org.drip.dynamics.lmm

Class BGMTenorNodeSequence

java.lang.Object

org.drip.dynamics.lmm.BGMTenorNodeSequence

public class BGMTenorNodeSequence
extends java.lang.Object

BGMTenorNodeSequence contains the Point Nodes of the Latent State Quantifiers and their Increments present in the specified BGMForwardTenorSnap Instance. The References are: 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
BGMTenorNodeSequence(BGMForwardTenorSnap[] aBFTS) BGMTenorNodeSequence Constructor

Method Summary

Modifier and Type	Method and Description
double[]	continuousForwardRateIncrements() Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
int[]	dates() Retrieve the Array of Tenor Dates
double[]	discountFactorIncrements() Retrieve the Array of Tenor Discount Factor Increments
double[]	discountFactors() Retrieve the Array of Tenor Discount Factors
double[]	instantaneousEffectiveForwardRates() Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate
double[]	instantaneousNominalForwardRates() Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate
double[]	liborRateIncrements() Retrieve the Array of Tenor LIBOR Rate Increments
double[]	liborRates() Retrieve the Array of Tenor LIBOR Rates
double[]	spotRateIncrements() Retrieve the Array of Tenor Spot Rate Increments
java.lang.String	toString()

Methods inherited from class java.lang.Object

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

Constructor Detail

BGMTenorNodeSequence

public BGMTenorNodeSequence(BGMForwardTenorSnap[] aBFTS)
                     throws java.lang.Exception

BGMTenorNodeSequence Constructor

Parameters:

aBFTS - Array of the BGM Forward Tenor Snap Instances

Throws:

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

Method Detail

dates

public int[] dates()

Retrieve the Array of Tenor Dates

Returns:

The Array of Tenor Dates

liborRates

public double[] liborRates()

Retrieve the Array of Tenor LIBOR Rates

Returns:

The Array of Tenor LIBOR Rates

liborRateIncrements

public double[] liborRateIncrements()

Retrieve the Array of Tenor LIBOR Rate Increments

Returns:

The Array of Tenor LIBOR Rate Increments

discountFactors

public double[] discountFactors()

Retrieve the Array of Tenor Discount Factors

Returns:

The Array of Tenor Discount Factors

discountFactorIncrements

public double[] discountFactorIncrements()

Retrieve the Array of Tenor Discount Factor Increments

Returns:

The Array of Tenor Discount Factor Increments

instantaneousEffectiveForwardRates

public double[] instantaneousEffectiveForwardRates()

Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate

Returns:

The Array of Tenor Instantaneous Effective Annual Forward Rate

instantaneousNominalForwardRates

public double[] instantaneousNominalForwardRates()

Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate

Returns:

The Array of Tenor Instantaneous Nominal Annual Forward Rate

continuousForwardRateIncrements

public double[] continuousForwardRateIncrements()

Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments

Returns:

The Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments

spotRateIncrements

public double[] spotRateIncrements()

Retrieve the Array of Tenor Spot Rate Increments

Returns:

The Array of Tenor Spot Rate Increments

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object