Module net.finmath.lib

Package net.finmath.montecarlo.hybridassetinterestrate

Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.

Author:

Christian Fries

Interface Summary

Interface	Description
HybridAssetLIBORModelMonteCarloSimulation	Basic interface which has to be implemented by Monte Carlo models for hybrid processes.
HybridAssetMonteCarloSimulation	Basic interface which has to be implemented by Monte Carlo models for hybrid processes.
RiskFactorID

Class Summary

Class	Description
ConvexityAdjustedModel	A general convexity adjustment for models.
CrossCurrencyLIBORMarketModelFromModels	Cross Currency LIBOR Market Model with Black-Scholes FX Model.
HybridAssetLIBORModelMonteCarloSimulationFromModels	An Equity Hybrid LIBOR Market Model composed of an object implementing LIBORModelMonteCarloSimulationModel providing the interest rate simulation and the numeraire and an object implementing AssetModelMonteCarloSimulationModel providing the asset simulation.
ModelFactory	Helper factory to create a simple equity hybrid LIBOR market model.
RiskFactorForwardRate
RiskFactorFX