Skip navigation links
finMath lib documentation

Package net.finmath.montecarlo.interestrate.modelplugins

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.

See: Description

Package net.finmath.montecarlo.interestrate.modelplugins 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.
Skip navigation links
Copyright © 2017 Christian P. Fries.

Copyright © 2017. All rights reserved.