Package org.drip.dynamics.lmm

LMM Based Latent State Evolution
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    BGMCurveUpdate
    BGMCurveUpdate contains the Instantaneous Snapshot of the Evolving Discount Curve Latent State Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
    BGMForwardTenorSnap
    BGMForwardTenorSnap contains the Absolute and the Incremental Latent State Quantifier Snapshot traced from the Evolution of the LIBOR Forward Rate as formulated in:

    Goldys, B., M.
    BGMPointUpdate
    BGMPointUpdate contains the Instantaneous Snapshot of the Evolving Discount Point Latent State Quantification Metrics Updated using the BGM LIBOR Update Dynamics.
    BGMTenorNodeSequence
    BGMTenorNodeSequence contains the Point Nodes of the Latent State Quantifiers and their Increments present in the specified BGMForwardTenorSnap Instance.
    ContinuousForwardRateEvolver
    ContinuousForwardRateEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the Rates State Quantifiers traced from the Evolution of the Continuously Compounded Forward Rate as formulated in:

    Goldys, B., M.
    ContinuousForwardRateUpdate
    ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.
    ContinuouslyCompoundedForwardProcess
    ContinuouslyCompoundedForwardProcess implements the Continuously Compounded Forward Rate Process defined in the LIBOR Market Model.
    LognormalLIBORCurveEvolver
    LognormalLIBORCurveEvolver sets up and implements the Multi-Factor No-arbitrage Dynamics of the full Curve Rates State Quantifiers traced from the Evolution of the LIBOR Forward Rate as formulated in:

    Goldys, B., M.
    LognormalLIBORPointEvolver
    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.
    LognormalLIBORVolatility
    LognormalLIBORVolatility implements the Multi-Factor Log-normal LIBOR Volatility as formulated in:

    Goldys, B., M.
    PathwiseQMRealization
    PathwiseQMRealization contains the Sequence of the Simulated Target Point State QM Realizations and their corresponding Date Nodes.
    ShortRateProcess
    ShortRateProcess implements the Short Rate Process defined in the LIBOR Market Model.