Uses of Class
net.finmath.montecarlo.interestrate.CalibrationProduct

Packages that use CalibrationProduct

Package	Description
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g.
net.finmath.montecarlo.interestrate.models.covariance	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.

Uses of CalibrationProduct in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models with parameters of type CalibrationProduct

Modifier and Type	Method	Description
static HullWhiteModel	HullWhiteModel.of(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties)	Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type CalibrationProduct

Modifier	Constructor	Description
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelWithTenorRefinement(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervals, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a model for given covariance.

Uses of CalibrationProduct in net.finmath.montecarlo.interestrate.models.covariance

Methods in net.finmath.montecarlo.interestrate.models.covariance with parameters of type CalibrationProduct

Modifier and Type	Method	Description
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts)
AbstractLIBORCovarianceModelParametric	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.
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibrated(ShortRateModel 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.
LIBORCovarianceModelCalibrateable	LIBORCovarianceModelCalibrateable.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
ShortRateVolatilityModelCalibrateable	ShortRateVolatilityModelCalibrateable.getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
TermStructureCovarianceModelParametric	TermStructureCovarianceModelParametric.getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)	Return a calibrated clone of the covariance model.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibratedLegazy(ShortRateModel 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.