Uses of Class
net.finmath.montecarlo.interestrate.CalibrationProduct
Package
Description
Interest rate models implementing
ProcessModel
e.g.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 CalibrationProduct in net.finmath.montecarlo.interestrate.models
Modifier and TypeMethodDescriptionstatic 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 implementsLIBORMarketModel
.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).ModifierConstructorDescriptionLIBORMarketModelFromCovarianceModel
(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
Modifier and TypeMethodDescriptionAbstractLIBORCovarianceModelParametric.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.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.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.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.getCloneCalibrated
(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String, Object> calibrationParameters) Return a calibrated clone of the covariance model.AbstractLIBORCovarianceModelParametric.getCloneCalibratedLegazy
(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String, Object> calibrationParameters) 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.