Uses of Interface
net.finmath.montecarlo.interestrate.models.covariance.LIBORCovarianceModel

Packages that use LIBORCovarianceModel

Package	Description
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 LIBORCovarianceModel in net.finmath.montecarlo.interestrate

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

Modifier and Type	Method and Description
LIBORCovarianceModel	LIBORMarketModel.getCovarianceModel() Return the forward rate (LIBOR) covariance model.

Methods in net.finmath.montecarlo.interestrate with parameters of type LIBORCovarianceModel

Modifier and Type	Method and Description
LIBORMarketModel	LIBORMarketModel.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel calibrationCovarianceModel) Create a new object implementing LIBORMarketModel, using the new covariance model.

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

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

Modifier and Type	Method and Description
LIBORCovarianceModel	LIBORMarketModelFromCovarianceModel.getCovarianceModel()
LIBORCovarianceModel	LIBORMarketModelStandard.getCovarianceModel()

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

Modifier and Type	Method and Description
LIBORMarketModelFromCovarianceModel	LIBORMarketModelFromCovarianceModel.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel covarianceModel)
LIBORMarketModelStandard	LIBORMarketModelStandard.getCloneWithModifiedCovarianceModel(LIBORCovarianceModel covarianceModel)
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).

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

Constructor and Description
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, AbstractRandomVariableFactory randomVariableFactory, LIBORCovarianceModel covarianceModel, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, AnalyticModel analyticModel, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData, Map<String,?> properties) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationItems, Map<String,?> properties) Deprecated. Use LIBORMarketModelFromCovarianceModel.of() instead.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelFromCovarianceModel(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, DiscountCurve discountCurve, LIBORCovarianceModel covarianceModel, CalibrationProduct[] calibrationProducts) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel) Creates a LIBOR Market Model for given covariance.
LIBORMarketModelStandard(TimeDiscretization liborPeriodDiscretization, ForwardCurve forwardRateCurve, LIBORCovarianceModel covarianceModel, AbstractSwaptionMarketData swaptionMarketData) Creates a LIBOR Market Model using a given covariance model and calibrating this model to given swaption volatility data.

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

Subinterfaces of LIBORCovarianceModel in net.finmath.montecarlo.interestrate.models.covariance

Modifier and Type	Interface and Description
interface	LIBORCovarianceModelCalibrateable Interface for covariance models which may perform a calibration by providing the corresponding getCloneCalibrated-method.

Classes in net.finmath.montecarlo.interestrate.models.covariance that implement LIBORCovarianceModel

Modifier and Type	Class and Description
class	AbstractLIBORCovarianceModel A base class and interface description for the instantaneous covariance of an forward rate interest rate model.
class	AbstractLIBORCovarianceModelParametric Base class for parametric covariance models, see also AbstractLIBORCovarianceModel.
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.