Uses of Interface
net.finmath.montecarlo.automaticdifferentiation.IndependentModelParameterProvider
Package
Description
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process
.Interest rate models implementing
ProcessModel
e.g.-
Uses of IndependentModelParameterProvider in net.finmath.montecarlo.hybridassetinterestrate
Modifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for hybrid processes.Modifier and TypeClassDescriptionclass
An Equity Hybrid LIBOR Market Model composed of an object implementingLIBORModelMonteCarloSimulationModel
providing the interest rate simulation and the numeraire and an object implementingAssetModelMonteCarloSimulationModel
providing the asset simulation. -
Uses of IndependentModelParameterProvider in net.finmath.montecarlo.interestrate
Modifier and TypeInterfaceDescriptioninterface
Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.interface
interface
Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.interface
Modifier and TypeClassDescriptionclass
Implements convenient methods for a LIBOR market model, based on a givenLIBORModel
model (e.g.class
Implements convenient methods for a LIBOR market model, based on a givenLIBORMarketModelFromCovarianceModel
model andAbstractLogNormalProcess
process.class
Implements convenient methods for a LIBOR market model, based on a givenLIBORMarketModelFromCovarianceModel
model andAbstractLogNormalProcess
process. -
Uses of IndependentModelParameterProvider in net.finmath.montecarlo.interestrate.models
Modifier and TypeClassDescriptionclass
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
Implements a Hull-White model with constant coefficients.class
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.class
Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.class
Implements a basic LIBOR market model with some drift approximation methods.