org.drip.dynamics.lmm

Class ContinuouslyCompoundedForwardProcess

java.lang.Object

org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess

public class ContinuouslyCompoundedForwardProcess
extends java.lang.Object

ContinuouslyCompoundedForwardProcess implements the Continuously Compounded Forward Rate Process defined in the LIBOR Market Model. 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
ContinuouslyCompoundedForwardProcess(int iSpotDate, R1R1ToR1 funcR1R1ToR1) ContinuouslyCompoundedForwardProcess Constructor

Method Summary

Modifier and Type	Method and Description
double	discountFunctionValue(int iTargetDate, boolean bRealized) Retrieve a Realized/Expected Value of the Discount to the Target Date
double	instantaneousForwardRateIntegral(int iTargetDate, boolean bRealized) Compute the Realized/Expected Instantaneous Forward Rate Integral to the Target Date
double	liborRate(int iTargetDate, java.lang.String strTenor, boolean bRealized) Retrieve a Realized/Expected Value of the LIBOR Rate at the Target Date
double	realizedZeroCouponPrice(int iMaturityDate) Retrieve a Realized Zero-Coupon Bond Price
int	spotDate() Retrieve the Spot Date
R1R1ToR1	stochasticForwardRateFunction() Retrieve the Stochastic Forward Rate Function

Methods inherited from class java.lang.Object

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

Constructor Detail

ContinuouslyCompoundedForwardProcess

public ContinuouslyCompoundedForwardProcess(int iSpotDate,
                                            R1R1ToR1 funcR1R1ToR1)
                                     throws java.lang.Exception

ContinuouslyCompoundedForwardProcess Constructor

Parameters:

iSpotDate - The Spot Date

funcR1R1ToR1 - The Stochastic Forward Rate Function

Throws:

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

Method Detail

spotDate

public int spotDate()

Retrieve the Spot Date

Returns:

The Spot Date

stochasticForwardRateFunction

public R1R1ToR1 stochasticForwardRateFunction()

Retrieve the Stochastic Forward Rate Function

Returns:

The Stochastic Forward Rate Function

realizedZeroCouponPrice

public double realizedZeroCouponPrice(int iMaturityDate)
                               throws java.lang.Exception

Retrieve a Realized Zero-Coupon Bond Price

Parameters:

iMaturityDate - The Maturity Date

Returns:

The Realized Zero-Coupon Bond Price

Throws:

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

instantaneousForwardRateIntegral

public double instantaneousForwardRateIntegral(int iTargetDate,
                                               boolean bRealized)
                                        throws java.lang.Exception

Compute the Realized/Expected Instantaneous Forward Rate Integral to the Target Date

Parameters:

iTargetDate - The Target Date

bRealized - TRUE - Compute the Realized (TRUE) / Expected (FALSE) Instantaneous Forward Rate Integral

Returns:

The Realized/Expected Instantaneous Forward Rate Integral

Throws:

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

discountFunctionValue

public double discountFunctionValue(int iTargetDate,
                                    boolean bRealized)
                             throws java.lang.Exception

Retrieve a Realized/Expected Value of the Discount to the Target Date

Parameters:

iTargetDate - The Target Date

bRealized - TRUE - Compute the Realized (TRUE) / Expected (FALSE) Instantaneous Forward Rate Integral

Returns:

The Realized/Expected Value of the Discount to the Target Date

Throws:

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

liborRate

public double liborRate(int iTargetDate,
                        java.lang.String strTenor,
                        boolean bRealized)
                 throws java.lang.Exception

Retrieve a Realized/Expected Value of the LIBOR Rate at the Target Date

Parameters:

iTargetDate - The Target Date

strTenor - The LIBOR Tenor

bRealized - TRUE - Compute the Realized (TRUE) / Expected (FALSE) LIBOR Rate

Returns:

The Realized/Expected Value of the LIBOR Rate at the Target Date

Throws:

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