org.drip.sample.cross

Class FixFloatFixFloatAnalysis

java.lang.Object

org.drip.sample.cross.FixFloatFixFloatAnalysis

public class FixFloatFixFloatAnalysis
extends java.lang.Object

FixFloatFixFloat demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation across the 2 currencies (USD and EUR) on the Valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FixFloatFixFloatAnalysis()

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

FixFloatFixFloatAnalysis

public FixFloatFixFloatAnalysis()

Method Detail

main

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

Throws:

java.lang.Exception