Uses of Interface
net.finmath.montecarlo.interestrate.LIBORModel
Package
Description
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 LIBORModel 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.Modifier and TypeMethodDescriptionLIBORModel.getCloneWithModifiedData
(Map<String, Object> dataModified) Create a new object implementing LIBORModel, using the new data.LIBORMonteCarloSimulationFromLIBORModel.getModel()
ModifierConstructorDescriptionLIBORMonteCarloSimulationFromLIBORModel
(LIBORModel model, MonteCarloProcess process) Deprecated. -
Uses of LIBORModel 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.Modifier and TypeMethodDescriptionHullWhiteModel.getCloneWithModifiedData
(Map<String, Object> dataModified)