Uses of Package
net.finmath.marketdata.model.curves
| Package | Description |
|---|---|
| net.finmath.fouriermethod.models |
Provides characteristic functions of stochastic processes (models).
|
| 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.bond |
Provided classes related to the modelling of Bond 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.curves.locallinearregression |
Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
|
| 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.model.volatility.caplet |
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
|
| net.finmath.marketdata.products |
Provides interface specification and implementation of products, e.g., calibration products.
|
| net.finmath.marketdata2.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.modelling.descriptor |
Provides interface separating implementation from specification (of models and products)
|
| net.finmath.modelling.modelfactory |
Provides classes to build models from descriptors.
|
| net.finmath.montecarlo.assetderivativevaluation.models |
Equity models implementing
ProcessModel
e.g. by extending AbstractProcessModel. |
| net.finmath.montecarlo.hybridassetinterestrate |
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
|
| net.finmath.montecarlo.interestrate |
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process. |
| net.finmath.montecarlo.interestrate.models |
Interest rate models implementing
ProcessModel
e.g. by extending AbstractProcessModel. |
| net.finmath.montecarlo.interestrate.models.covariance |
Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
|
| net.finmath.montecarlo.interestrate.products |
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel. |
| net.finmath.montecarlo.interestrate.products.indices |
Provides a set of indices which can be used as part of a period.
|
| net.finmath.parser |
Contains classes for parsing files.
|
| net.finmath.singleswaprate.model |
Classes extending the regular analytic model, see
net.finmath.marketdata.model, with the capacity to hold volatility cubes,
see VolatilityCube. |
| net.finmath.singleswaprate.model.curves |
Additional curves for use in an analytic model,
AnalyticModel. |
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Classes in net.finmath.marketdata.model.curves used by net.finmath.fouriermethod.models Class Description DiscountCurve The interface which is implemented by discount curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.calibration Class Description Curve The interface which is implemented by a general curve. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model Class Description Curve The interface which is implemented by a general curve.DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.bond Class Description AbstractCurve Abstract base class for a curve.Curve The interface which is implemented by a general curve.CurveBuilder Interface of builders which allow to build curve objects by successively adding points. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.curves Class Description AbstractCurve Abstract base class for a curve.AbstractForwardCurve Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.Curve The interface which is implemented by a general curve.CurveBuilder Interface of builders which allow to build curve objects by successively adding points.CurveInterpolation This class represents a curve build from a set of points in 2D.CurveInterpolation.Builder A builder (following the builder pattern) for CurveFromInterpolationPoints objects.CurveInterpolation.ExtrapolationMethod Possible extrapolation methods.CurveInterpolation.InterpolationEntity Possible interpolation entities.CurveInterpolation.InterpolationMethod Possible interpolation methods.CurveInterpolation.Point Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.DiscountCurve The interface which is implemented by discount curves.DiscountCurveInterpolation Implementation of a discount factor curve based onCurveInterpolation.DiscountCurveNelsonSiegelSvensson Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.DiscountCurveRenormalized A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.ForwardCurve The interface which is implemented by forward curves.ForwardCurveInterpolation A container for a forward (rate) curve.ForwardCurveInterpolation.InterpolationEntityForward Additional choice of interpolation entities for forward curves.ForwardCurveNelsonSiegelSvensson Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.ForwardCurveWithFixings PiecewiseCurve A piecewise curve.PiecewiseCurve.Builder A builder (following the builder pattern) for PiecewiseCurve objects.SeasonalCurve The curve returns a value depending on the month of the time argument, that is, a callgetValue(model, time)will map time to a 30/360 value using the day and month only and delegate the call to a given base curve.SeasonalCurve.Builder A builder (following the builder pattern) for SeasonalCurve objects. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.curves.locallinearregression Class Description Curve The interface which is implemented by a general curve. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatilities Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatility.caplet Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.products Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata2.model.volatilities Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.descriptor Class Description Curve The interface which is implemented by a general curve.DiscountCurve The interface which is implemented by discount curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.modelfactory Class Description Curve The interface which is implemented by a general curve. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.assetderivativevaluation.models Class Description DiscountCurve The interface which is implemented by discount curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.hybridassetinterestrate Class Description DiscountCurve The interface which is implemented by discount curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.models Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.models.covariance Class Description ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.products Class Description DiscountCurve The interface which is implemented by discount curves.ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.products.indices Class Description ForwardCurve The interface which is implemented by forward curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.parser Class Description Curve The interface which is implemented by a general curve.CurveInterpolation.ExtrapolationMethod Possible extrapolation methods.CurveInterpolation.InterpolationEntity Possible interpolation entities.CurveInterpolation.InterpolationMethod Possible interpolation methods.DiscountCurve The interface which is implemented by discount curves. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model Class Description Curve The interface which is implemented by a general curve. -
Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model.curves Class Description AbstractCurve Abstract base class for a curve.Curve The interface which is implemented by a general curve.CurveBuilder Interface of builders which allow to build curve objects by successively adding points.