Module net.finmath.lib

Package net.finmath.singleswaprate.data

package net.finmath.singleswaprate.data

Provides classes to store and interact with market data.

Author:

Christian Fries, Roland Bachl

Related Packages

Package	Description
net.finmath.singleswaprate	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.
net.finmath.singleswaprate.annuitymapping	Classes providing options for the annuity mapping function.
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.model	Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.products	Provides interface specification and implementation of product based on a single interest rate curve.

Class	Description
DataTable	An interface for storing double values in a tenor grid.
DataTable.TableConvention	Possible conventions for the table.
DataTableBasic	A basic implementation of DataTable, which provides no means of inter- or extrapolation.
DataTableExtrapolated	Extends DataTableBasic with the capacity to inter- and extrapolate values off the tenor grid.
DataTableInterpolated	Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes.
DataTableLight	A basic implementation of DataTable, which only allows access to data via int and provides no means of inter- or extrapolation.
DataTableLinear	Extends DataTableBasic with the capacity to interpolate values between tenor grid nodes, using BiLinearInterpolation Note that the interpolation is done to the accuracy of the table convention.
ErrorEstimation	Provides several error estimates between values taken from market data and values taken from a model.