Uses of Package
org.drip.dynamics.lmm

Packages that use org.drip.dynamics.lmm
Package Description
org.drip.dynamics.lmm
LMM Based Latent State Evolution
  • Classes in org.drip.dynamics.lmm used by org.drip.dynamics.lmm
    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.
    ContinuousForwardRateUpdate
    ContinuousForwardRateUpdate contains the Instantaneous Snapshot of the Evolving Discount Latent State Quantification Metrics Updated using the Continuously Compounded Forward Rate Dynamics.
    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.
    LognormalLIBORVolatility
    LognormalLIBORVolatility implements the Multi-Factor Log-normal LIBOR Volatility as formulated in:

    Goldys, B., M.