Package org.drip.sample.piterbarg2012

Class DomesticCollateralForeignForexAnalysis

java.lang.Object
org.drip.sample.piterbarg2012.DomesticCollateralForeignForexAnalysis
public class DomesticCollateralForeignForexAnalysis
extends java.lang.Object
DomesticCollateralForeignForexAnalysis contains an analysis of the correlation and volatility impact on the price of a Domestic Collateralized Foreign Pay-out Forex Contract.

  • Barden, P. (2009): Equity Forward Prices in the Presence of Funding Spreads ICBI Conference Rome
  • Burgard, C., and M. Kjaer (2009): Modeling and successful Management of Credit Counter-party Risk of Derivative Portfolios ICBI Conference Rome
  • Gregory, J. (2009): Being Two-faced over Counter-party Credit Risk Risk 20 (2) 86-90
  • Johannes, M., and S. Sundaresan (2007): Pricing Collateralized Swaps Journal of Finance 62 383-410
  • Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Risk 21 (2) 97-102




Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    DomesticCollateralForeignForexAnalysis()  

  • 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

    • DomesticCollateralForeignForexAnalysis

      public DomesticCollateralForeignForexAnalysis()

  • 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