Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.models.funding

Interface FundingCapacity

All Known Implementing Classes:
FundingCapacityWithMemory, FundingCapacityWithoutMemory
public interface FundingCapacity

  • Method Summary

    Modifier and Type
    Method
    Description
    DefaultFactors
    getDefaultFactors(double time, RandomVariable fundingRequirement)
    Apply a new funding requirement to this funding capacity and return the associated DefaultFactors.

  • Method Details

    • getDefaultFactors

      DefaultFactors getDefaultFactors(double time, RandomVariable fundingRequirement)
      Apply a new funding requirement to this funding capacity and return the associated DefaultFactors.
      Parameters:
      time - The time at which the funding is required.
      fundingRequirement - The required funding.
      Returns:
      A DefaultFactors that reflects the amount that has to be contracted to secure the funding.