Uses of Class
net.finmath.montecarlo.interestrate.models.covariance.LIBORVolatilityModel

Packages that use LIBORVolatilityModel

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 LIBORVolatilityModel in net.finmath.montecarlo.interestrate.models.covariance

Subclasses of LIBORVolatilityModel in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type	Class	Description
class	LIBORVolatilityModelFourParameterExponentialForm	Implements the volatility model \[ \sigma_{i}(t_{j}) = ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \text{.} \] The parameters here have some interpretation: The parameter a: an initial volatility level. The parameter b: the slope at the short end (shortly before maturity). The parameter c: exponential decay of the volatility in time-to-maturity. The parameter d: if c > 0 this is the very long term volatility level. Note that this model results in a terminal (Black 76) volatility which is given by \[ \left( \sigma^{\text{Black}}_{i}(t_{k}) \right)^2 = \frac{1}{t_{k}} \sum_{j=0}^{k-1} \left( ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \right)^{2} (t_{j+1}-t_{j}) \] i.e., the instantaneous volatility is given by the picewise constant approximation of the function \[ \sigma_{i}(t) = ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \] on the time discretization \( \{ t_{j} \} \).
class	LIBORVolatilityModelFourParameterExponentialFormIntegrated	Implements the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \] The parameters here have some interpretation: The parameter a: an initial volatility level. The parameter b: the slope at the short end (shortly before maturity). The parameter c: exponential decay of the volatility in time-to-maturity. The parameter d: if c > 0 this is the very long term volatility level. Note that this model results in a terminal (Black 76) volatility which is given by \[ \left( \sigma^{\text{Black}}_{i}(t_{k}) \right)^2 = \frac{1}{t_{k} \int_{0}^{t_{k}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t \text{.} \]
class	LIBORVolatilityModelFromGivenMatrix	Implements a simple volatility model using given piece-wise constant values on a given discretization grid.
class	LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
class	LIBORVolatilityModelPiecewiseConstant
class	LIBORVolatilityModelTimeHomogenousPiecewiseConstant	Implements a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
class	LIBORVolatilityModelTwoParameterExponentialForm	Implements the volatility model σi(tj) = a * exp(-b (Ti-tj))

Methods in net.finmath.montecarlo.interestrate.models.covariance that return LIBORVolatilityModel

Modifier and Type	Method	Description
abstract LIBORVolatilityModel	LIBORVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)	Returns a clone of this model where the specified properties have been modified.
LIBORVolatilityModel	LIBORVolatilityModelFourParameterExponentialForm.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORVolatilityModel	LIBORVolatilityModelFourParameterExponentialFormIntegrated.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORVolatilityModel	LIBORVolatilityModelFromGivenMatrix.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORVolatilityModel	LIBORVolatilityModelMaturityDependentFourParameterExponentialForm.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORVolatilityModel	LIBORVolatilityModelPiecewiseConstant.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORVolatilityModel	LIBORVolatilityModelTimeHomogenousPiecewiseConstant.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORVolatilityModel	LIBORVolatilityModelTwoParameterExponentialForm.getCloneWithModifiedData(Map<String,Object> dataModified)
abstract LIBORVolatilityModel	LIBORVolatilityModel.getCloneWithModifiedParameter(RandomVariable[] parameter)
LIBORVolatilityModel	LIBORVolatilityModelPiecewiseConstant.getCloneWithModifiedParameter(RandomVariable[] parameter)
LIBORVolatilityModel	LIBORCovarianceModelFromVolatilityAndCorrelation.getVolatilityModel()

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

Modifier	Constructor	Description
	LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)