Uses of Package
net.finmath.marketdata.model.volatilities
Packages that use net.finmath.marketdata.model.volatilities
Package
Description
Classes related to the calibration of Fourier models.
Provides interface specification and implementation of a model, which is essentially
a collection of 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.
Provides interface specification and implementation of products, e.g., calibration products.
Provides interface separating implementation from specification (of models and products)
Interest rate models implementing
ProcessModel
e.g.Contains classes for parsing files.
Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
Classes providing calibration to market data of volatility cubes.
Provides classes to store and interact with market data.
Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction
from parameters.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.fouriermethod.calibrationClassDescriptionAn option quote surface with the ability to query option quotes for different strikes and maturities.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.model
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.model.volatilitiesClassDescriptionAbstract base class for a volatility surface.Base class for parametric volatility surfaces, implementing a generic calibration algorithm.An Equity option quote is a function of strike and maturity.A collection of option prices or implied volatilities for a given maturity.Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.Quoting convention for swaption data in a lattice.Basic interface to be implemented by classes providing swaption market data.Interface for classes representing a volatility surface, i.e.Quoting conventions.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.model.volatility.capletClassDescriptionInterface for classes representing a volatility surface, i.e.Quoting conventions.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.products
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.modelling.descriptor
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.montecarlo.interestrate.modelsClassDescriptionBasic interface to be implemented by classes providing swaption market data.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.parserClassDescriptionSaves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.Quoting convention for swaption data in a lattice.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprateClassDescriptionSaves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.Quoting convention for swaption data in a lattice.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprate.calibrationClassDescriptionSaves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprate.dataClassDescriptionSaves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprate.model.volatilitiesClassDescriptionSaves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.Quoting conventions.