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

Packages that use ShortRateModel

Package	Description
net.finmath.montecarlo.interestrate	Provides interfaces and classes needed to generate interest rate models 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 ShortRateModel in net.finmath.montecarlo.interestrate

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

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

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

Classes in net.finmath.montecarlo.interestrate.models that implement ShortRateModel

Modifier and Type	Class	Description
class	HullWhiteModel	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.

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

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

Modifier and Type	Method	Description
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
ShortRateVolatilityModelCalibrateable	ShortRateVolatilityModelCalibrateable.getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibratedLegazy(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.