Module net.finmath.lib

Package net.finmath.marketdata.model

package net.finmath.marketdata.model

Provides interface specification and implementation of a model, which is essentially a collection of curves. A model exposes the parameters of its elements (curves) as a single parameter an can be calibrated using a generic solver.

Author:

Christian Fries

Related Packages

Package	Description
net.finmath.marketdata.model.bond	Provides classes related to the modeling of Bond curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.

Class	Description
AnalyticModel	A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
AnalyticModelFromCurvesAndVols	Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").