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

Packages that use LIBORModelMonteCarloSimulationModel

Package	Description
net.finmath.marketdata2.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.modelling.productfactory	Provides classes to build products from descriptors.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.
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.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components	Provides a set product components which allow to build financial products by composition.
net.finmath.montecarlo.interestrate.products.indices	Provides a set of indices which can be used as part of a period.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.marketdata2.model.curves

Methods in net.finmath.marketdata2.model.curves with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
static DiscountCurveInterface	DiscountCurveInterpolation.createDiscountCurveFromMonteCarloLiborModel(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime)	Create a discount curve from forwards given by a LIBORMonteCarloModel.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromMonteCarloLiborModel(String name, LIBORModelMonteCarloSimulationModel model, double startTime)	Create a forward curve from forwards given by a LIBORMonteCarloModel.
static RandomVariable[]	DiscountCurveInterpolation.createZeroRates(double time, double[] maturities, LIBORModelMonteCarloSimulationModel model)

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.modelling.productfactory

Methods in net.finmath.modelling.productfactory with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
RandomVariable	InterestRateMonteCarloProductFactory.SwapMonteCarlo.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	InterestRateMonteCarloProductFactory.SwaptionPhysicalMonteCarlo.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Modifier and Type	Interface	Description
interface	HybridAssetLIBORModelMonteCarloSimulation	Basic interface which has to be implemented by Monte Carlo models for hybrid processes.

Classes in net.finmath.montecarlo.hybridassetinterestrate that implement LIBORModelMonteCarloSimulationModel

Modifier and Type	Class	Description
class	HybridAssetLIBORModelMonteCarloSimulationFromModels	An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

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

Modifier and Type	Method	Description
LIBORModelMonteCarloSimulationModel	CrossCurrencyLIBORMarketModelFromModels.getBaseModel()

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
HybridAssetLIBORModelMonteCarloSimulation	ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve)	Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type LIBORModelMonteCarloSimulationModel

Constructor	Description
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation)
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation, DiscountCurve discountCurve)	Create an Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.

Constructor parameters in net.finmath.montecarlo.hybridassetinterestrate with type arguments of type LIBORModelMonteCarloSimulationModel

Constructor	Description
CrossCurrencyLIBORMarketModelFromModels(String baseModel, Map<String,LIBORModelMonteCarloSimulationModel> interestRatesModels, Map<String,MonteCarloProcessFromProcessModel> fxModels)	Create a Cross Currency LIBOR Market Model with Black-Scholes FX Model.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate.products

Methods in net.finmath.montecarlo.hybridassetinterestrate.products with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
FactorDrift	HybridAssetMonteCarloProduct.getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)	Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate

Classes in net.finmath.montecarlo.interestrate that implement LIBORModelMonteCarloSimulationModel

Modifier and Type	Class	Description
class	LIBORMonteCarloSimulationFromLIBORModel	Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g. implemented by LIBORMarketModelFromCovarianceModel) and MonteCarloProcess process (e.g. implemented by EulerSchemeFromProcessModel
class	LIBORMonteCarloSimulationFromTermStructureModel	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.

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

Modifier and Type	Method	Description
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData(String entityKey, Object dataModified)	Create a clone of this simulation modifying one of its properties (if any).
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData(Map<String,Object> dataModified)

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

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

Modifier and Type	Method	Description
RandomVariable[]	BermudanSwaption.getBasisFunctions(double fixingDate, LIBORModelMonteCarloSimulationModel model)	Return the basis functions for the regression suitable for this product.
RandomVariable[]	BermudanSwaptionFromSwapSchedules.getBasisFunctions(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
ConditionalExpectationEstimator	BermudanSwaption.getConditionalExpectationEstimator(double fixingDate, LIBORModelMonteCarloSimulationModel model)	Return the conditional expectation estimator suitable for this product.
ConditionalExpectationEstimator	BermudanSwaptionFromSwapSchedules.getConditionalExpectationEstimator(double exerciseTime, LIBORModelMonteCarloSimulationModel model)	The conditional expectation is calculated using a Monte-Carlo regression technique.
RandomVariable	Swaption.getExerciseIndicator(LIBORModelMonteCarloSimulationModel model)	Deprecated.
FactorDrift	AbstractLIBORMonteCarloProduct.getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)
FactorDrift	TermStructureMonteCarloProduct.getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)	Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.
abstract RandomVariable	AbstractLIBORMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	BermudanSwaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	BermudanSwaptionFromSwapSchedules.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Bond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	CancelableSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Caplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	CMSOption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	DigitalCaplet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	DigitalFloorlet.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	FlexiCap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	ForwardRateVolatilitySurfaceCurvature.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	LIBORBond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	MoneyMarketAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Portfolio.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SimpleCappedFlooredFloatingRateBond.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SimpleSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SimpleZeroSwap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Swap.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwapLeg.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Swaption.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwaptionAnalyticApproximation.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwaptionAnalyticApproximationRebonato.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwaptionATM.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwaptionFromSwapSchedules.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwaptionGeneralizedAnalyticApproximation.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwaptionSimple.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwaptionSingleCurve.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwaptionSingleCurveAnalyticApproximation.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	SwaptionWithComponents.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	SwapWithComponents.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	TermStructureMonteCarloProduct.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
static RandomVariable	SwaptionFromSwapSchedules.getValueOfLegAnalytic(double evaluationTime, LIBORModelMonteCarloSimulationModel model, Schedule schedule, boolean paysFloatingRate, double fixRate, double notional)	Determines the time \( t \)-measurable value of a swap leg (can handle fix or float).
Map<String,Object>	AbstractLIBORMonteCarloProduct.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
Map<String,Object>	BermudanSwaption.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
Map<String,Object>	BermudanSwaptionFromSwapSchedules.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
Map<String,Object>	TermStructureMonteCarloProduct.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the valuation of the product within the specified model, evaluated at a given evalutationTime.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.components

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

Modifier and Type	Method	Description
RandomVariable[]	Option.getBasisFunctions(double exerciseDate, LIBORModelMonteCarloSimulationModel model)	Return the regression basis functions.
abstract RandomVariable	AbstractPeriod.getCoupon(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Period.getCoupon(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	AccruingNotional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Notional.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)	Calculates the notional at the end of a period, given a period.
RandomVariable	NotionalFromComponent.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
RandomVariable	NotionalFromConstant.getNotionalAtPeriodEnd(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
RandomVariable	AccruingNotional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Notional.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)	Calculates the notional at the start of a period, given a period.
RandomVariable	NotionalFromComponent.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
RandomVariable	NotionalFromConstant.getNotionalAtPeriodStart(AbstractPeriod period, LIBORModelMonteCarloSimulationModel model)
abstract RandomVariable	AbstractPeriod.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	AccrualAccount.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	Cashflow.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Choice.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	ExpectedTailLoss.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	ExposureEstimator.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	IndexedValue.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Numeraire.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Option.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Period.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	ProductCollection.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
RandomVariable	Selector.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
Map<String,Object>	AbstractProductComponent.getValues(double evaluationTime, LIBORModelMonteCarloSimulationModel model)

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.indices

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

Modifier and Type	Method	Description
double	LIBORIndex.getPeriodLength(LIBORModelMonteCarloSimulationModel model, double fixingTime)
abstract RandomVariable	AbstractIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	AccruedInterest.getValue(double fixingTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	AnalyticModelForwardCurveIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	AnalyticModelIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	CappedFlooredIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	ConstantMaturitySwaprate.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	DateIndex.getValue(double fixingTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	FixedCoupon.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	ForwardCurveIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	LaggedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	LIBORIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	LinearCombinationIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	MaxIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	MinIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	NumerairePerformanceIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	NumerairePerformanceOnScheduleIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	PerformanceIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	PowIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	ProductIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	TimeDiscreteEndOfMonthIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	TriggerIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)
RandomVariable	UnsupportedIndex.getValue(double evaluationTime, LIBORModelMonteCarloSimulationModel model)