org.drip.sample.cross

Class CrossFloatCrossFloatAnalysis

java.lang.Object

org.drip.sample.cross.CrossFloatCrossFloatAnalysis

public class CrossFloatCrossFloatAnalysis
extends java.lang.Object

FloatFloatMTMVolAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and Funding/Forward, Funding/FX, and Forward/FX Correlation for each of the FRI's on the Valuation of a float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD. Comparison is done across MTM and non-MTM fixed Leg Counterparts.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
CrossFloatCrossFloatAnalysis()

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

CrossFloatCrossFloatAnalysis

public CrossFloatCrossFloatAnalysis()

Method Detail

main

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

Throws:

java.lang.Exception