Uses of Class
net.finmath.montecarlo.interestrate.models.covariance.LIBORCorrelationModel
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 LIBORCorrelationModel in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeClassDescriptionclass
Simple 1-parametric correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.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 seeLIBORCorrelationModelThreeParameterExponentialDecay
.class
Simple correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.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}))Modifier and TypeMethodDescriptionabstract LIBORCorrelationModel
LIBORCorrelationModel.getCloneWithModifiedData
(Map<String, Object> dataModified) Returns a clone of this model where the specified properties have been modified.LIBORCorrelationModelExponentialDecay.getCloneWithModifiedData
(Map<String, Object> dataModified) LIBORCorrelationModelThreeParameterExponentialDecay.getCloneWithModifiedData
(Map<String, Object> dataModified) abstract LIBORCorrelationModel
LIBORCorrelationModel.getCloneWithModifiedParameter
(RandomVariable[] parameter) LIBORCovarianceModelFromVolatilityAndCorrelation.getCorrelationModel()
ModifierConstructorDescriptionLIBORCovarianceModelFromVolatilityAndCorrelation
(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)