Module net.finmath.lib
Package net.finmath.timeseries
Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models.
Contains some aspects of estimating risk distribution from historical changes.
- Author:
- Christian Fries
-
Interface Summary Interface Description HistoricalSimulationModel A parametric time series model based on a given times series.TimeSeries Interface to be implemented by finite time series.TimeSeriesModelParametric A parametric time series model -
Class Summary Class Description MarketData A set of raw data associated with a given date.TimeSeriesFromArray A discrete time series.TimeSeriesView A time series created from a sup-interval of another time series.