Package org.drip.dynamics.lmm

Class ContinuousForwardRateUpdate

java.lang.Object

org.drip.dynamics.evolution.LSQMPointUpdate

org.drip.dynamics.lmm.ContinuousForwardRateUpdate

public class ContinuousForwardRateUpdate
extends LSQMPointUpdate

ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.

• 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

• 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
static ContinuousForwardRateUpdate	Create(FundingLabel lslFunding, ForwardLabel lslForward, int iInitialDate, int iFinalDate, int iTargetPointDate, double dblContinuousForwardRate, double dblContinuousForwardRateIncrement, double dblSpotRate, double dblSpotRateIncrement, double dblDiscountFactor, double dblDiscountFactorIncrement, double dblDContinuousForwardDXInitial, double dblDContinuousForwardDXTerminal)	Construct an Instance of ContinuousForwardRateUpdate
double	dContinuousForwardDXInitial()	Retrieve the Initial D {Continuously Compounded Forward Rate} / DX
double	dContinuousForwardDXTerminal()	Retrieve the Terminal D {Continuously Compounded Forward Rate} / DX
double	discountFactor()	Retrieve the Discount Factor
double	discountFactorIncrement()	Retrieve the Discount Factor Increment
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 ContinuousForwardRateUpdate Create(FundingLabel lslFunding,
ForwardLabel lslForward,
int iInitialDate,
int iFinalDate,
int iTargetPointDate,
double dblContinuousForwardRate,
double dblContinuousForwardRateIncrement,
double dblSpotRate,
double dblSpotRateIncrement,
double dblDiscountFactor,
double dblDiscountFactorIncrement,
double dblDContinuousForwardDXInitial,
double dblDContinuousForwardDXTerminal)

Construct an Instance of ContinuousForwardRateUpdate

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

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

dblDContinuousForwardDXInitial - Initial D {Continuously Compounded Forward Rate} / DX

dblDContinuousForwardDXTerminal - Terminal D {Continuously Compounded Forward Rate} / DX

Returns:

Instance of ContinuousForwardRateUpdate

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

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

dContinuousForwardDXInitial

public double dContinuousForwardDXInitial()

Retrieve the Initial D {Continuously Compounded Forward Rate} / DX

Returns:

The Initial D {Continuously Compounded Forward Rate} / DX

dContinuousForwardDXTerminal

public double dContinuousForwardDXTerminal()

Retrieve the Terminal D {Continuously Compounded Forward Rate} / DX

Returns:

The Terminal D {Continuously Compounded Forward Rate} / DX