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

Packages that use net.finmath.marketdata.model.curves

Package	Description
net.finmath.fouriermethod.models	Provides characteristic functions of stochastic processes (models).
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.curves.locallinearregression	Provided classes implementing the local linear regression method, see see https://ssrn.com/abstract=3073942
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.marketdata2.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.modelling.descriptor	Provides interface separating implementation from specification (of models and products)
net.finmath.modelling.modelfactory	Provides classes to build models from descriptors.
net.finmath.montecarlo.assetderivativevaluation.models	Equity models implementing ProcessModel e.g.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.models.covariance	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.
net.finmath.parser	Contains classes for parsing files.
net.finmath.singleswaprate.model	Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.
net.finmath.singleswaprate.model.curves	Additional curves for use in an analytic model, AnalyticModel.

Classes in net.finmath.marketdata.model.curves used by net.finmath.fouriermethod.models

Class	Description
DiscountCurve	The interface which is implemented by discount curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.calibration

Class	Description
Curve	The interface which is implemented by a general curve.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model

Class	Description
Curve	The interface which is implemented by a general curve.
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.bond

Class	Description
AbstractCurve	Abstract base class for a curve.
Curve	The interface which is implemented by a general curve.
CurveBuilder	Interface of builders which allow to build curve objects by successively adding points.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.curves

Class	Description
AbstractCurve	Abstract base class for a curve.
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.
Curve	The interface which is implemented by a general curve.
CurveBuilder	Interface of builders which allow to build curve objects by successively adding points.
CurveInterpolation	This class represents a curve build from a set of points in 2D.
CurveInterpolation.Builder	A builder (following the builder pattern) for CurveFromInterpolationPoints objects.
CurveInterpolation.ExtrapolationMethod	Possible extrapolation methods.
CurveInterpolation.InterpolationEntity	Possible interpolation entities.
CurveInterpolation.InterpolationMethod	Possible interpolation methods.
CurveInterpolation.Point	Representation of a 2D curve point including the boolean property if the point is fixed or calibrateable.
DiscountCurve	The interface which is implemented by discount curves.
DiscountCurveInterpolation	Implementation of a discount factor curve based on CurveInterpolation.
DiscountCurveNelsonSiegelSvensson	Implementation of a discount factor curve given by a Nelson-Siegel-Svensson (NSS) parameterization.
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.
ForwardCurve	The interface which is implemented by forward curves.
ForwardCurveInterpolation	A container for a forward (rate) curve.
ForwardCurveInterpolation.InterpolationEntityForward	Additional choice of interpolation entities for forward curves.
ForwardCurveNelsonSiegelSvensson	Implementation of a forward given by a Nelson-Siegel-Svensson (NSS) parameterization.
ForwardCurveWithFixings
PiecewiseCurve	A piecewise curve.
PiecewiseCurve.Builder	A builder (following the builder pattern) for PiecewiseCurve objects.
SeasonalCurve	The curve returns a value depending on the month of the time argument, that is, a call getValue(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.
SeasonalCurve.Builder	A builder (following the builder pattern) for SeasonalCurve objects.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.curves.locallinearregression

Class	Description
Curve	The interface which is implemented by a general curve.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatilities

Class	Description
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.model.volatility.caplet

Class	Description
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata.products

Class	Description
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.marketdata2.model.volatilities

Class	Description
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.descriptor

Class	Description
Curve	The interface which is implemented by a general curve.
DiscountCurve	The interface which is implemented by discount curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.modelling.modelfactory

Class	Description
Curve	The interface which is implemented by a general curve.

Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.assetderivativevaluation.models

Class	Description
DiscountCurve	The interface which is implemented by discount curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.hybridassetinterestrate

Class	Description
DiscountCurve	The interface which is implemented by discount curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate

Class	Description
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.models

Class	Description
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.models.covariance

Class	Description
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.products

Class	Description
DiscountCurve	The interface which is implemented by discount curves.
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.montecarlo.interestrate.products.indices

Class	Description
ForwardCurve	The interface which is implemented by forward curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.parser

Class	Description
Curve	The interface which is implemented by a general curve.
CurveInterpolation.ExtrapolationMethod	Possible extrapolation methods.
CurveInterpolation.InterpolationEntity	Possible interpolation entities.
CurveInterpolation.InterpolationMethod	Possible interpolation methods.
DiscountCurve	The interface which is implemented by discount curves.

Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model

Class	Description
Curve	The interface which is implemented by a general curve.

Classes in net.finmath.marketdata.model.curves used by net.finmath.singleswaprate.model.curves

Class	Description
AbstractCurve	Abstract base class for a curve.
Curve	The interface which is implemented by a general curve.
CurveBuilder	Interface of builders which allow to build curve objects by successively adding points.