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Class interestRate.AbstractTermStructure 

java.lang.Object
   |
   +----interestRate.AbstractTermStructure
public abstract class AbstractTermStructure
extends Object

Constructor Index

o AbstractTermStructure(int, double[], double[])
Constructor takes following arguments.

Method Index

o F(int, int, double, double)
The form of the short rate at the node (time,up_ticks)
o GenPdag()
Generate the entire pdag upto time horizon T.
o print()
print the entire dag.
o slowSolve()
Solve for the entire interest rate tree.
o slowYield(int, int, int)
yield of the bond of a given maturity at the node (t,up_ticks).

Constructors

o AbstractTermStructure 
 public AbstractTermStructure(int T,
                              double yield[],
                              double volatilities[])
Constructor takes following arguments.

Parameters:
s - T Time Horizon
s - yield Array of Bond yields
s - volatilites Array of Volatilities

Methods

o F 
 public abstract double F(int time,
                          int up_ticks,
                          double r,
                          double k)
The form of the short rate at the node (time,up_ticks)

o GenPdag 
 public void GenPdag()
Generate the entire pdag upto time horizon T.

o print 
 public void print()
print the entire dag.

o slowYield 
 public double slowYield(int t,
                         int up_ticks,
                         int maturity)
yield of the bond of a given maturity at the node (t,up_ticks).

o slowSolve 
 public void slowSolve()
Solve for the entire interest rate tree. 

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