Uses of Package
net.finmath.montecarlo.interestrate.models
Packages that use net.finmath.montecarlo.interestrate.models
Package
Description
Products which may be valued using an
AssetModelMonteCarloSimulationModel.Interest rate models implementing
ProcessModel
e.g.Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.-
Classes in net.finmath.montecarlo.interestrate.models used by net.finmath.montecarlo.assetderivativevaluation.productsClassDescriptionModels the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.
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Classes in net.finmath.montecarlo.interestrate.models used by net.finmath.montecarlo.interestrate.modelsClassDescriptionImplements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.Implements a basic LIBOR market model with some drift approximation methods.
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Classes in net.finmath.montecarlo.interestrate.models used by net.finmath.montecarlo.interestrate.productsClassDescriptionModels the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.