Uses of Interface
net.finmath.marketdata.calibration.ParameterObject
Package
Description
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
Provides interface specification and implementation of a model, which is essentially
a collection of curves.
Provides classes related to the modeling of Bond curves.
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Additional curves for use in an analytic model,
AnalyticModel
.-
Uses of ParameterObject in net.finmath.marketdata.calibration
Modifier and TypeClassDescriptionclass
ParameterAggregation<E extends ParameterObject>
Combine a set of parameter vectors to a single parameter vector.Modifier and TypeClassDescriptionclass
ParameterAggregation<E extends ParameterObject>
Combine a set of parameter vectors to a single parameter vector.Modifier and TypeMethodDescriptionParameterObject.getCloneForParameter
(double[] value) Create a clone with a modified parameter.Modifier and TypeMethodDescriptionSolver.getCalibratedModel
(Set<ParameterObject> objectsToCalibrate) Find the model such that the equationobjectiveFunctions.getValue(model) = 0
holds.ModifierConstructorDescriptionParameterAggregation
(E[] parameters) Create a collection of parametrized objects. -
Uses of ParameterObject in net.finmath.marketdata.model
Modifier and TypeMethodDescriptionAnalyticModel.getCloneForParameter
(Map<ParameterObject, double[]> curvesParameterPairs) AnalyticModelFromCurvesAndVols.getCloneForParameter
(Map<ParameterObject, double[]> curveParameterPairs) -
Uses of ParameterObject in net.finmath.marketdata.model.bond
-
Uses of ParameterObject in net.finmath.marketdata.model.curves
Modifier and TypeInterfaceDescriptioninterface
The interface which is implemented by a general curve.interface
The interface which is implemented by discount curves.interface
The interface which is implemented by forward curves.Modifier and TypeClassDescriptionclass
Abstract base class for a curve.class
Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.class
A curve derived from other curves by multiplying the values.class
This class represents a curve build from a set of points in 2D.class
A discount curve derived from a given forward curve.class
A discount curve derived from other discount curves by multiplying the discount factors.class
Implementation of a discount factor curve based onCurveInterpolation
.class
Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.class
A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.class
A forward curve derived from a given discount curve.class
A container for a forward (rate) curve.class
Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.class
class
An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).class
A piecewise curve.class
The curve returns a value depending on the month of the time argument, that is, a callgetValue(model, time)
will map time to a 30/360 value using the day and month only and delegate the call to a given base curve. -
Uses of ParameterObject in net.finmath.marketdata.model.volatilities
Modifier and TypeClassDescriptionclass
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.class
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \). -
Uses of ParameterObject in net.finmath.singleswaprate.model.curves
Modifier and TypeClassDescriptionclass
A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .