Uses of Interface
net.finmath.marketdata.calibration.ParameterObject
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Packages that use ParameterObject Package Description 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 Provides interface specification and implementation of a model, which is essentially a collection of curves.net.finmath.marketdata.model.bond Provides classes related to the modeling of Bond curves.net.finmath.marketdata.model.curves Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward 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.singleswaprate.model.curves Additional curves for use in an analytic model,AnalyticModel
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Uses of ParameterObject in net.finmath.marketdata.calibration
Classes in net.finmath.marketdata.calibration with type parameters of type ParameterObject Modifier and Type Class Description class
ParameterAggregation<E extends ParameterObject>
Combine a set of parameter vectors to a single parameter vector.Classes in net.finmath.marketdata.calibration that implement ParameterObject Modifier and Type Class Description class
ParameterAggregation<E extends ParameterObject>
Combine a set of parameter vectors to a single parameter vector.Methods in net.finmath.marketdata.calibration that return ParameterObject Modifier and Type Method Description ParameterObject
ParameterObject. getCloneForParameter(double[] value)
Create a clone with a modified parameter.Method parameters in net.finmath.marketdata.calibration with type arguments of type ParameterObject Modifier and Type Method Description AnalyticModel
Solver. getCalibratedModel(Set<ParameterObject> objectsToCalibrate)
Find the model such that the equationobjectiveFunctions.getValue(model) = 0
holds.Constructors in net.finmath.marketdata.calibration with parameters of type ParameterObject Constructor Description ParameterAggregation(E[] parameters)
Create a collection of parametrized objects. -
Uses of ParameterObject in net.finmath.marketdata.model
Method parameters in net.finmath.marketdata.model with type arguments of type ParameterObject Modifier and Type Method Description AnalyticModel
AnalyticModel. getCloneForParameter(Map<ParameterObject,double[]> curvesParameterPairs)
AnalyticModel
AnalyticModelFromCurvesAndVols. getCloneForParameter(Map<ParameterObject,double[]> curveParameterPairs)
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Uses of ParameterObject in net.finmath.marketdata.model.bond
Classes in net.finmath.marketdata.model.bond that implement ParameterObject Modifier and Type Class Description class
BondCurve
Implements the bond curve as a curve object, seeCurve
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Uses of ParameterObject in net.finmath.marketdata.model.curves
Subinterfaces of ParameterObject in net.finmath.marketdata.model.curves Modifier and Type Interface Description interface
Curve
The interface which is implemented by a general curve.interface
DiscountCurve
The interface which is implemented by discount curves.interface
ForwardCurve
The interface which is implemented by forward curves.Classes in net.finmath.marketdata.model.curves that implement ParameterObject Modifier and Type Class Description class
AbstractCurve
Abstract base class for a curve.class
AbstractForwardCurve
Abstract base class for a forward curve, extending a curve object It stores the maturity of the underlying index (paymentOffset) and the associated discount curve.class
CurveFromProductOfCurves
A curve derived from other curves by multiplying the values.class
CurveInterpolation
This class represents a curve build from a set of points in 2D.class
DiscountCurveFromForwardCurve
A discount curve derived from a given forward curve.class
DiscountCurveFromProductOfCurves
A discount curve derived from other discount curves by multiplying the discount factors.class
DiscountCurveInterpolation
Implementation of a discount factor curve based onCurveInterpolation
.class
DiscountCurveNelsonSiegelSvensson
Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.class
DiscountCurveRenormalized
A discount curve \( t \mapsto df(t) \) with property \( df(t_{0}) = 1 \) for a given \( t_{0} \) derived from a base discount curve by a constant skaling.class
ForwardCurveFromDiscountCurve
A forward curve derived from a given discount curve.class
ForwardCurveInterpolation
A container for a forward (rate) curve.class
ForwardCurveNelsonSiegelSvensson
Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.class
ForwardCurveWithFixings
class
IndexCurveFromDiscountCurve
An index curve there the value at time t is given by indexValue / discountCurve.getValue(t).class
PiecewiseCurve
A piecewise curve.class
SeasonalCurve
The curve returns a value depending on the month of the time argument, that is, a callgetValue(model, time)
will map time to a 30/360 value using the day and month only and delegate the call to a given base curve. -
Uses of ParameterObject in net.finmath.marketdata.model.volatilities
Classes in net.finmath.marketdata.model.volatilities that implement ParameterObject Modifier and Type Class Description class
AbstractVolatilitySurfaceParametric
Base class for parametric volatility surfaces, implementing a generic calibration algorithm.class
CapletVolatilitiesParametric
A parametric caplet volatility surface created form the four parameter model for the instantaneous forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
CapletVolatilitiesParametricDisplacedFourParameterAnalytic
A parametric caplet volatility surface created form the four parameter model for the instantaneous displaced forward rate lognormal volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \).class
CapletVolatilitiesParametricFourParameterPicewiseConstant
A parametric caplet volatility surface created form the picewise constant (numerical integration) of the four parameter model for the instantaneous forward rate volatility given by \( \sigma(t) = (a + b t) \exp(- c t) + d \). -
Uses of ParameterObject in net.finmath.singleswaprate.model.curves
Classes in net.finmath.singleswaprate.model.curves that implement ParameterObject Modifier and Type Class Description class
ExponentialCorrelationCurve
A curve, which models exponential decay of correlation from one point in time to another, according to \[ \max\{e^{c(t-T)}, 1\} \, .
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