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net.finmath.montecarlo.interestrate.HullWhiteModel.svg Maven / Gradle / Ivy
finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
<<Java Interface>>
ShortRateModel
net.finmath.montecarlo.interestrate
getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel):ShortRateModel
getVolatilityModel():ShortRateVolatilityModel
getNumberOfFactors():int
<<Java Class>>
HullWhiteModel
net.finmath.montecarlo.interestrate.models
HullWhiteModel(RandomVariableFactory,TimeDiscretization,AnalyticModel,ForwardCurve,DiscountCurve,ShortRateVolatilityModel,Map<String,Object>)
HullWhiteModel(TimeDiscretization,AnalyticModel,ForwardCurve,DiscountCurve,ShortRateVolatilityModel,Map<String,Object>)
of(RandomVariableFactory,TimeDiscretization,AnalyticModel,ForwardCurve,DiscountCurve,ShortRateVolatilityModel,CalibrationProduct[],Map<String,Object>):HullWhiteModel
getReferenceDate():LocalDateTime
getNumberOfComponents():int
applyStateSpaceTransform(int,RandomVariable):RandomVariable
applyStateSpaceTransformInverse(int,RandomVariable):RandomVariable
getInitialState():RandomVariable[]
getNumeraire(double):RandomVariable
getForwardDiscountBond(double,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():AnalyticModel
getDiscountCurve():DiscountCurve
getForwardRateCurve():ForwardCurve
getCloneWithModifiedData(Map<String,Object>):LIBORModel
getShortRateConditionalVariance(double,double):RandomVariable
getIntegratedBondSquaredVolatility(double,double):RandomVariable
getCloneWithModifiedVolatilityModel(ShortRateVolatilityModel):HullWhiteModel
getVolatilityModel():ShortRateVolatilityModel
getModelParameters():Map<String,RandomVariable>
toString():String
<<Java Class>>
ShortRateVolatilityModelHoLee
net.finmath.montecarlo.interestrate.models.covariance
ShortRateVolatilityModelHoLee(double)
getTimeDiscretization():TimeDiscretization
getVolatility(int):RandomVariable
getMeanReversion(int):RandomVariable
<<Java Class>>
AbstractShortRateVolatilityModelParametric
net.finmath.montecarlo.interestrate.models.covariance
AbstractShortRateVolatilityModelParametric(TimeDiscretization)
getParameter():RandomVariable[]
clone():Object
getParameterAsDouble():double[]
getCloneWithModifiedParameters(double[]):AbstractShortRateVolatilityModelParametric
getCloneWithModifiedParameters(RandomVariable[]):AbstractShortRateVolatilityModelParametric
getCloneCalibrated(ShortRateModel,CalibrationProduct[],Map<String,Object>):AbstractShortRateVolatilityModelParametric
getCloneCalibratedLegazy(ShortRateModel,CalibrationProduct[],Map<String,Object>):AbstractShortRateVolatilityModelParametric
toString():String
<<Java Interface>>
ShortRateVolatilityModelCalibrateable
net.finmath.montecarlo.interestrate.models.covariance
getCloneCalibrated(ShortRateModel,CalibrationProduct[],Map<String,Object>):ShortRateVolatilityModelCalibrateable
<<Java Interface>>
ShortRateVolatilityModel
net.finmath.montecarlo.interestrate.models.covariance
getTimeDiscretization():TimeDiscretization
getVolatility(int):RandomVariable
getMeanReversion(int):RandomVariable
<<Java Class>>
AbstractShortRateVolatilityModel
net.finmath.montecarlo.interestrate.models.covariance
AbstractShortRateVolatilityModel(TimeDiscretization)
getTimeDiscretization():TimeDiscretization
<<Java Class>>
ShortRateVolatilityModelPiecewiseConstant
net.finmath.montecarlo.interestrate.models.covariance
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory,TimeDiscretization,TimeDiscretization,RandomVariable[],RandomVariable[],boolean,boolean)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory,TimeDiscretization,TimeDiscretization,double[],double[],boolean,boolean)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory,TimeDiscretization,TimeDiscretization,double[],double[],boolean)
ShortRateVolatilityModelPiecewiseConstant(RandomVariableFactory,TimeDiscretization,TimeDiscretization,RandomVariable[],RandomVariable[],boolean)
getVolatility(int):RandomVariable
getVolatility(double):RandomVariable
getMeanReversion(int):RandomVariable
getParameter():RandomVariable[]
clone():Object
getCloneWithModifiedParameters(RandomVariable[]):AbstractShortRateVolatilityModelParametric
getCloneWithModifiedParameters(double[]):AbstractShortRateVolatilityModelParametric
getVolatilityTimeDiscretization():TimeDiscretization
<<Java Interface>>
LIBORModel
net.finmath.montecarlo.interestrate
getLIBOR(int,int):RandomVariable
getLiborPeriodDiscretization():TimeDiscretization
getNumberOfLibors():int
getLiborPeriod(int):double
getLiborPeriodIndex(double):int
getCloneWithModifiedData(Map<String,Object>):LIBORModel
<<Java Interface>>
ShortRateVolatilityModelParametric
net.finmath.montecarlo.interestrate.models.covariance
getParameter():RandomVariable[]
getCloneWithModifiedParameters(RandomVariable[]):ShortRateVolatilityModelParametric
getParameterAsDouble():double[]
getCloneWithModifiedParameters(double[]):ShortRateVolatilityModelParametric
-volatilityModel
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