Package org.drip.dynamics.lmm

Class BGMPointUpdate

java.lang.Object

org.drip.dynamics.evolution.LSQMPointUpdate

org.drip.dynamics.lmm.BGMPointUpdate

public class BGMPointUpdate
extends LSQMPointUpdate

BGMPointUpdate contains the Instantaneous Snapshot of the Evolving Discount Point 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
double	continuousForwardRate()	Retrieve the Continuously Compounded Forward Rate
double	continuousForwardRateIncrement()	Retrieve the Continuously Compounded Forward Rate Increment
double	continuouslyCompoundedForwardVolatility()	Retrieve the Continuously Compounded Forward Rate Volatility
static BGMPointUpdate	Create(FundingLabel lslFunding, ForwardLabel lslForward, int iInitialDate, int iFinalDate, int iTargetPointDate, double dblLIBOR, double dblLIBORIncrement, double dblContinuousForwardRate, double dblContinuousForwardRateIncrement, double dblSpotRate, double dblSpotRateIncrement, double dblDiscountFactor, double dblDiscountFactorIncrement, double dblInstantaneousEffectiveForwardRate, double dblInstantaneousNominalForwardRate, double dblLognormalLIBORVolatility, double dblContinuouslyCompoundedForwardVolatility)	Construct an Instance of BGMPointUpdate
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	spotRate()	Retrieve the Spot Rate
double	spotRateIncrement()	Retrieve the Spot 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 BGMPointUpdate Create(FundingLabel lslFunding,
ForwardLabel lslForward,
int iInitialDate,
int iFinalDate,
int iTargetPointDate,
double dblLIBOR,
double dblLIBORIncrement,
double dblContinuousForwardRate,
double dblContinuousForwardRateIncrement,
double dblSpotRate,
double dblSpotRateIncrement,
double dblDiscountFactor,
double dblDiscountFactorIncrement,
double dblInstantaneousEffectiveForwardRate,
double dblInstantaneousNominalForwardRate,
double dblLognormalLIBORVolatility,
double dblContinuouslyCompoundedForwardVolatility)

Construct an Instance of BGMPointUpdate

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

dblLIBOR - The LIBOR Rate

dblLIBORIncrement - The LIBOR Rate Increment

dblContinuousForwardRate - The Continuously Compounded Forward Rate

dblContinuousForwardRateIncrement - The Continuously Compounded Forward Rate Increment

dblSpotRate - The Spot Rate

dblSpotRateIncrement - The Spot Rate Increment

dblDiscountFactor - The Discount Factor

dblDiscountFactorIncrement - The Discount Factor 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

Returns:

Instance of BGMPointUpdate

libor

public double libor()
             throws java.lang.Exception

Retrieve the LIBOR Rate

Returns:

The LIBOR Rate

Throws:

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

liborIncrement

public double liborIncrement()
                      throws java.lang.Exception

Retrieve the LIBOR Rate Increment

Returns:

The LIBOR Rate Increment

Throws:

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

continuousForwardRate

public double continuousForwardRate()
                             throws java.lang.Exception

Retrieve the Continuously Compounded Forward Rate

Returns:

The Continuously Compounded Forward Rate

Throws:

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

continuousForwardRateIncrement

public double continuousForwardRateIncrement()
                                      throws java.lang.Exception

Retrieve the Continuously Compounded Forward Rate Increment

Returns:

The Continuously Compounded Forward Rate Increment

Throws:

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

instantaneousEffectiveForwardRate

public double instantaneousEffectiveForwardRate()
                                         throws java.lang.Exception

Retrieve the Instantaneous Effective Annual Forward Rate

Returns:

The Instantaneous Effective Annual Forward Rate

Throws:

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

instantaneousNominalForwardRate

public double instantaneousNominalForwardRate()
                                       throws java.lang.Exception

Retrieve the Instantaneous Nominal Annual Forward Rate

Returns:

The Instantaneous Nominal Annual Forward Rate

Throws:

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

spotRate

public double spotRate()
                throws java.lang.Exception

Retrieve the Spot Rate

Returns:

The Spot Rate

Throws:

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

spotRateIncrement

public double spotRateIncrement()
                         throws java.lang.Exception

Retrieve the Spot Rate Increment

Returns:

The Spot Rate Increment

Throws:

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

discountFactor

public double discountFactor()
                      throws java.lang.Exception

Retrieve the Discount Factor

Returns:

The Discount Factor

Throws:

java.lang.Exception - Thrown if the Discount Factor is not available

discountFactorIncrement

public double discountFactorIncrement()
                               throws java.lang.Exception

Retrieve the Discount Factor Increment

Returns:

The Discount Factor Increment

Throws:

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

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