Uses of Class
net.finmath.montecarlo.interestrate.modelplugins.AbstractLIBORCovarianceModel

Packages that use AbstractLIBORCovarianceModel

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.

Uses of AbstractLIBORCovarianceModel in net.finmath.montecarlo.hybridassetinterestrate

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

Modifier and Type	Method and Description
AbstractLIBORCovarianceModel	HybridAssetLIBORModelMonteCarloSimulation.getCovarianceModel()

Uses of AbstractLIBORCovarianceModel in net.finmath.montecarlo.interestrate

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

Modifier and Type	Method and Description
AbstractLIBORCovarianceModel	LIBORModelMonteCarloSimulationInterface.getCovarianceModel()
AbstractLIBORCovarianceModel	LIBORModelMonteCarloSimulation.getCovarianceModel()
AbstractLIBORCovarianceModel	LIBORMarketModelStandard.getCovarianceModel()
AbstractLIBORCovarianceModel	LIBORMarketModelInterface.getCovarianceModel() Return the covariance model.
AbstractLIBORCovarianceModel	LIBORMarketModel.getCovarianceModel()

Methods in net.finmath.montecarlo.interestrate with parameters of type AbstractLIBORCovarianceModel

Modifier and Type	Method and Description
LIBORMarketModelStandard	LIBORMarketModelStandard.getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel covarianceModel)
LIBORMarketModelInterface	LIBORMarketModelInterface.getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModelInterface, using the new covariance model.
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel covarianceModel)

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

Constructor and Description
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, AnalyticModelInterface analyticModel, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModel(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModel.CalibrationItem[] calibrationItems, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretizationInterface liborPeriodDiscretization, ForwardCurveInterface forwardRateCurve, DiscountCurveInterface discountCurve, AbstractLIBORCovarianceModel covarianceModel, LIBORMarketModelStandard.CalibrationItem[] calibrationItems) Creates a LIBOR Market Model for given covariance.

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

Subclasses of AbstractLIBORCovarianceModel in net.finmath.montecarlo.interestrate.modelplugins

Modifier and Type	Class and Description
class	AbstractLIBORCovarianceModelParametric Base class for parametric covariance models, see also AbstractLIBORCovarianceModel.
class	BlendedLocalVolatilityModel Blended model (or displaced diffusion model) build on top of a standard covariance model.
class	LIBORCovarianceModelExponentialForm5Param The five parameter covariance model consisting of an LIBORVolatilityModelMaturityDependentFourParameterExponentialForm and an LIBORCorrelationModelExponentialDecay.
class	LIBORCovarianceModelExponentialForm7Param
class	LIBORCovarianceModelFromVolatilityAndCorrelation A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.
class	LIBORCovarianceModelStochasticVolatility Simple stochastic volatility model, using a process \[ d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1-\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,} \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.