Uses of Class
net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric

Packages that use AbstractVolatilitySurfaceParametric

Package	Description
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 AbstractVolatilitySurfaceParametric in net.finmath.marketdata.model.volatilities

Subclasses of AbstractVolatilitySurfaceParametric in net.finmath.marketdata.model.volatilities

Modifier and Type	Class and Description
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 \( \sigma(t) = (a + b t) \exp(- c t) + d \).

Methods in net.finmath.marketdata.model.volatilities that return AbstractVolatilitySurfaceParametric

Modifier and Type	Method and Description
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) Create a clone of this volatility surface using a generic calibration of its parameters to given market data.
AbstractVolatilitySurfaceParametric	CapletVolatilitiesParametric.getCloneForParameter(double[] value)
abstract AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneForParameter(double[] value) Returns a clone of this volatility surface with modified parameters.
AbstractVolatilitySurfaceParametric	CapletVolatilitiesParametricFourParameterPicewiseConstant.getCloneForParameter(double[] value)
AbstractVolatilitySurfaceParametric	CapletVolatilitiesParametricDisplacedFourParameterAnalytic.getCloneForParameter(double[] value)