Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelCalibrateable
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Packages that use ShortRateVolatilityModelCalibrateable 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. -
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Uses of ShortRateVolatilityModelCalibrateable in net.finmath.montecarlo.interestrate.models.covariance
Classes in net.finmath.montecarlo.interestrate.models.covariance that implement ShortRateVolatilityModelCalibrateable Modifier and Type Class Description class
AbstractShortRateVolatilityModelParametric
Base class for parametric volatility models, see alsoAbstractShortRateVolatilityModel
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ShortRateVolatilityModelPiecewiseConstant
Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.Methods in net.finmath.montecarlo.interestrate.models.covariance that return ShortRateVolatilityModelCalibrateable Modifier and Type Method Description ShortRateVolatilityModelCalibrateable
ShortRateVolatilityModelCalibrateable. getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)
Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
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