Package net.finmath.marketdata.calibration

package net.finmath.marketdata.calibration
Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
Christian Fries
  • Class
    Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
    Specification of calibration product.
    Combine a set of parameter vectors to a single parameter vector.
    An objects having a dependence on a parameter (double[]).
    Interface for parameter transformation.
    Generates a calibrated model for a given set of calibrationProducts with respect to given CurveFromInterpolationPointss.