org.drip.sample.fra

Class MultiCurveFRAMarketAnalysis

java.lang.Object

org.drip.sample.fra.MultiCurveFRAMarketAnalysis

public class MultiCurveFRAMarketAnalysis
extends java.lang.Object

MultiCurveFRAMarketAnalysis contains an analysis of the correlation and volatility impact on the Market FRA.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
MultiCurveFRAMarketAnalysis()

Method Summary

Modifier and Type	Method and Description
static org.drip.sample.fra.MultiCurveFRAMarketAnalysis.FRAMktConvexityCorrection	FRAMktMetric(JulianDate dtValue, MergedDiscountForwardCurve dcEONIA, ForwardCurve fcEURIBOR6M, java.lang.String strForwardStartTenor, VolatilityCurve vcEONIA, VolatilityCurve vcEURIBOR6M, double dblEONIAEURIBOR6MCorrelation)
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

MultiCurveFRAMarketAnalysis

public MultiCurveFRAMarketAnalysis()

Method Detail

FRAMktMetric

public static final org.drip.sample.fra.MultiCurveFRAMarketAnalysis.FRAMktConvexityCorrection FRAMktMetric(JulianDate dtValue,
                                                                                                           MergedDiscountForwardCurve dcEONIA,
                                                                                                           ForwardCurve fcEURIBOR6M,
                                                                                                           java.lang.String strForwardStartTenor,
                                                                                                           VolatilityCurve vcEONIA,
                                                                                                           VolatilityCurve vcEURIBOR6M,
                                                                                                           double dblEONIAEURIBOR6MCorrelation)
                                                                                                    throws java.lang.Exception

Throws:

java.lang.Exception

main

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

Throws:

java.lang.Exception