Uses of Class
net.finmath.montecarlo.interestrate.models.covariance.AbstractLIBORCovarianceModelParametric

Packages that use AbstractLIBORCovarianceModelParametric

Package	Description
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 AbstractLIBORCovarianceModelParametric in net.finmath.montecarlo.interestrate.models.covariance

Subclasses of AbstractLIBORCovarianceModelParametric in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type	Class and Description
class	BlendedLocalVolatilityModel Blended model (or displaced diffusion model) build on top of a standard covariance model.
class	DisplacedLocalVolatilityModel Displaced model build on top of a standard covariance model.
class	HullWhiteLocalVolatilityModel Special variant of a blended model (or displaced diffusion model) build on top of a standard covariance model using the special function corresponding to the Hull-White local volatility.
class	LIBORCovarianceModelBH A five parameter covariance model corresponding.
class	LIBORCovarianceModelExponentialForm5Param The five parameter covariance model consisting of an LIBORVolatilityModelMaturityDependentFourParameterExponentialForm and an LIBORCorrelationModelExponentialDecay.
class	LIBORCovarianceModelExponentialForm7Param
class	LIBORCovarianceModelFromVolatilityAndCorrelation A covariance model build from a volatility model implementing LIBORVolatilityModel and a correlation model implementing LIBORCorrelationModel.
class	LIBORCovarianceModelStochasticHestonVolatility As Heston like stochastic volatility model, using a process \( lambda(t) = \sqrt(V(t)) \) \[ dV(t) = \kappa ( \theta - V(t) ) dt + \xi \sqrt{V(t)} dW_{1}(t), \quad V(0) = 1.0, \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.
class	LIBORCovarianceModelStochasticVolatility Simple stochastic volatility model, using a process \[ d\lambda(t) = \nu \lambda(t) \left( \rho \mathrm{d} W_{1}(t) + \sqrt{1-\rho^{2}} \mathrm{d} W_{2}(t) \right) \text{,} \] where \( \lambda(0) = 1 \) to scale all factor loadings \( f_{i} \) returned by a given covariance model.

Methods in net.finmath.montecarlo.interestrate.models.covariance that return AbstractLIBORCovarianceModelParametric

Modifier and Type	Method and Description
AbstractLIBORCovarianceModelParametric	BlendedLocalVolatilityModel.getBaseCovarianceModel() Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
AbstractLIBORCovarianceModelParametric	HullWhiteLocalVolatilityModel.getBaseCovarianceModel() Returns the base covariance model, i.e., the model providing the factor loading F.
AbstractLIBORCovarianceModelParametric	DisplacedLocalVolatilityModel.getBaseCovarianceModel() Returns the base covariance model, i.e., the model providing the factor loading F such that this model's i-th factor loading is (a Li,0 + (1-a)Li(t)) Fi(t) where a is the displacement and Li is the realization of the i-th component of the stochastic process and Fi is the factor loading loading from the given covariance model.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts)
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibrated(LIBORMarketModel 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.
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneCalibratedLegazy(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelExponentialForm7Param.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	BlendedLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	HullWhiteLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified) Returns a clone of this model where the specified properties have been modified.
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelBH.getCloneWithModifiedData(Map<String,Object> dataModified)
abstract AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	DisplacedLocalVolatilityModel.getCloneWithModifiedData(Map<String,Object> dataModified)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelExponentialForm7Param.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	BlendedLocalVolatilityModel.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	HullWhiteLocalVolatilityModel.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedParameters(double[] parameters)
abstract AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneWithModifiedParameters(double[] parameters) Return an instance of this model using a new set of parameters.
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelBH.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	DisplacedLocalVolatilityModel.getCloneWithModifiedParameters(double[] parameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelFromVolatilityAndCorrelation.getCloneWithModifiedParameters(RandomVariable[] parameters)
AbstractLIBORCovarianceModelParametric	BlendedLocalVolatilityModel.getCloneWithModifiedParameters(RandomVariable[] parameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelExponentialForm5Param.getCloneWithModifiedParameters(RandomVariable[] parameters)
AbstractLIBORCovarianceModelParametric	AbstractLIBORCovarianceModelParametric.getCloneWithModifiedParameters(RandomVariable[] parameters) Return an instance of this model using a new set of parameters.
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticHestonVolatility.getCloneWithModifiedParameters(RandomVariable[] parameters)
AbstractLIBORCovarianceModelParametric	LIBORCovarianceModelStochasticVolatility.getCloneWithModifiedParameters(RandomVariable[] parameters)
AbstractLIBORCovarianceModelParametric	DisplacedLocalVolatilityModel.getCloneWithModifiedParameters(RandomVariable[] parameters)

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

Constructor and Description
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, RandomVariable displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
BlendedLocalVolatilityModel(AbstractRandomVariableFactory randomVariableFactory, AbstractLIBORCovarianceModelParametric covarianceModel, ForwardCurve forwardCurve, double displacement, boolean isCalibrateable) Displaced diffusion model build on top of a standard covariance model.
DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double displacement, boolean isCalibrateable) Displaced model build on top of a standard covariance model.
DisplacedLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, RandomVariable displacement, boolean isCalibrateable) Displaced model build on top of a standard covariance model.
HullWhiteLocalVolatilityModel(AbstractLIBORCovarianceModelParametric covarianceModel, double periodLength) The model constructed for the i-th factor loading is (1+Li(t) d) Fi(t) where d is a constant (the period length), Li is the realization of the i-th component of the stochastic process and Fi is the factor loading from the given covariance model.
LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double kappa, double theta, double xi, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticHestonVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable kappa, RandomVariable theta, RandomVariable xi, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, double nu, double rho, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
LIBORCovarianceModelStochasticVolatility(AbstractLIBORCovarianceModelParametric covarianceModel, BrownianMotion brownianMotion, RandomVariable nu, RandomVariable rho, boolean isCalibrateable) Create a modification of a given AbstractLIBORCovarianceModelParametric with a stochastic volatility scaling.
TermStructCovarianceModelFromLIBORCovarianceModel(AbstractLIBORCovarianceModelParametric covarianceModel) Create a term structure covariance model model implementing TermStructureCovarianceModelInterface using a given model implementing AbstractLIBORCovarianceModelParametric.
TermStructCovarianceModelFromLIBORCovarianceModelParametric(TermStructureTenorTimeScalingInterface tenorTimeScalingModel, AbstractLIBORCovarianceModelParametric covarianceModel)