Uses of Class
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric
Package
Description
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 AbstractLIBORCovarianceModelParametric in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeClassDescriptionclass
Blended model (or displaced diffusion model) build on top of a standard covariance model.class
Displaced model build on top of a standard covariance model.class
Exponential decay model build on top of a given covariance model.class
Special variant of a blended model (or displaced diffusion model) build on top of a standard covariance model using the special function corresponding to the Hull-White local volatility.class
A five parameter covariance model corresponding.class
The five parameter covariance model consisting of anLIBORVolatilityModelMaturityDependentFourParameterExponentialForm
and anLIBORCorrelationModelExponentialDecay
.class
class
A covariance model build from a volatility model implementingLIBORVolatilityModel
and a correlation model implementingLIBORCorrelationModel
.class
As Heston like stochastic volatility model, using a process \( \lambda(t) = \sqrt(V(t)) \) \[ dV(t) = \kappa ( \theta - V(t) ) dt + \xi \sqrt{V(t)} dW_{1}(t), \quad V(0) = 1.0, \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.class
Simple stochastic volatility model, using a process \[ d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1-\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,} \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.Modifier and TypeMethodDescriptionBlendedLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.DisplacedLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.ExponentialDecayLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is exp(- a t) Fi(t) where a is the decay parameter and Fi is the factor loading from the given covariance model.HullWhiteLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F.AbstractLIBORCovarianceModelParametric.getCloneCalibrated
(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts) AbstractLIBORCovarianceModelParametric.getCloneCalibrated
(LIBORMarketModel 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.AbstractLIBORCovarianceModelParametric.getCloneCalibratedLegazy
(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String, Object> calibrationParameters) AbstractLIBORCovarianceModel.getCloneWithModifiedData
(Map<String, Object> dataModified) BlendedLocalVolatilityModel.getCloneWithModifiedData
(Map<String, Object> dataModified) DisplacedLocalVolatilityModel.getCloneWithModifiedData
(Map<String, Object> dataModified) ExponentialDecayLocalVolatilityModel.getCloneWithModifiedData
(Map<String, Object> dataModified) HullWhiteLocalVolatilityModel.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORCovarianceModel.getCloneWithModifiedData
(Map<String, Object> dataModified) Returns a clone of this model where the specified properties have been modified.LIBORCovarianceModelBH.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORCovarianceModelExponentialForm7Param.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedData
(Map<String, Object> dataModified) AbstractLIBORCovarianceModelParametric.getCloneWithModifiedParameters
(double[] parameters) Return an instance of this model using a new set of parameters.AbstractLIBORCovarianceModelParametric.getCloneWithModifiedParameters
(RandomVariable[] parameters) Return an instance of this model using a new set of parameters.BlendedLocalVolatilityModel.getCloneWithModifiedParameters
(double[] parameters) BlendedLocalVolatilityModel.getCloneWithModifiedParameters
(RandomVariable[] parameters) DisplacedLocalVolatilityModel.getCloneWithModifiedParameters
(double[] parameters) DisplacedLocalVolatilityModel.getCloneWithModifiedParameters
(RandomVariable[] parameters) ExponentialDecayLocalVolatilityModel.getCloneWithModifiedParameters
(double[] parameters) ExponentialDecayLocalVolatilityModel.getCloneWithModifiedParameters
(RandomVariable[] parameters) HullWhiteLocalVolatilityModel.getCloneWithModifiedParameters
(double[] parameters) LIBORCovarianceModelBH.getCloneWithModifiedParameters
(double[] parameters) LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedParameters
(double[] parameters) LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedParameters
(RandomVariable[] parameters) LIBORCovarianceModelExponentialForm7Param.getCloneWithModifiedParameters
(double[] parameters) LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedParameters
(double[] parameters) LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedParameters
(RandomVariable[] parameters) LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedParameters
(double[] parameters) LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedParameters
(RandomVariable[] parameters) LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedParameters
(double[] parameters) LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedParameters
(RandomVariable[] parameters) ModifierConstructorDescriptionBlendedLocalVolatilityModel
(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.BlendedLocalVolatilityModel
(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.BlendedLocalVolatilityModel
(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, RandomVariable displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.BlendedLocalVolatilityModel
(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.BlendedLocalVolatilityModel
(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.DisplacedLocalVolatilityModel
(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced model build on top of a standard covariance model.DisplacedLocalVolatilityModel
(AbstractLIBORCovarianceModelParametric covarianceModel, RandomVariable displacement, boolean isCalibrateable) Displaced model build on top of a standard covariance model.ExponentialDecayLocalVolatilityModel
(AbstractLIBORCovarianceModelParametric covarianceModel, double decay, boolean isCalibrateable) Exponential decay model build on top of a standard covariance model.ExponentialDecayLocalVolatilityModel
(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double decay, boolean isCalibrateable) Exponential decay model build on top of a standard covariance model.ExponentialDecayLocalVolatilityModel
(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, RandomVariable decay, boolean isCalibrateable) Exponential decay model build on top of a standard covariance model.HullWhiteLocalVolatilityModel
(AbstractLIBORCovarianceModelParametric covarianceModel, double periodLength) The model constructed for the i-th factor loading is (1+Li(t) d) Fi(t) where d is a constant (the period length), Li is the realization of the i-th component of the stochastic process and Fi is the factor loading from the given covariance model.LIBORCovarianceModelStochasticHestonVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double kappa, double theta, double xi, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.LIBORCovarianceModelStochasticHestonVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable kappa, RandomVariable theta, RandomVariable xi, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.LIBORCovarianceModelStochasticVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double nu, double rho, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.LIBORCovarianceModelStochasticVolatility
(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable nu, RandomVariable rho, boolean isCalibrateable) Create a modification of a givenAbstractLIBORCovarianceModelParametric
with a stochastic volatility scaling.TermStructCovarianceModelFromLIBORCovarianceModel
(AbstractLIBORCovarianceModelParametric covarianceModel) Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.TermStructCovarianceModelFromLIBORCovarianceModelParametric
(TermStructureTenorTimeScaling tenorTimeScalingModel, AbstractLIBORCovarianceModelParametric covarianceModel)