Uses of Interface
net.finmath.fouriermethod.calibration.models.CalibratableProcess
Package
Description
Classes related to the calibration of Fourier models.
Classes related to the calibration of fourier models.
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Uses of CalibratableProcess in net.finmath.fouriermethod.calibration
ModifierConstructorDescriptionCalibratedModel
(OptionSurfaceData surface, CalibratableProcess model, OptimizerFactory optimizerFactory, EuropeanOptionSmile pricer, double[] initialParameters, double[] parameterStep) Create the calibration from data.OptimizationResult
(CalibratableProcess model, double[] bestFitParameters, int iterations, double rootMeanSquaredError, ArrayList<String> calibrationOutput) -
Uses of CalibratableProcess in net.finmath.fouriermethod.calibration.models
Modifier and TypeClassDescriptionclass
This class is creates new instances of HestonModel and communicates with the optimization algorithm.class
This class is creates new instances of MertonModel and communicates with the optimization algorithm.class
This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm.Modifier and TypeMethodDescriptionCalibratableMertonModel.getCloneForModifiedParameters
(double[] parameters) CalibratableProcess.getCloneForModifiedParameters
(double[] parameters) Calibration substitutes in the model the parameters of the process with calibrated ones.CalibratableVarianceGammaModel.getCloneForModifiedParameters
(double[] parameters)