## Uses of Interfacenet.finmath.montecarlo.interestrate.ShortRateModel

• Packages that use ShortRateModel
Package Description
net.finmath.montecarlo.interestrate
Provides classes needed to generate a LIBOR market 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.