org.drip.sample.ois

Class OvernightArithmeticCompoundingConvexity

java.lang.Object

org.drip.sample.ois.OvernightArithmeticCompoundingConvexity

public class OvernightArithmeticCompoundingConvexity
extends java.lang.Object

OvernightArithmeticCompoundingConvexity contains an assessment of the impact of the Overnight Index Volatility, the Funding Numeraire Volatility, and the ON Index/Funding Correlation on the Overnight Floating Stream.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
OvernightArithmeticCompoundingConvexity()

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

OvernightArithmeticCompoundingConvexity

public OvernightArithmeticCompoundingConvexity()

Method Detail

main

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

Throws:

java.lang.Exception