| Class | Description |
|---|---|
| BGMCurveUpdate |
BGMCurveUpdate contains the Instantaneous Snapshot of the Evolving Discount Curve Latent State
Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
|
| BGMForwardTenorSnap |
BGMForwardTenorSnap contains the Absolute and the Incremental Latent State Quantifier Snapshot traced from
the Evolution of the LIBOR Forward Rate as formulated in:
1) Goldys, B., M.
|
| BGMPointUpdate |
BGMPointUpdate contains the Instantaneous Snapshot of the Evolving Discount Point Latent State
Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
|
| BGMTenorNodeSequence |
BGMTenorNodeSequence contains the Point Nodes of the Latent State Quantifiers and their Increments present
in the specified BGMForwardTenorSnap Instance.
|
| ContinuousForwardRateEvolver |
ContinuousForwardRateEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Rates
State Quantifiers traced from the Evolution of the Continuously Compounded Forward Rate as formulated in:
1) Goldys, B., M.
|
| ContinuousForwardRateUpdate |
ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State
Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.
|
| ContinuouslyCompoundedForwardProcess |
ContinuouslyCompoundedForwardProcess implements the Continuously Compounded Forward Rate Process defined
in the LIBOR Market Model.
|
| LognormalLIBORCurveEvolver |
LognormalLIBORCurveEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the full Curve
Rates State Quantifiers traced from the Evolution of the LIBOR Forward Rate as formulated in:
1) Goldys, B., M.
|
| LognormalLIBORPointEvolver |
LognormalLIBORPointEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Point
Rates State Quantifiers traced from the Evolution of the LIBOR Forward Rate as formulated in:
1) Goldys, B., M.
|
| LognormalLIBORVolatility |
LognormalLIBORVolatility implements the Multi-Factor Log-normal LIBOR Volatility as formulated in:
1) Goldys, B., M.
|
| PathwiseQMRealization |
PathwiseQMRealization contains the Sequence of the Simulated Target Point State QM Realizations and their
corresponding Date Nodes.
|
| ShortRateProcess |
ShortRateProcess implements the Short Rate Process defined in the LIBOR Market Model.
|