Package org.drip.dynamics.evolution

Interface CurveStateEvolver

All Known Implementing Classes:

LognormalLIBORCurveEvolver

public interface CurveStateEvolver

CurveStateEvolver is the Interface on top of which the Curve State Evolution Dynamics is constructed.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
• Package = Latent State Evolution Edges/Vertexes

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
LSQMCurveUpdate	evolve(int iSpotDate, int iViewDate, int iSpotTimeIncrement, LSQMCurveUpdate lsqmPrev)	Evolve the Latent State and return the LSQM Curve Update
double[][]	simulatePrincipalMetric(int iEvolutionStartDate, int iEvolutionFinishDate, int iEvolutionIncrement, int iViewDate, LSQMCurveUpdate lsqmStart, int iNumSimulation)	Simulate the Principal Metric from the Start to the End Date

Method Details

evolve

LSQMCurveUpdate evolve(int iSpotDate,
int iViewDate,
int iSpotTimeIncrement,
LSQMCurveUpdate lsqmPrev)

Evolve the Latent State and return the LSQM Curve Update

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

iSpotTimeIncrement - The Spot Evolution Increment

lsqmPrev - The Previous LSQM Curve Update

Returns:

The LSQM Curve Update

simulatePrincipalMetric

double[][] simulatePrincipalMetric(int iEvolutionStartDate,
int iEvolutionFinishDate,
int iEvolutionIncrement,
int iViewDate,
LSQMCurveUpdate lsqmStart,
int iNumSimulation)

Simulate the Principal Metric from the Start to the End Date

Parameters:

iEvolutionStartDate - The Evolution Start Date

iEvolutionFinishDate - The Evolution Finish Date

iEvolutionIncrement - The Evolution Increment

iViewDate - The View Date

lsqmStart - The Starting State Metrics

iNumSimulation - Number of Simulations

Returns:

The Array of the Evolved Tenor LIBOR's