Module net.finmath.lib
Package net.finmath.montecarlo.interestrate.models
package net.finmath.montecarlo.interestrate.models
Interest rate models implementing
ProcessModel
e.g. by extending AbstractProcessModel.- Author:
- Christian Fries
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Class SummaryClassDescriptionImplements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.Implements a Hull-White model with constant coefficients.Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.Implements a basic LIBOR market model with some drift approximation methods.Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2884699.
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Enum SummaryEnumDescription