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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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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.