org.drip.dynamics.lmm

Class PathwiseQMRealization

java.lang.Object

org.drip.dynamics.lmm.PathwiseQMRealization

public class PathwiseQMRealization
extends java.lang.Object

PathwiseQMRealization contains the Sequence of the Simulated Target Point State QM Realizations and their corresponding Date Nodes. The formulations for the case of the Forward Rates are 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
PathwiseQMRealization(int[] aiTargetDateNode, double[] adblPointStateQMRealization) PathwiseQMRealization Constructor

Method Summary

Modifier and Type	Method and Description
double[]	realizedQM() Retrieve the Array of the Realized QM
int[]	targetDate() Retrieve the Array of the Target Date Nodes

Methods inherited from class java.lang.Object

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

Constructor Detail

PathwiseQMRealization

public PathwiseQMRealization(int[] aiTargetDateNode,
                             double[] adblPointStateQMRealization)
                      throws java.lang.Exception

PathwiseQMRealization Constructor

Parameters:

aiTargetDateNode - Array of Target Date Nodes

adblPointStateQMRealization - Array of the Realized QM

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Detail

targetDate

public int[] targetDate()

Retrieve the Array of the Target Date Nodes

Returns:

Array of the Target Date Nodes

realizedQM

public double[] realizedQM()

Retrieve the Array of the Realized QM

Returns:

Array of the Realized QM