Package org.drip.sample.fedfund

Overnight/Composite Fed Fund LIBOR
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CompositeFedFundLIBORSwap
    CompositeFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for the Composite Fed Fund vs.
    FedFundOvernightCompounding
    FedFundOvernightCompounding demonstrates in detail the methodology behind the overnight compounding used in the Overnight fund Floating Stream Accrual.
    OvernightFedFundLIBORSwap
    OvernightFedFundLIBORSwap demonstrates the Construction, the Valuation, and Bloomberg Metrics Analysis for the Composite Fed Fund vs.