Class LIBORMonteCarloSimulationFromLIBORModel

java.lang.Object
net.finmath.montecarlo.interestrate.LIBORMonteCarloSimulationFromLIBORModel
All Implemented Interfaces:
Model, IndependentModelParameterProvider, LIBORModelMonteCarloSimulationModel, TermStructureMonteCarloSimulationModel, MonteCarloSimulationModel

public class LIBORMonteCarloSimulationFromLIBORModel extends Object implements LIBORModelMonteCarloSimulationModel
Implements convenient methods for a LIBOR market model, based on a given LIBORModel model (e.g. implemented by LIBORMarketModelFromCovarianceModel) and MonteCarloProcess process (e.g. implemented by EulerSchemeFromProcessModel
Version:
1.0
Author:
Christian Fries