Uses of Class
net.finmath.marketdata.model.volatilities.AbstractVolatilitySurfaceParametric
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Packages that use AbstractVolatilitySurfaceParametric Package Description 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. -
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Uses of AbstractVolatilitySurfaceParametric in net.finmath.marketdata.model.volatilities
Subclasses of AbstractVolatilitySurfaceParametric in net.finmath.marketdata.model.volatilities Modifier and Type Class Description 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 \( \sigma(t) = (a + b t) \exp(- c t) + d \).Methods in net.finmath.marketdata.model.volatilities that return AbstractVolatilitySurfaceParametric Modifier and Type Method Description AbstractVolatilitySurfaceParametric
AbstractVolatilitySurfaceParametric. getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric
AbstractVolatilitySurfaceParametric. getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)
AbstractVolatilitySurfaceParametric
AbstractVolatilitySurfaceParametric. getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory)
Create a clone of this volatility surface using a generic calibration of its parameters to given market data.abstract AbstractVolatilitySurfaceParametric
AbstractVolatilitySurfaceParametric. getCloneForParameter(double[] value)
Returns a clone of this volatility surface with modified parameters.AbstractVolatilitySurfaceParametric
CapletVolatilitiesParametric. getCloneForParameter(double[] value)
AbstractVolatilitySurfaceParametric
CapletVolatilitiesParametricDisplacedFourParameterAnalytic. getCloneForParameter(double[] value)
AbstractVolatilitySurfaceParametric
CapletVolatilitiesParametricFourParameterPicewiseConstant. getCloneForParameter(double[] value)
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