Package org.drip.dynamics.sabr

Class ForwardRateUpdate

java.lang.Object

org.drip.dynamics.evolution.LSQMPointUpdate

org.drip.dynamics.sabr.ForwardRateUpdate

public class ForwardRateUpdate
extends LSQMPointUpdate

ForwardRateUpdate contains the Increment and Snapshot of the Forward Rate Latent State evolved through the SABR Dynamics.

• Module = Product Core Module
• Library = Fixed Income Analytics
• Project = HJM, Hull White, LMM, and SABR Dynamic Evolution Models
• Package = SABR Based Latent State Evolution

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method	Description
static ForwardRateUpdate	Create(ForwardLabel lslForward, int iInitialDate, int iFinalDate, int iTargetPointDate, double dblForwardRate, double dblForwardRateIncrement, double dblForwardRateVolatility, double dblForwardRateVolatilityIncrement)	ForwardRateUpdate Creator
double	forwardRate()	Retrieve the Forward Rate
double	forwardRateIncrement()	Retrieve the Forward Rate Increment
double	forwardRateVolatility()	Retrieve the Forward Rate Volatility
double	forwardRateVolatilityIncrement()	Retrieve the Forward Rate Volatility Increment

Methods inherited from class org.drip.dynamics.evolution.LSQMPointUpdate

evolutionFinishDate, evolutionStartDate, increment, snapshot, viewDate

Methods inherited from class java.lang.Object

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

Method Details

Create

public static final ForwardRateUpdate Create(ForwardLabel lslForward,
int iInitialDate,
int iFinalDate,
int iTargetPointDate,
double dblForwardRate,
double dblForwardRateIncrement,
double dblForwardRateVolatility,
double dblForwardRateVolatilityIncrement)

ForwardRateUpdate Creator

Parameters:

lslForward - The Forward Rate Latent State Label

iInitialDate - The Initial Date

iFinalDate - The Final Date

iTargetPointDate - The Target Point Date

dblForwardRate - The Forward Rate

dblForwardRateIncrement - The Forward Rate Increment

dblForwardRateVolatility - The Forward Volatility

dblForwardRateVolatilityIncrement - The Forward Volatility Rate

Returns:

Instance of ForwardRateUpdate

forwardRate

public double forwardRate()
                   throws java.lang.Exception

Retrieve the Forward Rate

Returns:

The Forward Rate

Throws:

java.lang.Exception - Thrown if the Forward Rate is not available

forwardRateIncrement

public double forwardRateIncrement()
                            throws java.lang.Exception

Retrieve the Forward Rate Increment

Returns:

The Forward Rate Increment

Throws:

java.lang.Exception - Thrown if the Forward Rate Increment is not available

forwardRateVolatility

public double forwardRateVolatility()
                             throws java.lang.Exception

Retrieve the Forward Rate Volatility

Returns:

The Forward Rate Volatility

Throws:

java.lang.Exception - Thrown if the Forward Rate Volatility is not available

forwardRateVolatilityIncrement

public double forwardRateVolatilityIncrement()
                                      throws java.lang.Exception

Retrieve the Forward Rate Volatility Increment

Returns:

The Forward Rate Volatility Increment

Throws:

java.lang.Exception - Thrown if the Forward Rate Volatility Increment is not available