Package org.drip.sample.multicurve

Multi-Curve Construction and Valuation
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CustomBasisCurveBuilder
    CustomBasisCurveBuilder contains the sample demonstrating the full functionality behind creating highly customized spline based Basis curves.
    FixFloatForwardCurve
    FixFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves from fix-float swaps and the discount curves.
    FixFloatSwap
    FixFloatSwap contains a full valuation run on the Multi-Curve Fix-Float IRS Product.
    FixFloatSwapAnalysis
    FixFloatSwapAnalysis contains an analysis if the correlation and volatility impact on the fix-float Swap.
    FixFloatSwapIMM
    FixFloatSwapIMM contains a full valuation run on the IMM Fix-Float Swap Product.
    FloatFloatForwardCurve
    FloatFloatForwardCurve contains the sample demonstrating the full functionality behind creating highly customized spline based forward curves.
    FundingNativeForwardReconciler
    FundingNativeForwardReconciler demonstrates the Construction of the Forward Curve Native to the Discount Curve across different Tenors, and display their Reconciliation.
    OTCSwapOptionSettlements
    OTCSwapOptionSettlements contains all the pre-fixed Definitions of the OTC Swap Option Settlements.