Package org.drip.sample.hjm

Class PrincipalComponentQMDynamics

java.lang.Object
org.drip.sample.hjm.PrincipalComponentQMDynamics
public class PrincipalComponentQMDynamics
extends java.lang.Object
PrincipalComponentQMDynamics demonstrates the Construction and Usage of the Principal Component Based Gaussian Model Dynamics for the Evolution of the Discount Factor Quantification Metrics - the Instantaneous Forward Rate, the LIBOR Forward Rate, the Shifted LIBOR Forward Rate, the Short Rate, the Compounded Short Rate, and the Price.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    PrincipalComponentQMDynamics()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • PrincipalComponentQMDynamics

      public PrincipalComponentQMDynamics()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation