# Uses of Classnet.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric

Package
Description
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.
• ## Uses of AbstractLIBORCovarianceModelParametric in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type
Class
Description
class
BlendedLocalVolatilityModel
Blended model (or displaced diffusion model) build on top of a standard covariance model.
class
DisplacedLocalVolatilityModel
Displaced model build on top of a standard covariance model.
class
ExponentialDecayLocalVolatilityModel
Exponential decay model build on top of a given covariance model.
class
HullWhiteLocalVolatilityModel
Special variant of a blended model (or displaced diffusion model) build on top of a standard covariance model using the special function corresponding to the Hull-White local volatility.
class
LIBORCovarianceModelBH
A five parameter covariance model corresponding.
class
LIBORCovarianceModelExponentialForm5Param
class
LIBORCovarianceModelExponentialForm7Param

class
LIBORCovarianceModelFromVolatilityAndCorrelation
A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.
class
LIBORCovarianceModelStochasticHestonVolatility
As Heston like stochastic volatility model, using a process $$\lambda(t) = \sqrt(V(t))$$ $dV(t) = \kappa ( \theta - V(t) ) dt + \xi \sqrt{V(t)} dW_{1}(t), \quad V(0) = 1.0,$ where $$\lambda(0) = 1$$ to scale all factor loadings $$f_{i}$$ returned by a given covariance model.
class
LIBORCovarianceModelStochasticVolatility
Simple stochastic volatility model, using a process $d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1-\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,}$ where $$\lambda(0) = 1$$ to scale all factor loadings $$f_{i}$$ returned by a given covariance model.
Modifier and Type
Method
Description
AbstractLIBORCovarianceModelParametric
BlendedLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
AbstractLIBORCovarianceModelParametric
DisplacedLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
AbstractLIBORCovarianceModelParametric
ExponentialDecayLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is exp(- a t) Fi(t) where a is the decay parameter and Fi is the factor loading from the given covariance model.
AbstractLIBORCovarianceModelParametric
HullWhiteLocalVolatilityModel.getBaseCovarianceModel()
Returns the base covariance model, i.e., the model providing the factor loading F.
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.
AbstractLIBORCovarianceModelParametric
AbstractLIBORCovarianceModelParametric.getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)

abstract AbstractLIBORCovarianceModelParametric
AbstractLIBORCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
BlendedLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
DisplacedLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
ExponentialDecayLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
HullWhiteLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified)
Returns a clone of this model where the specified properties have been modified.
AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelBH.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelExponentialForm7Param.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedData(Map<String,Object> dataModified)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedData(Map<String,Object> dataModified)

abstract AbstractLIBORCovarianceModelParametric
AbstractLIBORCovarianceModelParametric.getCloneWithModifiedParameters(double[] parameters)
Return an instance of this model using a new set of parameters.
AbstractLIBORCovarianceModelParametric
AbstractLIBORCovarianceModelParametric.getCloneWithModifiedParameters(RandomVariable[] parameters)
Return an instance of this model using a new set of parameters.
AbstractLIBORCovarianceModelParametric
BlendedLocalVolatilityModel.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
BlendedLocalVolatilityModel.getCloneWithModifiedParameters(RandomVariable[] parameters)

AbstractLIBORCovarianceModelParametric
DisplacedLocalVolatilityModel.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
DisplacedLocalVolatilityModel.getCloneWithModifiedParameters(RandomVariable[] parameters)

AbstractLIBORCovarianceModelParametric
ExponentialDecayLocalVolatilityModel.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
ExponentialDecayLocalVolatilityModel.getCloneWithModifiedParameters(RandomVariable[] parameters)

AbstractLIBORCovarianceModelParametric
HullWhiteLocalVolatilityModel.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelBH.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedParameters(RandomVariable[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelExponentialForm7Param.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedParameters(RandomVariable[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedParameters(RandomVariable[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedParameters(double[] parameters)

AbstractLIBORCovarianceModelParametric
LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedParameters(RandomVariable[] parameters)

Modifier
Constructor
Description

BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.

BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.

BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, RandomVariable displacement, boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.

BlendedLocalVolatilityModel(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.

BlendedLocalVolatilityModel(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable)
Displaced diffusion model build on top of a standard covariance model.

DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable)
Displaced model build on top of a standard covariance model.

DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, RandomVariable displacement, boolean isCalibrateable)
Displaced model build on top of a standard covariance model.

ExponentialDecayLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double decay, boolean isCalibrateable)
Exponential decay model build on top of a standard covariance model.

ExponentialDecayLocalVolatilityModel(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double decay, boolean isCalibrateable)
Exponential decay model build on top of a standard covariance model.

ExponentialDecayLocalVolatilityModel(RandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, RandomVariable decay, boolean isCalibrateable)
Exponential decay model build on top of a standard covariance model.

HullWhiteLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double periodLength)
The model constructed for the i-th factor loading is (1+Li(t) d) Fi(t) where d is a constant (the period length), Li is the realization of the i-th component of the stochastic process and Fi is the factor loading from the given covariance model.

LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double kappa, double theta, double xi, boolean isCalibrateable)
Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.

LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable kappa, RandomVariable theta, RandomVariable xi, boolean isCalibrateable)
Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.

LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double nu, double rho, boolean isCalibrateable)
Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.

LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable nu, RandomVariable rho, boolean isCalibrateable)
Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.

TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric covarianceModel)
Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.

TermStructCovarianceModelFromLIBORCovarianceModelParametric(TermStructureTenorTimeScaling tenorTimeScalingModel, AbstractLIBORCovarianceModelParametric covarianceModel)