Uses of Interface
net.finmath.marketdata.model.volatilities.SwaptionMarketData
Package
Description
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
Interest rate models implementing
ProcessModel
e.g.-
Uses of SwaptionMarketData in net.finmath.marketdata.model.volatilities
Modifier and TypeClassDescriptionclass
Simple swaption market data class. -
Uses of SwaptionMarketData in net.finmath.montecarlo.interestrate.models
Modifier and TypeMethodDescriptionLIBORMarketModelFromCovarianceModel.getSwaptionMarketData()
Return the swaption market data used for calibration (if any, may be null).LIBORMarketModelStandard.getSwaptionMarketData()
Return the swaption market data used for calibration (if any, may be null).ModifierConstructorDescriptionLIBORMarketModelFromCovarianceModel
(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel
(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData, Map<String, ?> properties) Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel
(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.LIBORMarketModelStandard
(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.LIBORMarketModelStandard
(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.