Uses of Package
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,
ClassDescriptionGenerate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.Specification of calibration product.An objects having a dependence on a parameter (double).Interface for parameter transformation.