| 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.
|
| Class and Description |
|---|
| LIBORCovarianceModel
Interface for covariance models providing a vector of (possibly stochastic) factor loadings.
|
| 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 \( t \mapsto a(t) \).
|
| Class and Description |
|---|
| LIBORCovarianceModel
Interface for covariance models providing a vector of (possibly stochastic) factor loadings.
|
| 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 \( t \mapsto a(t) \).
|
| TermStructureCovarianceModelInterface
A base class and interface description for the instantaneous covariance of
an forward rate interest rate model.
|
| Class and 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. |
| 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})) |
| 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. |
| 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 |
| 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))
|
| 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.
|
| TermStructureCovarianceModelParametric
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 |
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