Layout improvement. Adding MVA.
@@ -36,17 +36,18 @@ The finmath lib libraries provides (JVM) implementations of methodologies relate
- **Stochastic Automatic Differentiation** (AAD) (requires finmath-lib-automaticdifferentiation-extensions https://github.com/finmath/finmath-lib-automaticdifferentiation-extensions )
- **Monte-Carlo Simulation on GPGPUs** (via Cuda) (requires finmath-lib-cuda-extensions https://github.com/finmath/finmath-lib-cuda-extensions )
- Calibration of market data objects like curves (discount and forward curve) or volatility surfaces
- - Multi-curve interest rate curve calibration (OIS discounting, basis-swaps, cross-currency-swaps).
- - Bond curve calibration using local linear regression (see https://ssrn.com/abstract=3073942 ).
+ - **Multi-curve interest rate curve calibration** (OIS discounting, basis-swaps, cross-currency-swaps).
+ - **Bond curve calibration** using local linear regression (see https://ssrn.com/abstract=3073942 ).
- 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
+- Calibration of the **LIBOR market model**
- Valuation of complex derivatives
- Bermudan options / multi-callables lower bound via regression estimation of the conditional expectation
- Bermudan options / multi-callables upper bound via dual method
- Hedge Simulation
+- Margin Valuation Adjustments (MVA) though forward ISDA SIMM simulation (this is currently a separate project at https://github.com/finmath ).
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