Module net.finmath.lib

Package net.finmath.marketdata.model.curves.locallinearregression

package net.finmath.marketdata.model.curves.locallinearregression

Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942

Author:

Christian Fries, Moritz Scherrmann

Related Packages

Package	Description
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.

Class	Description
CurveEstimation	This class implements the method of local linear regression with discrete kernel function, see see https://ssrn.com/abstract=3073942 In particular it represents the implementation of proposition 2 and 3 of the paper.
CurveEstimation.Distribution	Possible kernel types.
Partition	This class represents a set of discrete points in time with weighted interval reference points.