Package net.finmath.marketdata.calibration

Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.

See: Description

Interface Summary

Interface	Description
ParameterObject	An objects having a dependence on a parameter (double[]).
ParameterTransformation	Interface for parameter transformation.

Class Summary

Class	Description
CalibratedCurves	Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
CalibratedCurves.CalibrationSpec	Specification of calibration product.
ParameterAggregation<E extends ParameterObject>	Combine a set of parameter vectors to a single parameter vector.
Solver	Generates a calibrated model for a given set of calibrationProducts with respect to given CurveFromInterpolationPointss.

Package net.finmath.marketdata.calibration Description

Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.

Author:

Christian Fries