Experiments, demos and unit tests based on finmath lib.
Java
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lib
notebooks
spreadsheets/Pseudo Random and Low Discrepancy Sequences
src/net/finmath
.classpath
.project
LICENSE.txt
NOTICE.txt
READ ME.txt
README.md
build.xml

README.md

finmath experiments

Experiments and demos based on finmath lib.

Projects

You will find several project in the repository.

finmath lib
Java library providing implementations of methodologies related to mathematical finance, but applicable to other fields (e.g., the Monte-Carlo simulation of SDEs and the estimation of conditional expectations in Monte-Carlo).

finmath spreadsheets
A collection of spreadsheets building upon finmath lib and providing end user solutions (e.g, interest rate curve calibration or calibration of a forward rate model, aka LIBOR market model).

finmath experiments
Small experiments, illustrating some aspects of mathematical finance. Also illustrates how to use the finmath lib.

Documentation

License

The code of "finmath lib" and "finmath experiments" (packages net.finmath.*) are distributed under the Apache License version 2.0, unless otherwise explicitly stated.