Uses of Class
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModel

Packages that use AbstractLIBORCovarianceModel

Package	Description
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.

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

Subclasses of AbstractLIBORCovarianceModel in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type	Class	Description
class	AbstractLIBORCovarianceModelParametric	Base class for parametric covariance models, see also AbstractLIBORCovarianceModel.
class	BlendedLocalVolatilityModel	Blended model (or displaced diffusion model) build on top of a standard covariance model.
class	DisplacedLocalVolatilityModel	Displaced model build on top of a standard covariance model.
class	ExponentialDecayLocalVolatilityModel	Exponential decay model build on top of a given covariance model.
class	HullWhiteLocalVolatilityModel	Special variant of a blended model (or displaced diffusion model) build on top of a standard covariance model using the special function corresponding to the Hull-White local volatility.
class	LIBORCovarianceModelBH	A five parameter covariance model corresponding.
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	LIBORCovarianceModelStochasticHestonVolatility	As Heston like stochastic volatility model, using a process \( \lambda(t) = \sqrt(V(t)) \) \[ dV(t) = \kappa ( \theta - V(t) ) dt + \xi \sqrt{V(t)} dW_{1}(t), \quad V(0) = 1.0, \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.
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.