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net.finmath.montecarlo.interestrate.modelplugins.package.html Maven / Gradle / Ivy

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.

Covariance models provide they free parameters via an interface. The class AbstractLIBORCovarianceModelParametric provides a method that implements the generic calibration of the models.