Uses of Classnet.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel

• Packages that use LIBORCorrelationModel
Package Description
net.finmath.montecarlo.interestrate.models.covariance
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 LIBORCorrelationModel in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type Class Description
class  LIBORCorrelationModelExponentialDecay
Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the $$n$$ Eigenvectors of $$\tilde{R}$$ belonging to the $$n$$ largest non-negative Eigenvalues, where $$\tilde{R} = \tilde{\rho}_{i,j}$$ and $\tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | )$ For a more general model featuring three parameters see LIBORCorrelationModelThreeParameterExponentialDecay.
class  LIBORCorrelationModelThreeParameterExponentialDecay
Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the $$n$$ Eigenvectors of $$\tilde{R}$$ belonging to the $$n$$ largest non-negative Eigenvalues, where $$\tilde{R} = \tilde{\rho}_{i,j}$$ and \[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))
Methods in net.finmath.montecarlo.interestrate.models.covariance that return LIBORCorrelationModel
Modifier and Type Method Description
abstract LIBORCorrelationModel LIBORCorrelationModel.getCloneWithModifiedData​(Map<String,​Object> dataModified)
Returns a clone of this model where the specified properties have been modified.
LIBORCorrelationModel LIBORCorrelationModelExponentialDecay.getCloneWithModifiedData​(Map<String,​Object> dataModified)
LIBORCorrelationModel LIBORCorrelationModelThreeParameterExponentialDecay.getCloneWithModifiedData​(Map<String,​Object> dataModified)
abstract LIBORCorrelationModel LIBORCorrelationModel.getCloneWithModifiedParameter​(RandomVariable[] parameter)
LIBORCorrelationModel LIBORCovarianceModelFromVolatilityAndCorrelation.getCorrelationModel()
Constructors in net.finmath.montecarlo.interestrate.models.covariance with parameters of type LIBORCorrelationModel
Constructor Description
LIBORCovarianceModelFromVolatilityAndCorrelation​(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)