Uses of Interface
net.finmath.marketdata.model.AnalyticModelInterface

Packages that use AnalyticModelInterface

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.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.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.modelling	Provides interface separating models and products.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.

Uses of AnalyticModelInterface in net.finmath.marketdata.calibration

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

Modifier and Type	Method and Description
AnalyticModelInterface	Solver.getCalibratedModel(Set<ParameterObjectInterface> objectsToCalibrate) Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
AnalyticModelInterface	CalibratedCurves.getModel() Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.

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

Constructor and Description
Solver(AnalyticModelInterface model, Vector<AnalyticProductInterface> calibrationProducts) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModelInterface model, Vector<AnalyticProductInterface> calibrationProducts, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModelInterface model, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModelInterface model, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModelInterface model, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, OptimizerFactoryInterface optimizerFactory) Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Uses of AnalyticModelInterface in net.finmath.marketdata.model

Classes in net.finmath.marketdata.model that implement AnalyticModelInterface

Modifier and Type	Class and Description
class	AnalyticModel Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").

Methods in net.finmath.marketdata.model that return AnalyticModelInterface

Modifier and Type	Method and Description
AnalyticModelInterface	AnalyticModel.addCurve(CurveInterface curve)
AnalyticModelInterface	AnalyticModelInterface.addCurve(String name, CurveInterface curve) Add a reference to a given curve under a given name to this model.
AnalyticModelInterface	AnalyticModel.addCurve(String name, CurveInterface curve)
AnalyticModelInterface	AnalyticModelInterface.addCurves(CurveInterface... curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModelInterface	AnalyticModel.addCurves(CurveInterface... curves)
AnalyticModelInterface	AnalyticModelInterface.addCurves(Set<CurveInterface> curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModelInterface	AnalyticModel.addCurves(Set<CurveInterface> curves)
AnalyticModelInterface	AnalyticModel.addVolatilitySurface(VolatilitySurfaceInterface volatilitySurface)
AnalyticModelInterface	AnalyticModelInterface.addVolatilitySurfaces(Set<AbstractVolatilitySurface> volatilitySurfaces) Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModelInterface	AnalyticModel.addVolatilitySurfaces(Set<AbstractVolatilitySurface> volatilitySurfaces)
AnalyticModelInterface	AnalyticModelInterface.addVolatilitySurfaces(VolatilitySurfaceInterface... volatilitySurfaces)
AnalyticModelInterface	AnalyticModel.addVolatilitySurfaces(VolatilitySurfaceInterface... volatilitySurfaces)
AnalyticModelInterface	AnalyticModelInterface.clone()
AnalyticModelInterface	AnalyticModelInterface.getCloneForParameter(Map<ParameterObjectInterface,double[]> curvesParameterPairs)
AnalyticModelInterface	AnalyticModel.getCloneForParameter(Map<ParameterObjectInterface,double[]> curveParameterPairs)

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

Methods in net.finmath.marketdata.model.curves with parameters of type AnalyticModelInterface

Modifier and Type	Method and Description
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, Calendar referenceDate, String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity, ForwardCurve.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, Calendar referenceDate, String paymentOffsetCode, ForwardCurve.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendarInterface paymentBusinessdayCalendar, BusinessdayCalendarInterface.DateRollConvention paymentDateRollConvention, Curve.InterpolationMethod interpolationMethod, Curve.ExtrapolationMethod extrapolationMethod, Curve.InterpolationEntity interpolationEntity, ForwardCurve.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, Date referenceDate, String paymentOffsetCode, String interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, double[] times, double[] givenForwards, AnalyticModelInterface model, String discountCurveName, double paymentOffset) Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
double	DiscountCurveNelsonSiegelSvensson.getDiscountFactor(AnalyticModelInterface model, double maturity) Return the discount factor within a given model context for a given maturity.
double	DiscountCurveInterface.getDiscountFactor(AnalyticModelInterface model, double maturity) Returns the discount factor for the corresponding maturity.
double	DiscountCurveFromProductOfCurves.getDiscountFactor(AnalyticModelInterface model, double maturity)
double	DiscountCurveFromForwardCurve.getDiscountFactor(AnalyticModelInterface model, double maturity)
double	DiscountCurve.getDiscountFactor(AnalyticModelInterface model, double maturity)
double	ForwardCurveWithFixings.getForward(AnalyticModelInterface model, double fixingTime)
double	ForwardCurveNelsonSiegelSvensson.getForward(AnalyticModelInterface model, double fixingTime)
double	ForwardCurveInterface.getForward(AnalyticModelInterface model, double fixingTime) Returns the forward for the corresponding fixing time.
double	ForwardCurveFromDiscountCurve.getForward(AnalyticModelInterface model, double fixingTime)
double	ForwardCurve.getForward(AnalyticModelInterface model, double fixingTime) Returns the forward for the corresponding fixing time.
double	ForwardCurveWithFixings.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset)
double	ForwardCurveNelsonSiegelSvensson.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset)
double	ForwardCurveInterface.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time.
double	ForwardCurveFromDiscountCurve.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset)
double	ForwardCurve.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset)
double[]	ForwardCurveWithFixings.getForwards(AnalyticModelInterface model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
double[]	AbstractForwardCurve.getForwards(AnalyticModelInterface model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
double	SeasonalCurve.getValue(AnalyticModelInterface model, double time)
double	PiecewiseCurve.getValue(AnalyticModelInterface model, double time)
double	IndexCurveFromDiscountCurve.getValue(AnalyticModelInterface model, double time)
double	ForwardCurveNelsonSiegelSvensson.getValue(AnalyticModelInterface model, double time)
double	ForwardCurveFromDiscountCurve.getValue(AnalyticModelInterface model, double time)
double	DiscountCurveNelsonSiegelSvensson.getValue(AnalyticModelInterface model, double time)
double	DiscountCurveFromProductOfCurves.getValue(AnalyticModelInterface model, double time)
double	DiscountCurveFromForwardCurve.getValue(AnalyticModelInterface model, double time)
double	CurveInterface.getValue(AnalyticModelInterface model, double time) Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
double	CurveFromProductOfCurves.getValue(AnalyticModelInterface model, double time)
double	Curve.getValue(AnalyticModelInterface model, double time)

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

Methods in net.finmath.marketdata.model.volatilities with parameters of type AnalyticModelInterface

Modifier and Type	Method and Description
double	AbstractVolatilitySurface.convertFromTo(AnalyticModelInterface model, double optionMaturity, double optionStrike, double value, VolatilitySurfaceInterface.QuotingConvention fromQuotingConvention, VolatilitySurfaceInterface.QuotingConvention toQuotingConvention) Convert the value of a caplet from on quoting convention to another quoting convention.
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModelInterface calibrationModel, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModelInterface calibrationModel, Vector<AnalyticProductInterface> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)
double	VolatilitySurfaceInterface.getValue(AnalyticModelInterface model, double maturity, double strike, VolatilitySurfaceInterface.QuotingConvention quotingConvention) Returns the price or implied volatility for the corresponding maturity and strike.
double	CapletVolatilitiesParametricFourParameterPicewiseConstant.getValue(AnalyticModelInterface model, double maturity, double strike, VolatilitySurfaceInterface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametric.getValue(AnalyticModelInterface model, double maturity, double strike, VolatilitySurfaceInterface.QuotingConvention quotingConvention)
double	CapletVolatilities.getValue(AnalyticModelInterface model, double maturity, double strike, VolatilitySurfaceInterface.QuotingConvention quotingConvention)

Uses of AnalyticModelInterface in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type AnalyticModelInterface

Modifier and Type	Method and Description
double	Cap.getATMForward(AnalyticModelInterface model, boolean isFirstPeriodIncluded) Return the ATM forward for this cap.
static double	Swap.getForwardSwapRate(ScheduleInterface fixSchedule, ScheduleInterface floatSchedule, ForwardCurveInterface forwardCurve, AnalyticModelInterface model)
double	Cap.getImpliedVolatility(double evaluationTime, AnalyticModelInterface model, VolatilitySurfaceInterface.QuotingConvention quotingConvention) Returns the value of this cap in terms of an implied volatility (of a flat caplet surface).
static double	SwapAnnuity.getSwapAnnuity(double evaluationTime, ScheduleInterface schedule, DiscountCurveInterface discountCurve, AnalyticModelInterface model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
double	AbstractAnalyticProduct.getValue(AnalyticModelInterface model)
double	SwapLeg.getValue(double evaluationTime, AnalyticModelInterface model)
double	SwapAnnuity.getValue(double evaluationTime, AnalyticModelInterface model)
double	Swap.getValue(double evaluationTime, AnalyticModelInterface model)
double	Portfolio.getValue(double evaluationTime, AnalyticModelInterface model)
double	Performance.getValue(double evaluationTime, AnalyticModelInterface model)
double	Forward.getValue(double evaluationTime, AnalyticModelInterface model)
double	Cashflow.getValue(double evaluationTime, AnalyticModelInterface model)
double	Cap.getValue(double evaluationTime, AnalyticModelInterface model)
double	AnalyticProductInterface.getValue(double evaluationTime, AnalyticModelInterface model) Return the valuation of the product using the given model.
double	Cap.getValueAsPrice(double evaluationTime, AnalyticModelInterface model) Returns the value of this product under the given model.

Uses of AnalyticModelInterface in net.finmath.modelling

Methods in net.finmath.modelling with parameters of type AnalyticModelInterface

Modifier and Type	Method and Description
double	UnsupportedProduct.getValue(double evaluationTime, AnalyticModelInterface model)

Uses of AnalyticModelInterface in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return AnalyticModelInterface

Modifier and Type	Method and Description
AnalyticModelInterface	LIBORMarketModelStandard.getAnalyticModel()
AnalyticModelInterface	LIBORMarketModelInterface.getAnalyticModel() Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.
AnalyticModelInterface	LIBORMarketModel.getAnalyticModel()

Constructors in net.finmath.montecarlo.interestrate with parameters of type AnalyticModelInterface

Constructor and Description
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.