Module net.finmath.lib

Package net.finmath.fouriermethod.calibration.models

package net.finmath.fouriermethod.calibration.models
Classes related to the calibration of fourier models.
Author:
Alessandro Gnoatto, Christian Fries
  • Class
    Description
    CalibratableHestonModel
    This class is creates new instances of HestonModel and communicates with the optimization algorithm.
    CalibratableMertonModel
    This class is creates new instances of MertonModel and communicates with the optimization algorithm.
    CalibratableProcess
    Every class implementing this interface communicates with the calibration routine by providing clones of the model with changed parameters.
    CalibratableVarianceGammaModel
    This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm.