Interface TermStructureCovarianceModel

All Superinterfaces:
TermStructureFactorLoadingsModel, TermStructureTenorTimeScaling
All Known Implementing Classes:
TermStructCovarianceModelFromLIBORCovarianceModelParametric, TermStructureCovarianceModelParametric
public interface TermStructureCovarianceModel extends TermStructureTenorTimeScaling, TermStructureFactorLoadingsModel
A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
Version:
1.0
Author:
Christian Fries