Libor.LiborProcess
Class LMM_Parameters

java.lang.Object
  extended byLibor.LiborProcess.LMM_Parameters

public class LMM_Parameters
extends java.lang.Object

Class which combines an initial term structure l[j]=L_j(0) with a FactorLoading object and hence provides everything to set up a Libor process.

Used to control the Libor process set up. Different constructors might return sample set ups, intiate user interaction to get parameter input or choose between different volatility and correlation structures.


Field Summary
static int CS
          Flag identifying the type of Libor model setup (Coffey-Shoenmakers correlation, uses CS_FactorLoading).
static int EP
          Flag identifying the type of Libor model setup (exponential power correlation, uses EP_FactorLoading).
static int JR
          Flag identifying the type of Libor model setup (Jaeckel-Rebonato correlation, uses JR_FactorLoading).
 
Constructor Summary
LMM_Parameters(double[] l, FactorLoading fl)
          Constructs an LMM parameter object from an initial term structure l[i]=L_i(0) and FactorLoading fl.
LMM_Parameters(int n, int modelType)
          Constructs an LMM parameter sample drawn from the specified model type.
 
Method Summary
 FactorLoading factorLoading()
          The volatility and correlation structure.
 double[] initialTermStructure()
          The array l[j]=L_j(0), j
 java.lang.String toString()
          A message containing all the parameters, initial Libors.
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
 

Field Detail

CS

public static final int CS
Flag identifying the type of Libor model setup (Coffey-Shoenmakers correlation, uses CS_FactorLoading).

See Also:
Constant Field Values

EP

public static final int EP
Flag identifying the type of Libor model setup (exponential power correlation, uses EP_FactorLoading).

See Also:
Constant Field Values

JR

public static final int JR
Flag identifying the type of Libor model setup (Jaeckel-Rebonato correlation, uses JR_FactorLoading).

See Also:
Constant Field Values
Constructor Detail

LMM_Parameters

public LMM_Parameters(int n,
                      int modelType)

Constructs an LMM parameter sample drawn from the specified model type. Used to quickly instantiate a Libor process for experimentation. Initial term structure is L_j(0)=0.04, j=0,...,n-1. If the modelType parameter is not recognized a CS_FactorLoading is used as a default.

Parameters:
n - dimension of Libor process.
modelType - flag identifying the type of factor loading, choose from CS, EP.

LMM_Parameters

public LMM_Parameters(double[] l,
                      FactorLoading fl)

Constructs an LMM parameter object from an initial term structure l[i]=L_i(0) and FactorLoading fl.

Parameters:
l - initial term structure l[i]=L_i(0).
fl - the FactorLoading.
Method Detail

initialTermStructure

public double[] initialTermStructure()
The array l[j]=L_j(0), j


factorLoading

public FactorLoading factorLoading()
The volatility and correlation structure.


toString

public java.lang.String toString()
A message containing all the parameters, initial Libors.