Package org.drip.sample.piterbarg2010

Piterbarg (2010) CSA Measure Extraction
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    CSAFundingAbsoluteForward
    CSAFundingAbsoluteForward compares the Absolute Differences between the CSA and the non-CSA Forward LIBOR under a Stochastic Funding Model.
    CSAFundingRelativeForward
    CSAFundingRelativeForward compares the Relative Differences between the CSA and the non-CSA Forward Prices under a Stochastic Funding Model.
    CSAImpliedMeasureDifference
    CSAImpliedMeasureDifference compares the Differences between the CSA and the non-CSA Implied Distribution, expressed in Implied Volatilities across Strikes, and across Correlations.
    ForwardContract
    ForwardContract examines the Valuation of Forward Contract under CSA and non-CSA Settle Agreements.
    ZeroStrikeCallOption
    ZeroStrikeCallOption examines the Impact of Funding and Collateralization on a "Zero Strike Call", i.e., the Futures Contract on an Asset with Non-Zero Value.