See: Description
| Interface | Description |
|---|---|
| LIBORCovarianceModel |
Interface for covariance models providing a vector of (possibly stochastic) factor loadings.
|
| LIBORCovarianceModelCalibrateable |
Interface for covariance models which may perform a calibration by providing the corresponding
getCloneCalibrated-method. |
| ShortRateVolatilityModel |
Interface for piecewise constant short rate volatility models with
piecewise constant instantaneous short rate volatility \( t \mapsto \sigma(t) \)
and piecewise constant short rate mean reversion speed \( t \mapsto a(t) \).
|
| ShortRateVolatilityModelCalibrateable |
Interface for covariance models which may perform a calibration by providing the corresponding
getCloneCalibrated-method. |
| ShortRateVolatilityModelParametric |
Interface for short rate volatility models which are determined by a vector of parameter.
|
| TermStructureCovarianceModelInterface |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
|
| TermStructureFactorLoadingsModelInterface |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
|
| TermStructureFactorLoadingsModelParametricInterface |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
|
| TermStructureTenorTimeScalingInterface |
| Class | Description |
|---|---|
| AbstractLIBORCovarianceModel |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
|
| AbstractLIBORCovarianceModelParametric |
Base class for parametric covariance models, see also
AbstractLIBORCovarianceModel. |
| AbstractShortRateVolatilityModel |
A base class and interface description for the instantaneous volatility of
an short rate model.
|
| AbstractShortRateVolatilityModelParametric |
Base class for parametric volatility models, see also
AbstractShortRateVolatilityModel. |
| BlendedLocalVolatilityModel |
Blended model (or displaced diffusion model) build on top of a standard covariance model.
|
| DisplacedLocalVolatilityModel |
Displaced model build on top of a standard covariance model.
|
| 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.
|
| LIBORCorrelationModel |
Abstract base class and interface description of a correlation model
(as it is used in
LIBORCovarianceModelFromVolatilityAndCorrelation). |
| 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. |
| 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})) |
| LIBORCovarianceModelBH |
A five parameter covariance model corresponding.
|
| LIBORCovarianceModelExponentialForm5Param |
The five parameter covariance model consisting of an
LIBORVolatilityModelMaturityDependentFourParameterExponentialForm
and an
LIBORCorrelationModelExponentialDecay. |
| LIBORCovarianceModelExponentialForm7Param | |
| LIBORCovarianceModelFromVolatilityAndCorrelation |
A covariance model build from a volatility model implementing
LIBORVolatilityModel and a correlation model
implementing LIBORCorrelationModel. |
| 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.
|
| 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.
|
| LIBORVolatilityModel |
Abstract base class and interface description of a volatility model
(as it is used in
LIBORCovarianceModelFromVolatilityAndCorrelation). |
| LIBORVolatilityModelFourParameterExponentialForm |
Implements the volatility model
\[
\sigma_{i}(t_{j}) = ( a + b (T_{i}-t_{j}) ) exp(-c (T_{i}-t_{j})) + d \text{
|
| LIBORVolatilityModelFourParameterExponentialFormIntegrated |
Implements the volatility model
\[
\sigma_{i}(t_{j}) = \sqrt{ \frac{1}{t_{j+1}-t_{j}} \int_{t_{j}}^{t_{j+1}} \left( ( a + b (T_{i}-t) ) exp(-c (T_{i}-t)) + d \right)^{2} \ \mathrm{d}t } \text{
|
| LIBORVolatilityModelFromGivenMatrix |
Implements a simple volatility model using given piece-wise constant values on
a given discretization grid.
|
| LIBORVolatilityModelMaturityDependentFourParameterExponentialForm | |
| LIBORVolatilityModelPiecewiseConstant | |
| LIBORVolatilityModelTimeHomogenousPiecewiseConstant |
Implements a piecewise constant volatility model, where
\( \sigma(t,T) = sigma_{i} \) where \( i = \max \{ j : \tau_{j} \leq T-t \} \) and
\( \tau_{0}, \tau_{1}, \ldots, \tau_{n-1} \) is a given time discretization.
|
| LIBORVolatilityModelTwoParameterExponentialForm |
Implements the volatility model σi(tj) = a * exp(-b (Ti-tj))
|
| ShortRateVolatilityModelAsGiven |
A short rate volatility model from given volatility and mean reversion.
|
| ShortRateVolatilityModelHoLee | |
| ShortRateVolatilityModelPiecewiseConstant | |
| TermStructCovarianceModelFromLIBORCovarianceModel | |
| TermStructCovarianceModelFromLIBORCovarianceModelParametric | |
| TermStructureCovarianceModelParametric |
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
|
| TermStructureTenorTimeScalingPicewiseConstant |
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