Uses of Interface
net.finmath.montecarlo.interestrate.LIBORMarketModelInterface

Packages that use LIBORMarketModelInterface

Package	Description
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
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.modelplugins	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.

Uses of LIBORMarketModelInterface in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that return LIBORMarketModelInterface

Modifier and Type	Method and Description
LIBORMarketModelInterface	HybridAssetLIBORModelMonteCarloSimulation.getModel()

Uses of LIBORMarketModelInterface in net.finmath.montecarlo.interestrate

Classes in net.finmath.montecarlo.interestrate that implement LIBORMarketModelInterface

Modifier and Type	Class and Description
class	LIBORMarketModel Implements a (generalized) LIBOR market model with some drift approximation methods.
class	LIBORMarketModelStandard Implements a basic LIBOR market model with some drift approximation methods.

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

Modifier and Type	Method and Description
LIBORMarketModelInterface	LIBORMarketModelInterface.getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModelInterface, using the new covariance model.
LIBORMarketModelInterface	LIBORMarketModelInterface.getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing LIBORMarketModelInterface, using the new data.
LIBORMarketModelInterface	LIBORModelMonteCarloSimulationInterface.getModel() Returns the underlying model.
LIBORMarketModelInterface	LIBORModelMonteCarloSimulation.getModel()

Constructors in net.finmath.montecarlo.interestrate with parameters of type LIBORMarketModelInterface

Constructor and Description
LIBORModelMonteCarloSimulation(LIBORMarketModelInterface model) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel.
LIBORModelMonteCarloSimulation(LIBORMarketModelInterface model, AbstractProcess process) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModel and an AbstractProcess.

Uses of LIBORMarketModelInterface in net.finmath.montecarlo.interestrate.modelplugins

Methods in net.finmath.montecarlo.interestrate.modelplugins with parameters of type LIBORMarketModelInterface

Modifier and Type	Method and Description
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, double[] calibrationTargetValues, double[] calibrationWeights)
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModelInterface calibrationModel, AbstractLIBORMonteCarloProduct[] calibrationProducts, double[] calibrationTargetValues, double[] calibrationWeights, Map<String,Object> calibrationParameters) Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.

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

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

Modifier and Type	Method and Description
RandomVariableInterface	SwaptionSingleCurveAnalyticApproximation.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	SwaptionAnalyticApproximationRebonato.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	SwaptionAnalyticApproximation.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariableInterface	ForwardRateVolatilitySurfaceCurvature.getValues(double evaluationTime, LIBORMarketModelInterface model) Calculates the squared curvature of the LIBOR instantaneous variance.