public class TwoFactorLIBORVolatility
extends java.lang.Object
TwoFactorLIBORVolatility demonstrates the Construction and Usage of the 2 Factor LIBOR Forward Rate
Volatility. The References are:
1) Goldys, B., M. Musiela, and D. Sondermann (1994): Log-normality of Rates and Term Structure Models,
The University of New South Wales.
2) Musiela, M. (1994): Nominal Annual Rates and Log-normal Volatility Structure, The University of New
South Wales.
3) Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics, Mathematical
Finance 7 (2), 127-155.
- Author:
- Lakshmi Krishnamurthy