Package org.drip.sample.cms
Dual Stream Constant Maturity Swap
- Author:
- Lakshmi Krishnamurthy
-
Class Summary Class Description FixFloatMetricComparison FixFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears Variants of the CMS Fix-Float Swap.FixFloatVarianceAnalysis FixFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and Correlation on the CMS Fix-Float Swap.FloatFloatMetricComparison FloatFloatMetricComparison demonstrates the Construction and Valuation of an In-Advance and In-Arrears Variants of the CMS Float-Float Swap.FloatFloatVarianceAnalysis FloatFloatVarianceAnalysis demonstrates the Construction and Valuation Impact of Volatility and Correlation on the CMS Float-Float Swap.