Uses of Package
net.finmath.montecarlo.interestrate.models.covariance
| 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.
|
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Classes in net.finmath.montecarlo.interestrate.models.covariance used by net.finmath.montecarlo.interestrate Class Description LIBORCovarianceModel Interface for covariance models providing a vector of (possibly stochastic) factor loadings.ShortRateVolatilityModel Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \) and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \). -
Classes in net.finmath.montecarlo.interestrate.models.covariance used by net.finmath.montecarlo.interestrate.models Class Description LIBORCovarianceModel Interface for covariance models providing a vector of (possibly stochastic) factor loadings.ShortRateVolatilityModel Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \) and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).TermStructureCovarianceModelInterface A base class and interface description for the instantaneous covariance of an forward rate interest rate model. -
Classes in net.finmath.montecarlo.interestrate.models.covariance used by net.finmath.montecarlo.interestrate.models.covariance Class Description AbstractLIBORCovarianceModel A base class and interface description for the instantaneous covariance of an forward rate interest rate model.AbstractLIBORCovarianceModelParametric Base class for parametric covariance models, see alsoAbstractLIBORCovarianceModel.AbstractShortRateVolatilityModel A base class and interface description for the instantaneous volatility of an short rate model.AbstractShortRateVolatilityModelParametric Base class for parametric volatility models, see alsoAbstractShortRateVolatilityModel.LIBORCorrelationModel Abstract base class and interface description of a correlation model (as it is used inLIBORCovarianceModelFromVolatilityAndCorrelation).LIBORCorrelationModelExponentialDecay Simple correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \] For a more general model featuring three parameters seeLIBORCorrelationModelThreeParameterExponentialDecay.LIBORCorrelationModelThreeParameterExponentialDecay Simple correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))LIBORCovarianceModel Interface for covariance models providing a vector of (possibly stochastic) factor loadings.LIBORCovarianceModelCalibrateable Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated-method.LIBORVolatilityModel Abstract base class and interface description of a volatility model (as it is used inLIBORCovarianceModelFromVolatilityAndCorrelation).LIBORVolatilityModelFourParameterExponentialForm Implements the volatility model \[ \sigma_{i}(t_{j}) = ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \text{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{LIBORVolatilityModelFromGivenMatrix Implements a simple volatility model using given piece-wise constant values on a given discretization grid.LIBORVolatilityModelMaturityDependentFourParameterExponentialForm LIBORVolatilityModelTimeHomogenousPiecewiseConstant Implements a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.LIBORVolatilityModelTwoParameterExponentialForm Implements the volatility model σi(tj) = a * exp(-b (Ti-tj))ShortRateVolatilityModel Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \) and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).ShortRateVolatilityModelCalibrateable Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated-method.ShortRateVolatilityModelParametric Interface for short rate volatility models which are determined by a vector of parameter.TermStructureCovarianceModelInterface A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureCovarianceModelParametric A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureFactorLoadingsModelInterface A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureFactorLoadingsModelParametricInterface A base class and interface description for the instantaneous covariance of an forward rate interest rate model.TermStructureTenorTimeScalingInterface