Package org.drip.param.pricer

Pricing Parameters Customization Settings Control
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    GenericPricer
    GenericPricer is the Base Stub on top which all the Custom Pricers are implemented.
    PricerParams
    PricerParams exposes the Parameters needed for the Pricing Run.
  • Class Summary
    Class Description
    CreditPricerParams
    CreditPricerParams contains the Credit Pricer Parameters - the discrete unit size, calibration mode on/off, survival to pay/end date, and the discretization scheme.
    HestonOptionPricerParams
    HestonOptionPricerParams holds the parameters that drive the dynamics of the Heston stochastic volatility model.