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

Packages that use LIBORCorrelationModel

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 LIBORCorrelationModel in net.finmath.montecarlo.interestrate.models.covariance

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

Modifier and Type	Class and Description
class	LIBORCorrelationModelExponentialDecay Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = \exp( -\max(a,0) | T_{i}-T_{j} | ) \] For a more general model featuring three parameters see LIBORCorrelationModelThreeParameterExponentialDecay.
class	LIBORCorrelationModelThreeParameterExponentialDecay Simple correlation model given by R, where R is a factor reduced matrix (see LinearAlgebra.factorReduction(double[][], int)) created from the \( n \) Eigenvectors of \( \tilde{R} \) belonging to the \( n \) largest non-negative Eigenvalues, where \( \tilde{R} = \tilde{\rho}_{i,j} \) and \[ \tilde{\rho}_{i,j} = b + (1-b) * \exp(-a |T_{i} - T_{j}| - c \max(T_{i},T_{j}))

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

Modifier and Type	Method and Description
abstract LIBORCorrelationModel	LIBORCorrelationModel.getCloneWithModifiedData(Map<String,Object> dataModified) Returns a clone of this model where the specified properties have been modified.
LIBORCorrelationModel	LIBORCorrelationModelExponentialDecay.getCloneWithModifiedData(Map<String,Object> dataModified)
LIBORCorrelationModel	LIBORCorrelationModelThreeParameterExponentialDecay.getCloneWithModifiedData(Map<String,Object> dataModified)
abstract LIBORCorrelationModel	LIBORCorrelationModel.getCloneWithModifiedParameter(RandomVariable[] parameter)
LIBORCorrelationModel	LIBORCovarianceModelFromVolatilityAndCorrelation.getCorrelationModel()

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

Constructor and Description
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretization timeDiscretization, TimeDiscretization liborPeriodDiscretization, LIBORVolatilityModel volatilityModel, LIBORCorrelationModel correlationModel)