Uses of Class
net.finmath.montecarlo.interestrate.LIBORMarketModel

Packages that use LIBORMarketModel

Package	Description
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.

Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return LIBORMarketModel

Modifier and Type	Method and Description
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel covarianceModel)
LIBORMarketModel	LIBORMarketModelStandard.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedData(Map<String,Object> dataModified)

Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type LIBORMarketModel

Modifier and Type	Method and Description
static double[][][]	SwaptionSingleCurveAnalyticApproximation.getIntegratedLIBORCovariance(LIBORMarketModel model)
static double[][][]	SwaptionAnalyticApproximationRebonato.getIntegratedLIBORCovariance(LIBORMarketModel model)
static double[][][]	SwaptionAnalyticApproximation.getIntegratedLIBORCovariance(LIBORMarketModel model)
RandomVariableInterface	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, LIBORMarketModel model) Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).