Package org.drip.sample.forwardvolatility

Class CustomFRAVolatilityCurve

java.lang.Object
org.drip.sample.forwardvolatility.CustomFRAVolatilityCurve
public class CustomFRAVolatilityCurve
extends java.lang.Object
CustomFRAVolatilityCurve demonstrates the Construction of the FRA Volatility Curve from the FRACap Quotes. The Marks and the Valuation References are sourced from:

  • Brace, A., D. Gatarek, and M. Musiela (1997): The Market Model of Interest Rate Dynamics Mathematical Finance 7 (2) 127-155




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CustomFRAVolatilityCurve()  

  • 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

    • CustomFRAVolatilityCurve

      public CustomFRAVolatilityCurve()

  • 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