Module net.finmath.lib

Package net.finmath.timeseries

package net.finmath.timeseries

Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models. Contains some aspects of estimating risk distribution from historical changes.

Author:

Christian Fries

Class	Description
HistoricalSimulationModel	A parametric time series model based on a given times series.
MarketData	A set of raw data associated with a given date.
TimeSeries	Interface to be implemented by finite time series.
TimeSeriesFromArray	A discrete time series.
TimeSeriesModelParametric	A parametric time series model
TimeSeriesView	A time series created from a sup-interval of another time series.