Uses of Class
net.finmath.modelling.descriptor.MertonModelDescriptor
Package
Description
Classes related to the calibration of fourier models.
Equity models implementing
ProcessModel
e.g.-
Uses of MertonModelDescriptor in net.finmath.fouriermethod.calibration.models
ModifierConstructorDescriptionCalibratableMertonModel
(MertonModelDescriptor descriptor) Basic constructor where all parameters are to be calibrated.CalibratableMertonModel
(MertonModelDescriptor descriptor, ScalarParameterInformation volatilityInfo, ScalarParameterInformation jumpIntensityInfo, ScalarParameterInformation jumpSizeMeanInfo, ScalarParameterInformation jumpSizeStdDevInfo) This constructor allows for the specification of constraints. -
Uses of MertonModelDescriptor in net.finmath.montecarlo.assetderivativevaluation.models
ModifierConstructorDescriptionMertonModel
(MertonModelDescriptor descriptor) Create the model from a descriptor.