Uses of Interface
net.finmath.montecarlo.interestrate.ShortRateModel

Packages that use ShortRateModel

Package	Description
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.models.covariance	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.

Uses of ShortRateModel in net.finmath.montecarlo.interestrate

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

Modifier and Type	Method and Description
ShortRateModel	ShortRateModel.getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel volatilityModel) Create a new object implementing ShortRateModel, using the new volatility model.

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

Classes in net.finmath.montecarlo.interestrate.models that implement ShortRateModel

Modifier and Type	Class and Description
class	HullWhiteModel Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.

Uses of ShortRateModel in net.finmath.montecarlo.interestrate.models.covariance

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

Modifier and Type	Method and Description
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
ShortRateVolatilityModelCalibrateable	ShortRateVolatilityModelCalibrateable.getCloneCalibrated(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.
AbstractShortRateVolatilityModelParametric	AbstractShortRateVolatilityModelParametric.getCloneCalibratedLegazy(ShortRateModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a generic calibration of the parametric model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.