Package org.drip.dynamics.lmm

Class BGMForwardTenorSnap

java.lang.Object
org.drip.dynamics.lmm.BGMForwardTenorSnap
public class BGMForwardTenorSnap
extends java.lang.Object
BGMForwardTenorSnap contains the Absolute and the Incremental Latent State Quantifier Snapshot traced from the Evolution of the LIBOR Forward Rate as formulated in:

  • Goldys, B., M. Musiela, and D. Sondermann (1994): Log-normality of Rates and Term Structure Models The University of New South Wales
  • Musiela, M. (1994): Nominal Annual Rates and Log-normal Volatility Structure The University of New South Wales
  • Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics Mathematical Finance 7 (2) 127-155


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    BGMForwardTenorSnap​(int iDate, double dblLIBOR, double dblLIBORIncrement, double dblDiscountFactor, double dblDiscountFactorIncrement, double dblContinuouslyCompoundedForwardIncrement, double dblSpotRateIncrement, double dblInstantaneousEffectiveForwardRate, double dblInstantaneousNominalForwardRate, double dblLognormalLIBORVolatility, double dblContinuouslyCompoundedForwardVolatility)
    BGMForwardTenorSnap Constructor

  • Method Summary

    Modifier and Type Method Description
    double continuouslyCompoundedForwardIncrement()
    Retrieve the Continuously Compounded Forward Rate Increment
    double continuouslyCompoundedForwardVolatility()
    Retrieve the Continuously Compounded Forward Rate Volatility
    int date()
    Retrieve the Tenor Date
    double discountFactor()
    Retrieve the Discount Factor
    double discountFactorIncrement()
    Retrieve the Discount Factor Increment
    double instantaneousEffectiveForwardRate()
    Retrieve the Instantaneous Effective Annual Forward Rate
    double instantaneousNominalForwardRate()
    Retrieve the Instantaneous Nominal Annual Forward Rate
    double libor()
    Retrieve the LIBOR Rate
    double liborIncrement()
    Retrieve the LIBOR Rate Increment
    double lognormalLIBORVolatility()
    Retrieve the Log-normal LIBOR Volatility
    double spotRateIncrement()
    Retrieve the Spot Rate Increment
    java.lang.String toString()  

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BGMForwardTenorSnap

      public BGMForwardTenorSnap​(int iDate, double dblLIBOR, double dblLIBORIncrement, double dblDiscountFactor, double dblDiscountFactorIncrement, double dblContinuouslyCompoundedForwardIncrement, double dblSpotRateIncrement, double dblInstantaneousEffectiveForwardRate, double dblInstantaneousNominalForwardRate, double dblLognormalLIBORVolatility, double dblContinuouslyCompoundedForwardVolatility) throws java.lang.Exception
      BGMForwardTenorSnap Constructor
      Parameters:
      iDate - The Date corresponding to the Tenor
      dblLIBOR - The LIBOR Rate
      dblLIBORIncrement - The LIBOR Rate Increment
      dblDiscountFactor - The Discount Factor
      dblDiscountFactorIncrement - The Discount Factor Increment
      dblContinuouslyCompoundedForwardIncrement - Continuously Compounded Forward Rate Increment
      dblSpotRateIncrement - Spot Rate Increment
      dblInstantaneousEffectiveForwardRate - Instantaneous Effective Annual Forward Rate
      dblInstantaneousNominalForwardRate - Instantaneous Nominal Annual Forward Rate
      dblLognormalLIBORVolatility - The Log-normal LIBOR Rate Volatility
      dblContinuouslyCompoundedForwardVolatility - The Continuously Compounded Forward Rate Volatility
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • date

      public int date()
      Retrieve the Tenor Date
      Returns:
      The Tenor Date

    • libor

      public double libor()
      Retrieve the LIBOR Rate
      Returns:
      The LIBOR Rate

    • liborIncrement

      public double liborIncrement()
      Retrieve the LIBOR Rate Increment
      Returns:
      The LIBOR Rate Increment

    • discountFactor

      public double discountFactor()
      Retrieve the Discount Factor
      Returns:
      The Discount Factor

    • discountFactorIncrement

      public double discountFactorIncrement()
      Retrieve the Discount Factor Increment
      Returns:
      The Discount Factor Increment

    • continuouslyCompoundedForwardIncrement

      public double continuouslyCompoundedForwardIncrement()
      Retrieve the Continuously Compounded Forward Rate Increment
      Returns:
      The Continuously Compounded Forward Rate Increment

    • spotRateIncrement

      public double spotRateIncrement()
      Retrieve the Spot Rate Increment
      Returns:
      The Spot Rate Increment

    • instantaneousEffectiveForwardRate

      public double instantaneousEffectiveForwardRate()
      Retrieve the Instantaneous Effective Annual Forward Rate
      Returns:
      The Instantaneous Effective Annual Forward Rate

    • instantaneousNominalForwardRate

      public double instantaneousNominalForwardRate()
      Retrieve the Instantaneous Nominal Annual Forward Rate
      Returns:
      The Instantaneous Nominal Annual Forward Rate

    • lognormalLIBORVolatility

      public double lognormalLIBORVolatility()
      Retrieve the Log-normal LIBOR Volatility
      Returns:
      The Log-normal LIBOR Volatility

    • continuouslyCompoundedForwardVolatility

      public double continuouslyCompoundedForwardVolatility()
      Retrieve the Continuously Compounded Forward Rate Volatility
      Returns:
      The Continuously Compounded Forward Rate Volatility

    • toString

      public java.lang.String toString()
      Overrides:
      toString in class java.lang.Object