Package org.drip.dynamics.lmm

Class BGMTenorNodeSequence

java.lang.Object
org.drip.dynamics.lmm.BGMTenorNodeSequence
public class BGMTenorNodeSequence
extends java.lang.Object
BGMTenorNodeSequence contains the Point Nodes of the Latent State Quantifiers and their Increments present in the specified BGMForwardTenorSnap Instance. The References are:

  • 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
    BGMTenorNodeSequence​(BGMForwardTenorSnap[] aBFTS)
    BGMTenorNodeSequence Constructor

  • Method Summary

    Modifier and Type Method Description
    double[] continuousForwardRateIncrements()
    Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
    int[] dates()
    Retrieve the Array of Tenor Dates
    double[] discountFactorIncrements()
    Retrieve the Array of Tenor Discount Factor Increments
    double[] discountFactors()
    Retrieve the Array of Tenor Discount Factors
    double[] instantaneousEffectiveForwardRates()
    Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate
    double[] instantaneousNominalForwardRates()
    Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate
    double[] liborRateIncrements()
    Retrieve the Array of Tenor LIBOR Rate Increments
    double[] liborRates()
    Retrieve the Array of Tenor LIBOR Rates
    double[] spotRateIncrements()
    Retrieve the Array of Tenor Spot Rate Increments
    java.lang.String toString()  

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • BGMTenorNodeSequence

      public BGMTenorNodeSequence​(BGMForwardTenorSnap[] aBFTS) throws java.lang.Exception
      BGMTenorNodeSequence Constructor
      Parameters:
      aBFTS - Array of the BGM Forward Tenor Snap Instances
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • dates

      public int[] dates()
      Retrieve the Array of Tenor Dates
      Returns:
      The Array of Tenor Dates

    • liborRates

      public double[] liborRates()
      Retrieve the Array of Tenor LIBOR Rates
      Returns:
      The Array of Tenor LIBOR Rates

    • liborRateIncrements

      public double[] liborRateIncrements()
      Retrieve the Array of Tenor LIBOR Rate Increments
      Returns:
      The Array of Tenor LIBOR Rate Increments

    • discountFactors

      public double[] discountFactors()
      Retrieve the Array of Tenor Discount Factors
      Returns:
      The Array of Tenor Discount Factors

    • discountFactorIncrements

      public double[] discountFactorIncrements()
      Retrieve the Array of Tenor Discount Factor Increments
      Returns:
      The Array of Tenor Discount Factor Increments

    • instantaneousEffectiveForwardRates

      public double[] instantaneousEffectiveForwardRates()
      Retrieve the Array of Tenor Instantaneous Effective Annual Forward Rate
      Returns:
      The Array of Tenor Instantaneous Effective Annual Forward Rate

    • instantaneousNominalForwardRates

      public double[] instantaneousNominalForwardRates()
      Retrieve the Array of Tenor Instantaneous Nominal Annual Forward Rate
      Returns:
      The Array of Tenor Instantaneous Nominal Annual Forward Rate

    • continuousForwardRateIncrements

      public double[] continuousForwardRateIncrements()
      Retrieve the Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments
      Returns:
      The Array of Tenor Instantaneous Continuously Compounded Forward Rate Increments

    • spotRateIncrements

      public double[] spotRateIncrements()
      Retrieve the Array of Tenor Spot Rate Increments
      Returns:
      The Array of Tenor Spot Rate Increments

    • toString

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