Uses of Package
net.finmath.marketdata.model.curves

Packages that use net.finmath.marketdata.model.curves Package Description net.finmath.fouriermethod.models Provides characteristic functions of stochastic processes (models).net.finmath.marketdata.calibration Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.net.finmath.marketdata.model Provides interface specification and implementation of a model, which is essentially a collection of curves.net.finmath.marketdata.model.bond Provides classes related to the modeling of Bond curves.net.finmath.marketdata.model.curves Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.net.finmath.marketdata.model.curves.locallinearregression Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942net.finmath.marketdata.model.volatilities Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.net.finmath.marketdata.model.volatility.caplet Algorithms related to bootstrapping and interpolation of caplet implied volatilities.net.finmath.marketdata.products Provides interface specification and implementation of products, e.g., calibration products.net.finmath.marketdata2.model.volatilities Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.net.finmath.modelling.descriptor Provides interface separating implementation from specification (of models and products)net.finmath.modelling.modelfactory Provides classes to build models from descriptors.net.finmath.montecarlo.assetderivativevaluation.models Equity models implementingProcessModel
e.g.net.finmath.montecarlo.hybridassetinterestrate Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.net.finmath.montecarlo.interestrate Provides classes needed to generate a LIBOR market model (using numerical algorithms fromnet.finmath.montecarlo.process
.net.finmath.montecarlo.interestrate.models Interest rate models implementingProcessModel
e.g.net.finmath.montecarlo.interestrate.models.covariance Contains covariance models and their calibration as plugins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.net.finmath.montecarlo.interestrate.products Provides classes which implement financial products which may be valued using anet.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.net.finmath.montecarlo.interestrate.products.indices Provides a set of indices which can be used as part of a period.net.finmath.parser Contains classes for parsing files.net.finmath.singleswaprate.model Classes extending the regular analytic model, seenet.finmath.marketdata.model
, with the capacity to hold volatility cubes, seeVolatilityCube
.net.finmath.singleswaprate.model.curves Additional curves for use in an analytic model,AnalyticModel
. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.fouriermethod.models Class Description DiscountCurve The interface which is implemented by discount curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.calibration Class Description Curve The interface which is implemented by a general curve. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model Class Description Curve The interface which is implemented by a general curve.DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.bond Class Description AbstractCurve Abstract base class for a curve.Curve The interface which is implemented by a general curve.CurveBuilder Interface of builders which allow to build curve objects by successively adding points. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.curves Class Description AbstractCurve Abstract base class for a curve.AbstractForwardCurve 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.Curve The interface which is implemented by a general curve.CurveBuilder Interface of builders which allow to build curve objects by successively adding points.CurveInterpolation This class represents a curve build from a set of points in 2D.CurveInterpolation.Builder A builder (following the builder pattern) for CurveFromInterpolationPoints objects.CurveInterpolation.ExtrapolationMethod Possible extrapolation methods.CurveInterpolation.InterpolationEntity Possible interpolation entities.CurveInterpolation.InterpolationMethod Possible interpolation methods.CurveInterpolation.Point Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.DiscountCurve The interface which is implemented by discount curves.DiscountCurveInterpolation Implementation of a discount factor curve based onCurveInterpolation
.DiscountCurveNelsonSiegelSvensson Implementation of a discount factor curve given by a NelsonSiegelSvensson (NSS) parameterization.DiscountCurveRenormalized 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.ForwardCurve The interface which is implemented by forward curves.ForwardCurveInterpolation A container for a forward (rate) curve.ForwardCurveInterpolation.InterpolationEntityForward Additional choice of interpolation entities for forward curves.ForwardCurveNelsonSiegelSvensson Implementation of a forward given by a NelsonSiegelSvensson (NSS) parameterization.ForwardCurveWithFixings PiecewiseCurve A piecewise curve.PiecewiseCurve.Builder A builder (following the builder pattern) for PiecewiseCurve objects.SeasonalCurve 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.SeasonalCurve.Builder A builder (following the builder pattern) for SeasonalCurve objects. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.curves.locallinearregression Class Description Curve The interface which is implemented by a general curve. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatilities Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatility.caplet Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.products Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata2.model.volatilities Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.descriptor Class Description Curve The interface which is implemented by a general curve.DiscountCurve The interface which is implemented by discount curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.modelfactory Class Description Curve The interface which is implemented by a general curve. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.assetderivativevaluation.models Class Description DiscountCurve The interface which is implemented by discount curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.hybridassetinterestrate Class Description DiscountCurve The interface which is implemented by discount curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.models Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.models.covariance Class Description ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.products Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.products.indices Class Description ForwardCurve The interface which is implemented by forward curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.parser Class Description Curve The interface which is implemented by a general curve.CurveInterpolation.ExtrapolationMethod Possible extrapolation methods.CurveInterpolation.InterpolationEntity Possible interpolation entities.CurveInterpolation.InterpolationMethod Possible interpolation methods.DiscountCurve The interface which is implemented by discount curves. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model Class Description Curve The interface which is implemented by a general curve. 
Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model.curves Class Description AbstractCurve Abstract base class for a curve.Curve The interface which is implemented by a general curve.CurveBuilder Interface of builders which allow to build curve objects by successively adding points.