Class TermStructCovarianceModelFromLIBORCovarianceModelParametric

java.lang.Object
net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModelParametric
net.finmath.montecarlo.interestrate.models.covariance.TermStructCovarianceModelFromLIBORCovarianceModelParametric
All Implemented Interfaces:
TermStructureCovarianceModel, TermStructureFactorLoadingsModel, TermStructureFactorLoadingsModelParametric, TermStructureTenorTimeScaling

public class TermStructCovarianceModelFromLIBORCovarianceModelParametric extends TermStructureCovarianceModelParametric
Version:
1.0
Author:
Christian Fries
  • Constructor Details

    • TermStructCovarianceModelFromLIBORCovarianceModelParametric

      public TermStructCovarianceModelFromLIBORCovarianceModelParametric(TermStructureTenorTimeScaling tenorTimeScalingModel, AbstractLIBORCovarianceModelParametric covarianceModel)
      Parameters:
      tenorTimeScalingModel - The model used for the tenor time re-scaling (providing the scaling coefficients).
      covarianceModel - The model implementing AbstractLIBORCovarianceModelParametric.
  • Method Details