Module net.finmath.lib
Interface TermStructureCovarianceModel
- All Superinterfaces:
TermStructureFactorLoadingsModel
,TermStructureTenorTimeScaling
- All Known Implementing Classes:
TermStructCovarianceModelFromLIBORCovarianceModelParametric
,TermStructureCovarianceModelParametric
public interface TermStructureCovarianceModel
extends TermStructureTenorTimeScaling, TermStructureFactorLoadingsModel
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
- Version:
- 1.0
- Author:
- Christian Fries
-
Method Summary
Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModel
getFactorLoading, getNumberOfFactors
Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScaling
clone, getCloneWithModifiedParameters, getParameter, getScaledTenorTime