Uses of Package
net.finmath.marketdata.model
| 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.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.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.model.volatility.caplet.tenorconversion |
Algorithms related to caplet tenor conversion.
|
| 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 |
Provides interface separating models and products.
|
| net.finmath.modelling.modelfactory |
Provides classes to build models from descriptors.
|
| 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.products |
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel. |
| net.finmath.parser |
Contains classes for parsing files.
|
| net.finmath.singleswaprate.annuitymapping |
Classes providing options for the annuity mapping function.
|
| net.finmath.singleswaprate.calibration |
Classes providing calibration to market data of volatility cubes.
|
| 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. |
| net.finmath.singleswaprate.products |
Provides interface specification and implementation of product based on a single interest rate curve.
|
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Classes in net.finmath.marketdata.model used by net.finmath.marketdata.calibration Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.AnalyticModelFromCurvesAndVols 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"). -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata.model Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.AnalyticModelFromCurvesAndVols 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"). -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata.model.bond Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata.model.curves Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata.model.volatilities Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata.model.volatility.caplet Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata.model.volatility.caplet.tenorconversion Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata.products Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.marketdata2.model.volatilities Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.modelling Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.modelling.modelfactory Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.AnalyticModelFromCurvesAndVols 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"). -
Classes in net.finmath.marketdata.model used by net.finmath.montecarlo.interestrate Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.montecarlo.interestrate.models Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.montecarlo.interestrate.products Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.parser Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.singleswaprate.annuitymapping Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.singleswaprate.calibration Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.singleswaprate.model Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.AnalyticModelFromCurvesAndVols 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"). -
Classes in net.finmath.marketdata.model used by net.finmath.singleswaprate.model.curves Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces. -
Classes in net.finmath.marketdata.model used by net.finmath.singleswaprate.products Class Description AnalyticModel A collection of objects representing analytic valuations, i.e., curves and volatility surfaces.