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

Packages that use TermStructureModel

Package	Description
net.finmath.montecarlo.hybridassetinterestrate	Provides interfaces and classes needed to generate a Hybrid Asset LIBOR Market Model.
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 TermStructureModel in net.finmath.montecarlo.hybridassetinterestrate

Methods in net.finmath.montecarlo.hybridassetinterestrate that return TermStructureModel

Modifier and Type	Method and Description
TermStructureModel	HybridAssetLIBORModelMonteCarloSimulationFromModels.getModel()

Uses of TermStructureModel in net.finmath.montecarlo.interestrate

Subinterfaces of TermStructureModel in net.finmath.montecarlo.interestrate

Modifier and Type	Interface and Description
interface	LIBORMarketModel Interface for LIBOR Market Models which are determined by a covariance structure defined on discrete forward rates.
interface	LIBORModel

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

Modifier and Type	Method and Description
TermStructureModel	TermStructureModel.getCloneWithModifiedData(Map<String,Object> dataModified) Create a new object implementing TermStructureModel, using the new data.
TermStructureModel	LIBORMonteCarloSimulationFromTermStructureModel.getModel()
TermStructureModel	LIBORModelMonteCarloSimulationModel.getModel() Returns the underlying model.

Constructors in net.finmath.montecarlo.interestrate with parameters of type TermStructureModel

Constructor and Description
LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel model) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel.
LIBORMonteCarloSimulationFromTermStructureModel(TermStructureModel model, MonteCarloProcessFromProcessModel process) Create a LIBOR Monte-Carlo Simulation from a given LIBORMarketModelFromCovarianceModel and an MonteCarloProcessFromProcessModel.

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

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

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

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.
class	HullWhiteModelWithConstantCoeff Implements a Hull-White model with constant coefficients.
class	HullWhiteModelWithDirectSimulation Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	HullWhiteModelWithShiftExtension Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
class	LIBORMarketModelFromCovarianceModel Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
class	LIBORMarketModelStandard Implements a basic LIBOR market model with some drift approximation methods.
class	LIBORMarketModelWithTenorRefinement Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see
Modifier and Type	Method and Description
TermStructureModel	LIBORMarketModelWithTenorRefinement.getCloneWithModifiedData(Map<String,Object> dataModified)

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

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

Modifier and Type	Method and Description
TermStructureCovarianceModelParametric	TermStructureCovarianceModelParametric.getCloneCalibrated(TermStructureModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Return a calibrated clone of the covariance model.
RandomVariable[]	TermStructureFactorLoadingsModelInterface.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model) Return the factor loading for a given time and a term structure period.
RandomVariable[]	TermStructCovarianceModelFromLIBORCovarianceModelParametric.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)
RandomVariable[]	TermStructCovarianceModelFromLIBORCovarianceModel.getFactorLoading(double time, double periodStart, double periodEnd, TimeDiscretization periodDiscretization, RandomVariable[] realizationAtTimeIndex, TermStructureModel model)