Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel
-
Packages that use LIBORCovarianceModel 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.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 LIBORCovarianceModel in net.finmath.montecarlo.interestrate
Methods in net.finmath.montecarlo.interestrate that return LIBORCovarianceModel Modifier and Type Method Description LIBORCovarianceModel
LIBORMarketModel. getCovarianceModel()
Return the forward rate (LIBOR) covariance model.Methods in net.finmath.montecarlo.interestrate with parameters of type LIBORCovarianceModel Modifier and Type Method Description LIBORMarketModel
LIBORMarketModel. getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)
Create a new object implementing LIBORMarketModel, using the new covariance model. -
Uses of LIBORCovarianceModel in net.finmath.montecarlo.interestrate.models
Methods in net.finmath.montecarlo.interestrate.models that return LIBORCovarianceModel Modifier and Type Method Description LIBORCovarianceModel
LIBORMarketModelFromCovarianceModel. getCovarianceModel()
LIBORCovarianceModel
LIBORMarketModelStandard. getCovarianceModel()
Methods in net.finmath.montecarlo.interestrate.models with parameters of type LIBORCovarianceModel Modifier and Type Method Description LIBORMarketModelFromCovarianceModel
LIBORMarketModelFromCovarianceModel. getCloneWithModifiedCovarianceModel(LIBORCovarianceModel covarianceModel)
LIBORMarketModelStandard
LIBORMarketModelStandard. getCloneWithModifiedCovarianceModel(LIBORCovarianceModel covarianceModel)
static LIBORMarketModelFromCovarianceModel
LIBORMarketModelFromCovarianceModel. of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)
Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).Constructors in net.finmath.montecarlo.interestrate.models with parameters of type LIBORCovarianceModel Constructor Description LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)
Deprecated.Use LIBORMarketModelFromCovarianceModel.of() instead.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData, Map<String,?> properties)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)
Deprecated.Use LIBORMarketModelFromCovarianceModel.of() instead.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)
Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel)
Creates a LIBOR Market Model for given covariance.LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)
Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data. -
Uses of LIBORCovarianceModel in net.finmath.montecarlo.interestrate.models.covariance
Subinterfaces of LIBORCovarianceModel in net.finmath.montecarlo.interestrate.models.covariance Modifier and Type Interface Description interface
LIBORCovarianceModelCalibrateable
Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated
-method.Classes in net.finmath.montecarlo.interestrate.models.covariance that implement LIBORCovarianceModel Modifier and Type Class Description class
AbstractLIBORCovarianceModel
A base class and interface description for the instantaneous covariance of an forward rate interest rate model.class
AbstractLIBORCovarianceModelParametric
Base class for parametric covariance models, see alsoAbstractLIBORCovarianceModel
.class
BlendedLocalVolatilityModel
Blended model (or displaced diffusion model) build on top of a standard covariance model.class
DisplacedLocalVolatilityModel
Displaced model build on top of a standard covariance model.class
ExponentialDecayLocalVolatilityModel
Exponential decay model build on top of a given covariance model.class
HullWhiteLocalVolatilityModel
Special variant of a blended model (or displaced diffusion model) build on top of a standard covariance model using the special function corresponding to the Hull-White local volatility.class
LIBORCovarianceModelBH
A five parameter covariance model corresponding.class
LIBORCovarianceModelExponentialForm5Param
The five parameter covariance model consisting of anLIBORVolatilityModelMaturityDependentFourParameterExponentialForm
and anLIBORCorrelationModelExponentialDecay
.class
LIBORCovarianceModelExponentialForm7Param
class
LIBORCovarianceModelFromVolatilityAndCorrelation
A covariance model build from a volatility model implementingLIBORVolatilityModel
and a correlation model implementingLIBORCorrelationModel
.class
LIBORCovarianceModelStochasticHestonVolatility
As Heston like stochastic volatility model, using a process \( \lambda(t) = \sqrt(V(t)) \) \[ dV(t) = \kappa ( \theta - V(t) ) dt + \xi \sqrt{V(t)} dW_{1}(t), \quad V(0) = 1.0, \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.class
LIBORCovarianceModelStochasticVolatility
Simple stochastic volatility model, using a process \[ d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1-\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,} \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.
-