Package net.finmath.montecarlo.interestrate


package net.finmath.montecarlo.interestrate
Provides interfaces and classes needed to generate interest rate models model (using numerical algorithms from net.finmath.montecarlo.process. The basic interface and classes provide a TermStructureModel which provides a forward rate TermStructureModel.getForwardRate(net.finmath.montecarlo.process.MonteCarloProcess, double, double, double) and a numeraire ProcessModel.getNumeraire(net.finmath.montecarlo.process.MonteCarloProcess, double) There is a legacy interface LIBORModel which provides the forward rates on a tenor time discretization under the name LIBORModel.getLIBOR(net.finmath.montecarlo.process.MonteCarloProcess, int, int)
Author:
Christian Fries