org.drip.sample.hjm

Class MultiFactorQMDynamics

java.lang.Object

org.drip.sample.hjm.MultiFactorQMDynamics

public class MultiFactorQMDynamics
extends java.lang.Object

MultiFactorQMDynamics demonstrates the Construction and Usage of the 3-Factor Gaussian Model Dynamics for the Evolution of the Discount Factor Quantification Metrics - the Instantaneous Forward Rate, the LIBOR Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the Compounded Short Rate, and the Price.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MultiFactorQMDynamics()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

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

Constructor Detail

MultiFactorQMDynamics

public MultiFactorQMDynamics()

Method Detail

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception