Package net.finmath.montecarlo.interestrate.models.covariance

package 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. Covariance models provide they free parameters via an interface. The class AbstractLIBORCovarianceModelParametric provides a method that implements the generic calibration of the models.
Christian Fries