Module net.finmath.lib

Package net.finmath.singleswaprate.model.curves

package net.finmath.singleswaprate.model.curves

Additional curves for use in an analytic model, AnalyticModel.

Author:

Christian Fries, Roland Bachl

Related Packages

Package	Description
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.model.volatilities	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.

Classes

Class	Description
ExponentialCorrelationCurve	A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .