Uses of Interface
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
Package
Description
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
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Uses of HybridAssetLIBORModelMonteCarloSimulation in net.finmath.montecarlo.hybridassetinterestrate
Modifier and TypeClassDescriptionclass
An Equity Hybrid LIBOR Market Model composed of an object implementingLIBORModelMonteCarloSimulationModel
providing the interest rate simulation and the numeraire and an object implementingAssetModelMonteCarloSimulationModel
providing the asset simulation.Modifier and TypeMethodDescriptionModelFactory.getHybridAssetLIBORModel
(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility. -
Uses of HybridAssetLIBORModelMonteCarloSimulation in net.finmath.montecarlo.hybridassetinterestrate.products
Modifier and TypeMethodDescriptiondouble
WorstOfExpressCertificate.getValue
(double evaluationTime, HybridAssetLIBORModelMonteCarloSimulation model)