Module net.finmath.lib

Package net.finmath.fouriermethod.calibration.models

Classes related to the calibration of fourier models.

Author:

Alessandro Gnoatto, Christian Fries

Interface Summary

Interface	Description
CalibratableProcess	Every class implementing this interface communicates with the calibration routine by providing clones of the model with changed parameters.

Class Summary

Class	Description
CalibratableHestonModel	This class is creates new instances of HestonModel and communicates with the optimization algorithm.
CalibratableMertonModel	This class is creates new instances of MertonModel and communicates with the optimization algorithm.
CalibratableVarianceGammaModel	This class is creates new instances of VarianceGammaModel and communicates with the optimization algorithm.