Package net.finmath.smartcontract.valuation.marketdata.curvecalibration
package net.finmath.smartcontract.valuation.marketdata.curvecalibration
Providing curve calibrations.
- Author:
- Luca Del Re, Peter Kohl-Landgraf, Christian Fries
-
Interface SummaryInterfaceDescriptionInterface for classes providing a calibration context in terms of a reference date and calibration info.Interface for parsers generating
CalibrationSpecProvider
fromCalibrationDatapoint
.Provides a way to get a CalibrationSpec for finmath calibration. -
Class SummaryClassDescriptionA calibration context in terms of a reference date and calibration info.IR Market Data Scenario Class holds a SecnarioDate an a Map containing CurveDataParses calibration data points and converts it to calibration specsContains the result of a calibration adding additional statistics to the calibrated model.A calibration spec provider for deposits.A calibration spec provider for fras.A calibration spec provider for OIS swaps.A calibration spec provider for swaps.An object calibrating models from a stream of calibration spec providers