Uses of Interface
net.finmath.marketdata.calibration.ParameterObject

Packages that use ParameterObject

Package	Description
net.finmath.marketdata.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.bond	Provided classes related to the modelling of Bond curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.

Uses of ParameterObject in net.finmath.marketdata.calibration

Classes in net.finmath.marketdata.calibration with type parameters of type ParameterObject

Modifier and Type	Class and Description
class	ParameterAggregation<E extends ParameterObject> Combine a set of parameter vectors to a single parameter vector.

Classes in net.finmath.marketdata.calibration that implement ParameterObject

Modifier and Type	Class and Description
class	ParameterAggregation<E extends ParameterObject> Combine a set of parameter vectors to a single parameter vector.

Methods in net.finmath.marketdata.calibration that return ParameterObject

Modifier and Type	Method and Description
ParameterObject	ParameterObject.getCloneForParameter(double[] value) Create a clone with a modified parameter.

Method parameters in net.finmath.marketdata.calibration with type arguments of type ParameterObject

Modifier and Type	Method and Description
AnalyticModel	Solver.getCalibratedModel(Set<ParameterObject> objectsToCalibrate) Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.

Constructors in net.finmath.marketdata.calibration with parameters of type ParameterObject

Constructor and Description
ParameterAggregation(E[] parameters) Create a collection of parametrized objects.

Uses of ParameterObject in net.finmath.marketdata.model

Method parameters in net.finmath.marketdata.model with type arguments of type ParameterObject

Modifier and Type	Method and Description
AnalyticModel	AnalyticModel.getCloneForParameter(Map<ParameterObject,double[]> curvesParameterPairs)
AnalyticModel	AnalyticModelFromCurvesAndVols.getCloneForParameter(Map<ParameterObject,double[]> curveParameterPairs)

Uses of ParameterObject in net.finmath.marketdata.model.bond

Classes in net.finmath.marketdata.model.bond that implement ParameterObject

Modifier and Type	Class and Description
class	BondCurve Implements the bond curve as a curve object, see Curve.

Uses of ParameterObject in net.finmath.marketdata.model.curves

Subinterfaces of ParameterObject in net.finmath.marketdata.model.curves

Modifier and Type	Interface and Description
interface	Curve The interface which is implemented by a general curve.
interface	DiscountCurve The interface which is implemented by discount curves.
interface	ForwardCurve The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves that implement ParameterObject

Modifier and Type	Class and Description
class	AbstractCurve Abstract base class for a curve.
class	AbstractForwardCurve Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.
class	CurveFromProductOfCurves A curve derived from other curves by multiplying the values.
class	CurveInterpolation This class represents a curve build from a set of points in 2D.
class	DiscountCurveFromForwardCurve A discount curve derived from a given forward curve.
class	DiscountCurveFromProductOfCurves A discount curve derived from other discount curves by multiplying the discount factors.
class	DiscountCurveInterpolation Implementation of a discount factor curve based on CurveInterpolation.
class	DiscountCurveNelsonSiegelSvensson Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
class	DiscountCurveRenormalized A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.
class	ForwardCurveFromDiscountCurve A forward curve derived from a given discount curve.
class	ForwardCurveInterpolation A container for a forward (rate) curve.
class	ForwardCurveNelsonSiegelSvensson Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
class	ForwardCurveWithFixings
class	IndexCurveFromDiscountCurve An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).
class	PiecewiseCurve A piecewise curve.
class	SeasonalCurve The curve returns a value depending on the month of the time argument, that is, a call getValue(model, time) will map time to a 30/360 value using the day and month only and delegate the call to a given base curve.

Uses of ParameterObject in net.finmath.marketdata.model.volatilities

Classes in net.finmath.marketdata.model.volatilities that implement ParameterObject

Modifier and Type	Class and Description
class	AbstractVolatilitySurfaceParametric Base class for parametric volatility surfaces, implementing a generic calibration algorithm.
class	CapletVolatilitiesParametric A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
class	CapletVolatilitiesParametricDisplacedFourParameterAnalytic A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).
class	CapletVolatilitiesParametricFourParameterPicewiseConstant A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).