Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelCalibrateable
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 ShortRateVolatilityModelCalibrateable in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeClassDescriptionclass
Base class for parametric volatility models, see alsoAbstractShortRateVolatilityModel
.class
Short rate volatility model with a piecewise constant volatility and a piecewise constant mean reversion.Modifier and TypeMethodDescriptionShortRateVolatilityModelCalibrateable.getCloneCalibrated
(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String, Object> calibrationParameters) Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.