Uses of Package
net.finmath.marketdata.model.volatilities
| Package | Description |
|---|---|
| net.finmath.fouriermethod.calibration |
Classes related to the calibration of Fourier models.
|
| net.finmath.marketdata.model |
Provides interface specification and implementation of a model, which is essentially
a collection of 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.products |
Provides interface specification and implementation of products, e.g., calibration products.
|
| net.finmath.modelling.descriptor |
Provides interface separating implementation from specification (of models and products)
|
| net.finmath.montecarlo.interestrate.models |
Interest rate models implementing
ProcessModel
e.g. by extending AbstractProcessModel. |
| net.finmath.parser |
Contains classes for parsing files.
|
| net.finmath.singleswaprate |
Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
|
| net.finmath.singleswaprate.calibration |
Classes providing calibration to market data of volatility cubes.
|
| net.finmath.singleswaprate.data |
Provides classes to store and interact with market data.
|
| net.finmath.singleswaprate.model.volatilities |
Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction
from parameters.
|
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Classes in net.finmath.marketdata.model.volatilities used by net.finmath.fouriermethod.calibration Class Description OptionSurfaceData An option quote surface with the ability to query option quotes for different strikes and maturities. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.model Class Description VolatilitySurface Interface for classes representing a volatility surface, i.e. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.model.volatilities Class Description AbstractVolatilitySurface Abstract base class for a volatility surface.AbstractVolatilitySurfaceParametric Base class for parametric volatility surfaces, implementing a generic calibration algorithm.OptionData An Equity option quote is a function of strike and maturity.OptionSmileData A collection of option prices or implied volatilities for a given maturity.SwaptionDataLattice Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.SwaptionDataLattice.QuotingConvention Quoting convention for swaption data in a lattice.SwaptionMarketData Basic interface to be implemented by classes providing swaption market data.VolatilitySurface Interface for classes representing a volatility surface, i.e.VolatilitySurface.QuotingConvention Quoting conventions. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.model.volatility.caplet Class Description VolatilitySurface Interface for classes representing a volatility surface, i.e.VolatilitySurface.QuotingConvention Quoting conventions. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.marketdata.products Class Description VolatilitySurface.QuotingConvention Quoting conventions. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.modelling.descriptor Class Description VolatilitySurface Interface for classes representing a volatility surface, i.e. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.montecarlo.interestrate.models Class Description SwaptionMarketData Basic interface to be implemented by classes providing swaption market data. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.parser Class Description SwaptionDataLattice Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.SwaptionDataLattice.QuotingConvention Quoting convention for swaption data in a lattice. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprate Class Description SwaptionDataLattice Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.SwaptionDataLattice.QuotingConvention Quoting convention for swaption data in a lattice. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprate.calibration Class Description SwaptionDataLattice Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprate.data Class Description SwaptionDataLattice Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness. -
Classes in net.finmath.marketdata.model.volatilities used by net.finmath.singleswaprate.model.volatilities Class Description SwaptionDataLattice Saves market data of swaption on a lattice of option maturity x swap tenor x option moneyness.VolatilitySurface.QuotingConvention Quoting conventions.