Package Market

Package description: Market

See:
          Description

Class Summary
Asset Interface and default methods for all assets (deterministic or stochastic volatility, deterministic or stochastic rates).
BasicAssetPair Market consisting of two assets (excluding the riskfree bond) with constant instantaneous volatility and correlation of returns.
Basket Interface and default methods for all multi assets markets (deterministic or stochastic volatility, deterministic or stochastic rates).
ConstantVolatilityAsset Implementation of Asset.
ConstantVolatilityAssetQMC Constant volatility asset driven by quasi normal vectors based on a low disceapncy sequence sequence instead of standard multinormal vectors.
ConstantVolBasket
DeterministicVolAsset Implementation of Asset.
DeterministicVolBasket
DiagonalBasket  
Flag Defines various flags.
JumpAsset A ConstantVolatilityAsset with jumps.
 

Package Market Description

Package description: Market

In this package the various single or multi asset markets are introduced. In general we are limited to deterministic volatility and constant correlation of returns. Remember that we do not carry the riskless bond as an asset since we are working with discounted prices, that is, the riskless bond is the numeraire asset. Thus markets consisting of a single asset do make sense.