Package org.drip.sample.cross

Class CrossFloatCrossFloatAnalysis

java.lang.Object
org.drip.sample.cross.CrossFloatCrossFloatAnalysis
public class CrossFloatCrossFloatAnalysis
extends java.lang.Object
CrossFloatCrossFloatAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and Funding/Forward, Funding/FX, and Forward/FX Correlation for each of the FRI's on the Valuation of a float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD. Comparison is done across MTM and non-MTM fixed Leg Counterparts.



Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CrossFloatCrossFloatAnalysis()  

  • 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

    • CrossFloatCrossFloatAnalysis

      public CrossFloatCrossFloatAnalysis()

  • 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