Uses of Package
net.finmath.marketdata.model

Package
Description
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.
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.
Algorithms related to caplet tenor conversion.
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 models and products.
Provides classes to build models from descriptors.
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.
Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
Contains classes for parsing files.
Classes providing options for the annuity mapping function.
Classes providing calibration to market data of volatility cubes.
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.
Provides interface specification and implementation of product based on a single interest rate curve.