Uses of Package
net.finmath.montecarlo.interestrate.models
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Packages that use net.finmath.montecarlo.interestrate.models Package Description net.finmath.montecarlo.assetderivativevaluation.products Products which may be valued using anAssetModelMonteCarloSimulationModel
.net.finmath.montecarlo.interestrate.models Interest rate models implementingProcessModel
e.g.net.finmath.montecarlo.interestrate.products Provides classes which implement financial products which may be valued using anet.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
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Classes in net.finmath.montecarlo.interestrate.models used by net.finmath.montecarlo.assetderivativevaluation.products Class Description FundingCapacity Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability. -
Classes in net.finmath.montecarlo.interestrate.models used by net.finmath.montecarlo.interestrate.models Class Description FundingCapacity.DefaultFactors HullWhiteModel Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.LIBORMarketModelFromCovarianceModel Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.LIBORMarketModelFromCovarianceModel.Driftapproximation LIBORMarketModelFromCovarianceModel.InterpolationMethod LIBORMarketModelFromCovarianceModel.Measure LIBORMarketModelFromCovarianceModel.StateSpace LIBORMarketModelStandard Implements a basic LIBOR market model with some drift approximation methods.LIBORMarketModelStandard.Driftapproximation LIBORMarketModelStandard.Measure LIBORMarketModelWithTenorRefinement.Driftapproximation -
Classes in net.finmath.montecarlo.interestrate.models used by net.finmath.montecarlo.interestrate.products Class Description FundingCapacity Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.