Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel

Packages that use ShortRateVolatilityModel

Package	Description
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.models	Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.models.covariance	Contains covariance models and their calibration as plug-ins for the LIBOR market model and volatility and correlation models which may be used to build a covariance model.

Uses of ShortRateVolatilityModel in net.finmath.montecarlo.interestrate

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

Modifier and Type	Method	Description
ShortRateVolatilityModel	ShortRateModel.getVolatilityModel()	Return the volatility model.

Methods in net.finmath.montecarlo.interestrate with parameters of type ShortRateVolatilityModel

Modifier and Type	Method	Description
ShortRateModel	ShortRateModel.getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel volatilityModel)	Create a new object implementing ShortRateModel, using the new volatility model.

Uses of ShortRateVolatilityModel in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models that return ShortRateVolatilityModel

Modifier and Type	Method	Description
ShortRateVolatilityModel	HullWhiteModel.getVolatilityModel()

Methods in net.finmath.montecarlo.interestrate.models with parameters of type ShortRateVolatilityModel

Modifier and Type	Method	Description
HullWhiteModel	HullWhiteModel.getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel volatilityModel)
static HullWhiteModel	HullWhiteModel.of(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type ShortRateVolatilityModel

Modifier	Constructor	Description
	HullWhiteModel(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	HullWhiteModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	HullWhiteModelWithDirectSimulation(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.
	HullWhiteModelWithShiftExtension(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties)	Creates a Hull-White model which implements LIBORMarketModel.

Uses of ShortRateVolatilityModel in net.finmath.montecarlo.interestrate.models.covariance

Subinterfaces of ShortRateVolatilityModel in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type	Interface	Description
interface	ShortRateVolatilityModelCalibrateable	Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated-method.
interface	ShortRateVolatilityModelParametric	Interface for short rate volatility models which are determined by a vector of parameter.

Classes in net.finmath.montecarlo.interestrate.models.covariance that implement ShortRateVolatilityModel

Modifier and Type	Class	Description
class	AbstractShortRateVolatilityModel	A base class and interface description for the instantaneous volatility of an short rate model.
class	AbstractShortRateVolatilityModelParametric	Base class for parametric volatility models, see also AbstractShortRateVolatilityModel.
class	ShortRateVolatilityModelAsGiven	A short rate volatility model from given volatility and mean reversion.
class	ShortRateVolatilityModelHoLee
class	ShortRateVolatilityModelPiecewiseConstant	Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.