Module net.finmath.lib

Package net.finmath.singleswaprate.calibration

Classes providing calibration to market data of volatility cubes.

Author:

Christian Fries, Roland Bachl

Class Summary

Class	Description
AbstractCubeCalibration	Abstract class providing a default method of calibrating a parametric cube to market data, which can be implemented quickly for any cube by implementing the methods: buildCube initializeParameters applyParameterBounds
SABRCubeCalibration	Calibration of SABRVolatilityCube using custom optimization.
SABRCubeParallelCalibration	Calibrates a SABRVolatilityCubeParallel.
SABRShiftedSmileCalibration	Calibration of a SABRVolatilityCube by shifting increments in the market data of cash settled swaptions onto physically settled swaptions and calibrating a SABR model on the resulting smiles.
StaticCubeCalibration	Calibration for a simple cube that only provides a single value at all coordinates.