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net.finmath.montecarlo.interestrate.LIBORModelCalibrationClassDiagram.svg Maven / Gradle / Ivy
finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
<<Java Class>>
AbstractLIBORCovarianceModel
net.finmath.montecarlo.interestrate.modelplugins
AbstractLIBORCovarianceModel(TimeDiscretizationInterface,TimeDiscretizationInterface,int)
getFactorLoading(int,int,ImmutableRandomVariableInterface[]):RandomVariableInterface[]
getFactorLoadingPseudoInverse(int,int,int,ImmutableRandomVariableInterface[]):RandomVariableInterface
getCovariance(int,int,int,ImmutableRandomVariableInterface[]):RandomVariableInterface
getTimeDiscretization():TimeDiscretizationInterface
setTimeDiscretization(TimeDiscretizationInterface):void
getLiborPeriodDiscretization():TimeDiscretizationInterface
setLiborPeriodDiscretization(TimeDiscretizationInterface):void
getNumberOfFactors():int
setNumberOfFactors(int):void
<<Java Class>>
AbstractLIBORCovarianceModelParametric
net.finmath.montecarlo.interestrate.modelplugins
AbstractLIBORCovarianceModelParametric(TimeDiscretizationInterface,TimeDiscretizationInterface,int)
getParameter():double[]
setParameter(double[]):void
clone():Object
getCloneWithModifiedParameters(double[]):AbstractLIBORCovarianceModelParametric
getCloneCalibrated(LIBORMarketModelInterface,AbstractLIBORMonteCarloProduct[],double[],double[]):AbstractLIBORCovarianceModelParametric
<<Java Class>>
LIBORVolatilityModel
net.finmath.montecarlo.interestrate.modelplugins
LIBORVolatilityModel(TimeDiscretizationInterface,TimeDiscretizationInterface)
getParameter():double[]
setParameter(double[]):void
getVolatility(int,int):RandomVariableInterface
getLiborPeriodDiscretization():TimeDiscretizationInterface
getTimeDiscretization():TimeDiscretizationInterface
clone():Object
<<Java Class>>
LIBORCorrelationModelThreeParameterExponentialDecay
net.finmath.montecarlo.interestrate.modelplugins
LIBORCorrelationModelThreeParameterExponentialDecay(TimeDiscretizationInterface,TimeDiscretizationInterface,int,double,double,double,boolean)
getParameter():double[]
setParameter(double[]):void
getFactorLoading(int,int,int):double
getCorrelation(int,int,int):double
getNumberOfFactors():int
setParameters(int,double,double,double):void
clone():Object
<<Java Class>>
LIBORVolatilityModelTwoParameterExponentialForm
net.finmath.montecarlo.interestrate.modelplugins
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface,TimeDiscretizationInterface,double,double)
LIBORVolatilityModelTwoParameterExponentialForm(TimeDiscretizationInterface,TimeDiscretizationInterface,double,double,boolean)
getParameter():double[]
setParameter(double[]):void
getVolatility(int,int):RandomVariable
clone():Object
<<Java Class>>
LIBORVolatilityModelFourParameterExponentialForm
net.finmath.montecarlo.interestrate.modelplugins
LIBORVolatilityModelFourParameterExponentialForm(TimeDiscretizationInterface,TimeDiscretizationInterface,double,double,double,double,boolean)
getParameter():double[]
setParameter(double[]):void
getVolatility(int,int):RandomVariableInterface
clone():Object
<<Java Class>>
LIBORCorrelationModel
net.finmath.montecarlo.interestrate.modelplugins
LIBORCorrelationModel(TimeDiscretizationInterface,TimeDiscretizationInterface)
getParameter():double[]
setParameter(double[]):void
getFactorLoading(int,int,int):double
getCorrelation(int,int,int):double
getNumberOfFactors():int
getLiborPeriodDiscretization():TimeDiscretizationInterface
getTimeDiscretization():TimeDiscretizationInterface
clone():Object
<<Java Class>>
LIBORCovarianceModelFromVolatilityAndCorrelation
net.finmath.montecarlo.interestrate.modelplugins
LIBORCovarianceModelFromVolatilityAndCorrelation(TimeDiscretizationInterface,TimeDiscretizationInterface,LIBORVolatilityModel,LIBORCorrelationModel)
getFactorLoading(int,int,ImmutableRandomVariableInterface[]):RandomVariableInterface[]
getFactorLoadingPseudoInverse(int,int,int,ImmutableRandomVariableInterface[]):RandomVariableInterface
getCovariance(int,int,int,ImmutableRandomVariableInterface[]):RandomVariable
getParameter():double[]
setParameter(double[]):void
clone():Object
getVolatilityModel():LIBORVolatilityModel
getCorrelationModel():LIBORCorrelationModel
<<Java Class>>
LIBORMarketModel
net.finmath.montecarlo.interestrate
LIBORMarketModel(TimeDiscretizationInterface,ForwardCurveInterface,AbstractLIBORCovarianceModel)
LIBORMarketModel(TimeDiscretizationInterface,ForwardCurveInterface,DiscountCurveInterface,AbstractLIBORCovarianceModel)
LIBORMarketModel(TimeDiscretizationInterface,ForwardCurveInterface,AbstractLIBORCovarianceModel,AbstractSwaptionMarketData)
LIBORMarketModel(TimeDiscretizationInterface,ForwardCurveInterface,DiscountCurveInterface,AbstractLIBORCovarianceModel,AbstractSwaptionMarketData)
LIBORMarketModel(TimeDiscretizationInterface,ForwardCurveInterface,DiscountCurveInterface,AbstractLIBORCovarianceModel,CalibrationItem[])
getNumeraire(double):RandomVariableInterface
getInitialState():RandomVariableInterface[]
getDrift(int,ImmutableRandomVariableInterface[],ImmutableRandomVariableInterface[]):RandomVariableInterface[]
getDrift(int,int,ImmutableRandomVariableInterface[],ImmutableRandomVariableInterface[]):RandomVariableInterface
getFactorLoading(int,int,ImmutableRandomVariableInterface[]):RandomVariableInterface[]
applyStateSpaceTransform(int,RandomVariableInterface):void
getDriftApproximationMethod():Driftapproximation
getLIBOR(int,int):RandomVariableInterface
getNumberOfComponents():int
getNumberOfLibors():int
getLiborPeriod(int):double
getLiborPeriodIndex(double):int
getLiborPeriodDiscretization():TimeDiscretizationInterface
getMeasure():Measure
getNumeraire(int):RandomVariableInterface
getIntegratedLIBORCovariance():double[][][]
clone():Object
setDriftApproximationMethod(Driftapproximation):void
setMeasure(Measure):void
getForwardRateCurve():ForwardCurveInterface
getSwaptionMarketData():AbstractSwaptionMarketData
getCovarianceModel():AbstractLIBORCovarianceModel
setCovarianceModel(AbstractLIBORCovarianceModel):void
getCloneWithModifiedCovarianceModel(AbstractLIBORCovarianceModel):LIBORMarketModel
getCloneWithModifiedData(Map<String,Object>):LIBORMarketModel
<<Java Class>>
LIBORCorrelationModelExponentialDecay
net.finmath.montecarlo.interestrate.modelplugins
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface,TimeDiscretizationInterface,int,double,boolean)
setParameter(double[]):void
clone():Object
LIBORCorrelationModelExponentialDecay(TimeDiscretizationInterface,TimeDiscretizationInterface,int,double)
getFactorLoading(int,int,int):double
getCorrelation(int,int,int):double
getNumberOfFactors():int
getParameter():double[]
-covarianceModel
0..1
+volatilityModel
0..1
+correlationModel
0..1
