Package org.drip.sample.capfloor

Class FRAStdCapMonteCarlo

java.lang.Object
org.drip.sample.capfloor.FRAStdCapMonteCarlo
public class FRAStdCapMonteCarlo
extends java.lang.Object
FRAStdCapMonteCarlo demonstrates the steps associated with a LMM-Based Monte-Carlo pricing of a FRA Cap. The References are:

  • Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics Mathematical Finance 7 (2) 127-155
  • Goldys, B., M. Musiela, and D. Sondermann (1994): Log-normality of Rates and Term Structure Models The University of New South Wales
  • Musiela, M. (1994): Nominal Annual Rates and Log-normal Volatility Structure The University of New South Wales




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FRAStdCapMonteCarlo()  

  • Method Summary

    Modifier and Type Method Description
    static void main​(java.lang.String[] astrArgs)
    Entry Point

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • FRAStdCapMonteCarlo

      public FRAStdCapMonteCarlo()

  • Method Details

    • main

      public static final void main​(java.lang.String[] astrArgs) throws java.lang.Exception
      Entry Point
      Parameters:
      astrArgs - Command Line Argument Array
      Throws:
      java.lang.Exception - Thrown on Error/Exception Situation