| Package | Description |
|---|---|
| org.drip.dynamics.lmm |
| Class and 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.
|
| ContinuousForwardRateUpdate
ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State
Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.
|
| 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.
|
| LognormalLIBORVolatility
LognormalLIBORVolatility implements the Multi-Factor Log-normal LIBOR Volatility as formulated in:
1) Goldys, B., M.
|