Package org.drip.sample.lmm

Class ContinuousForwardRateVolatility

java.lang.Object
org.drip.sample.lmm.ContinuousForwardRateVolatility
public class ContinuousForwardRateVolatility
extends java.lang.Object
ContinuousForwardRateVolatility demonstrates the Implying of the Volatility of the Continuously Compounded Forward Rate from the Corresponding LIBOR Forward Rate Volatility. 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.




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    ContinuousForwardRateVolatility()  

  • 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

    • ContinuousForwardRateVolatility

      public ContinuousForwardRateVolatility()

  • Method Details

    • main

      public static 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