Uses of Interface
net.finmath.marketdata.model.AnalyticModel

Packages that use AnalyticModel

Package	Description
net.finmath.marketdata.calibration	Provides classes to create a calibrated model of curves from a collection of calibration products and corresponding target values.
net.finmath.marketdata.model	Provides interface specification and implementation of a model, which is essentially a collection of curves.
net.finmath.marketdata.model.bond	Provided classes related to the modelling of Bond curves.
net.finmath.marketdata.model.curves	Provides interface specification and implementation of curves, e.g., interest rate curves like discount curves and forward curves.
net.finmath.marketdata.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.marketdata.products	Provides interface specification and implementation of products, e.g., calibration products.
net.finmath.marketdata2.model.volatilities	Provides interface specification and implementation of volatility surfaces, e.g., interest rate volatility surfaces like (implied) caplet volatilities and swaption volatilities.
net.finmath.modelling	Provides interface separating models and products.
net.finmath.modelling.modelfactory	Provides classes to build models from descriptors.
net.finmath.montecarlo.interestrate	Provides classes needed to generate a LIBOR market model (using numerical algorithms from net.finmath.montecarlo.process.
net.finmath.montecarlo.interestrate.models	Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.
net.finmath.montecarlo.interestrate.products	Provides classes which implement financial products which may be valued using a net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationModel.

Uses of AnalyticModel in net.finmath.marketdata.calibration

Methods in net.finmath.marketdata.calibration that return AnalyticModel

Modifier and Type	Method and Description
AnalyticModel	Solver.getCalibratedModel(Set<ParameterObject> objectsToCalibrate) Find the model such that the equation objectiveFunctions.getValue(model) = 0 holds.
AnalyticModel	CalibratedCurves.getModel() Return the calibrated model, i.e., the model maintaining a collection of curves calibrated to the given calibration specifications.

Constructors in net.finmath.marketdata.calibration with parameters of type AnalyticModel

Constructor and Description
CalibratedCurves(List<CalibratedCurves.CalibrationSpec> calibrationSpecs, AnalyticModel calibrationModel, double evaluationTime, double calibrationAccuracy) Generate a collection of calibrated curves (discount curves, forward curves) from a vector of calibration products and a given model.
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, double calibrationAccuracy) Generate a solver for the given parameter objects (independents) and objective functions (dependents).
Solver(AnalyticModel model, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, ParameterTransformation parameterTransformation, double evaluationTime, OptimizerFactory optimizerFactory) Generate a solver for the given parameter objects (independents) and objective functions (dependents).

Uses of AnalyticModel in net.finmath.marketdata.model

Classes in net.finmath.marketdata.model that implement AnalyticModel

Modifier and Type	Class and Description
class	AnalyticModelFromCurvesAndVols Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves").

Methods in net.finmath.marketdata.model that return AnalyticModel

Modifier and Type	Method and Description
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurve(Curve curve)
AnalyticModel	AnalyticModel.addCurve(String name, Curve curve) Add a reference to a given curve under a given name to this model.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurve(String name, Curve curve)
AnalyticModel	AnalyticModel.addCurves(Curve... curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurves(Curve... curves)
AnalyticModel	AnalyticModel.addCurves(Set<Curve> curves) Create a new analytic model consisting of a clone of this one together with the given curves added.
AnalyticModel	AnalyticModelFromCurvesAndVols.addCurves(Set<Curve> curves)
AnalyticModel	AnalyticModelFromCurvesAndVols.addVolatilitySurface(VolatilitySurface volatilitySurface)
AnalyticModel	AnalyticModel.addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces) Create a new analytic model consisting of a clone of this one together with the given volatility surfaces added.
AnalyticModel	AnalyticModelFromCurvesAndVols.addVolatilitySurfaces(Set<VolatilitySurface> volatilitySurfaces)
AnalyticModel	AnalyticModel.addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
AnalyticModel	AnalyticModelFromCurvesAndVols.addVolatilitySurfaces(VolatilitySurface... volatilitySurfaces)
AnalyticModel	AnalyticModel.clone()
AnalyticModel	AnalyticModel.getCloneForParameter(Map<ParameterObject,double[]> curvesParameterPairs)
AnalyticModel	AnalyticModelFromCurvesAndVols.getCloneForParameter(Map<ParameterObject,double[]> curveParameterPairs)

Uses of AnalyticModel in net.finmath.marketdata.model.bond

Methods in net.finmath.marketdata.model.bond with parameters of type AnalyticModel

Modifier and Type	Method and Description
double	Bond.getAccruedInterest(double time, AnalyticModel model) Returns the accrued interest of the bond for a given time.
double	Bond.getAccruedInterest(LocalDate date, AnalyticModel model) Returns the accrued interest of the bond for a given date.
double	Bond.getCouponPayment(int periodIndex, AnalyticModel model) Returns the coupon payment of the period with the given index.
double	BondCurve.getDiscountFactor(AnalyticModel model, double time)
double	Bond.getSpread(double bondPrice, Curve referenceCurve, AnalyticModel model) Returns the spread value such that the sum of cash flows of the bond discounted with a given reference curve with the additional spread coincides with a given price.
double	BondCurve.getValue(AnalyticModel model, double time)
double	Bond.getValue(double evaluationTime, AnalyticModel model)
double	Bond.getValueWithGivenSpreadOverCurve(double evaluationTime, Curve referenceCurve, double spread, AnalyticModel model) Returns the value of the sum of discounted cash flows of the bond where the discounting is done with the given reference curve and an additional spread.
double	Bond.getValueWithGivenYield(double evaluationTime, double rate, AnalyticModel model) Returns the value of the sum of discounted cash flows of the bond where the discounting is done with the given yield curve.
double	Bond.getYield(double bondPrice, AnalyticModel model) Returns the yield value such that the sum of cash flows of the bond discounted with the yield curve coincides with a given price.

Uses of AnalyticModel in net.finmath.marketdata.model.curves

Methods in net.finmath.marketdata.model.curves with parameters of type AnalyticModel

Modifier and Type	Method and Description
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, Date referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, double[] times, double[] givenForwards, AnalyticModel model, String discountCurveName, double paymentOffset) Create a forward curve from given times and given forwards with respect to an associated discount curve and payment offset.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, BusinessdayCalendar paymentBusinessdayCalendar, BusinessdayCalendar.DateRollConvention paymentDateRollConvention, CurveInterpolation.InterpolationMethod interpolationMethod, CurveInterpolation.ExtrapolationMethod extrapolationMethod, CurveInterpolation.InterpolationEntity interpolationEntity, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, ForwardCurveInterpolation.InterpolationEntityForward interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
static ForwardCurveInterpolation	ForwardCurveInterpolation.createForwardCurveFromForwards(String name, LocalDate referenceDate, String paymentOffsetCode, String interpolationEntityForward, String discountCurveName, AnalyticModel model, double[] times, double[] givenForwards) Create a forward curve from given times and given forwards.
double	DiscountCurveNelsonSiegelSvensson.getDiscountFactor(AnalyticModel model, double maturity) Return the discount factor within a given model context for a given maturity.
double	DiscountCurveFromForwardCurve.getDiscountFactor(AnalyticModel model, double maturity)
double	DiscountCurveFromProductOfCurves.getDiscountFactor(AnalyticModel model, double maturity)
double	DiscountCurveInterpolation.getDiscountFactor(AnalyticModel model, double maturity)
double	DiscountCurveRenormalized.getDiscountFactor(AnalyticModel model, double maturity)
double	DiscountCurve.getDiscountFactor(AnalyticModel model, double maturity) Returns the discount factor for the corresponding maturity.
double	ForwardCurveFromDiscountCurve.getForward(AnalyticModel model, double fixingTime)
double	ForwardCurveWithFixings.getForward(AnalyticModel model, double fixingTime)
double	ForwardCurve.getForward(AnalyticModel model, double fixingTime) Returns the forward for the corresponding fixing time.
double	ForwardCurveNelsonSiegelSvensson.getForward(AnalyticModel model, double fixingTime)
double	ForwardCurveInterpolation.getForward(AnalyticModel model, double fixingTime)
double	ForwardCurveFromDiscountCurve.getForward(AnalyticModel model, double fixingTime, double paymentOffset)
double	ForwardCurveWithFixings.getForward(AnalyticModel model, double fixingTime, double paymentOffset)
double	ForwardCurve.getForward(AnalyticModel model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time and paymentOffset.
double	ForwardCurveNelsonSiegelSvensson.getForward(AnalyticModel model, double fixingTime, double paymentOffset)
double	ForwardCurveInterpolation.getForward(AnalyticModel model, double fixingTime, double paymentOffset) Returns the forward for the corresponding fixing time.
double[]	ForwardCurveWithFixings.getForwards(AnalyticModel model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
double[]	ForwardCurveNelsonSiegelSvensson.getForwards(AnalyticModel model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
double[]	AbstractForwardCurve.getForwards(AnalyticModel model, double[] fixingTimes) Returns the forwards for a given vector fixing times.
double	ForwardCurveFromDiscountCurve.getValue(AnalyticModel model, double time)
double	CurveInterpolation.getValue(AnalyticModel model, double time)
double	DiscountCurveNelsonSiegelSvensson.getValue(AnalyticModel model, double time)
double	DiscountCurveFromForwardCurve.getValue(AnalyticModel model, double time)
double	Curve.getValue(AnalyticModel model, double time) Returns the value for the time using the interpolation method associated with this curve within a given context, i.e., a model.
double	DiscountCurveFromProductOfCurves.getValue(AnalyticModel model, double time)
double	SeasonalCurve.getValue(AnalyticModel model, double time)
double	IndexCurveFromDiscountCurve.getValue(AnalyticModel model, double time)
double	DiscountCurveRenormalized.getValue(AnalyticModel model, double time)
double	ForwardCurveNelsonSiegelSvensson.getValue(AnalyticModel model, double time)
double	CurveFromProductOfCurves.getValue(AnalyticModel model, double time)
double	PiecewiseCurve.getValue(AnalyticModel model, double time)

Uses of AnalyticModel in net.finmath.marketdata.model.volatilities

Methods in net.finmath.marketdata.model.volatilities with parameters of type AnalyticModel

Modifier and Type	Method and Description
SwaptionDataLattice	SwaptionDataLattice.append(SwaptionDataLattice other, AnalyticModel model) Append the data of another lattice to this lattice.
double	AbstractVolatilitySurface.convertFromTo(AnalyticModel model, double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention) Convert the value of a caplet from one quoting convention to another quoting convention.
SwaptionDataLattice	SwaptionDataLattice.convertLattice(SwaptionDataLattice.QuotingConvention targetConvention, AnalyticModel model) Convert this lattice to store data in the given convention.
SwaptionDataLattice	SwaptionDataLattice.convertLattice(SwaptionDataLattice.QuotingConvention targetConvention, double displacement, AnalyticModel model) Convert this lattice to store data in the given convention.
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation)
AbstractVolatilitySurfaceParametric	AbstractVolatilitySurfaceParametric.getCloneCalibrated(AnalyticModel calibrationModel, Vector<AnalyticProduct> calibrationProducts, List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) Create a clone of this volatility surface using a generic calibration of its parameters to given market data.
double	CapletVolatilities.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametric.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	OptionSurfaceData.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametricFourParameterPicewiseConstant.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	CapletVolatilitiesParametricDisplacedFourParameterAnalytic.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention)
double	VolatilitySurface.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention) Returns the price or implied volatility for the corresponding maturity and strike.
double	SwaptionDataLattice.getValue(double maturity, double tenor, double moneyness, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel model) Return the value in the given quoting convention.
double	SwaptionDataLattice.getValue(int maturityInMonths, int tenorInMonths, int moneynessBP, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel model) Return the value in the given quoting convention.
double	SwaptionDataLattice.getValue(String tenorCode, int moneynessBP, SwaptionDataLattice.QuotingConvention convention, double displacement, AnalyticModel model) Return the value in the given quoting convention.

Uses of AnalyticModel in net.finmath.marketdata.products

Methods in net.finmath.marketdata.products with parameters of type AnalyticModel

Modifier and Type	Method and Description
double	Cap.getATMForward(AnalyticModel model, boolean isFirstPeriodIncluded) Return the ATM forward for this cap.
static double	Swap.getForwardSwapRate(Schedule fixSchedule, Schedule floatSchedule, ForwardCurve forwardCurve, AnalyticModel model)
double	Cap.getImpliedVolatility(double evaluationTime, AnalyticModel model, VolatilitySurface.QuotingConvention quotingConvention) Returns the value of this cap in terms of an implied volatility (of a flat caplet surface).
double	ForwardRateAgreement.getRate(AnalyticModel model) Return the par FRA rate for a given curve.
double	Deposit.getRate(AnalyticModel model) Return the deposit rate implied by the given model's curve.
static double	SwapAnnuity.getSwapAnnuity(double evaluationTime, Schedule schedule, DiscountCurve discountCurve, AnalyticModel model) Function to calculate an (idealized) swap annuity for a given schedule and discount curve.
double	AbstractAnalyticProduct.getValue(AnalyticModel model)
double	Portfolio.getValue(double evaluationTime, AnalyticModel model)
double	MarketForwardRateAgreement.getValue(double evaluationTime, AnalyticModel model)
double	Forward.getValue(double evaluationTime, AnalyticModel model)
double	Performance.getValue(double evaluationTime, AnalyticModel model)
double	Swap.getValue(double evaluationTime, AnalyticModel model)
double	SwapLeg.getValue(double evaluationTime, AnalyticModel model)
double	ForwardRateAgreement.getValue(double evaluationTime, AnalyticModel model)
double	Cap.getValue(double evaluationTime, AnalyticModel model)
double	Cashflow.getValue(double evaluationTime, AnalyticModel model)
double	SwapAnnuity.getValue(double evaluationTime, AnalyticModel model)
double	AnalyticProduct.getValue(double evaluationTime, AnalyticModel model) Return the valuation of the product using the given model.
double	Deposit.getValue(double evaluationTime, AnalyticModel model)
double	Cap.getValueAsPrice(double evaluationTime, AnalyticModel model) Returns the value of this product under the given model.

Uses of AnalyticModel in net.finmath.marketdata2.model.volatilities

Methods in net.finmath.marketdata2.model.volatilities with parameters of type AnalyticModel

Modifier and Type	Method and Description
double	AbstractVolatilitySurface.convertFromTo(AnalyticModel model, double optionMaturity, double optionStrike, double value, VolatilitySurface.QuotingConvention fromQuotingConvention, VolatilitySurface.QuotingConvention toQuotingConvention) Convert the value of a caplet from one quoting convention to another quoting convention.
double	VolatilitySurface.getValue(AnalyticModel model, double maturity, double strike, VolatilitySurface.QuotingConvention quotingConvention) Returns the price or implied volatility for the corresponding maturity and strike.

Uses of AnalyticModel in net.finmath.modelling

Methods in net.finmath.modelling with parameters of type AnalyticModel

Modifier and Type	Method and Description
double	UnsupportedProduct.getValue(double evaluationTime, AnalyticModel model)

Uses of AnalyticModel in net.finmath.modelling.modelfactory

Classes in net.finmath.modelling.modelfactory that implement AnalyticModel

Modifier and Type	Class and Description
static class	AnalyticModelFactory.DescribedAnalyticModel Class extending AnalyticModelFromCurvesAndVols with the funtionality of a described model.

Uses of AnalyticModel in net.finmath.montecarlo.interestrate

Methods in net.finmath.montecarlo.interestrate that return AnalyticModel

Modifier and Type	Method and Description
AnalyticModel	TermStructureModel.getAnalyticModel() Return the associated analytic model, a collection of market date object like discount curve, forward curve and volatility surfaces.

Uses of AnalyticModel in net.finmath.montecarlo.interestrate.models

Methods in net.finmath.montecarlo.interestrate.models that return AnalyticModel

Modifier and Type	Method and Description
AnalyticModel	HullWhiteModelWithDirectSimulation.getAnalyticModel()
AnalyticModel	LIBORMarketModelFromCovarianceModel.getAnalyticModel()
AnalyticModel	LIBORMarketModelWithTenorRefinement.getAnalyticModel()
AnalyticModel	HullWhiteModelWithShiftExtension.getAnalyticModel()
AnalyticModel	HullWhiteModel.getAnalyticModel()
AnalyticModel	HullWhiteModelWithConstantCoeff.getAnalyticModel()
AnalyticModel	LIBORMarketModelStandard.getAnalyticModel()

Methods in net.finmath.montecarlo.interestrate.models with parameters of type AnalyticModel

Modifier and Type	Method and Description
static HullWhiteModel	HullWhiteModel.of(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, CalibrationProduct[] calibrationProducts, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
static LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.of(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a LIBOR Market Model for given covariance with a calibration (if calibration items are given).

Constructors in net.finmath.montecarlo.interestrate.models with parameters of type AnalyticModel

Constructor and Description
HullWhiteModel(AbstractRandomVariableFactory randomVariableFactory, TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,Object> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithConstantCoeff(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, double meanReversion, double volatility, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithDirectSimulation(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
HullWhiteModelWithShiftExtension(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, Map<String,?> properties) Creates a Hull-White model which implements LIBORMarketModel.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelWithTenorRefinement(TimeDiscretization[] liborPeriodDiscretizations, Integer[] numberOfDiscretizationIntervalls, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, TermStructureCovarianceModelInterface covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Creates a model for given covariance.

Uses of AnalyticModel in net.finmath.montecarlo.interestrate.products

Methods in net.finmath.montecarlo.interestrate.products with parameters of type AnalyticModel

Modifier and Type	Method and Description
Map<String,double[]>	SwaptionGeneralizedAnalyticApproximation.getSwapRateDerivative(TimeDiscretization liborPeriodDiscretization, AnalyticModel model, DiscountCurve discountCurve, ForwardCurve forwardCurve) Returns the derivative of the swap rate (associated with this swap) with respect to the forward rates dS/dL_{i}.