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

The finmath lib libraries provides implementations of methodologies related to mathematical finance, but applicable to other fields. Examples are

• General numerical algorithms like
• Generation of random numbers
• Optimization (a Levenberg–Marquardt algorithm is provided)
• Monte-Carlo simulation of multi-dimensional, multi-factor stochastic differential equations (SDEs)
• LIBOR Market Model
• Black Scholes type multi-asset model (multi-factor, multi-dimensional geometric Brownian motion)
• Equity Hybrid LIBOR Market Model
• Estimation of conditional expectations in a Monte-Carlo framework
• Calibration of market data objects like curves (discount and forward curve) or volatility surfaces
• Various interpolation methods (linear, cubic spline, harmonic spline, Akima).
• Various interpolation entities (value, log-value, rate, etc.).
• Parametric curves like Nelson-Siegel and Nelson-Siegel-Svensson.
• Simulation of interest rate term structure models (LIBOR market model with local and stochastic volatility)
• Calibration of the LIBOR market model
• Valuation of complex derivatives (e.g. Bermudan/multi-callables)

The libraries have a focus on Monte-Carlo methods, interest rate products and models and hybrid models.

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 lib is distributed through the central maven repository. It's coordinates are:

<groupId>net.finmath</groupId>
<artifactId>finmath-lib</artifactId>
<version>1.3.6</version>

The version there is currently the Java 6 version. You may build you own Java 8 version via mvn -P java-8.

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.

• 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.

The maven pom defaults to the Java 6 build. To build finmath lib for Java 8 use the maven profile "java-8".

Source code and demos are provided via Github and a subversion repository.

• Git repositories with Java code:
  • finmath lib: https://github.com/finmath/finmath-lib
  • finmath experiments: https://github.com/finmath/finmath-experiments
• Subversion repositories with Java code:
  • finmath lib: http://svn.finmath.net/finmath lib
  • finmath experiments: http://svn.finmath.net/finmath experiments

Although not recommeded, the repository contains an Eclipse procject and classpath file including all dependencies. We provide this for convenience. We provide instructions on how to checkout the code using the Eclipse IDE. Of course, you may use the IDE of your choice by simply importing the maven pom.

• finmath lib Project documentation
  provides the documentation of the library api.
• 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).

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