Module net.finmath.lib

Package net.finmath.marketdata.model.curves.locallinearregression

package net.finmath.marketdata.model.curves.locallinearregression

Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942

Author:

Christian Fries, Moritz Scherrmann

Class Summary

Class	Description
CurveEstimation	This class implements the method of local linear regression with discrete kernel function, see see https://ssrn.com/abstract=3073942 In particular it represents the implementation of proposition 2 and 3 of the paper.
Partition	This class represents a set of discrete points in time with weighted interval reference points.

Enum Summary

Enum	Description
CurveEstimation.Distribution	Possible kernel types.