model

Type Members

1. final case class BlackParameters(drift: Double, volatility: Double) extends Product with Serializable

   

2. final case class BlackParametersIdentifier(marketObservable: MarketObservable[Double]) extends Identifier[BlackParameters] with Product with Serializable

   

   Creates for a virtufin.finance.scenario.MarketObservable an virtufin.util.Identifier , which can be used to look up in a virtufin.finance.model.ModelContext

3. final case class BlackScholesParameters(rate: Double, yield: Double, volatility: Double) extends Product with Serializable

   

4. class CashflowsPricingModel extends PricingModel[Cashflows]

   

5. class CurrencyPricingModel extends PricingModel[Currency]

   

6. trait DriverProcess[T] extends AnyRef

   

7. class EuropeanPlainVanillaOptionPricingModel extends PricingModel[EuropeanPlainVanillaOption]

   

8. class InstrumentPricingModel extends PricingModel[Instrument]

   

9. trait Model[-R <: ModelRequest, +O] extends AnyRef

   

10. trait ModelContext extends AnyRef

    

11. trait ModelDispatcher extends AnyRef

    

12. trait ModelRegistry extends AnyRef

    

13. trait ModelRequest extends AnyRef

    

14. type ModelResult[+T] = Try[T]

    

15. final case class MultivariateBlackParameters(drifts: Seq[Double], covariance: CovarianceMatrix) extends Product with Serializable

    

16. abstract class MultivariateRandomPathScenarioModelSpecification[R <: RandomPath[Double, RealVector]] extends RandomScenarioModelSpecification[R, Path[Double, RealVector]]

    

17. class PositionPricingModel extends PricingModel[Position[Instrument]]

    

18. final case class PricePath(currency: Currency, prices: Path[Time, Double]) extends Product with Serializable

    

19. trait PricePathModel[-A <: Asset] extends Model[PricePathRequest[A], PricePath]

    

    Model which calculates prices for an asset at a series of virtufin.finance.Times in the future

    Model which calculates prices for an asset at a series of virtufin.finance.Times in the future

    A

    type of the asset

20. final case class PricePathRequest[+A <: Asset](asset: A, modelDate: Time, scenario: Scenario, pricingDates: Seq[Time]) extends ModelRequest with Product with Serializable

    

21. trait PricingModel[-A <: Asset] extends Model[PricingRequest[A], Cash]

    

22. final case class PricingRequest[+A <: Asset](asset: A, modelDate: Time, scenario: Scenario) extends ModelRequest with Product with Serializable

    

23. abstract class RandomPathScenarioModelSpecification[R <: RandomPath[Double, Double]] extends RandomScenarioModelSpecification[R, Path[Double, Double]]

    

24. class RandomScenarioModel[R <: Random[V], V] extends ScenarioModel

    

25. trait RandomScenarioModelSpecification[R <: Random[V], V] extends AnyRef

    

26. trait ScenarioModel extends Model[ScenarioRequest, Seq[Scenario]]

    

27. final case class ScenarioRequest(marketObservables: Iterable[MarketObservable[_]], scenario: Scenario, modelDate: Time) extends ModelRequest with Product with Serializable