Uses of Interface
net.finmath.marketdata2.products.AnalyticProduct
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 products, e.g., calibration products.
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Uses of AnalyticProduct in net.finmath.marketdata2.calibration
Modifier and TypeMethodDescriptionCalibratedCurves.getCalibrationProductForSpec
(CalibratedCurves.CalibrationSpec calibrationSpec) CalibratedCurves.getCalibrationProductForSymbol
(String symbol) Returns the first product found in the vector of calibration products which matches the given symbol, where symbol is the String set in the calibrationSpecs.ModifierConstructorDescriptionSolver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).Solver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, StochasticOptimizerFactory optimizerFactory) Generate a solver for the given parameter objects (independents) and objective functions (dependents). -
Uses of AnalyticProduct in net.finmath.marketdata2.products
Modifier and TypeClassDescriptionclass
class
Implements the valuation of a single cashflow by a discount curve.class
Implements the valuation of the (overnight) deposit (maturity t+1 or t+2).class
Implements the valuation of a forward using curves (discount curve, forward curve).class
Implements the valuation of a FRA in multi-curve setting.class
Implements the valuation of a market forward rate agreement using curves (discount curve, forward curve).class
Implements an analytic product given by the ratio of two analytic products.class
Implements the valuation of a portfolio of products implementingAnalyticProductInterface
.class
Implements the valuation of a swap using curves (discount curve, forward curve).class
Implements the valuation of a swap annuity using curves (discount curve).class
Implements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).Modifier and TypeMethodDescriptionSwap.getLegPayer()
Return the payer leg of the swap, i.e.Swap.getLegReceiver()
Return the receiver leg of the swap, i.e.Modifier and TypeMethodDescriptionPortfolio.getProducts()
Returns the list of products as an unmodifiable list.ModifierConstructorDescriptionPortfolio
(AnalyticProduct product, double weight) Create a portfolio consisting of a single product with a given weight.Swap
(AnalyticProduct legReceiver, AnalyticProduct legPayer) Create a swap which values aslegReceiver - legPayer
.ModifierConstructorDescriptionPortfolio
(List<AnalyticProduct> products) Create a portfolio of products implementingAnalyticProductInterface
.Portfolio
(List<AnalyticProduct> products, List<Double> weights) Create a portfolio of products implementingAnalyticProductInterface
.Create a portfolio of products implementingAnalyticProductInterface
.