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

Packages that use LIBORVolatilityModel

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 LIBORVolatilityModel in net.finmath.montecarlo.interestrate.modelplugins

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

Modifier and Type	Class and Description
class	LIBORVolatilityModelFourParameterExponentialForm Implements the volatility model \[ \sigma_{i}(t_{j}) = ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \text{
class	LIBORVolatilityModelFourParameterExponentialFormIntegrated Implements the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{
class	LIBORVolatilityModelFromGivenMatrix Implements a simple volatility model using given piece-wise constant values on a given discretization grid.
class	LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
class	LIBORVolatilityModelTwoParameterExponentialForm Implements the volatility model σi(tj) = a * exp(-b (Ti-tj))

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

Modifier and Type	Method and Description
LIBORVolatilityModel	LIBORCovarianceModelFromVolatilityAndCorrelation.getVolatilityModel()

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

Constructor and Description
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)