataPointStreamForProductType(String) - Method in class net.finmath.smartcontract.simulation.scenariogeneration.IRCurveData: Returns Stream of calibration data points for a given product type
getDataset() - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartData
getDate() - Method in class net.finmath.smartcontract.simulation.scenariogeneration.IRMarketDataScenario
getEventData() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractEvent
getEventTime() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractEvent
getEventTimes() - Method in interface net.finmath.smartcontract.contract.SmartDerivativeContractSchedule
getEventTimes() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator.SimpleSchedule
getEventType() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractEvent
getFreshness() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationResult
getMargin(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractMargining: Get the margin of the contract based on the valuation oracles.
getMarginCheckTime() - Method in interface net.finmath.smartcontract.contract.SmartDerivativeContractSchedule.EventTimes
getMarginCheckTime() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator.EventTimesImpl
getMaturity() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationDatapoint
getProductName() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationDatapoint
getPropertyChartTitle() - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartData
getPropertyColorListStackedBar() - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartData
getPropertyMap() - Method in class net.finmath.smartcontract.demo.chartdatageneration.ChartData
getQuote() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationDatapoint
getReferenceDate() - Method in interface net.finmath.smartcontract.simulation.curvecalibration.CalibrationContext
getReferenceDate() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationContextImpl
getScenariosFromJsonFile(String, DateTimeFormatter) - Static method in class net.finmath.smartcontract.simulation.scenariogeneration.IRScenarioGenerator: Static method which parses a json file and converts it to a list of market data scenarios
getScheduleForBusinessDays(String, LocalDate, LocalDate, LocalTime, Duration) - Static method in class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator: Create a daily event schedule, where accountAccessStart is one minute after settlementTime, accountAccessEnd is accountAccessAllowedDuration after accountAccessStart, marginCheckTime is one minute after accountAccessEnd.
getScheduleForBusinessDays(String, LocalDate, LocalDate, LocalTime, LocalTime, Duration, LocalTime) - Static method in class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator
getSettementTime() - Method in interface net.finmath.smartcontract.contract.SmartDerivativeContractSchedule.EventTimes
getSettementTime() - Method in class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator.EventTimesImpl
getSumOfSquaredErrors() - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationResult
getValue(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.oracle.BrownianMotionOracle
getValue(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.oracle.ContinouslyCompoundedBankAccountOracle
getValue(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.oracle.GeometricBrownianMotionOracle
getValue(LocalDateTime, LocalDateTime) - Method in interface net.finmath.smartcontract.oracle.StochasticValuationOracle: Provides that value of the Oracle at a given evaluation time.
getValue(LocalDateTime, LocalDateTime) - Method in interface net.finmath.smartcontract.oracle.ValuationOracle: Provides the value of the Oracle at a given evaluation time using market data from a given time.
getValue(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.oracle.ValuationOraclePlainSwapHistoricScenarios
getValue(LocalDateTime, LocalDateTime) - Method in class net.finmath.smartcontract.oracle.ValuationOracleSamplePath

I

IRCurveData - Class in net.finmath.smartcontract.simulation.scenariogeneration: A IRCurveData Class holds a Set of CalibrationDataPoints and its own curve key
IRCurveData(String, Map<String, Map<String, Double>>) - Constructor for class net.finmath.smartcontract.simulation.scenariogeneration.IRCurveData: CurveFromInterpolationPoints Key and Map will be provided.
IRMarketDataScenario - Class in net.finmath.smartcontract.simulation.scenariogeneration: IR Market Data Scenario Class holds a SecnarioDate an a Map containing CurveData
IRMarketDataScenario(Map<String, IRCurveData>, LocalDateTime) - Constructor for class net.finmath.smartcontract.simulation.scenariogeneration.IRMarketDataScenario
IRScenarioGenerator - Class in net.finmath.smartcontract.simulation.scenariogeneration: Scenario Generator generates IRScenarios from a given json file
IRScenarioGenerator() - Constructor for class net.finmath.smartcontract.simulation.scenariogeneration.IRScenarioGenerator
IRSwapGenerator - Class in net.finmath.smartcontract.simulation.products: Scenario Generator provides static method for generating an analytic swap object
IRSwapGenerator() - Constructor for class net.finmath.smartcontract.simulation.products.IRSwapGenerator

M

main(String[]) - Static method in class net.finmath.smartcontract.demo.DemoLauncher
main(String[]) - Static method in class net.finmath.smartcontract.demo.VisualiserSDC: Run the demo.

N

net.finmath.smartcontract - package net.finmath.smartcontract: Classes related to smart derivative contracts.
net.finmath.smartcontract.contract - package net.finmath.smartcontract.contract: Classes supporting the implementation of a smart derivative contract.
net.finmath.smartcontract.demo - package net.finmath.smartcontract.demo: Package for Demo and Visualisation
net.finmath.smartcontract.demo.chartdatageneration - package net.finmath.smartcontract.demo.chartdatageneration: Package for ChartData Generation
net.finmath.smartcontract.demo.plotgeneration - package net.finmath.smartcontract.demo.plotgeneration: Package for Simple Plot Generations
net.finmath.smartcontract.oracle - package net.finmath.smartcontract.oracle: Interface defining valuation oracles.
net.finmath.smartcontract.simulation - package net.finmath.smartcontract.simulation: Classes providing benchmark simulations of the smart contract.
net.finmath.smartcontract.simulation.curvecalibration - package net.finmath.smartcontract.simulation.curvecalibration: Providing curve calibrations.
net.finmath.smartcontract.simulation.products - package net.finmath.smartcontract.simulation.products: Classes providing product factories
net.finmath.smartcontract.simulation.scenariogeneration - package net.finmath.smartcontract.simulation.scenariogeneration: Classes providing interest rate curve scenarios.

P

parse(Stream<CalibrationDatapoint>) - Method in interface net.finmath.smartcontract.simulation.curvecalibration.CalibrationParser
parse(Stream<CalibrationDatapoint>) - Method in class net.finmath.smartcontract.simulation.curvecalibration.CalibrationParserDataPoints
PlotGenerator - Interface in net.finmath.smartcontract.demo.plotgeneration: Interface for generationg a JFREEChart

S

SimpleSchedule(List<SmartDerivativeContractSchedule.EventTimes>) - Constructor for class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator.SimpleSchedule
SmartDerivativeContract - Class in net.finmath.smartcontract.contract
SmartDerivativeContract() - Constructor for class net.finmath.smartcontract.contract.SmartDerivativeContract
SmartDerivativeContractEvent - Class in net.finmath.smartcontract.contract: Observable smart derivative contract event.
SmartDerivativeContractEvent(SmartDerivativeContractEvent.EventsTypes, LocalDateTime, Object) - Constructor for class net.finmath.smartcontract.contract.SmartDerivativeContractEvent
SmartDerivativeContractEvent.EventsTypes - Enum in net.finmath.smartcontract.contract
SmartDerivativeContractMargining - Class in net.finmath.smartcontract.contract: The margin agreement of a smart derivative contract.
SmartDerivativeContractMargining(ValuationOracle) - Constructor for class net.finmath.smartcontract.contract.SmartDerivativeContractMargining
SmartDerivativeContractSchedule - Interface in net.finmath.smartcontract.contract: Minimal interface for the event times of a smart derivative contract.
SmartDerivativeContractSchedule.EventTimes - Interface in net.finmath.smartcontract.contract: Interface for a smart derivative event time set consisting of settlement, account access (start and duration) and margin check.
SmartDerivativeContractScheduleGenerator - Class in net.finmath.smartcontract.contract: Generates schedules for smart derivative contracts.
SmartDerivativeContractScheduleGenerator() - Constructor for class net.finmath.smartcontract.contract.SmartDerivativeContractScheduleGenerator
SmartDerivativeContractScheduleGenerator.EventTimesImpl - Class in net.finmath.smartcontract.contract: Simple POJO implementation of SmartDerivativeContractSchedule.EventTimes.
SmartDerivativeContractScheduleGenerator.SimpleSchedule - Class in net.finmath.smartcontract.contract: Simple list based implementation of SmartDerivativeContractSchedule.
StackedBarchartGenerator - Class in net.finmath.smartcontract.demo.plotgeneration: A simple generator for generating a stacked bar chart
StackedBarchartGenerator(ChartDataGenerator) - Constructor for class net.finmath.smartcontract.demo.plotgeneration.StackedBarchartGenerator
start() - Method in class net.finmath.smartcontract.demo.VisualiserSDC
StochasticValuationOracle - Interface in net.finmath.smartcontract.oracle: Interface for Oracles providing a valuation random variables at a given time.

T

TimeSeriesChartGenerator - Class in net.finmath.smartcontract.demo.plotgeneration: A simple generator for generating a time series chart
TimeSeriesChartGenerator(ChartDataGenerator) - Constructor for class net.finmath.smartcontract.demo.plotgeneration.TimeSeriesChartGenerator

V

ValuationOracle - Interface in net.finmath.smartcontract.oracle: Interface for Oracles providing a valuation at a given time.
ValuationOraclePlainSwapHistoricScenarios - Class in net.finmath.smartcontract.oracle: An oracle for swap valuation which generates values using externally provided historical market data scenarios.
ValuationOraclePlainSwapHistoricScenarios(Swap, double, List<IRMarketDataScenario>) - Constructor for class net.finmath.smartcontract.oracle.ValuationOraclePlainSwapHistoricScenarios: Oracle will be instantiated based on a Swap product an market data scenario list
ValuationOracleSamplePath - Class in net.finmath.smartcontract.oracle: A valuation oracle constructed from a simulation providing a stochastic valuation oracle by extracting a given sample path.
ValuationOracleSamplePath(StochasticValuationOracle, int) - Constructor for class net.finmath.smartcontract.oracle.ValuationOracleSamplePath: Create a valuation oracle from a simulation providing a stochastic valuation oracle by extracting a given sample path.
valueOf(String) - Static method in enum net.finmath.smartcontract.contract.SmartDerivativeContractEvent.EventsTypes: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum net.finmath.smartcontract.demo.chartdatageneration.ChartData.propertyKey: Returns the enum constant of this type with the specified name.
values() - Static method in enum net.finmath.smartcontract.contract.SmartDerivativeContractEvent.EventsTypes: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum net.finmath.smartcontract.demo.chartdatageneration.ChartData.propertyKey: Returns an array containing the constants of this enum type, in the order they are declared.
Visualiser - Class in net.finmath.smartcontract.demo: Visualiser is an abstract class which handles the automatic update of an Event.
Visualiser(String, List<PlotGenerator>) - Constructor for class net.finmath.smartcontract.demo.Visualiser
VisualiserSDC - Class in net.finmath.smartcontract.demo: Visualization of the settlement using Smart Derivative Contract with a 10Y swap, using a valuation oracle with historic market data.
VisualiserSDC() - Constructor for class net.finmath.smartcontract.demo.VisualiserSDC

A B C D E G I M N P S T V