| Class | Description |
|---|---|
| CDSEuropeanOption |
CDSEuropeanOption implements the Payer/Receiver European Option on a CDS.
|
| EuropeanCallPut |
EuropeanCallPut implements a simple European Call/Put Option, and its Black Scholes Price.
|
| FixFloatEuropeanOption |
FixFloatEuropeanOption implements the Payer/Receiver European Option on the Fix-Float Swap.
|
| OptionComponent |
OptionComponent extends ComponentMarketParamRef and provides the following methods:
- Get the component's initial notional, notional, and coupon.
|