| Package | Description |
|---|---|
| org.drip.dynamics.lmm |
| Modifier and Type | Method and Description |
|---|---|
static BGMCurveUpdate |
BGMCurveUpdate.Create(FundingLabel lslFunding,
ForwardLabel lslForward,
int iInitialDate,
int iFinalDate,
ForwardCurve fc,
Span spanLIBORIncrement,
MergedDiscountForwardCurve dc,
Span spanDiscountFactorIncrement,
Span spanContinuousForwardRateIncrement,
Span spanSpotRateIncrement,
Span spanInstantaneousEffectiveForward,
Span spanInstantaneousNominalForward,
LognormalLIBORVolatility llv)
Construct an Instance of BGMCurveUpdate
|
BGMCurveUpdate |
LognormalLIBORCurveEvolver.evolve(int iSpotDate,
int iViewDate,
int iSpotTimeIncrement,
LSQMCurveUpdate lsqmPrev) |