Uses of Class
net.finmath.modelling.descriptor.VarianceGammaModelDescriptor
Package
Description
Classes related to the calibration of fourier models.
Equity models implementing
ProcessModel
e.g.-
Uses of VarianceGammaModelDescriptor in net.finmath.fouriermethod.calibration.models
ModifierConstructorDescriptionBasic constructor where all parameters are to be calibrated.CalibratableVarianceGammaModel
(VarianceGammaModelDescriptor descriptor, ScalarParameterInformation sigmaInfo, ScalarParameterInformation thetaInfo, ScalarParameterInformation nuInfo) -
Uses of VarianceGammaModelDescriptor in net.finmath.montecarlo.assetderivativevaluation.models
ModifierConstructorDescriptionVarianceGammaModel
(VarianceGammaModelDescriptor descriptor) Create the model from a descriptor.