org.drip.sample.hjm

Class PrincipalComponentQMDynamics

java.lang.Object

org.drip.sample.hjm.PrincipalComponentQMDynamics

public class PrincipalComponentQMDynamics
extends java.lang.Object

PrincipalComponentQMDynamics demonstrates the Construction and Usage of the Principal Component-Based 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
PrincipalComponentQMDynamics()

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

PrincipalComponentQMDynamics

public PrincipalComponentQMDynamics()

Method Detail

main

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

Throws:

java.lang.Exception