Package net.finmath.marketdata.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 ofcalibrationProducts
with respect to givenCurveFromInterpolationPoints
s.