Uses of Interface
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel

Packages that use LIBORModelMonteCarloSimulationModel

Package	Description
net.finmath.marketdata2.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
net.finmath.montecarlo.hybridassetinterestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.
net.finmath.montecarlo.interestrate.products.components	Provides a set product components which allow to build financial products by composition.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.marketdata2.model.curves

Methods in net.finmath.marketdata2.model.curves with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
static DiscountCurveInterface	DiscountCurveInterpolation.createDiscountCurveFromMonteCarloLiborModel(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime)	Create a discount curve from forwards given by a LIBORMonteCarloModel.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromMonteCarloLiborModel(String name, LIBORModelMonteCarloSimulationModel model, double startTime)	Create a forward curve from forwards given by a LIBORMonteCarloModel.
static RandomVariable[]	DiscountCurveInterpolation.createZeroRates(double time, double[] maturities, LIBORModelMonteCarloSimulationModel model)

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Subinterfaces of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate

Modifier and Type	Interface	Description
interface	HybridAssetLIBORModelMonteCarloSimulation	Basic interface which has to be implemented by Monte Carlo models for hybrid processes.

Classes in net.finmath.montecarlo.hybridassetinterestrate that implement LIBORModelMonteCarloSimulationModel

Modifier and Type	Class	Description
class	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.

Methods in net.finmath.montecarlo.hybridassetinterestrate that return LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
LIBORModelMonteCarloSimulationModel	CrossCurrencyLIBORMarketModelFromModels.getBaseModel()

Methods in net.finmath.montecarlo.hybridassetinterestrate with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
HybridAssetLIBORModelMonteCarloSimulation	ModelFactory.getHybridAssetLIBORModel(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve)	Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.

Constructors in net.finmath.montecarlo.hybridassetinterestrate with parameters of type LIBORModelMonteCarloSimulationModel

Constructor	Description
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation)
HybridAssetLIBORModelMonteCarloSimulationFromModels(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation, DiscountCurve discountCurve)	Create 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.

Constructor parameters in net.finmath.montecarlo.hybridassetinterestrate with type arguments of type LIBORModelMonteCarloSimulationModel

Constructor	Description
CrossCurrencyLIBORMarketModelFromModels(String baseModel, Map<String,LIBORModelMonteCarloSimulationModel> interestRatesModels, Map<String,MonteCarloProcessFromProcessModel> fxModels)	Create a Cross Currency LIBOR Market Model with Black-Scholes FX Model.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate.products

Methods in net.finmath.montecarlo.hybridassetinterestrate.products with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
FactorTransform	HybridAssetMonteCarloProduct.getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)	Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate

Classes in net.finmath.montecarlo.interestrate that implement LIBORModelMonteCarloSimulationModel

Modifier and Type	Class	Description
class	LIBORMonteCarloSimulationFromLIBORModel	Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g.
class	LIBORMonteCarloSimulationFromTermStructureModel	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.

Methods in net.finmath.montecarlo.interestrate that return LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData(String entityKey, Object dataModified)	Create a clone of this simulation modifying one of its properties (if any).
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORModelMonteCarloSimulationModel	LIBORMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData(Map<String,Object> dataModified)

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
RandomVariable[]	BermudanSwaption.getBasisFunctions(double fixingDate, LIBORModelMonteCarloSimulationModel model)	Return the basis functions for the regression suitable for this product.
RandomVariable[]	BermudanSwaptionFromSwapSchedules.getBasisFunctions(double evaluationTime, LIBORModelMonteCarloSimulationModel model)	Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.
RandomVariable	Swaption.getExerciseIndicator(LIBORModelMonteCarloSimulationModel model)	Deprecated.
FactorTransform	AbstractTermStructureMonteCarloProduct.getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)
FactorTransform	TermStructureMonteCarloProduct.getFactorDrift(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme)	Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.

Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.components

Methods in net.finmath.montecarlo.interestrate.products.components with parameters of type LIBORModelMonteCarloSimulationModel

Modifier and Type	Method	Description
RandomVariable[]	Option.getBasisFunctions(double exerciseDate, LIBORModelMonteCarloSimulationModel model)	Return the regression basis functions.