Package org.drip.sample.mporfixfloat

CSA Enforced Fix-Float MPoR
  • Class Summary
    Class Description
    OTCPayerAggressiveTimeline
    OTCPayerAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCPayerClassicalMinusTimeline
    OTCPayerClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCPayerClassicalPlusTimeline
    OTCPayerClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCPayerConservativeTimeline
    OTCPayerConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Payer Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverAggressiveTimeline
    OTCReceiverAggressiveTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Aggressive" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverClassicalMinusTimeline
    OTCReceiverClassicalMinusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical-" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverClassicalPlusTimeline
    OTCReceiverClassicalPlusTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Classical+" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).
    OTCReceiverConservativeTimeline
    OTCReceiverConservativeTimeline displays the MPoR-related Exposure Metrics Suite for the given OTC Receiver Swap on a Daily Grid using the "Conservative" CSA Timeline of Andersen, Pykhtin, and Sokol (2017).