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finMath lib documentation

Package net.finmath.singleswaprate.model.volatilities

Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters.

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Package net.finmath.singleswaprate.model.volatilities Description

Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters. Generally these cubes store normal implied volatilities of physically settled swaptions.
Author:
Christian Fries, Roland Bachl
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Copyright © 2018 Christian P. Fries.

Copyright © 2019. All rights reserved.