Package org.drip.product.fra

Standard/Market FRAs - Caps/Floors
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FRAMarketComponent
    FRAMarketComponent contains the implementation of the Standard Multi-Curve FRA product whose payoff is dictated off of Market FRA Conventions.
    FRAStandardCapFloor
    FRAStandardCapFloor implements the Caps and Floors on the Standard FRA.
    FRAStandardCapFloorlet
    FRAStandardCapFloorlet implements the Standard FRA Caplet and Floorlet.
    FRAStandardComponent
    FRAStandardComponent contains the implementation of the Standard Multi-Curve FRA Component.