Uses of Class
net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
Package
Description
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
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Uses of AbstractVolatilitySurfaceParametric in net.finmath.marketdata.model.volatilities
Modifier and TypeClassDescriptionclass
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).Modifier and TypeMethodDescriptionAbstractVolatilitySurfaceParametric.getCloneCalibrated
(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String, Object> calibrationParameters) AbstractVolatilitySurfaceParametric.getCloneCalibrated
(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String, Object> calibrationParameters, ParameterTransformation parameterTransformation) AbstractVolatilitySurfaceParametric.getCloneCalibrated
(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String, Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) Create a clone of this volatility surface using a generic calibration of its parameters to given market data.abstract AbstractVolatilitySurfaceParametric
AbstractVolatilitySurfaceParametric.getCloneForParameter
(double[] value) Returns a clone of this volatility surface with modified parameters.CapletVolatilitiesParametric.getCloneForParameter
(double[] value) CapletVolatilitiesParametricDisplacedFourParameterAnalytic.getCloneForParameter
(double[] value) CapletVolatilitiesParametricFourParameterPicewiseConstant.getCloneForParameter
(double[] value)