org.drip.dynamics.lmm

Class BGMForwardTenorSnap

java.lang.Object

org.drip.dynamics.lmm.BGMForwardTenorSnap

public class BGMForwardTenorSnap
extends java.lang.Object

BGMForwardTenorSnap contains the Absolute and the Incremental Latent State Quantifier Snapshot traced from the Evolution of the LIBOR Forward Rate as formulated in: 1) Goldys, B., M. Musiela, and D. Sondermann (1994): Log-normality of Rates and Term Structure Models, The University of New South Wales. 2) Musiela, M. (1994): Nominal Annual Rates and Log-normal Volatility Structure, The University of New South Wales. 3) Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics, Mathematical Finance 7 (2), 127-155.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description

BGMForwardTenorSnap(int iDate, double dblLIBOR, double dblLIBORIncrement, double dblDiscountFactor, double dblDiscountFactorIncrement, double dblContinuouslyCompoundedForwardIncrement, double dblSpotRateIncrement, double dblInstantaneousEffectiveForwardRate, double dblInstantaneousNominalForwardRate, double dblLognormalLIBORVolatility, double dblContinuouslyCompoundedForwardVolatility) BGMForwardTenorSnap Constructor

Method Summary

Modifier and Type	Method and Description
double	continuouslyCompoundedForwardIncrement() Retrieve the Continuously Compounded Forward Rate Increment
double	continuouslyCompoundedForwardVolatility() Retrieve the Continuously Compounded Forward Rate Volatility
int	date() Retrieve the Tenor Date
double	discountFactor() Retrieve the Discount Factor
double	discountFactorIncrement() Retrieve the Discount Factor Increment
double	instantaneousEffectiveForwardRate() Retrieve the Instantaneous Effective Annual Forward Rate
double	instantaneousNominalForwardRate() Retrieve the Instantaneous Nominal Annual Forward Rate
double	libor() Retrieve the LIBOR Rate
double	liborIncrement() Retrieve the LIBOR Rate Increment
double	lognormalLIBORVolatility() Retrieve the Log-normal LIBOR Volatility
double	spotRateIncrement() Retrieve the Spot Rate Increment
java.lang.String	toString()

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

BGMForwardTenorSnap

public BGMForwardTenorSnap(int iDate,
                           double dblLIBOR,
                           double dblLIBORIncrement,
                           double dblDiscountFactor,
                           double dblDiscountFactorIncrement,
                           double dblContinuouslyCompoundedForwardIncrement,
                           double dblSpotRateIncrement,
                           double dblInstantaneousEffectiveForwardRate,
                           double dblInstantaneousNominalForwardRate,
                           double dblLognormalLIBORVolatility,
                           double dblContinuouslyCompoundedForwardVolatility)
                    throws java.lang.Exception

BGMForwardTenorSnap Constructor

Parameters:

iDate - The Date corresponding to the Tenor

dblLIBOR - The LIBOR Rate

dblLIBORIncrement - The LIBOR Rate Increment

dblDiscountFactor - The Discount Factor

dblDiscountFactorIncrement - The Discount Factor Increment

dblContinuouslyCompoundedForwardIncrement - Continuously Compounded Forward Rate Increment

dblSpotRateIncrement - Spot Rate Increment

dblInstantaneousEffectiveForwardRate - Instantaneous Effective Annual Forward Rate

dblInstantaneousNominalForwardRate - Instantaneous Nominal Annual Forward Rate

dblLognormalLIBORVolatility - The Log-normal LIBOR Rate Volatility

dblContinuouslyCompoundedForwardVolatility - The Continuously Compounded Forward Rate Volatility

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

date

public int date()

Retrieve the Tenor Date

Returns:

The Tenor Date

libor

public double libor()

Retrieve the LIBOR Rate

Returns:

The LIBOR Rate

liborIncrement

public double liborIncrement()

Retrieve the LIBOR Rate Increment

Returns:

The LIBOR Rate Increment

discountFactor

public double discountFactor()

Retrieve the Discount Factor

Returns:

The Discount Factor

discountFactorIncrement

public double discountFactorIncrement()

Retrieve the Discount Factor Increment

Returns:

The Discount Factor Increment

continuouslyCompoundedForwardIncrement

public double continuouslyCompoundedForwardIncrement()

Retrieve the Continuously Compounded Forward Rate Increment

Returns:

The Continuously Compounded Forward Rate Increment

spotRateIncrement

public double spotRateIncrement()

Retrieve the Spot Rate Increment

Returns:

The Spot Rate Increment

instantaneousEffectiveForwardRate

public double instantaneousEffectiveForwardRate()

Retrieve the Instantaneous Effective Annual Forward Rate

Returns:

The Instantaneous Effective Annual Forward Rate

instantaneousNominalForwardRate

public double instantaneousNominalForwardRate()

Retrieve the Instantaneous Nominal Annual Forward Rate

Returns:

The Instantaneous Nominal Annual Forward Rate

lognormalLIBORVolatility

public double lognormalLIBORVolatility()

Retrieve the Log-normal LIBOR Volatility

Returns:

The Log-normal LIBOR Volatility

continuouslyCompoundedForwardVolatility

public double continuouslyCompoundedForwardVolatility()

Retrieve the Continuously Compounded Forward Rate Volatility

Returns:

The Continuously Compounded Forward Rate Volatility

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object