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    • net.finmath.marketdata.calibration.CalibrationClassDiagram.svg Maven / Gradle / Ivy

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    finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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<<Java Class>>

CalibratedCurves
net.finmath.marketdata.calibration





CalibratedCurves(CalibrationSpec[])

CalibratedCurves(CalibrationSpec[],AnalyticModel)

CalibratedCurves(Collection<CalibrationSpec>)

getCalibrationProductForSpec(CalibrationSpec):AnalyticProductInterface

getModel():AnalyticModelInterface

getCurve(String):CurveInterface

getLastNumberOfInterations():int


<<Java Class>>

ParameterAggregation<E>
net.finmath.marketdata.calibration





ParameterAggregation()

ParameterAggregation(Set<E>)

ParameterAggregation(E[])

add(E):void

remove(E):void

getParameter():double[]

setParameter(double[]):void

getObjectsToModifyForParameter(double[]):Map<E,double[]>


<<Java Class>>

AnalyticModel
net.finmath.marketdata.model





AnalyticModel()

AnalyticModel(CurveInterface[])

AnalyticModel(Collection<CurveInterface>)

getCurve(String):CurveInterface

setCurve(CurveInterface):void

setCurves(CurveInterface[]):void

getDiscountCurve(String):DiscountCurveInterface

getForwardCurve(String):ForwardCurveInterface

getCloneForParameter(Map<CurveInterface,double[]>):AnalyticModelInterface


<<Java Interface>>

ParameterObjectInterface
net.finmath.marketdata.calibration





getParameter():double[]

setParameter(double[]):void


<<Java Class>>



AbstractCurve
net.finmath.marketdata.model.curves









AbstractCurve(String)

getName():String

getValue(double):double

getValues(double[]):double[]

toString():String

getCloneForParameter(double[]):CurveInterface






<<Java Interface>>

AnalyticProductInterface
net.finmath.marketdata.products









getValue(AnalyticModelInterface):double






<<Java Interface>>

CurveInterface
net.finmath.marketdata.model.curves









getName():String

getValue(double):double

getValue(AnalyticModelInterface,double):double

getCloneForParameter(double[]):CurveInterface






<<Java Interface>>

AnalyticModelInterface
net.finmath.marketdata.model









getCurve(String):CurveInterface

setCurve(CurveInterface):void

getDiscountCurve(String):DiscountCurveInterface

getForwardCurve(String):ForwardCurveInterface

getCloneForParameter(Map<CurveInterface,double[]>):AnalyticModelInterface






<<Java Class>>

Solver
net.finmath.marketdata.calibration









Solver(AnalyticModelInterface,Vector<AnalyticProductInterface>)

getCalibratedModel(Set<CurveInterface>):AnalyticModelInterface

getIterations():int


-curvesToCalibrate
0..*



-calibrationProducts
0..*



-model
0..1



-parameters
0..*











-curvesMap
0..*
















-calibrationProducts
0..*



-model
0..1




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