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Package net.finmath.montecarlo.interestrate.covariancemodels

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.

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Package net.finmath.montecarlo.interestrate.covariancemodels Description

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. NOTE: Classes in this package are almost identical to the package net.finmath.montecarlo.interestrate.modelplugins except that the parameter may be a RandomVariableInterface. The two packages will be merged in a future version.
Author:
Christian Fries
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Copyright © 2018 Christian P. Fries.

Copyright © 2018. All rights reserved.