Uses of Interface
net.finmath.marketdata2.model.AnalyticModel

Packages that use AnalyticModel

Package	Description
net.finmath.marketdata2.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata2.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata2.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata2.products	Provides interface specification and implementation of products, e.g., calibration products.

Uses of AnalyticModel in net.finmath.marketdata2.calibration

Methods in net.finmath.marketdata2.calibration that return AnalyticModel

Modifier and Type	Method	Description
AnalyticModel	Solver.getCalibratedModel(Set<ParameterObject> objectsToCalibrate)	Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
AnalyticModel	CalibratedCurves.getModel()	Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.

Constructors in net.finmath.marketdata2.calibration with parameters of type AnalyticModel

Modifier	Constructor	Description
	CalibratedCurves(List<CalibratedCurves.CalibrationSpec> calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy)	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
	Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
	Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, double evaluationTime, double calibrationAccuracy)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
	Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, double evaluationTime, double calibrationAccuracy)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
	Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, double calibrationAccuracy)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).
	Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, StochasticOptimizerFactory optimizerFactory)	Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Uses of AnalyticModel in net.finmath.marketdata2.model

Classes in net.finmath.marketdata2.model that implement AnalyticModel

Modifier and Type	Class	Description
class	AnalyticModelFromCurvesAndVols	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").

Methods in net.finmath.marketdata2.model that return AnalyticModel

Modifier and Type	Method	Description
AnalyticModel	AnalyticModel.addCurve(String name, Curve curve)	Add a reference to a given curve under a given name to this model.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurve(String name, Curve curve)
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurve(Curve curve)
AnalyticModel	AnalyticModel.addCurves(Set<Curve> curves)	Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	AnalyticModel.addCurves(Curve... curves)	Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurves(Set<Curve> curves)
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurves(Curve... curves)
AnalyticModel	AnalyticModelFromCurvesAndVols.addVolatilitySurface(VolatilitySurface volatilitySurface)
AnalyticModel	AnalyticModel.addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)	Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModel	AnalyticModel.addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
AnalyticModel	AnalyticModelFromCurvesAndVols.addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)
AnalyticModel	AnalyticModelFromCurvesAndVols.addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
AnalyticModel	AnalyticModel.clone()
AnalyticModel	AnalyticModel.getCloneForParameter(Map<ParameterObject,RandomVariable[]> curvesParameterPairs)
AnalyticModel	AnalyticModelFromCurvesAndVols.getCloneForParameter(Map<ParameterObject,RandomVariable[]> curveParameterPairs)

Uses of AnalyticModel in net.finmath.marketdata2.model.curves

Methods in net.finmath.marketdata2.model.curves with parameters of type AnalyticModel

Modifier and Type	Method	Description
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, double[] times, double[] givenForwards, AnalyticModel model, String discountCurveName, double paymentOffset)	Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, double[] times, RandomVariable[] givenForwards, AnalyticModel model, String discountCurveName, double paymentOffset)	Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, String interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, RandomVariable[] givenForwards)	Create a forward curve from given times and given forwards.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, RandomVariable[] givenForwards)	Create a forward curve from given times and given forwards.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, RandomVariable[] givenForwards)	Create a forward curve from given times and given forwards.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, RandomVariable[] givenForwards)	Create a forward curve from given times and given forwards.
RandomVariable	DiscountCurveFromForwardCurve.getDiscountFactor(AnalyticModel model, double maturity)
RandomVariable	DiscountCurveInterface.getDiscountFactor(AnalyticModel model, double maturity)	Returns the discount factor for the corresponding maturity.
RandomVariable	DiscountCurveInterpolation.getDiscountFactor(AnalyticModel model, double maturity)
RandomVariable	ForwardCurveFromDiscountCurve.getForward(AnalyticModel model, double fixingTime)
RandomVariable	ForwardCurveFromDiscountCurve.getForward(AnalyticModel model, double fixingTime, double paymentOffset)
RandomVariable	ForwardCurveInterface.getForward(AnalyticModel model, double fixingTime)	Returns the forward for the corresponding fixing time.
RandomVariable	ForwardCurveInterface.getForward(AnalyticModel model, double fixingTime, double paymentOffset)	Returns the forward for the corresponding fixing time and paymentOffset.
RandomVariable	ForwardCurveInterpolation.getForward(AnalyticModel model, double fixingTime)
RandomVariable	ForwardCurveInterpolation.getForward(AnalyticModel model, double fixingTime, double paymentOffset)	Returns the forward for the corresponding fixing time.
RandomVariable[]	AbstractForwardCurve.getForwards(AnalyticModel model, double[] fixingTimes)	Returns the forwards for a given vector fixing times.
RandomVariable	Curve.getValue(AnalyticModel model, double time)	Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
RandomVariable	CurveInterpolation.getValue(AnalyticModel model, double time)
RandomVariable	DiscountCurveFromForwardCurve.getValue(AnalyticModel model, double time)
RandomVariable	ForwardCurveFromDiscountCurve.getValue(AnalyticModel model, double time)

Uses of AnalyticModel in net.finmath.marketdata2.products

Methods in net.finmath.marketdata2.products with parameters of type AnalyticModel

Modifier and Type	Method	Description
static RandomVariable	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurveInterface forwardCurve, AnalyticModel model)
RandomVariable	Deposit.getRate(AnalyticModel model)	Return the deposit rate implied by the given model's curve.
RandomVariable	ForwardRateAgreement.getRate(AnalyticModel model)	Return the par FRA rate for a given curve.
static RandomVariable	SwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, DiscountCurveInterface discountCurve, AnalyticModel model)	Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
RandomVariable	AbstractAnalyticProduct.getValue(AnalyticModel model)
RandomVariable	AnalyticProduct.getValue(double evaluationTime, AnalyticModel model)	Return the valuation of the product using the given model.
RandomVariable	Cashflow.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	Deposit.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	Forward.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	ForwardRateAgreement.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	MarketForwardRateAgreement.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	Performance.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	Portfolio.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	Swap.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	SwapAnnuity.getValue(double evaluationTime, AnalyticModel model)
RandomVariable	SwapLeg.getValue(double evaluationTime, AnalyticModel model)