Package org.drip.sample.lmm

Class MultiFactorCurveDynamics

java.lang.Object
org.drip.sample.lmm.MultiFactorCurveDynamics
public class MultiFactorCurveDynamics
extends java.lang.Object
MultiFactorCurveDynamics demonstrates the Construction and Usage of the Curve LIBOR State Evolver, and the eventual Evolution of the related Discount/Forward Latent State Quantification Metrics. 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
    MultiFactorCurveDynamics()  

  • 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

    • MultiFactorCurveDynamics

      public MultiFactorCurveDynamics()

  • 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