Package net.finmath.smartcontract.valuation.marketdata.curvecalibration
package net.finmath.smartcontract.valuation.marketdata.curvecalibration
Providing curve calibrations.
- Author:
- Luca Del Re, Peter Kohl-Landgraf, Christian Fries
-
ClassDescriptionInterface for classes providing a calibration context in terms of a reference date and calibration info.A calibration context in terms of a reference date and calibration info.IR Market Data Scenario Class holds a SecnarioDate an a Map containing CurveDataInterface for parsers generating
CalibrationSpecProviderfromCalibrationDatapoint.Parses calibration data points and converts it to calibration specsContains the result of a calibration adding additional statistics to the calibrated model.Provides a way to get a CalibrationSpec for finmath calibration.A calibration spec provider for deposits.A calibration spec provider for fras.A calibration spec provider for OIS swaps.A calibration spec provider for swaps.An object calibrating models from a stream of calibration spec providers