| 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.modelling.modelfactory |
Provides classes to build models from descriptors.
|
| Constructor and Description |
|---|
CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
AnalyticModelFromCurvesAndVols calibrationModel)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
|
CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
AnalyticModelFromCurvesAndVols calibrationModel,
double calibrationAccuracy)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
|
CalibratedCurves(CalibratedCurves.CalibrationSpec[] calibrationSpecs,
AnalyticModelFromCurvesAndVols calibrationModel,
double evaluationTime,
double calibrationAccuracy)
Generate a collection of calibrated curves (discount curves, forward curves)
from a vector of calibration products and a given model.
|
| Modifier and Type | Method and Description |
|---|---|
AnalyticModelFromCurvesAndVols |
AnalyticModelFromCurvesAndVols.clone() |
| Modifier and Type | Class and Description |
|---|---|
static class |
AnalyticModelFactory.DescribedAnalyticModel
Class extending
AnalyticModelFromCurvesAndVols with the funtionality of a described model. |
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