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.
- Christian Fries
InterfaceDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.
ClassDescriptionImplements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").