Uses of Interface
net.finmath.fouriermethod.calibration.models.CalibratableProcess
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Packages that use CalibratableProcess Package Description net.finmath.fouriermethod.calibration Classes related to the calibration of Fourier models.net.finmath.fouriermethod.calibration.models Classes related to the calibration of fourier models. -
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Uses of CalibratableProcess in net.finmath.fouriermethod.calibration
Methods in net.finmath.fouriermethod.calibration that return CalibratableProcess Modifier and Type Method Description CalibratableProcess
CalibratedModel.OptimizationResult. getModel()
Constructors in net.finmath.fouriermethod.calibration with parameters of type CalibratableProcess Constructor Description CalibratedModel(OptionSurfaceData surface, CalibratableProcess model, OptimizerFactory optimizerFactory, EuropeanOptionSmile pricer, double[] initialParameters, double[] parameterStep)
Create the calibration from data.OptimizationResult(CalibratableProcess model, double[] bestFitParameters, int iterations, double rootMeanSquaredError, ArrayList<String> calibrationOutput)
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Uses of CalibratableProcess in net.finmath.fouriermethod.calibration.models
Classes in net.finmath.fouriermethod.calibration.models that implement CalibratableProcess Modifier and Type Class Description class
CalibratableHestonModel
This class is creates new instances of HestonModel and communicates with the optimization algorithm.class
CalibratableMertonModel
This class is creates new instances of MertonModel and communicates with the optimization algorithm.class
CalibratableVarianceGammaModel
This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm.Methods in net.finmath.fouriermethod.calibration.models that return CalibratableProcess Modifier and Type Method Description CalibratableProcess
CalibratableMertonModel. getCloneForModifiedParameters(double[] parameters)
CalibratableProcess
CalibratableProcess. getCloneForModifiedParameters(double[] parameters)
Calibration substitutes in the model the parameters of the process with calibrated ones.CalibratableProcess
CalibratableVarianceGammaModel. getCloneForModifiedParameters(double[] parameters)
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