LiborForwardModelProcess

Documentation of 'org.jquantlib.processes.LiborForwardModelProcess' Java class LiborForwardModelProcess

Skip navigation links

All Classes

Summary:
Nested |
Field |
Constr |
Method

Detail:
Field |
Constr |
Method

java.lang.Object
- org.jquantlib.processes.StochasticProcess
- - org.jquantlib.processes.LiborForwardModelProcess

All Implemented Interfaces:

Observable, Observer
```
public class LiborForwardModelProcess
extends StochasticProcess
```
Libor-forward-model process
Stochastic process of a libor forward model using the rolling forward measure including predictor-corrector step
References:
Glasserman, Paul, 2004, Monte Carlo Methods in Financial Engineering, Springer, Section 3.7
Antoon Pelsser, 2000, Efficient Methods for Valuing Interest Rate Derivatives, Springer, 8
Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the Implementation of the Libor Market Model

See Also:: FORWARD RATE VOLATILITIES, SWAP RATE VOLATILITIES, AND THE IMPLEMENTATION OF THE LIBOR MARKET MODEL

Nested Class Summary
- Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess
  StochasticProcess.Discretization

Constructor Summary

Constructors
Constructor and Description

LiborForwardModelProcess(int size, IborIndex index)

Constructors
Constructor and Description
`LiborForwardModelProcess(int size, IborIndex index)`

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`Array`	`apply(Array x0, Array dx)` Applies a change to the asset value.
`Matrix`	`covariance(double t, Array x, double dt)` Returns the covariance of the process after a time interval according to the given discretization.
`LfmCovarianceParameterization`	`covarParam()`
`Matrix`	`diffusion(double t, Array x)` Returns the diffusion part of the equation, i.e.
`Array`	`drift(double t, Array x)` Returns the drift part of the equation, i.e.,
`Array`	`evolve(double t0, Array x0, double dt, Array dw)` Returns the asset value after a time interval according to the given discretization.
`IborIndex`	`index()`
`Array`	`initialValues()` Returns the initial values of the state variables
`void`	`setCovarParam(LfmCovarianceParameterization param)`
`int`	`size()` Returns the number of dimensions of the stochastic process

Methods inherited from class org.jquantlib.processes.StochasticProcess
addObserver, countObservers, deleteObserver, deleteObservers, expectation, factors, getObservers, notifyObservers, notifyObservers, stdDeviation, time, update

Methods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- Constructor Detail
  - LiborForwardModelProcess
```
public LiborForwardModelProcess(int size,
                                IborIndex index)
```
- Method Detail
  - setCovarParam
```
public void setCovarParam(LfmCovarianceParameterization param)
```
  - covarParam
```
public LfmCovarianceParameterization covarParam()
```
  - index
```
public IborIndex index()
```
  - initialValues
```
public Array initialValues()
```
    Description copied from class: StochasticProcess
    
    Returns the initial values of the state variables
    
    Specified by:
    
    initialValues in class StochasticProcess
  - size
```
public int size()
```
    Description copied from class: StochasticProcess
    
    Returns the number of dimensions of the stochastic process
    
    Specified by:
    
    size in class StochasticProcess
  - drift
```
public Array drift(double t,
                   Array x)
```
    Description copied from class: StochasticProcess
    
    Returns the drift part of the equation, i.e.,
    
    Specified by:
    
    drift in class StochasticProcess
  - diffusion
```
public Matrix diffusion(double t,
                        Array x)
```
    Description copied from class: StochasticProcess
    
    Returns the diffusion part of the equation, i.e.
    
    Specified by:
    
    diffusion in class StochasticProcess
  - covariance
```
public Matrix covariance(double t,
                         Array x,
                         double dt)
```
    Description copied from class: StochasticProcess
    
    Returns the covariance of the process after a time interval according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.
    
    Overrides:
    
    covariance in class StochasticProcess
  - apply
```
public Array apply(Array x0,
                   Array dx)
```
    Description copied from class: StochasticProcess
    
    Applies a change to the asset value.
    
    Overrides:
    
    apply in class StochasticProcess
  - evolve
```
public Array evolve(double t0,
                    Array x0,
                    double dt,
                    Array dw)
```
    Description copied from class: StochasticProcess
    
    Returns the asset value after a time interval according to the given discretization. By default, it returns where is the expectation and the standard deviation.
    
    Overrides:
    
    evolve in class StochasticProcess

Class LiborForwardModelProcess

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.processes.StochasticProcess

Constructor Summary

Method Summary

Methods inherited from class org.jquantlib.processes.StochasticProcess

Methods inherited from class java.lang.Object

Constructor Detail

LiborForwardModelProcess

Method Detail

setCovarParam

covarParam

index

initialValues

size

drift

diffusion

covariance

apply

evolve