Package org.drip.dynamics.hjm

Class ShortForwardRateUpdate

java.lang.Object

org.drip.dynamics.evolution.LSQMPointUpdate

org.drip.dynamics.hjm.ShortForwardRateUpdate

public class ShortForwardRateUpdate
extends LSQMPointUpdate

ShortForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State Quantification Metrics.

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

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
double	compoundedShortRate()	Retrieve the Compounded Short Rate
double	compoundedShortRateIncrement()	Retrieve the Compounded Short Rate Increment
static ShortForwardRateUpdate	Create(FundingLabel lslFunding, ForwardLabel lslForward, int iInitialDate, int iFinalDate, int iTargetPointDate, double dblInstantaneousForwardRate, double dblInstantaneousForwardRateIncrement, double dblLIBORForwardRate, double dblLIBORForwardRateIncrement, double dblShiftedLIBORForwardRate, double dblShiftedLIBORForwardRateIncrement, double dblShortRate, double dblShortRateIncrement, double dblCompoundedShortRate, double dblCompoundedShortRateIncrement, double dblPrice, double dblPriceIncrement)	Construct an Instance of ShortForwardRateUpdate
double	instantaneousForwardRate()	Retrieve the Instantaneous Forward Rate
double	instantaneousForwardRateIncrement()	Retrieve the Instantaneous Forward Rate Increment
double	liborForwardRate()	Retrieve the LIBOR Forward Rate
double	liborForwardRateIncrement()	Retrieve the LIBOR Forward Rate Increment
double	price()	Retrieve the Price
double	priceIncrement()	Retrieve the Price Increment
double	shiftedLIBORForwardRate()	Retrieve the Shifted LIBOR Forward Rate
double	shiftedLIBORForwardRateIncrement()	Retrieve the Shifted LIBOR Forward Rate Increment
double	shortRate()	Retrieve the Short Rate
double	shortRateIncrement()	Retrieve the Short Rate Increment

Methods inherited from class org.drip.dynamics.evolution.LSQMPointUpdate

evolutionFinishDate, evolutionStartDate, increment, snapshot, viewDate

Methods inherited from class java.lang.Object

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

Method Details

Create

public static final ShortForwardRateUpdate Create(FundingLabel lslFunding,
ForwardLabel lslForward,
int iInitialDate,
int iFinalDate,
int iTargetPointDate,
double dblInstantaneousForwardRate,
double dblInstantaneousForwardRateIncrement,
double dblLIBORForwardRate,
double dblLIBORForwardRateIncrement,
double dblShiftedLIBORForwardRate,
double dblShiftedLIBORForwardRateIncrement,
double dblShortRate,
double dblShortRateIncrement,
double dblCompoundedShortRate,
double dblCompoundedShortRateIncrement,
double dblPrice,
double dblPriceIncrement)

Construct an Instance of ShortForwardRateUpdate

Parameters:

lslFunding - The Funding Latent State Label

lslForward - The Forward Latent State Label

iInitialDate - The Initial Date

iFinalDate - The Final Date

iTargetPointDate - The Target Point Date

dblInstantaneousForwardRate - The Instantaneous Forward Rate

dblInstantaneousForwardRateIncrement - The Instantaneous Forward Rate Increment

dblLIBORForwardRate - The LIBOR Forward Rate

dblLIBORForwardRateIncrement - The LIBOR Forward Rate Increment

dblShiftedLIBORForwardRate - The Shifted LIBOR Forward Rate

dblShiftedLIBORForwardRateIncrement - The Shifted LIBOR Forward Rate Increment

dblShortRate - The Short Rate

dblShortRateIncrement - The Short Rate Increment

dblCompoundedShortRate - The Compounded Short Rate

dblCompoundedShortRateIncrement - The Compounded Short Rate Increment

dblPrice - The Price

dblPriceIncrement - The Price Increment

Returns:

Instance of ShortForwardRateUpdate

instantaneousForwardRate

public double instantaneousForwardRate()
                                throws java.lang.Exception

Retrieve the Instantaneous Forward Rate

Returns:

The Instantaneous Forward Rate

Throws:

java.lang.Exception - Thrown if the Instantaneous Forward Rate is not available

instantaneousForwardRateIncrement

public double instantaneousForwardRateIncrement()
                                         throws java.lang.Exception

Retrieve the Instantaneous Forward Rate Increment

Returns:

The Instantaneous Forward Rate Increment

Throws:

java.lang.Exception - Thrown if the Instantaneous Forward Rate Increment is not available

liborForwardRate

public double liborForwardRate()
                        throws java.lang.Exception

Retrieve the LIBOR Forward Rate

Returns:

The LIBOR Forward Rate

Throws:

java.lang.Exception - Thrown if the Forward Rate is not available

liborForwardRateIncrement

public double liborForwardRateIncrement()
                                 throws java.lang.Exception

Retrieve the LIBOR Forward Rate Increment

Returns:

The LIBOR Forward Rate Increment

Throws:

java.lang.Exception - Thrown if the Forward Rate Increment is not available

shiftedLIBORForwardRate

public double shiftedLIBORForwardRate()
                               throws java.lang.Exception

Retrieve the Shifted LIBOR Forward Rate

Returns:

The Shifted LIBOR Forward Rate

Throws:

java.lang.Exception - Thrown if the Shifted Forward Rate is not available

shiftedLIBORForwardRateIncrement

public double shiftedLIBORForwardRateIncrement()
                                        throws java.lang.Exception

Retrieve the Shifted LIBOR Forward Rate Increment

Returns:

The Shifted LIBOR Forward Rate Increment

Throws:

java.lang.Exception - Thrown if the Shifted Forward Rate Increment is not available

shortRate

public double shortRate()
                 throws java.lang.Exception

Retrieve the Short Rate

Returns:

The Short Rate

Throws:

java.lang.Exception - Thrown if the Short Rate is not available

shortRateIncrement

public double shortRateIncrement()
                          throws java.lang.Exception

Retrieve the Short Rate Increment

Returns:

The Short Rate Increment

Throws:

java.lang.Exception - Thrown if the Short Rate Increment is not available

compoundedShortRate

public double compoundedShortRate()
                           throws java.lang.Exception

Retrieve the Compounded Short Rate

Returns:

The Compounded Short Rate

Throws:

java.lang.Exception - Thrown if the Compounded Short Rate is not available

compoundedShortRateIncrement

public double compoundedShortRateIncrement()
                                    throws java.lang.Exception

Retrieve the Compounded Short Rate Increment

Returns:

The Compounded Short Rate Increment

Throws:

java.lang.Exception - Thrown if the Compounded Short Rate Increment is not available

price

public double price()
             throws java.lang.Exception

Retrieve the Price

Returns:

The Price

Throws:

java.lang.Exception - Thrown if the Price is not available

priceIncrement

public double priceIncrement()
                      throws java.lang.Exception

Retrieve the Price Increment

Returns:

The Price Increment

Throws:

java.lang.Exception - Thrown if the Price Increment is not available