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

Packages that use LIBORModelMonteCarloSimulationInterface

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.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface.
net.finmath.montecarlo.interestrate.products.components
net.finmath.montecarlo.interestrate.products.indices

Uses of LIBORModelMonteCarloSimulationInterface in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of LIBORModelMonteCarloSimulationInterface in net.finmath.montecarlo.hybridassetinterestrate

Modifier and Type	Interface and Description
interface	HybridAssetLIBORModelMonteCarloSimulationInterface

Classes in net.finmath.montecarlo.hybridassetinterestrate that implement LIBORModelMonteCarloSimulationInterface

Modifier and Type	Class and Description
class	HybridAssetLIBORModelMonteCarloSimulation An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationInterface providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationInterface providing the asset simulation.

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type LIBORModelMonteCarloSimulationInterface

Modifier and Type

Method and Description

HybridAssetLIBORModelMonteCarloSimulationInterface

ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationInterface baseModel, BrownianMotionInterface brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurveInterface discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type LIBORModelMonteCarloSimulationInterface

Constructor and Description
HybridAssetLIBORModelMonteCarloSimulation(LIBORModelMonteCarloSimulationInterface liborSimulation, AssetModelMonteCarloSimulationInterface assetSimulation)
HybridAssetLIBORModelMonteCarloSimulation(LIBORModelMonteCarloSimulationInterface liborSimulation, AssetModelMonteCarloSimulationInterface assetSimulation, DiscountCurveInterface discountCurve) Create an Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationInterface providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationInterface providing the asset simulation.

Uses of LIBORModelMonteCarloSimulationInterface in net.finmath.montecarlo.interestrate

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

Modifier and Type	Class and Description
class	LIBORModelMonteCarloSimulation Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModel model and AbstractLogNormalProcess process.

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

Modifier and Type	Method and Description
LIBORModelMonteCarloSimulationInterface	LIBORModelMonteCarloSimulation.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORModelMonteCarloSimulationInterface	LIBORModelMonteCarloSimulation.getCloneWithModifiedData(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).

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

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

Modifier and Type	Method and Description
FactorDriftInterface	AbstractLIBORMonteCarloProduct.getFactorDrift(LIBORModelMonteCarloSimulationInterface referenceScheme, LIBORModelMonteCarloSimulationInterface targetScheme) Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
RandomVariableInterface	SwaptionSingleCurveAnalyticApproximation.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SwaptionSimple.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwaptionAnalyticApproximationRebonato.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SwaptionAnalyticApproximation.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Swaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	SwapLeg.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Swap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	SimpleSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Portfolio.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	MoneyMarketAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ForwardRateVolatilitySurfaceCurvature.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	FlexiCap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	DigitalCaplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	CMSOption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Caplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Bond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	BermudanSwaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
abstract RandomVariableInterface	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Map<String,Object>	AbstractLIBORMonteCarloProduct.getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.

Uses of LIBORModelMonteCarloSimulationInterface in net.finmath.montecarlo.interestrate.products.components

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

Modifier and Type	Method and Description
RandomVariableInterface	Period.getCoupon(LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractPeriod.getCoupon(LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	Notional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractNotional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model) Calculates the notional at the end of a period, given a period.
RandomVariableInterface	Notional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AbstractNotional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationInterface model) Calculates the notional at the start of a period, given a period.
RandomVariableInterface	ProductCollection.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Period.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Option.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	IndexedValue.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Exposure.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	Cashflow.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariableInterface	AccrualAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractPeriod.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
Map<String,Object>	AbstractProductComponent.getValues(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)

Uses of LIBORModelMonteCarloSimulationInterface in net.finmath.montecarlo.interestrate.products.indices

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

Modifier and Type	Method and Description
RandomVariableInterface	UnsupportedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	TriggerIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	TimeDiscreteEndOfMonthIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ProductIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	PowIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	PerformanceIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	MinIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	MaxIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LinearCombinationIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LIBORIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	LaggedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	FowardCurveIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	FixedCoupon.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	DateIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	ConstantMaturitySwaprate.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	CappedFlooredIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AnalyticModelIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AnalyticModelForwardCurveIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model)
RandomVariableInterface	AccruedInterest.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)
abstract RandomVariableInterface	AbstractIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationInterface model)