Package net.finmath.smartcontract.valuation.marketdata.curvecalibration

package net.finmath.smartcontract.valuation.marketdata.curvecalibration

Providing curve calibrations.

Author:

Luca Del Re, Peter Kohl-Landgraf, Christian Fries

Interface Summary

Interface	Description
CalibrationContext	Interface for classes providing a calibration context in terms of a reference date and calibration info.
CalibrationParser	Interface for parsers generating CalibrationSpecProvider from CalibrationDatapoint.
CalibrationSpecProvider	Provides a way to get a CalibrationSpec for finmath calibration.

Class Summary

Class	Description
CalibrationContextImpl	A calibration context in terms of a reference date and calibration info.
CalibrationDataItem
CalibrationDataItem.Spec
CalibrationDataset	IR Market Data Scenario Class holds a SecnarioDate an a Map containing CurveData
CalibrationParserDataItems	Parses calibration data points and converts it to calibration specs
CalibrationResult	Contains the result of a calibration adding additional statistics to the calibrated model.
CalibrationSpecProviderDeposit	A calibration spec provider for deposits.
CalibrationSpecProviderFRA	A calibration spec provider for fras.
CalibrationSpecProviderOis	A calibration spec provider for OIS swaps.
CalibrationSpecProviderOvernightRate	A calibration spec provider for Overnight (O/N) rates, e.g.
CalibrationSpecProviderSwap	A calibration spec provider for swaps.
Calibrator	An object calibrating models from a stream of calibration spec providers