Uses of Interface
net.finmath.montecarlo.interestrate.TermStructureModel
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.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.
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Uses of TermStructureModel in net.finmath.montecarlo.hybridassetinterestrate
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Uses of TermStructureModel 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
Modifier and TypeMethodDescriptionTermStructureModel.getCloneWithModifiedData
(Map<String, Object> dataModified) Create a new object implementing TermStructureModel, using the new data.LIBORMonteCarloSimulationFromTermStructureModel.getModel()
TermStructureMonteCarloSimulationFromTermStructureModel.getModel()
TermStructureMonteCarloSimulationModel.getModel()
Returns the underlying model.ModifierConstructorDescriptionLIBORMonteCarloSimulationFromTermStructureModel
(TermStructureModel model, MonteCarloProcess process) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.TermStructureMonteCarloSimulationFromTermStructureModel
(TermStructureModel model, MonteCarloProcess process) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel. -
Uses of TermStructureModel 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.class
Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699.Modifier and TypeMethodDescriptionLIBORMarketModelWithTenorRefinement.getCloneWithModifiedData
(Map<String, Object> dataModified) -
Uses of TermStructureModel in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeMethodDescriptionTermStructureCovarianceModelParametric.getCloneCalibrated
(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String, Object> calibrationParameters) Return a calibrated clone of the covariance model.TermStructCovarianceModelFromLIBORCovarianceModel.getFactorLoading
(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model) TermStructCovarianceModelFromLIBORCovarianceModelParametric.getFactorLoading
(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model) TermStructureFactorLoadingsModel.getFactorLoading
(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model) Return the factor loading for a given time and a term structure period.