Uses of Interface
net.finmath.montecarlo.interestrate.LIBORMarketModel

Packages that use LIBORMarketModel

Package	Description
net.finmath.montecarlo.interestrate	Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
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.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return LIBORMarketModel

Modifier and Type	Method	Description
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)	Create a new object implementing LIBORMarketModel, using the new covariance model.

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

Classes in net.finmath.montecarlo.interestrate.models that implement LIBORMarketModel

Modifier and Type	Class	Description
class	LIBORMarketModelFromCovarianceModel	Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
class	LIBORMarketModelStandard	Implements a basic LIBOR market model with some drift approximation methods.

Methods in net.finmath.montecarlo.interestrate.models that return LIBORMarketModel

Modifier and Type	Method	Description
LIBORMarketModel	HullWhiteModelWithConstantCoeff.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModel	HullWhiteModelWithDirectSimulation.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORMarketModel	HullWhiteModelWithShiftExtension.getCloneWithModifiedData(Map<String,Object> dataModified)

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

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

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.
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.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)

Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type LIBORMarketModel

Modifier and Type	Method	Description
RandomVariable	ForwardRateVolatilitySurfaceCurvature.getValues(double evaluationTime, LIBORMarketModel model)	Calculates the squared curvature of the LIBOR instantaneous variance.
RandomVariable	SwaprateCovarianceAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionAnalyticApproximationRebonato.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).
RandomVariable	SwaptionGeneralizedAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d S/d L (t) = d S/d L (0).
RandomVariable	SwaptionSingleCurveAnalyticApproximation.getValues(double evaluationTime, TimeDiscretization timeDiscretization, LIBORMarketModel model)	Calculates the approximated integrated instantaneous variance of the swap rate, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).