org.drip.sample.forwardvolatility

Class CustomFRAVolatilityCurve

java.lang.Object

org.drip.sample.forwardvolatility.CustomFRAVolatilityCurve

public class CustomFRAVolatilityCurve
extends java.lang.Object

CustomFRAVolatilityCurve demonstrates the Construction of the FRA Volatility Curve from the FRACap Quotes. 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
CustomFRAVolatilityCurve()

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

CustomFRAVolatilityCurve

public CustomFRAVolatilityCurve()

Method Detail

main

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

Throws:

java.lang.Exception