Uses of Class
net.finmath.fouriermethod.products.smile.EuropeanOptionSmile
Package
Description
Classes related to the calibration of Fourier models.
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to
the corresponding product value.
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Uses of EuropeanOptionSmile in net.finmath.fouriermethod.calibration
ModifierConstructorDescriptionCalibratedModel
(OptionSurfaceData surface, CalibratableProcess model, OptimizerFactory optimizerFactory, EuropeanOptionSmile pricer, double[] initialParameters, double[] parameterStep) Create the calibration from data. -
Uses of EuropeanOptionSmile in net.finmath.fouriermethod.products.smile
Modifier and TypeClassDescriptionclass
This class computes the prices of a collection of call options for a fixed maturity and a family of strikes.Modifier and TypeMethodDescriptionabstract EuropeanOptionSmile
EuropeanOptionSmile.getCloneWithModifiedParameters
(double maturity, double[] strikes) Returns the same valuation method for different parameters (maturity and strikes).EuropeanOptionSmileByCarrMadan.getCloneWithModifiedParameters
(double maturity, double[] strikes)