ShortRateProcess

java.lang.Object

org.drip.dynamics.lmm.ShortRateProcess

public class ShortRateProcess
extends java.lang.Object

ShortRateProcess implements the Short 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

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

ShortRateProcess(int iSpotDate, R1R1ToR1 funcR1R1ToR1)
ShortRateProcess Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`continuouslyReinvestedAccrualFactor(int iMaturityDate)`	Retrieve the Continuously Re-invested Accruing Bank Account
`int`	`spotDate()`	Retrieve the Spot Date
`R1R1ToR1`	`stochasticShortRateFunction()`	Retrieve the Stochastic Short Rate Function

Methods inherited from class java.lang.Object

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

Constructor Details
- ShortRateProcess
  
  public ShortRateProcess(int iSpotDate, R1R1ToR1 funcR1R1ToR1) throws java.lang.Exception
  
  ShortRateProcess Constructor
  
  Parameters:
  
  iSpotDate - The Spot Date
  
  funcR1R1ToR1 - The Stochastic Short 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
- stochasticShortRateFunction
  
  public R1R1ToR1 stochasticShortRateFunction()
  
  Retrieve the Stochastic Short Rate Function
  
  Returns:
  
  The Stochastic Short Rate Function
- continuouslyReinvestedAccrualFactor
  
  public double continuouslyReinvestedAccrualFactor(int iMaturityDate) throws java.lang.Exception
  
  Retrieve the Continuously Re-invested Accruing Bank Account
  
  Parameters:
  
  iMaturityDate - The Maturity Date
  
  Returns:
  
  The Continuously Re-invested Accruing Bank Account
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid