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

Packages that use LIBORCovarianceModelCalibrateable

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

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

Modifier and Type	Class and Description
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.

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

Modifier and Type	Method and Description
LIBORCovarianceModelCalibrateable	LIBORCovarianceModelCalibrateable.getCloneCalibrated(LIBORMarketModel calibrationModel, CalibrationProduct[] calibrationProducts, Map<String,Object> calibrationParameters) Performs a calibration of the model by trying to match a given vector of calibration product to a given vector of target values using a given vector of weights.