finmath experiments

Experiments and demos based on finmath lib.

See also http://finmath.github.io/finmath-experiments/

Projects

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). See http://finmath.net/finmath-lib

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). See http://finmath.net/spreadsheets/

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

finmath lib plot extensions Convenient abstractions of some plotting libraries and example usages of finmath lib. See http://finmath.net/finmath-lib-plot-extensions/

Documentation

• finmath lib API documentation
  provides the documentation of the library api.
• finmath.net special topics
  cover some selected topics with demo spreadsheets and uml diagrams. Some topics come with additional documentations (technical papers).

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.

Instruction for Contributors for Experiments

Here are a few remarks in case you like to create and contribute a web page with experiments, similar to the ones in the docs folder of this repo.

• Used the same HTML header as in the example on Monte-Carlo simulation, see montecarlo-blackscholes (adjusting title and description).

• Use the correct HTML tags for code blocks, i.e. the tag <div class="codeboxwithheader"> and everything that is inside. Just change the title text, the id and the code inside.

• If you like to use the Copy to clipboard button, make sure that value in data-clipboard-target corresponds to the id in the pre-tag. Like experiment1 in this example:

  <span style="float: right;"><button class="btn" data-clipboard-target="#experiment1">Copy to clipboard</button></span>
  	<div class="codebox"><pre class="prettyprint"><code class="language-java" id="experiment1">
  
  	</code></pre></div>
  

• Check your page on a mobile device (iPhone, iPad). Long package names or class names can lead to layout issues.

• If you create plots, the best quality can be achieved by saving the plot as SVG. Use plot.saveAsSVG(new File(filename), 800, 450))

• Use LaTeX with MathJax: you can write LaTeX inside the HTML using \( and \) to mark the start and the end.