Uses of Class
net.finmath.montecarlo.interestrate.models.covariance.AbstractShortRateVolatilityModelParametric
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.
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Uses of AbstractShortRateVolatilityModelParametric in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeClassDescriptionclass
Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.Modifier and TypeMethodDescriptionAbstractShortRateVolatilityModelParametric.getCloneCalibrated
(ShortRateModel 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.AbstractShortRateVolatilityModelParametric.getCloneCalibratedLegazy
(ShortRateModel 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.AbstractShortRateVolatilityModelParametric.getCloneWithModifiedParameters
(double[] parameters) Return an instance of this model using a new set of parameters.AbstractShortRateVolatilityModelParametric.getCloneWithModifiedParameters
(RandomVariable[] parameters) Return an instance of this model using a new set of parameters.ShortRateVolatilityModelPiecewiseConstant.getCloneWithModifiedParameters
(double[] parameters) ShortRateVolatilityModelPiecewiseConstant.getCloneWithModifiedParameters
(RandomVariable[] parameters)