Uses of Package
net.finmath.marketdata.model.volatilities

Packages that use 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.
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.

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.