Module net.finmath.lib

Package net.finmath.marketdata2.calibration

Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
Author:
Christian Fries
  • Interface Summary 
    Interface Description
    ParameterObject
    An objects having a dependence on a parameter (double[]).
    ParameterTransformation
    Interface for parameter transformation.
  • Class Summary 
    Class Description
    CalibratedCurves
    Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products.
    CalibratedCurves.CalibrationSpec
    Specification of calibration product.
    ParameterAggregation<E extends ParameterObject>
    Combine a set of parameter vectors to a single parameter vector.
    Solver
    Generates a calibrated model for a given set of calibrationProducts with respect to given CurveFromInterpolationPointss.