Module net.finmath.lib
Package net.finmath.montecarlo.interestrate
Provides classes needed to generate a LIBOR market model (using numerical
algorithms from
net.finmath.montecarlo.process
.- Author:
- Christian Fries
-
Interface Summary Interface Description LIBORMarketModel Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.LIBORModel LIBORModelMonteCarloSimulationModel Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.ShortRateModel Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.TermStructureModel TermStructureMonteCarloSimulationModel -
Class Summary Class Description CalibrationProduct A class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.LIBORMonteCarloSimulationFromLIBORModel Implements convenient methods for a LIBOR market model, based on a givenLIBORModel
model (e.g.LIBORMonteCarloSimulationFromTermStructureModel Implements convenient methods for a LIBOR market model, based on a givenLIBORMarketModelFromCovarianceModel
model andAbstractLogNormalProcess
process.