Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.ShortRateVolatilityModelParametric
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.
-
Uses of ShortRateVolatilityModelParametric 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 TypeMethodDescriptionShortRateVolatilityModelParametric.getCloneWithModifiedParameters
(double[] parameters) Return an instance of this model using a new set of parameters.ShortRateVolatilityModelParametric.getCloneWithModifiedParameters
(RandomVariable[] parameters) Return an instance of this model using a new set of parameters.