Uses of Interface
net.finmath.optimizer.OptimizerFactory
Package
Description
Classes related to the calibration of Fourier models.
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 volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
This package provides classes with numerical algorithm for optimization of
an objective function and a factory to easy construction of the optimizers.
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Uses of OptimizerFactory in net.finmath.fouriermethod.calibration
ModifierConstructorDescriptionCalibratedModel
(OptionSurfaceData surface, CalibratableProcess model, OptimizerFactory optimizerFactory, EuropeanOptionSmile pricer, double[] initialParameters, double[] parameterStep) Create the calibration from data. -
Uses of OptimizerFactory in net.finmath.marketdata.calibration
ModifierConstructorDescriptionSolver
(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, OptimizerFactory optimizerFactory) Generate a solver for the given parameter objects (independents) and objective functions (dependents). -
Uses of OptimizerFactory in net.finmath.marketdata.model.volatilities
Modifier and TypeMethodDescriptionAbstractVolatilitySurfaceParametric.getCloneCalibrated
(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String, Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) Create a clone of this volatility surface using a generic calibration of its parameters to given market data. -
Uses of OptimizerFactory in net.finmath.optimizer
Modifier and TypeClassDescriptionclass
class