Package org.drip.exposure.csadynamics

CSA Numeraire Basis/Measure Dynamics
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FundingBasisEvolver
    FundingBasisEvolver implements a Two Factor Stochastic Funding Model Evolver with a Log Normal Forward Process and a Mean Reverting Diffusion Process for the Funding Spread.
    NumeraireInducedMeasureShift
    NumeraireInducedMeasureShift computes the Shift of the Forward Terminal Distribution between the Non-CSA and the CSA Cases.