Uses of Interface
net.finmath.marketdata.model.volatility.caplet.tenorconversion.CorrelationProvider
Package
Description
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Algorithms related to caplet tenor conversion.
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Uses of CorrelationProvider in net.finmath.marketdata.model.volatility.caplet
ModifierConstructorDescriptionCapletVolBootstrapping
(CorrelationProvider correlationProvider, CapVolMarketData capVolMarketData, AnalyticModel parsedModel) The constructor of the caplet bootstrapping class. -
Uses of CorrelationProvider in net.finmath.marketdata.model.volatility.caplet.tenorconversion
Modifier and TypeClassDescriptionclass
This class implements a correlation provider based on iCap market data.ModifierConstructorDescriptionTenorConverter
(CorrelationProvider correlationProvider, int currentTenorInMonths, int newTenorInMonths, double[] capletFixingTimeVectorInYears, double[] strikeVector, double[][] capletVolatilities, CapTenorStructure capTenorStructure, AnalyticModel analyticModel2, String indexForDiscount, String indexOldTenor, String indexNewTenor) The constructor of the tenor conversion class