finmath lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

Projects

You will find several project in the repository at finmath.net:

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 lib is now on Java 8 (since February 2nd, 2014), but a Java 6 version
is provided too.

Note: for convenience the provided Eclipse project is configured for Java 6.
The maven pom defaults to Java 6. To build the Java 8 version use the profile "java-8", i.e.
the maven command line option "-P java-8"

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.

finmath lib Java Library

The finmath lib Java library comes in two flavors which have a slightly different code base: a Java 8 version and a Java 6 version. We will use Java 8 concepts in the future and try to provide Java 6 compatibility where possible.

For that reason, the source code is duplicated:

• src/main/java contains the Java 8 compatible source files
• src/main/java6 contains the Java 6 compatible source files

Although the two folder share some/many identical source files, we prefer this two folder layout over one with a third folder like java-common.

Building finmath lib

• To build finmath lib for Java 8 use src/main/java
• To build finmath lib for java 6 use src/main/java-6

These builds may be performed via Maven the profiles "java-8" and "java-6". The eclipse project file is pre-configured to Java 6.

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.