net.finmath.montecarlo.interestrate.models.covariance

Interface TermStructureCovarianceModelInterface

All Superinterfaces:

TermStructureFactorLoadingsModelInterface, TermStructureTenorTimeScalingInterface

All Known Implementing Classes:

TermStructCovarianceModelFromLIBORCovarianceModelParametric, TermStructureCovarianceModelParametric

public interface TermStructureCovarianceModelInterface
extends TermStructureTenorTimeScalingInterface, TermStructureFactorLoadingsModelInterface

A base class and interface description for the instantaneous covariance of an forward rate interest rate model.

Version:

1.0

Author:

Christian Fries

Method Summary

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureTenorTimeScalingInterface

clone, getCloneWithModifiedParameters, getParameter, getScaledTenorTime

Methods inherited from interface net.finmath.montecarlo.interestrate.models.covariance.TermStructureFactorLoadingsModelInterface

getFactorLoading, getNumberOfFactors