Package net.finmath.montecarlo.interestrate

Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.

See: Description

Interface Summary

Interface	Description
LIBORMarketModelInterface
LIBORModelMonteCarloSimulationInterface	Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.

Class Summary

Class	Description
LIBORMarketModel	Implements a (generalized) LIBOR market model with some drift approximation methods.
LIBORMarketModel.CalibrationItem
LIBORMarketModelStandard	Implements a basic LIBOR market model with some drift approximation methods.
LIBORMarketModelStandard.CalibrationItem
LIBORModelMonteCarloSimulation	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModel model and AbstractLogNormalProcess process.

Enum Summary

Enum	Description
LIBORMarketModel.Driftapproximation
LIBORMarketModel.Measure
LIBORMarketModel.StateSpace
LIBORMarketModelStandard.Driftapproximation
LIBORMarketModelStandard.Measure

Package net.finmath.montecarlo.interestrate Description

Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.