Package org.drip.dynamics.lmm

Class LognormalLIBORPointEvolver

java.lang.Object

org.drip.dynamics.lmm.LognormalLIBORPointEvolver

All Implemented Interfaces:

PointStateEvolver

public class LognormalLIBORPointEvolver
extends java.lang.Object
implements PointStateEvolver

LognormalLIBORPointEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Point Rates State Quantifiers 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

• 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

Constructor Summary

Constructors

Constructor	Description
LognormalLIBORPointEvolver(FundingLabel lslFunding, ForwardLabel lslForward, LognormalLIBORVolatility llv, ForwardCurve fc, MergedDiscountForwardCurve dc)	LognormalLIBORPointEvolver Constructor

Method Summary

Modifier and Type	Method	Description
MergedDiscountForwardCurve	discountCurve()	Retrieve the Discount Curve Instance
BGMPointUpdate	evolve(int iSpotDate, int iViewDate, int iSpotTimeIncrement, LSQMPointUpdate lsqmPrev)	Evolve the Latent State and return the LSQM Point Update
ForwardCurve	forwardCurve()	Retrieve the Forward Curve Instance
ForwardLabel	forwardLabel()	Retrieve the Forward Label
FundingLabel	fundingLabel()	Retrieve the Funding Label
LognormalLIBORVolatility	llv()	Retrieve the Log-normal LIBOR Volatility Instance

Methods inherited from class java.lang.Object

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

Constructor Details

LognormalLIBORPointEvolver

public LognormalLIBORPointEvolver(FundingLabel lslFunding,
ForwardLabel lslForward,
LognormalLIBORVolatility llv,
ForwardCurve fc,
MergedDiscountForwardCurve dc)
                           throws java.lang.Exception

LognormalLIBORPointEvolver Constructor

Parameters:

lslFunding - The Funding Latent State Label

lslForward - The Forward Latent State Label

llv - The Log-normal LIBOR Volatility Instance

fc - The Forward Curve Instance

dc - The Discount Curve Instance

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

fundingLabel

public FundingLabel fundingLabel()

Retrieve the Funding Label

Returns:

The Funding Label

forwardLabel

public ForwardLabel forwardLabel()

Retrieve the Forward Label

Returns:

The Forward Label

llv

public LognormalLIBORVolatility llv()

Retrieve the Log-normal LIBOR Volatility Instance

Returns:

The Log-normal LIBOR Volatility Instance

forwardCurve

public ForwardCurve forwardCurve()

Retrieve the Forward Curve Instance

Returns:

The Forward Curve Instance

discountCurve

public MergedDiscountForwardCurve discountCurve()

Retrieve the Discount Curve Instance

Returns:

The Discount Curve Instance

evolve

public BGMPointUpdate evolve(int iSpotDate,
int iViewDate,
int iSpotTimeIncrement,
LSQMPointUpdate lsqmPrev)

Description copied from interface: PointStateEvolver

Evolve the Latent State and return the LSQM Point Update

Specified by:

evolve in interface PointStateEvolver

Parameters:

iSpotDate - The Spot Date

iViewDate - The View Date

iSpotTimeIncrement - The Spot Time Increment

lsqmPrev - The Previous LSQM Point Update

Returns:

The LSQM Point Update