Uses of Package
net.finmath.optimizer
| Package | Description |
|---|---|
| net.finmath.fouriermethod.calibration |
Classes related to the calibration of Fourier models.
|
| net.finmath.functions |
Provides some static functions, e.g., analytic valuation formulas or functions from linear algebra.
|
| 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.volatilities |
Provides interface specification and implementation of volatility surfaces, e.g.,
interest rate volatility surfaces like (implied) caplet volatilities and swaption
volatilities.
|
| net.finmath.marketdata2.calibration |
Provides classes to create a calibrated model of curves from a collection of calibration
products and corresponding target values.
|
| net.finmath.optimizer |
This package provides classes with numerical algorithm for optimization of
an objective function and a factory to easy construction of the optimizers.
|
| net.finmath.singleswaprate.calibration |
Classes providing calibration to market data of volatility cubes.
|
| 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.optimizer used by net.finmath.fouriermethod.calibration Class Description OptimizerFactory SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer. -
Classes in net.finmath.optimizer used by net.finmath.functions Class Description SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer. -
Classes in net.finmath.optimizer used by net.finmath.marketdata.calibration Class Description OptimizerFactory SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer. -
Classes in net.finmath.optimizer used by net.finmath.marketdata.model.volatilities Class Description OptimizerFactory SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer. -
Classes in net.finmath.optimizer used by net.finmath.marketdata2.calibration Class Description SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer.StochasticOptimizerFactory -
Classes in net.finmath.optimizer used by net.finmath.optimizer Class Description GoldenSectionSearch This class implements a Golden Section search algorithm, i.e., a minimization, implemented as a question-and-answer search algorithm.LevenbergMarquardt This class implements a parallel Levenberg-Marquardt non-linear least-squares fit algorithm.LevenbergMarquardt.RegularizationMethod The regularization method used to invert the approximation of the Hessian matrix.Optimizer Interface for numerical optimizers.Optimizer.ObjectiveFunction Interface for the objective function.OptimizerFactory SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer.StochasticLevenbergMarquardt This class implements a stochastic Levenberg Marquardt non-linear least-squares fit algorithm.StochasticLevenbergMarquardt.RegularizationMethod The regularization method used to invert the approximation of the Hessian matrix.StochasticOptimizer StochasticOptimizer.ObjectiveFunction The interface describing the objective function of aStochasticOptimizer.StochasticOptimizerFactory StochasticPathwiseLevenbergMarquardt This class implements a stochastic Levenberg Marquardt non-linear least-squares fit algorithm. -
Classes in net.finmath.optimizer used by net.finmath.singleswaprate.calibration Class Description SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer. -
Classes in net.finmath.optimizer used by net.finmath.singleswaprate.model.volatilities Class Description SolverException Exception thrown by solversnet.finmath.rootfinderornet.finmath.optimizer.