Uses of Interface
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
Package
Description
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation
.Provides interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process
.Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel
.Provides a set product components which allow to build financial products by composition.
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Uses of LIBORModelMonteCarloSimulationModel in net.finmath.marketdata2.model.curves
Modifier and TypeMethodDescriptionstatic DiscountCurveInterface
DiscountCurveInterpolation.createDiscountCurveFromMonteCarloLiborModel
(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime) Create a discount curve from forwards given by a LIBORMonteCarloModel.static ForwardCurveInterpolation
ForwardCurveInterpolation.createForwardCurveFromMonteCarloLiborModel
(String name, LIBORModelMonteCarloSimulationModel model, double startTime) Create a forward curve from forwards given by a LIBORMonteCarloModel.static RandomVariable[]
DiscountCurveInterpolation.createZeroRates
(double time, double[] maturities, LIBORModelMonteCarloSimulationModel model) -
Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate
Modifier and TypeInterfaceDescriptioninterface
Basic interface which has to be implemented by Monte Carlo models for hybrid processes.Modifier and TypeClassDescriptionclass
An Equity Hybrid LIBOR Market Model composed of an object implementingLIBORModelMonteCarloSimulationModel
providing the interest rate simulation and the numeraire and an object implementingAssetModelMonteCarloSimulationModel
providing the asset simulation.Modifier and TypeMethodDescriptionModelFactory.getHybridAssetLIBORModel
(LIBORModelMonteCarloSimulationModel baseModel, BrownianMotion brownianMotion, double[] initialValues, double riskFreeRate, double[][] correlations, double[] maturities, double[] strikes, double[] volatilities, DiscountCurve discountCurve) Create a simple equity hybrid LIBOR market model with a calibration of the equity processes to a given Black-Scholes implied volatility.ModifierConstructorDescriptionHybridAssetLIBORModelMonteCarloSimulationFromModels
(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation) HybridAssetLIBORModelMonteCarloSimulationFromModels
(LIBORModelMonteCarloSimulationModel liborSimulation, AssetModelMonteCarloSimulationModel assetSimulation, DiscountCurve discountCurve) Create an Equity Hybrid LIBOR Market Model composed of an object implementingLIBORModelMonteCarloSimulationModel
providing the interest rate simulation and the numeraire and an object implementingAssetModelMonteCarloSimulationModel
providing the asset simulation.ModifierConstructorDescriptionCrossCurrencyLIBORMarketModelFromModels
(String baseModel, Map<String, LIBORModelMonteCarloSimulationModel> interestRatesModels, Map<String, MonteCarloProcessFromProcessModel> fxModels) Create a Cross Currency LIBOR Market Model with Black-Scholes FX Model. -
Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.hybridassetinterestrate.products
Modifier and TypeMethodDescriptionHybridAssetMonteCarloProduct.getFactorDrift
(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme) Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation. -
Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate
Modifier and TypeClassDescriptionclass
Implements convenient methods for a LIBOR market model, based on a givenLIBORModel
model (e.g.class
Implements convenient methods for a LIBOR market model, based on a givenLIBORMarketModelFromCovarianceModel
model andAbstractLogNormalProcess
process.Modifier and TypeMethodDescriptionLIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData
(String entityKey, Object dataModified) Create a clone of this simulation modifying one of its properties (if any).LIBORMonteCarloSimulationFromLIBORModel.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORMonteCarloSimulationFromTermStructureModel.getCloneWithModifiedData
(Map<String, Object> dataModified) -
Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products
Modifier and TypeMethodDescriptionBermudanSwaption.getBasisFunctions
(double fixingDate, LIBORModelMonteCarloSimulationModel model) Return the basis functions for the regression suitable for this product.BermudanSwaptionFromSwapSchedules.getBasisFunctions
(double evaluationTime, LIBORModelMonteCarloSimulationModel model) Provides a set of \( \mathcal{F}_{t} \)-measurable random variables which can serve as regression basis functions.Swaption.getExerciseIndicator
(LIBORModelMonteCarloSimulationModel model) Deprecated.AbstractTermStructureMonteCarloProduct.getFactorDrift
(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme) TermStructureMonteCarloProduct.getFactorDrift
(LIBORModelMonteCarloSimulationModel referenceScheme, LIBORModelMonteCarloSimulationModel targetScheme) Overwrite this method if the product supplies a custom FactorDriftInterface to be used in proxy simulation.abstract RandomVariable
AbstractLIBORMonteCarloProduct.getValue
(double evaluationTime, LIBORModelMonteCarloSimulationModel model) -
Uses of LIBORModelMonteCarloSimulationModel in net.finmath.montecarlo.interestrate.products.components
Modifier and TypeMethodDescriptionOption.getBasisFunctions
(double exerciseDate, LIBORModelMonteCarloSimulationModel model) Return the regression basis functions.