Package org.drip.dynamics.lmm

Class ContinuouslyCompoundedForwardProcess

java.lang.Object
org.drip.dynamics.lmm.ContinuouslyCompoundedForwardProcess
public class ContinuouslyCompoundedForwardProcess
extends java.lang.Object
ContinuouslyCompoundedForwardProcess implements the Continuously Compounded Forward Rate Process defined in the LIBOR Market Model. 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
    ContinuouslyCompoundedForwardProcess​(int iSpotDate, R1R1ToR1 funcR1R1ToR1)
    ContinuouslyCompoundedForwardProcess Constructor

  • Method Summary

    Modifier and Type Method Description
    double discountFunctionValue​(int iTargetDate, boolean bRealized)
    Retrieve a Realized/Expected Value of the Discount to the Target Date
    double instantaneousForwardRateIntegral​(int iTargetDate, boolean bRealized)
    Compute the Realized/Expected Instantaneous Forward Rate Integral to the Target Date
    double liborRate​(int iTargetDate, java.lang.String strTenor, boolean bRealized)
    Retrieve a Realized/Expected Value of the LIBOR Rate at the Target Date
    double realizedZeroCouponPrice​(int iMaturityDate)
    Retrieve a Realized Zero-Coupon Bond Price
    int spotDate()
    Retrieve the Spot Date
    R1R1ToR1 stochasticForwardRateFunction()
    Retrieve the Stochastic Forward Rate Function

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • ContinuouslyCompoundedForwardProcess

      public ContinuouslyCompoundedForwardProcess​(int iSpotDate, R1R1ToR1 funcR1R1ToR1) throws java.lang.Exception
      ContinuouslyCompoundedForwardProcess Constructor
      Parameters:
      iSpotDate - The Spot Date
      funcR1R1ToR1 - The Stochastic Forward Rate Function
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • spotDate

      public int spotDate()
      Retrieve the Spot Date
      Returns:
      The Spot Date

    • stochasticForwardRateFunction

      public R1R1ToR1 stochasticForwardRateFunction()
      Retrieve the Stochastic Forward Rate Function
      Returns:
      The Stochastic Forward Rate Function

    • realizedZeroCouponPrice

      public double realizedZeroCouponPrice​(int iMaturityDate) throws java.lang.Exception
      Retrieve a Realized Zero-Coupon Bond Price
      Parameters:
      iMaturityDate - The Maturity Date
      Returns:
      The Realized Zero-Coupon Bond Price
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • instantaneousForwardRateIntegral

      public double instantaneousForwardRateIntegral​(int iTargetDate, boolean bRealized) throws java.lang.Exception
      Compute the Realized/Expected Instantaneous Forward Rate Integral to the Target Date
      Parameters:
      iTargetDate - The Target Date
      bRealized - TRUE - Compute the Realized (TRUE) / Expected (FALSE) Instantaneous Forward Rate Integral
      Returns:
      The Realized/Expected Instantaneous Forward Rate Integral
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • discountFunctionValue

      public double discountFunctionValue​(int iTargetDate, boolean bRealized) throws java.lang.Exception
      Retrieve a Realized/Expected Value of the Discount to the Target Date
      Parameters:
      iTargetDate - The Target Date
      bRealized - TRUE - Compute the Realized (TRUE) / Expected (FALSE) Instantaneous Forward Rate Integral
      Returns:
      The Realized/Expected Value of the Discount to the Target Date
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • liborRate

      public double liborRate​(int iTargetDate, java.lang.String strTenor, boolean bRealized) throws java.lang.Exception
      Retrieve a Realized/Expected Value of the LIBOR Rate at the Target Date
      Parameters:
      iTargetDate - The Target Date
      strTenor - The LIBOR Tenor
      bRealized - TRUE - Compute the Realized (TRUE) / Expected (FALSE) LIBOR Rate
      Returns:
      The Realized/Expected Value of the LIBOR Rate at the Target Date
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid