Package org.drip.dynamics.lmm

Class PathwiseQMRealization

java.lang.Object
org.drip.dynamics.lmm.PathwiseQMRealization
public class PathwiseQMRealization
extends java.lang.Object
PathwiseQMRealization contains the Sequence of the Simulated Target Point State QM Realizations and their corresponding Date Nodes. The formulations for the case of the Forward Rates are 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    PathwiseQMRealization​(int[] aiTargetDateNode, double[] adblPointStateQMRealization)
    PathwiseQMRealization Constructor

  • Method Summary

    Modifier and Type Method Description
    double[] realizedQM()
    Retrieve the Array of the Realized QM
    int[] targetDate()
    Retrieve the Array of the Target Date Nodes

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PathwiseQMRealization

      public PathwiseQMRealization​(int[] aiTargetDateNode, double[] adblPointStateQMRealization) throws java.lang.Exception
      PathwiseQMRealization Constructor
      Parameters:
      aiTargetDateNode - Array of Target Date Nodes
      adblPointStateQMRealization - Array of the Realized QM
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • targetDate

      public int[] targetDate()
      Retrieve the Array of the Target Date Nodes
      Returns:
      Array of the Target Date Nodes

    • realizedQM

      public double[] realizedQM()
      Retrieve the Array of the Realized QM
      Returns:
      Array of the Realized QM