Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.models
Interest rate models implementing
ProcessModel
e.g. by extending AbstractProcessModel.- Author:
- Christian Fries
-
Class Summary 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.HullWhiteModel Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.HullWhiteModelWithConstantCoeff Implements a Hull-White model with constant coefficients.HullWhiteModelWithDirectSimulation Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.HullWhiteModelWithShiftExtension 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.LIBORMarketModelStandard Implements a basic LIBOR market model with some drift approximation methods.LIBORMarketModelWithTenorRefinement Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699.