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

Packages that use AnalyticModelInterface

Package	Description
net.finmath.analytic.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.analytic.model
net.finmath.analytic.model.curves
net.finmath.analytic.products

Uses of AnalyticModelInterface in net.finmath.analytic.calibration

Methods in net.finmath.analytic.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.analytic.calibration with parameters of type AnalyticModelInterface

Constructor and Description
CalibratedCurves(List<CalibratedCurves.CalibrationSpec> calibrationSpecs, AnalyticModelInterface 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.
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, StochasticOptimizerFactoryInterface optimizerFactory) Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Uses of AnalyticModelInterface in net.finmath.analytic.model

Classes in net.finmath.analytic.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.analytic.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,RandomVariableInterface[]> curvesParameterPairs)
AnalyticModelInterface	AnalyticModel.getCloneForParameter(Map<ParameterObjectInterface,RandomVariableInterface[]> curveParameterPairs)

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

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

Modifier and Type	Method and Description
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, RandomVariableInterface[] 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.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, double[] times, RandomVariableInterface[] 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.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, LocalDate 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, RandomVariableInterface[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, ForwardCurve.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, RandomVariableInterface[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurve	ForwardCurve.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, String interpolationEntityForward, String discountCurveName, AnalyticModelInterface model, double[] times, RandomVariableInterface[] givenForwards) Create a forward curve from given times and given forwards.
RandomVariableInterface	DiscountCurveInterface.getDiscountFactor(AnalyticModelInterface model, double maturity) Returns the discount factor for the corresponding maturity.
RandomVariableInterface	DiscountCurveFromForwardCurve.getDiscountFactor(AnalyticModelInterface model, double maturity)
RandomVariableInterface	DiscountCurve.getDiscountFactor(AnalyticModelInterface model, double maturity)
RandomVariableInterface	ForwardCurveInterface.getForward(AnalyticModelInterface model, double fixingTime) Returns the forward for the corresponding fixing time.
RandomVariableInterface	ForwardCurveFromDiscountCurve.getForward(AnalyticModelInterface model, double fixingTime)
RandomVariableInterface	ForwardCurve.getForward(AnalyticModelInterface model, double fixingTime)
RandomVariableInterface	ForwardCurveInterface.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time and paymentOffset.
RandomVariableInterface	ForwardCurveFromDiscountCurve.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset)
RandomVariableInterface	ForwardCurve.getForward(AnalyticModelInterface model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time.
RandomVariableInterface[]	AbstractForwardCurve.getForwards(AnalyticModelInterface model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
RandomVariableInterface	ForwardCurveFromDiscountCurve.getValue(AnalyticModelInterface model, double time)
RandomVariableInterface	DiscountCurveFromForwardCurve.getValue(AnalyticModelInterface model, double time)
RandomVariableInterface	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.
RandomVariableInterface	Curve.getValue(AnalyticModelInterface model, double time)

Uses of AnalyticModelInterface in net.finmath.analytic.products

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

Modifier and Type	Method and Description
static RandomVariableInterface	Swap.getForwardSwapRate(ScheduleInterface fixSchedule, ScheduleInterface floatSchedule, ForwardCurveInterface forwardCurve, AnalyticModelInterface model)
RandomVariableInterface	ForwardRateAgreement.getRate(AnalyticModelInterface model) Return the par FRA rate for a given curve.
RandomVariableInterface	Deposit.getRate(AnalyticModelInterface model) Return the deposit rate implied by the given model's curve.
static RandomVariableInterface	SwapAnnuity.getSwapAnnuity(double evaluationTime, ScheduleInterface schedule, DiscountCurveInterface discountCurve, AnalyticModelInterface model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
RandomVariableInterface	AbstractAnalyticProduct.getValue(AnalyticModelInterface model)
RandomVariableInterface	SwapLeg.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	SwapAnnuity.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Swap.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Portfolio.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Performance.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	MarketForwardRateAgreement.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	ForwardRateAgreement.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Forward.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Deposit.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	Cashflow.getValue(double evaluationTime, AnalyticModelInterface model)
RandomVariableInterface	AnalyticProductInterface.getValue(double evaluationTime, AnalyticModelInterface model) Return the valuation of the product using the given model.