Uses of Package
net.finmath.montecarlo.interestrate.models.covariance
Packages that use net.finmath.montecarlo.interestrate.models.covariance
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.
-
Classes in net.finmath.montecarlo.interestrate.models.covariance used by net.finmath.montecarlo.interestrateClassDescriptionInterface for covariance models providing a vector of (possibly stochastic) factor loadings.Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \) and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).
-
Classes in net.finmath.montecarlo.interestrate.models.covariance used by net.finmath.montecarlo.interestrate.modelsClassDescriptionInterface for covariance models providing a vector of (possibly stochastic) factor loadings.Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \) and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
-
Classes in net.finmath.montecarlo.interestrate.models.covariance used by net.finmath.montecarlo.interestrate.models.covarianceClassDescriptionA base class and interface description for the instantaneous covariance of an forward rate interest rate model.Base class for parametric covariance models, see also
AbstractLIBORCovarianceModel.A base class and interface description for the instantaneous volatility of an short rate model.Base class for parametric volatility models, see alsoAbstractShortRateVolatilityModel.Abstract base class and interface description of a correlation model (as it is used inLIBORCovarianceModelFromVolatilityAndCorrelation).Simple 1-parametric correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \] For a more general model featuring three parameters seeLIBORCorrelationModelThreeParameterExponentialDecay.Simple correlation model given by R, where R is a factor reduced matrix (seeLinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))Interface for covariance models providing a vector of (possibly stochastic) factor loadings.Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated-method.Abstract base class and interface description of a volatility model (as it is used inLIBORCovarianceModelFromVolatilityAndCorrelation).Implements the volatility model \[ \sigma_{i}(t_{j}) = ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \text{.} \] The parameters here have some interpretation: The parameter a: an initial volatility level. The parameter b: the slope at the short end (shortly before maturity). The parameter c: exponential decay of the volatility in time-to-maturity. The parameter d: if c > 0 this is the very long term volatility level. Note that this model results in a terminal (Black 76) volatility which is given by \[ \left( \sigma^{\text{Black}}_{i}(t_{k}) \right)^2 = \frac{1}{t_{k}} \sum_{j=0}^{k-1} \left( ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \right)^{2} (t_{j+1}-t_{j}) \] i.e., the instantaneous volatility is given by the picewise constant approximation of the function \[ \sigma_{i}(t) = ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \] on the time discretization \( \{ t_{j} \} \).Implements the volatility model \[ \sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{.} \] The parameters here have some interpretation: The parameter a: an initial volatility level. The parameter b: the slope at the short end (shortly before maturity). The parameter c: exponential decay of the volatility in time-to-maturity. The parameter d: if c > 0 this is the very long term volatility level. Note that this model results in a terminal (Black 76) volatility which is given by \[ \left( \sigma^{\text{Black}}_{i}(t_{k}) \right)^2 = \frac{1}{t_{k} \int_{0}^{t_{k}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t \text{.} \]Implements a simple volatility model using given piece-wise constant values on a given discretization grid.Implements a piecewise constant volatility model, where \( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and \( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.Implements the volatility model σi(tj) = a * exp(-b (Ti-tj))Interface for piecewise constant short rate volatility models with piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \) and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).Interface for covariance models which may perform a calibration by providing the correspondinggetCloneCalibrated-method.Interface for short rate volatility models which are determined by a vector of parameter.A base class and interface description for the instantaneous covariance of an forward rate interest rate model.A base class and interface description for the instantaneous covariance of an forward rate interest rate model.A base class and interface description for the instantaneous covariance of an forward rate interest rate model.A base class and interface description for the instantaneous covariance of an forward rate interest rate model.