Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.TermStructureCovarianceModel
Package
Description
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 TermStructureCovarianceModel in net.finmath.montecarlo.interestrate.models
Modifier and TypeMethodDescriptionLIBORMarketModelWithTenorRefinement.getCovarianceModel()
Returns the term structure covariance model.ModifierConstructorDescriptionLIBORMarketModelWithTenorRefinement
(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervals, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String, ?> properties) Creates a model for given covariance. -
Uses of TermStructureCovarianceModel in net.finmath.montecarlo.interestrate.models.covariance
Modifier and TypeClassDescriptionclass
class
A base class and interface description for the instantaneous covariance of an forward rate interest rate model.