Module net.finmath.lib

Package net.finmath.singleswaprate.calibration

package net.finmath.singleswaprate.calibration

Classes providing calibration to market data of volatility cubes.

Author:

Christian Fries, Roland Bachl

Related Packages

Package	Description
net.finmath.singleswaprate	Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
net.finmath.singleswaprate.annuitymapping	Classes providing options for the annuity mapping function.
net.finmath.singleswaprate.data	Provides classes to store and interact with market data.
net.finmath.singleswaprate.model	Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.products	Provides interface specification and implementation of product based on a single interest rate curve.

Classes

Class	Description
AbstractCubeCalibration	Abstract class providing a default method of calibrating a parametric cube to market data, which can be implemented quickly for any cube by implementing the methods: buildCube initializeParameters applyParameterBounds
SABRCubeCalibration	Calibration of SABRVolatilityCube using custom optimization.
SABRCubeParallelCalibration	Calibrates a SABRVolatilityCubeParallel.
SABRShiftedSmileCalibration	Calibration of a SABRVolatilityCube by shifting increments in the market data of cash settled swaptions onto physically settled swaptions and calibrating a SABR model on the resulting smiles.
StaticCubeCalibration	Calibration for a simple cube that only provides a single value at all coordinates.