Uses of Package
net.finmath.montecarlo.interestrate
Packages that use net.finmath.montecarlo.interestrate
Package
Description
Provides interface specification and implementation of curves, e.g., interest rate
curves like discount curves and forward curves.
Provides classes to build products from descriptors.
Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.hybridassetinterestrate.HybridAssetLIBORModelMonteCarloSimulation.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.
Provides classes which implement financial products which may be
valued using a
net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.Provides a set product components which allow to build financial products by composition.
Provides a set of indices which can be used as part of a period.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.marketdata2.model.curvesClassDescriptionBasic interface which has to be implemented by Monte Carlo models for LIBOR processes.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.modelling.productfactory
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.montecarlo.hybridassetinterestrateClassDescriptionBasic interface which has to be implemented by Monte Carlo models for LIBOR processes.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.montecarlo.hybridassetinterestrate.productsClassDescriptionBasic interface which has to be implemented by Monte Carlo models for LIBOR processes.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.montecarlo.interestrateClassDescriptionInterface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.montecarlo.interestrate.modelsClassDescriptionA class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.montecarlo.interestrate.models.covarianceClassDescriptionA class for calibration products, that is a triple (P,V,w) where P is a product, V is a target value and w is a weight.Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.Interface for Short Rate models which are determined by a ShortRateVolatilityModelInterface.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.montecarlo.interestrate.productsClassDescriptionInterface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.Basic interface which has to be implemented by Monte Carlo models for LIBOR processes.
-
Classes in net.finmath.montecarlo.interestrate used by net.finmath.montecarlo.interestrate.products.componentsClassDescriptionBasic interface which has to be implemented by Monte Carlo models for LIBOR processes.
-