Package org.drip.sample.cross

Single/Dual Stream XCCY Component
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CrossFixedPlainFloat
    CrossFixedPlainFloat demonstrates the construction, usage, and eventual valuation of a fix-float swap with a EUR Fixed leg that pays in USD, and a USD Floating Leg.
    CrossFixedPlainFloatAnalysis
    CrossFixedPlainFloatAnalysis demonstrates the impact of Funding Volatility, Forward Volatility, and Funding/Forward Correlation on the Valuation of a fix-float swap with a EUR Fixed leg that pays in USD, and a USD Floating Leg.
    CrossFloatCrossFloat
    CrossFloatCrossFloat demonstrates the construction, usage, and eventual valuation of the Mark-to-market float-float swap with a 3M EUR Floater leg that pays in USD, and a 6M EUR Floater leg that pays in USD.
    CrossFloatCrossFloatAnalysis
    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.
    FixFloatFixFloat
    FixFloatFixFloat demonstrates the construction, the usage, and the eventual valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.
    FixFloatFixFloatAnalysis
    FixFloatFixFloatAnalysis demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation across the 2 currencies (USD and EUR) on the Valuation of the Cross Currency Basis Swap built out of a pair of fix-float swaps.
    FloatFloatFloatFloat
    FloatFloatFloatFloat demonstrates the construction, the usage, and the eventual valuation of the Cross Currency Basis Swap built out of a pair of float-float swaps.
    FloatFloatFloatFloatAnalysis
    FloatFloatFloatFloatAnalysis demonstrates the Funding Volatility, Forward Volatility, FX Volatility, Funding/Forward Correlation, Funding/FX Correlation, and Forward/FX Correlation of the Cross Currency Basis Swap built out of a pair of float-float swaps.