Return the forward rate at a given timeIndex and for a given liborIndex.
Parameters:
process - The discretization process generating this model. The process provides call backs for TimeDiscretization and allows calls to getProcessValue for timeIndices less or equal the given one.
The tenor time discretization of the forward rate curve.
Returns:
The tenor time discretization of the forward rate curve.
getNumberOfLibors
intgetNumberOfLibors()
Get the number of LIBORs in the LIBOR discretization.
Returns:
The number of LIBORs in the LIBOR discretization
getLiborPeriod
doublegetLiborPeriod(int timeIndex)
The period start corresponding to a given forward rate discretization index.
Parameters:
timeIndex - The index corresponding to a given time (interpretation is start of period)
Returns:
The period start corresponding to a given forward rate discretization index.
getLiborPeriodIndex
intgetLiborPeriodIndex(double time)
Same as java.util.Arrays.binarySearch(liborPeriodDiscretization,time). Will return a negative value if the time is not found, but then -index-1 corresponds to the index of the smallest time greater than the given one.
Parameters:
time - The period start.
Returns:
The index corresponding to a given time (interpretation is start of period)