Uses of Interface
net.finmath.montecarlo.interestrate.LIBORMarketModel
Package
Description
Provides interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process
.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.
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
Modifier and TypeMethodDescriptionLIBORMarketModel.getCloneWithModifiedCovarianceModel
(LIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModel, using the new covariance model. -
Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate.models
Modifier and TypeClassDescriptionclass
Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.class
Implements a basic LIBOR market model with some drift approximation methods.Modifier and TypeMethodDescriptionHullWhiteModelWithConstantCoeff.getCloneWithModifiedData
(Map<String, Object> dataModified) HullWhiteModelWithDirectSimulation.getCloneWithModifiedData
(Map<String, Object> dataModified) HullWhiteModelWithShiftExtension.getCloneWithModifiedData
(Map<String, Object> dataModified) -
Uses of LIBORMarketModel 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.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.getCloneCalibratedLegazy
(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String, Object> calibrationParameters) -
Uses of LIBORMarketModel in net.finmath.montecarlo.interestrate.products
Modifier and TypeMethodDescriptionForwardRateVolatilitySurfaceCurvature.getValues
(double evaluationTime, LIBORMarketModel model) Calculates the squared curvature of the LIBOR instantaneous variance.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)).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)).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)).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).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)).