Module net.finmath.lib

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

Interface Summary

Interface	Description
FundingCapacity

Class Summary

Class	Description
DefaultFactors
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.