Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel

Packages that use LIBORCovarianceModel

Package	Description
net.finmath.montecarlo.interestrate	Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g.
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 LIBORCovarianceModel in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return LIBORCovarianceModel

Modifier and Type	Method	Description
LIBORCovarianceModel	LIBORMarketModel.getCovarianceModel()	Return the forward rate (LIBOR) covariance model.

Methods in net.finmath.montecarlo.interestrate with parameters of type LIBORCovarianceModel

Modifier and Type	Method	Description
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel)	Create a new object implementing LIBORMarketModel, using the new covariance model.

Uses of LIBORCovarianceModel in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models that return LIBORCovarianceModel

Modifier and Type	Method	Description
LIBORCovarianceModel	LIBORMarketModelFromCovarianceModel.getCovarianceModel()
LIBORCovarianceModel	LIBORMarketModelStandard.getCovarianceModel()

Methods in net.finmath.montecarlo.interestrate.models with parameters of type LIBORCovarianceModel

Modifier and Type	Method	Description
LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel covarianceModel)
LIBORMarketModelStandard	LIBORMarketModelStandard.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel covarianceModel)
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type LIBORCovarianceModel

Modifier	Constructor	Description
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, RandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData, Map<String,?> properties)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties)	Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel)	Creates a LIBOR Market Model for given covariance.
	LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, SwaptionMarketData swaptionMarketData)	Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.

Uses of LIBORCovarianceModel in net.finmath.montecarlo.interestrate.models.covariance

Subinterfaces of LIBORCovarianceModel in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type	Interface	Description
interface	LIBORCovarianceModelCalibrateable	Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated-method.

Classes in net.finmath.montecarlo.interestrate.models.covariance that implement LIBORCovarianceModel

Modifier and Type	Class	Description
class	AbstractLIBORCovarianceModel	A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
class	AbstractLIBORCovarianceModelParametric	Base class for parametric covariance models, see also AbstractLIBORCovarianceModel.
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	The five parameter covariance model consisting of an LIBORVolatilityModelMaturityDependentFourParameterExponentialForm and an LIBORCorrelationModelExponentialDecay.
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.