Module net.finmath.lib

Package net.finmath.montecarlo.interestrate

Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process. The basic interface and classes provide a TermStructureModel which provides a forward rate TermStructureModel.getForwardRate(net.finmath.montecarlo.process.MonteCarloProcess, double, double, double) and a numeraire ProcessModel.getNumeraire(net.finmath.montecarlo.process.MonteCarloProcess, double) There is a legacy interface LIBORModel which provides the forward rates on a tenor time discretization under the name LIBORModel.getLIBOR(net.finmath.montecarlo.process.MonteCarloProcess, int, int)

Author:

Christian Fries

Interface Summary

Interface	Description
LIBORMarketModel	Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
LIBORModel
LIBORModelMonteCarloSimulationModel	Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
ShortRateModel	Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.
TermStructureModel
TermStructureMonteCarloSimulationModel

Class Summary

Class	Description
CalibrationProduct	A class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.
LIBORMonteCarloSimulationFromLIBORModel	Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g.
LIBORMonteCarloSimulationFromTermStructureModel	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.
TermStructureMonteCarloSimulationFromTermStructureModel	Implements convenient methods for a LIBOR market model, based on a given LIBORMarketModelFromCovarianceModel model and AbstractLogNormalProcess process.