Module net.finmath.lib

Package net.finmath.fouriermethod.calibration

package net.finmath.fouriermethod.calibration

Classes related to the calibration of Fourier models.

Author:

Alessandro Gnoatto, Christian Fries

Related Packages

Package	Description
net.finmath.fouriermethod	Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.
net.finmath.fouriermethod.calibration.models	Classes related to the calibration of fourier models.
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).

Class	Description
BoundConstraint	A class applying a bound constraint to a parameter.
CalibratedModel	This class solves a calibration problem.
CalibratedModel.OptimizationResult	Helper class for calibration results.
Constraint	Constraint base interface (scalar and multivariate)
NegativityConstraint	Negativity constraint for calibration parameters.
ParameterInformation	A generic interface for scalar or multivariate parameters.
PositivityConstraint	Positivity constraint for calibration parameters
ScalarConstraint	Base interface for scalar parameter constraints.
ScalarParameterInformation	An interface representing a scalar parameter.
ScalarParameterInformationImplementation	This class tells us if a parameter has to be calibrated and if it is constrained.
Unconstrained	Absence of constraints.