Uses of Interface
net.finmath.montecarlo.interestrate.LIBORModel
-
Packages that use LIBORModel Package Description net.finmath.montecarlo.interestrate Provides classes needed to generate a LIBOR market model (using numerical algorithms fromnet.finmath.montecarlo.process
.net.finmath.montecarlo.interestrate.models Interest rate models implementingProcessModel
e.g. -
-
Uses of LIBORModel in net.finmath.montecarlo.interestrate
Subinterfaces of LIBORModel 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.Methods in net.finmath.montecarlo.interestrate that return LIBORModel Modifier and Type Method Description LIBORModel
LIBORModel. getCloneWithModifiedData(Map<String,Object> dataModified)
Create a new object implementing LIBORModel, using the new data.LIBORModel
LIBORMonteCarloSimulationFromLIBORModel. getModel()
Constructors in net.finmath.montecarlo.interestrate with parameters of type LIBORModel Constructor Description LIBORMonteCarloSimulationFromLIBORModel(LIBORModel model, MonteCarloProcess process)
Deprecated. -
Uses of LIBORModel in net.finmath.montecarlo.interestrate.models
Classes in net.finmath.montecarlo.interestrate.models that implement LIBORModel 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.Methods in net.finmath.montecarlo.interestrate.models that return LIBORModel Modifier and Type Method Description LIBORModel
HullWhiteModel. getCloneWithModifiedData(Map<String,Object> dataModified)
-