LmmMarket

A four-forward LMM market: the strip L1..L4, a flat instantaneous volatility and a flat Brownian correlation. Accrual period length is fixed at TENOR.

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Record components

l1: double
l2: double
l3: double
l4: double
vol: double
corr: double

Fields

static final double TENOR

Accrual-period length of every forward in the strip, in years.

Methods

LmmMarket validated()

static LmmMarket flat3pct()