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

Packages that use TermStructureModel

Package	Description
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
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.
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 TermStructureModel in net.finmath.montecarlo.hybridassetinterestrate

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

Modifier and Type	Method	Description
TermStructureModel	HybridAssetLIBORModelMonteCarloSimulationFromModels.getModel()

Uses of TermStructureModel in net.finmath.montecarlo.interestrate

Subinterfaces of TermStructureModel in net.finmath.montecarlo.interestrate

Modifier and Type	Interface	Description
interface	LIBORMarketModel	Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
interface	LIBORModel

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

Modifier and Type	Method	Description
TermStructureModel	TermStructureModel.getCloneWithModifiedData(Map<String,Object> dataModified)	Create a new object implementing TermStructureModel, using the new data.
TermStructureModel	LIBORModelMonteCarloSimulationModel.getModel()	Returns the underlying model.
TermStructureModel	LIBORMonteCarloSimulationFromTermStructureModel.getModel()

Constructors in net.finmath.montecarlo.interestrate with parameters of type TermStructureModel

Constructor	Description
LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel model, MonteCarloProcess process)	Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.

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

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

Modifier and Type	Class	Description
class	HullWhiteModel	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	HullWhiteModelWithConstantCoeff	Implements a Hull-White model with constant coefficients.
class	HullWhiteModelWithDirectSimulation	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	HullWhiteModelWithShiftExtension	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
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.
class	LIBORMarketModelWithTenorRefinement	Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699.

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

Modifier and Type	Method	Description
TermStructureModel	LIBORMarketModelWithTenorRefinement.getCloneWithModifiedData(Map<String,Object> dataModified)

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

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

Modifier and Type	Method	Description
TermStructureCovarianceModelParametric	TermStructureCovarianceModelParametric.getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Return a calibrated clone of the covariance model.
RandomVariable[]	TermStructCovarianceModelFromLIBORCovarianceModel.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
RandomVariable[]	TermStructCovarianceModelFromLIBORCovarianceModelParametric.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
RandomVariable[]	TermStructureFactorLoadingsModelInterface.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)	Return the factor loading for a given time and a term structure period.