Package net.finmath.montecarlo.interestrate.models.funding

package net.finmath.montecarlo.interestrate.models.funding

Model components related to non-linear discounting / funding.

Author:

Christian Fries

Related Packages

Package	Description
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
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.

Class	Description
DefaultFactors
FundingCapacity
FundingCapacityWithMemory	Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.
FundingCapacityWithoutMemory	Models the notional dependent survival probability and default compensation of a funding capacity (funding provider) using a piecewise constant function for the instantaneous survival probability.