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

Packages that use AbstractLIBORCovarianceModelParametric

Package	Description
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 AbstractLIBORCovarianceModelParametric in net.finmath.montecarlo.interestrate.modelplugins

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

Modifier and Type	Class and Description
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.

Methods in net.finmath.montecarlo.interestrate.modelplugins that return AbstractLIBORCovarianceModelParametric

Modifier and Type	Method and Description
AbstractLIBORCovarianceModelParametric	BlendedLocalVolatilityModel.getBaseCovarianceModel() Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
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.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneWithModifiedParameters(double[] parameters)

Constructors in net.finmath.montecarlo.interestrate.modelplugins with parameters of type AbstractLIBORCovarianceModelParametric

Constructor and Description
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurveInterface forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotionInterface brownianMotion, double nu, double rho, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.