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    • net.finmath.montecarlo.interestrate.HullWhiteModel.svg Maven / Gradle / Ivy

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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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            <<Java Class>>
            
            HullWhiteModel
            net.finmath.montecarlo.interestrate.models
            
            
            
            
            
            HullWhiteModel(AbstractRandomVariableFactory,TimeDiscretization,Anal...
            
            HullWhiteModel(TimeDiscretization,AnalyticModelInterface,ForwardCurv...
            
            of(AbstractRandomVariableFactory,TimeDiscretization,AnalyticModelInter...
            
            
            getReferenceDate():LocalDateTime
            
            getNumberOfComponents():int
            
            applyStateSpaceTransform(int,RandomVariable):RandomVariable
            
            applyStateSpaceTransformInverse(int,RandomVariable):RandomVariable
            
            getInitialState():RandomVariable[]
            
            getNumeraire(double):RandomVariable
            
            getDrift(int,RandomVariable[],RandomVariable[]):RandomVariable[]
            
            getFactorLoading(int,int,RandomVariable[]):RandomVariable[]
            
            getRandomVariableForConstant(double):RandomVariable
            
            getLIBOR(double,double,double):RandomVariable
            
            getLIBOR(int,int):RandomVariable
            
            getLiborPeriodDiscretization():TimeDiscretization
            
            getNumberOfLibors():int
            
            getLiborPeriod(int):double
            
            getLiborPeriodIndex(double):int
            
            getAnalyticModel():AnalyticModelInterface
            
            getDiscountCurve():DiscountCurveInterface
            
            getForwardRateCurve():ForwardCurveInterface
            
            getCloneWithModifiedData(Map<String,Object>):LIBORModel
            
            getShortRateConditionalVariance(double,double):double
            
            getIntegratedBondSquaredVolatility(double,double):double
            
            getCloneWithModifiedVolatilityModel(ShortRateVolatilityModelInterface):...
            
            getVolatilityModel():ShortRateVolatilityModelInterface
            
            getModelParameters():Map<String,RandomVariable>
            
            
            <<Java Class>>
            
            ShortRateVolatilityModel
            net.finmath.montecarlo.interestrate.models.covariance
            
            
            
            
            
            ShortRateVolatilityModel(TimeDiscretization,double[],double[])
            
            getTimeDiscretization():TimeDiscretization
            
            getVolatility(int):double
            
            getMeanReversion(int):double
            
            
            <<Java Class>>
            
            ShortRateVolatilityModelPiecewiseConstant
            net.finmath.montecarlo.interestrate.models.covariance
            
            
            
            
            
            ShortRateVolatilityModelPiecewiseConstant(AbstractRandomVariableFactory,TimeDiscretization,TimeDiscretization,double[],double[],boolean)
            
            getVolatility(int):double
            
            getVolatility(double):RandomVariable
            
            getMeanReversion(int):double
            
            getParameter():double[]
            
            clone():Object
            
            getCloneWithModifiedParameters(double[]):AbstractShortRateVolatilityModelParametric
            
            
            <<Java Interface>>
            
            ShortRateVolatilityModelInterface
            net.finmath.montecarlo.interestrate.models.covariance
            
            
            
            
            
            getTimeDiscretization():TimeDiscretization
            
            getVolatility(int):double
            
            getMeanReversion(int):double
            
            
            <<Java Interface>>
            
            ShortRateVolatilityModelCalibrateable
            net.finmath.montecarlo.interestrate.models.covariance
            
            
            
            
            
            getCloneCalibrated(ShortRateModel,CalibrationProduct[],Map<String,Object>):ShortRateVolatilityModelCalibrateable
            
            
            <<Java Class>>
            
            ShortRateVolatilityModelHoLee
            net.finmath.montecarlo.interestrate.models.covariance
            
            
            
            
            
            ShortRateVolatilityModelHoLee(double)
            
            getTimeDiscretization():TimeDiscretization
            
            getVolatility(int):double
            
            getMeanReversion(int):double
            
            
            <<Java Interface>>
            
            ShortRateModel
            net.finmath.montecarlo.interestrate
            
            
            
            
            
            getCloneWithModifiedVolatilityModel(ShortRateVolatilityModelInterface):ShortRateModel
            
            getVolatilityModel():ShortRateVolatilityModelInterface
            
            getNumberOfFactors():int
            
            -volatilityModel
            0..1




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