Module net.finmath.lib

Package net.finmath.montecarlo.interestrate.models.covariance

Interface TermStructureCovarianceModel

All Superinterfaces:

TermStructureFactorLoadingsModel, TermStructureTenorTimeScaling

All Known Implementing Classes:

TermStructCovarianceModelFromLIBORCovarianceModelParametric, TermStructureCovarianceModelParametric

public interface TermStructureCovarianceModel
extends TermStructureTenorTimeScaling, TermStructureFactorLoadingsModel

A base class and interface description for the instantaneous covariance of an forward rate interest rate model.

Version:

1.0

Author:

Christian Fries

Method Summary

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModel

getFactorLoading, getNumberOfFactors

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScaling

clone, getCloneWithModifiedParameters, getParameter, getScaledTenorTime