Uses of Class
net.finmath.montecarlo.interestrate.models.LIBORMarketModelFromCovarianceModel

Packages that use LIBORMarketModelFromCovarianceModel

Package	Description
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 LIBORMarketModelFromCovarianceModel in net.finmath.montecarlo.interestrate.models

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

Modifier and Type	Method and Description
LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel covarianceModel)
LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified)
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).

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

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

Modifier and Type	Method and Description
static double[][][]	SwaptionGeneralizedAnalyticApproximation.getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel model)
static double[][][]	SwaptionAnalyticApproximation.getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel model)
static double[][][]	SwaptionSingleCurveAnalyticApproximation.getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel model)
static double[][][]	SwaptionAnalyticApproximationRebonato.getIntegratedLIBORCovariance(LIBORMarketModelFromCovarianceModel model)
RandomVariable	SwaprateCovarianceAnalyticApproximation.getValue(double evaluationTime, LIBORMarketModelFromCovarianceModel model) Calculates the approximated integrated instantaneous covariance of two swap rates, using the approximation d log(S(t))/d log(L(t)) = d log(S(0))/d log(L(0)).