org.drip.dynamics.lmm

Class ShortRateProcess

java.lang.Object

org.drip.dynamics.lmm.ShortRateProcess

public class ShortRateProcess
extends java.lang.Object

ShortRateProcess implements the Short 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
ShortRateProcess(int iSpotDate, R1R1ToR1 funcR1R1ToR1) ShortRateProcess Constructor

Method Summary

Modifier and Type	Method and Description
double	continuouslyReinvestedAccrualFactor(int iMaturityDate) Retrieve the Continuously Re-invested Accruing Bank Account
int	spotDate() Retrieve the Spot Date
R1R1ToR1	stochasticShortRateFunction() Retrieve the Stochastic Short Rate Function

Methods inherited from class java.lang.Object

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

Constructor Detail

ShortRateProcess

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

ShortRateProcess Constructor

Parameters:

iSpotDate - The Spot Date

funcR1R1ToR1 - The Stochastic Short 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

stochasticShortRateFunction

public R1R1ToR1 stochasticShortRateFunction()

Retrieve the Stochastic Short Rate Function

Returns:

The Stochastic Short Rate Function

continuouslyReinvestedAccrualFactor

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

Retrieve the Continuously Re-invested Accruing Bank Account

Parameters:

iMaturityDate - The Maturity Date

Returns:

The Continuously Re-invested Accruing Bank Account

Throws:

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