Package org.drip.dynamics.hullwhite

Class ShortRateUpdate

java.lang.Object

org.drip.dynamics.evolution.LSQMPointUpdate

org.drip.dynamics.hullwhite.ShortRateUpdate

public class ShortRateUpdate
extends LSQMPointUpdate

ShortRateUpdate records the Metrics associated with the Evolution of the Instantaneous Short Rate from a Starting to the Terminal Date.

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

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
static ShortRateUpdate	Create(FundingLabel lslFunding, int iInitialDate, int iFinalDate, int iTargetPointDate, double dblInitialShortRate, double dblRealizedFinalShortRate, double dblExpectedFinalShortRate, double dblFinalShortRateVariance, double dblZeroCouponBondPrice)	Construct an Instance of ShortRateUpdate
double	expectedFinalShortRate()	Retrieve the Expected Final Short Rate
double	finalShortRateVariance()	Retrieve the Final Short Rate Variance
double	initialShortRate()	Retrieve the Initial Short Rate
double	realizedFinalShortRate()	Retrieve the Realized Final Short Rate
double	shortRateIncrement()	Retrieve the Short Rate Increment
double	zeroCouponBondPrice(double dblFinalInitialZeroRatio)	Compute the Zero Coupon Bond Price

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 ShortRateUpdate Create(FundingLabel lslFunding,
int iInitialDate,
int iFinalDate,
int iTargetPointDate,
double dblInitialShortRate,
double dblRealizedFinalShortRate,
double dblExpectedFinalShortRate,
double dblFinalShortRateVariance,
double dblZeroCouponBondPrice)
                                    throws java.lang.Exception

Construct an Instance of ShortRateUpdate

Parameters:

lslFunding - The Funding Latent State Label

iInitialDate - The Initial Date

iFinalDate - The Final Date

iTargetPointDate - The Target Point Date

dblInitialShortRate - The Initial Short Rate

dblRealizedFinalShortRate - The Realized Final Short Rate

dblExpectedFinalShortRate - The Expected Final Short Rate

dblFinalShortRateVariance - The Final Variance of the Short Rate

dblZeroCouponBondPrice - The Zero Coupon Bond Price

Returns:

The ShortRateUpdate Instance

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

initialShortRate

public double initialShortRate()
                        throws java.lang.Exception

Retrieve the Initial Short Rate

Returns:

The Initial Short Rate

Throws:

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

realizedFinalShortRate

public double realizedFinalShortRate()
                              throws java.lang.Exception

Retrieve the Realized Final Short Rate

Returns:

The Realized Final Short Rate

Throws:

java.lang.Exception - Thrown if the Realized Final 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

expectedFinalShortRate

public double expectedFinalShortRate()

Retrieve the Expected Final Short Rate

Returns:

The Expected Final Short Rate

finalShortRateVariance

public double finalShortRateVariance()

Retrieve the Final Short Rate Variance

Returns:

The Final Short Rate Variance

zeroCouponBondPrice

public double zeroCouponBondPrice(double dblFinalInitialZeroRatio)
                           throws java.lang.Exception

Compute the Zero Coupon Bond Price

Parameters:

dblFinalInitialZeroRatio - The Final-to-Initial Zero-Coupon Bond Price Ratio

Returns:

The Zero Coupon Bond Price

Throws:

java.lang.Exception - Thrown if the Zero Coupon Bond Price cannot be computed