Uses of Package
net.finmath.marketdata.model.curves
Packages that use net.finmath.marketdata.model.curves
Package
Description
Provides characteristic functions of stochastic processes (models).
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides classes related to the modeling of Bond curves.
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Provides interface separating implementation from specification (of models and products)
Provides classes to build models from descriptors.
Equity models implementing
ProcessModel
e.g.Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process.Interest rate models implementing
ProcessModel
e.g.Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.Provides a set of indices which can be used as part of a period.
Contains classes for parsing files.
Classes extending the regular analytic model, see
net.finmath.marketdata.model, with the capacity to hold volatility cubes,
see VolatilityCube.Additional curves for use in an analytic model,
AnalyticModel.-
Classes in net.finmath.marketdata.model.curves used by net.finmath.fouriermethod.models
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.calibration
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.modelClassDescriptionThe interface which is implemented by a general curve.The interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.bondClassDescriptionAbstract base class for a curve.The interface which is implemented by a general curve.Interface of builders which allow to build curve objects by successively adding points.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.curvesClassDescriptionAbstract base class for a curve.Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.The interface which is implemented by a general curve.Interface of builders which allow to build curve objects by successively adding points.This class represents a curve build from a set of points in 2D.A builder (following the builder pattern) for CurveFromInterpolationPoints objects.Possible extrapolation methods.Possible interpolation entities.Possible interpolation methods.Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.The interface which is implemented by discount curves.Implementation of a discount factor curve based on
CurveInterpolation.Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.The interface which is implemented by forward curves.A container for a forward (rate) curve.Additional choice of interpolation entities for forward curves.Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.A piecewise curve.A builder (following the builder pattern) for PiecewiseCurve objects.The curve returns a value depending on the month of the time argument, that is, a callgetValue(model, time)will map time to a 30/360 value using the day and month only and delegate the call to a given base curve.A builder (following the builder pattern) for SeasonalCurve objects. -
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatilitiesClassDescriptionThe interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatility.capletClassDescriptionThe interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.productsClassDescriptionThe interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata2.model.volatilitiesClassDescriptionThe interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.descriptorClassDescriptionThe interface which is implemented by a general curve.The interface which is implemented by discount curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.modelfactory
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Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrateClassDescriptionThe interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.modelsClassDescriptionThe interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.productsClassDescriptionThe interface which is implemented by discount curves.The interface which is implemented by forward curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.parserClassDescriptionThe interface which is implemented by a general curve.Possible extrapolation methods.Possible interpolation entities.Possible interpolation methods.The interface which is implemented by discount curves.
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Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model
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Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model.curvesClassDescriptionAbstract base class for a curve.The interface which is implemented by a general curve.Interface of builders which allow to build curve objects by successively adding points.