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

Packages that use LIBORMarketModel

Package	Description
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.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.interestrate.models.covariance	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.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate

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

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

Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate.models

Classes in net.finmath.montecarlo.interestrate.models that implement LIBORMarketModel

Modifier and Type	Class	Description
class	LIBORMarketModelFromCovarianceModel	Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
class	LIBORMarketModelStandard	Implements a basic LIBOR market model with some drift approximation methods.

Methods in net.finmath.montecarlo.interestrate.models that return LIBORMarketModel

Modifier and Type	Method	Description
LIBORMarketModel	HullWhiteModelWithConstantCoeff.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModel	HullWhiteModelWithDirectSimulation.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModel	HullWhiteModelWithShiftExtension.getCloneWithModifiedData(Map<String,Object> dataModified)

Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate.models.covariance

Methods in net.finmath.montecarlo.interestrate.models.covariance with parameters of type LIBORMarketModel

Modifier and Type	Method	Description
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts)
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, 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.
LIBORCovarianceModelCalibrateable	LIBORCovarianceModelCalibrateable.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a calibration of the 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.getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)

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

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

Modifier and Type	Method	Description
RandomVariable	ForwardRateVolatilitySurfaceCurvature.getValues(double evaluationTime, LIBORMarketModel model)	Calculates the squared curvature of the LIBOR instantaneous variance.
RandomVariable	SwaprateCovarianceAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionAnalyticApproximationRebonato.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionGeneralizedAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d S/d L (t) = d S/d L (0).
RandomVariable	SwaptionSingleCurveAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).