Uses of Package
net.finmath.marketdata.model
Package
Description
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.
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Algorithms related to caplet tenor conversion.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Provides interface separating models and products.
Provides classes to build models from descriptors.
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process
.Interest rate models implementing
ProcessModel
e.g.Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.Contains classes for parsing files.
Classes providing options for the annuity mapping function.
Classes providing calibration to market data of volatility cubes.
Classes extending the regular analytic model, see
net.finmath.marketdata.model
, with the capacity to hold volatility cubes,
see VolatilityCube
.Additional curves for use in an analytic model,
AnalyticModel
.Provides interface specification and implementation of product based on a single interest rate curve.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.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").

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.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").

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.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").

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.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").

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.

ClassDescriptionA collection of objects representing analytic valuations, i.e., curves and volatility surfaces.