Package org.drip.product.option

Options on Fixed Income Components

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
CDSEuropeanOption	CDSEuropeanOption implements the Payer/Receiver European Option on a CDS.
EuropeanCallPut	EuropeanCallPut implements a simple European Call/Put Option, and its Black Scholes Price.
FixFloatEuropeanOption	FixFloatEuropeanOption implements the Payer/Receiver European Option on the Fix-Float Swap.
OptionComponent	OptionComponent extends ComponentMarketParamRef and provides the following methods: Get the component's initial notional, notional, and coupon.