Package org.drip.dynamics.lmm

Class BGMCurveUpdate

java.lang.Object

org.drip.dynamics.evolution.LSQMCurveUpdate

org.drip.dynamics.lmm.BGMCurveUpdate

public class BGMCurveUpdate
extends LSQMCurveUpdate

BGMCurveUpdate contains the Instantaneous Snapshot of the Evolving Discount Curve Latent State Quantification Metrics Updated using the BGM LIBOR Update Dynamics.

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

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
Span	continuousForwardRateIncrement()	Retrieve the Instantaneous Continuously Compounded Forward Curve Increment Span
static BGMCurveUpdate	Create(FundingLabel lslFunding, ForwardLabel lslForward, int iInitialDate, int iFinalDate, ForwardCurve fc, Span spanLIBORIncrement, MergedDiscountForwardCurve dc, Span spanDiscountFactorIncrement, Span spanContinuousForwardRateIncrement, Span spanSpotRateIncrement, Span spanInstantaneousEffectiveForward, Span spanInstantaneousNominalForward, LognormalLIBORVolatility llv)	Construct an Instance of BGMCurveUpdate
MergedDiscountForwardCurve	discountCurve()	Retrieve the Discount Factor Curve
Span	discountCurveIncrement()	Retrieve the Discount Factor Discount Curve Increment
ForwardCurve	forwardCurve()	Retrieve the LIBOR Forward Curve
Span	forwardCurveIncrement()	Retrieve the LIBOR Forward Curve Increment Span
Span	instantaneousEffectiveForwardRate()	Retrieve the Instantaneous Effective Annual Forward Rate Span
Span	instantaneousNominalForwardRate()	Retrieve the Instantaneous Nominal Annual Forward Rate Span
LognormalLIBORVolatility	lognormalLIBORVolatility()	Retrieve the Log-normal LIBOR Volatility Instance
Span	spotRateIncrement()	Retrieve the Spot Rate Discount Curve Increment

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

finalDate, increment, initialDate, snapshot

Methods inherited from class java.lang.Object

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

Method Details

Create

public static final BGMCurveUpdate Create(FundingLabel lslFunding,
ForwardLabel lslForward,
int iInitialDate,
int iFinalDate,
ForwardCurve fc,
Span spanLIBORIncrement,
MergedDiscountForwardCurve dc,
Span spanDiscountFactorIncrement,
Span spanContinuousForwardRateIncrement,
Span spanSpotRateIncrement,
Span spanInstantaneousEffectiveForward,
Span spanInstantaneousNominalForward,
LognormalLIBORVolatility llv)

Construct an Instance of BGMCurveUpdate

Parameters:

lslFunding - The Funding Latent State Label

lslForward - The Forward Latent State Label

iInitialDate - The Initial Date

iFinalDate - The Final Date

fc - The LIBOR Forward Curve Snapshot

spanLIBORIncrement - The LIBOR Forward Curve Span Increment

dc - The Discount Factor Discount Curve

spanDiscountFactorIncrement - The Discount Factor Discount Curve Span Increment

spanContinuousForwardRateIncrement - The Continuous Forward Rate Discount Curve Span Increment

spanSpotRateIncrement - The Spot Rate Discount Curve Span Increment

spanInstantaneousEffectiveForward - The Instantaneous Effective Forward Rate Span

spanInstantaneousNominalForward - The Instantaneous Nominal Forward Rate Span

llv - The Log-normal LIBOR Rate Volatility

Returns:

Instance of BGMCurveUpdate

forwardCurve

public ForwardCurve forwardCurve()

Retrieve the LIBOR Forward Curve

Returns:

The LIBOR Forward Curve

forwardCurveIncrement

public Span forwardCurveIncrement()

Retrieve the LIBOR Forward Curve Increment Span

Returns:

The LIBOR Forward Curve Increment Span

continuousForwardRateIncrement

public Span continuousForwardRateIncrement()

Retrieve the Instantaneous Continuously Compounded Forward Curve Increment Span

Returns:

The Instantaneous Continuously Compounded Forward Curve Increment Span

instantaneousEffectiveForwardRate

public Span instantaneousEffectiveForwardRate()

Retrieve the Instantaneous Effective Annual Forward Rate Span

Returns:

The Instantaneous Effective Annual Forward Rate Span

instantaneousNominalForwardRate

public Span instantaneousNominalForwardRate()

Retrieve the Instantaneous Nominal Annual Forward Rate Span

Returns:

The Instantaneous Nominal Annual Forward Rate Span

discountCurve

public MergedDiscountForwardCurve discountCurve()

Retrieve the Discount Factor Curve

Returns:

The Discount Factor Curve

discountCurveIncrement

public Span discountCurveIncrement()

Retrieve the Discount Factor Discount Curve Increment

Returns:

The Discount Factor Discount Curve Increment

spotRateIncrement

public Span spotRateIncrement()

Retrieve the Spot Rate Discount Curve Increment

Returns:

The Spot Rate Discount Curve Increment

lognormalLIBORVolatility

public LognormalLIBORVolatility lognormalLIBORVolatility()

Retrieve the Log-normal LIBOR Volatility Instance

Returns:

The Log-normal LIBOR Volatility Instance