Package net.finmath.montecarlo.interestrate.models

Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel.

See: Description

Class Summary

Class	Description
HullWhiteModel	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModelWithConstantCoeff	Implements a Hull-White model with constant coefficients.
HullWhiteModelWithDirectSimulation	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
HullWhiteModelWithShiftExtension	Implements a Hull-White model with time dependent mean reversion speed and time dependent short rate volatility.
LIBORMarketModelFromCovarianceModel	Implements a (generalized) LIBOR market model with generic covariance structure (lognormal, normal, displaced or stochastic volatility) with some drift approximation methods.
LIBORMarketModelStandard	Implements a basic LIBOR market model with some drift approximation methods.
LIBORMarketModelWithTenorRefinement	Implements a discretized Heath-Jarrow-Morton model / LIBOR market model with dynamic tenor refinement, see Enum Summary Enum Description LIBORMarketModelFromCovarianceModel.Driftapproximation LIBORMarketModelFromCovarianceModel.InterpolationMethod LIBORMarketModelFromCovarianceModel.Measure LIBORMarketModelFromCovarianceModel.StateSpace LIBORMarketModelStandard.Driftapproximation LIBORMarketModelStandard.Measure LIBORMarketModelWithTenorRefinement.Driftapproximation Package net.finmath.montecarlo.interestrate.models Description Interest rate models implementing ProcessModel e.g. by extending AbstractProcessModel. Author: Christian Fries Skip navigation links Overview Package Class Use Tree Deprecated Index Help Copyright © 2019 Christian P. Fries. Prev Package Next Package Frames No Frames All Classes Copyright © 2019. All rights reserved.