Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModel
Package
Description
Provides interfaces and classes needed to generate interest rate models model (using numerical
algorithms from
net.finmath.montecarlo.process
.Interest rate models implementing
ProcessModel
e.g.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 ShortRateVolatilityModel in net.finmath.montecarlo.interestrate
Modifier and TypeMethodDescriptionShortRateModel.getVolatilityModel()
Return the volatility model.Modifier and TypeMethodDescriptionShortRateModel.getCloneWithModifiedVolatilityModel
(ShortRateVolatilityModel volatilityModel) Create a new object implementing ShortRateModel, using the new volatility model. -
Uses of ShortRateVolatilityModel in net.finmath.montecarlo.interestrate.models
Modifier and TypeMethodDescriptionHullWhiteModel.getCloneWithModifiedVolatilityModel
(ShortRateVolatilityModel volatilityModel) static HullWhiteModel
HullWhiteModel.of
(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String, Object> properties) Creates a Hull-White model which implementsLIBORMarketModel
.ModifierConstructorDescriptionHullWhiteModel
(RandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String, Object> properties) Creates a Hull-White model which implementsLIBORMarketModel
.HullWhiteModel
(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String, Object> properties) Creates a Hull-White model which implementsLIBORMarketModel
.HullWhiteModelWithDirectSimulation
(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String, ?> properties) Creates a Hull-White model which implementsLIBORMarketModel
.HullWhiteModelWithShiftExtension
(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String, ?> properties) Creates a Hull-White model which implementsLIBORMarketModel
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Uses of ShortRateVolatilityModel in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeInterfaceDescriptioninterface
Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated
-method.interface
Interface for short rate volatility models which are determined by a vector of parameter.Modifier and TypeClassDescriptionclass
A base class and interface description for the instantaneous volatility of an short rate model.class
Base class for parametric volatility models, see alsoAbstractShortRateVolatilityModel
.class
A short rate volatility model from given volatility and mean reversion.class
class
Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.