LIBORMarketModel (finmath lib 5.1.3 API)

All Superinterfaces:

IndependentModelParameterProvider, LIBORModel, ProcessModel, TermStructureModel

All Known Implementing Classes:

LIBORMarketModelFromCovarianceModel, LIBORMarketModelStandard
```
public interface LIBORMarketModel
extends LIBORModel
```
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.

Version:

1.0

Author:

Christian Fries

Method Summary

All Methods Instance Methods Abstract Methods
Modifier and Type	Method	Description
`LIBORMarketModel`	`getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)`	Create a new object implementing LIBORMarketModel, using the new covariance model.
`LIBORCovarianceModel`	`getCovarianceModel()`	Return the forward rate (LIBOR) covariance model.
`double[][][]`	`getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization)`	Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \).

Methods inherited from interface net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider
getModelParameters

Methods inherited from interface net.finmath.montecarlo.interestrate.LIBORModel
getCloneWithModifiedData, getLIBOR, getLiborPeriod, getLiborPeriodDiscretization, getLiborPeriodIndex, getNumberOfLibors

Methods inherited from interface net.finmath.montecarlo.model.ProcessModel
applyStateSpaceTransform, applyStateSpaceTransformInverse, getDrift, getFactorLoading, getInitialState, getNumberOfComponents, getNumberOfFactors, getNumeraire, getRandomVariableForConstant, getReferenceDate

Methods inherited from interface net.finmath.montecarlo.interestrate.TermStructureModel
getAnalyticModel, getDiscountCurve, getForwardDiscountBond, getForwardRate, getForwardRateCurve, getLIBOR

- Method Detail
  - getCovarianceModel
```
LIBORCovarianceModel getCovarianceModel()
```
    Return the forward rate (LIBOR) covariance model.
    
    Returns:
    
    The covariance model.
  - getCloneWithModifiedCovarianceModel
```
LIBORMarketModel getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)
```
    Create a new object implementing LIBORMarketModel, using the new covariance model.
    
    Parameters:
    
    calibrationCovarianceModel - The new covariance model.
    
    Returns:
    
    A new object implementing LIBORMarketModel, using the new covariance model.
  - getIntegratedLIBORCovariance
```
double[][][] getIntegratedLIBORCovariance(TimeDiscretization timeDiscretization)
```
    Returns the integrated instantaneous log-forward rate covariance, i.e., \( \int_{0}^{t_i} \mathrm{d} \log(L_{j}) \mathrm{d} \log(L_{k}) \mathrm{d}t \). The array returned has the parametrization [i][j][k], i.e., integratedLIBORCovariance[timeIndex][componentIndex1][componentIndex2].
    
    Parameters:
    
    timeDiscretization - The timeDiscretization used for the integration.
    
    Returns:
    
    The integrated instantaneous log-LIBOR covariance.