org.drip.sample.capfloor

Class FRAStdCapSequence

java.lang.Object

org.drip.sample.capfloor.FRAStdCapSequence

public class FRAStdCapSequence
extends java.lang.Object

FRAStdCapSequence demonstrates the Product Creation, Market Parameters Construction, and Valuation of a Sequence of Standard FRA Caps. The Marks and the Valuation References are sourced from: - Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics, Mathematical Finance 7 (2), 127-155.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FRAStdCapSequence()

Method Summary

Modifier and Type	Method and Description
static void	main(java.lang.String[] astrArgs)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FRAStdCapSequence

public FRAStdCapSequence()

Method Detail

main

public static final void main(java.lang.String[] astrArgs)
                       throws java.lang.Exception

Throws:

java.lang.Exception