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AbstractLIBORCovarianceModel.AbstractModelInterface.getInitialState().periodEnd-periodStart.
AbstractModelInterface:
The value of Y(0) is provided by the method AbstractModelInterface.getInitialState().AnalyticModel.this stochastic process.
LIBORModelMonteCarloSimulationInterfaceAbstractLIBORMarketModel.AbstractIndex.LIBORModelMonteCarloSimulationInterface.Curve.ArrayList<Double>.
double[].
objectiveFunctions.getValue(model) = 0
holds.
AssetModelMonteCarloSimulationInterface
using a different Monte-Carlo seed.
RandomVariableInterface.getHistogram(double[]).
MonteCarloSimulationInterface.
LIBORCovarianceModelFromVolatilityAndCorrelation).LinearAlgebra.factorReduction(double[][], int)) created from the
\( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues,
where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \]
For a more general model featuring three parameters see LIBORCorrelationModelThreeParameterExponentialDecay.LinearAlgebra.factorReduction(double[][], int)) created from the
\( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues,
where \( \tilde{R} = \tilde{\rho}_{i,j} \) and
\[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))LIBORVolatilityModel and a correlation model
implementing LIBORCorrelationModel.LIBORMarketModel model
and AbstractLogNormalProcess process.LIBORCovarianceModelFromVolatilityAndCorrelation).BlackScholeModel and a Monte-Carlo implementation of a AbstractProcess
and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationInterface.BlackScholeModel and a Monte-Carlo implementation of a AbstractProcess
and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationInterface.AssetModelMonteCarloSimulationInterface.net.finmath.montecarlo.process.net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.AnalyticProductInterface.AnalyticProductInterface.
AnalyticProductInterface.
AnalyticProductInterface.
RandomVariableInterface.
RandomVariableInterface.
TimeDiscretizationInterfaceScheduleGenerator.DaycountConvention.ScheduleGenerator.getNextPoint().
calibrationProducts with respect to given Curves.net.finmath.rootfinder or net.finmath.optimizer.AbstractLIBORMonteCarloProduct
according to some (simplified) specifications.for(i=0; i ≤ timeSteps; i++) timeDiscretization[i] = initial + i * deltaT;
getValue method is called.getValue method is called.
getValue method is called.
getValue method is called.getValue method is called.
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