Package org.drip.sample.fixfloat

Coupon, Floater, Amortizing IRS Variants

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
AmortizingCapitalizingAccruingSwap	AmortizingCapitalizingAccruingSwap demonstrates the construction and Valuation of in-advance Amortizing, Accruing, and Capitalizing Swaps.
CustomFixFloatSwap	CustomFixFloatSwap demonstrates the Construction and Valuation of a Custom Fix-Float Swap.
InAdvanceIMMSwap	InAdvanceIMMSwap demonstrates the Construction and Valuation of a In-Advance IMM Swap.
InAdvanceSwap	InAdvanceSwap discount curve calibration and input instrument calibration quote recovery.
InArrearsSwap	InArrearsSwap demonstrates the Construction and Valuation of a In-Arrears Swap.
JurisdictionOTCIndexDefinitions	JurisdictionOTCIndexDefinitions contains all the pre-fixed definitions of the Jurisdiction-specific OTC Fix-Float IRS contracts.
JurisdictionOTCIndexSwaps	JurisdictionOTCIndexSwaps contains curve construction and valuation of the common Jurisdiction-specific OTC IRS.
LongTenorSwap	LongTenorSwap demonstrates the Construction and Valuation of In-Advance and In-Arrears Long Tenor Swap.
RollerCoasterSwap	RollerCoasterSwap demonstrates the construction and Valuation of In-Advance Roller-Coaster Swap.
ShortTenorSwap	ShortTenorSwap demonstrates the Construction and Valuation of In-Advance and In-Arrears Short Tenor Swap.
StepUpStepDown	StepUpStepDown demonstrates the construction and Valuation of in-advance step-up and step-down swaps.