Package org.drip.sample.lmm

Class PointCoreMetricsDynamics

java.lang.Object
org.drip.sample.lmm.PointCoreMetricsDynamics
public class PointCoreMetricsDynamics
extends java.lang.Object
PointCoreMetricsDynamics demonstrates the Construction and Usage of the Point LIBOR State Evolver, and the eventual Evolution of the related Core bDiscount/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
    PointCoreMetricsDynamics()  

  • 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

    • PointCoreMetricsDynamics

      public PointCoreMetricsDynamics()

  • 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