Package org.drip.sample.piterbarg2012

Piterbarg (2012) Domestic Foreign Collateral

Author:

Lakshmi Krishnamurthy

Class Summary

Class	Description
DeterministicCollateralChoiceZeroCoupon	DeterministicCollateralChoiceZeroCoupon contains an analysis of the impact on the single cash flow discount factor of a Zero Coupon collateralized using a deterministic choice of collateral.
DomesticCollateralForeignForex	DomesticCollateralForeignForex demonstrates the construction and the usage of Domestic Currency Collateralized Foreign Pay-out FX forward product, and the generation of its measures.
DomesticCollateralForeignForexAnalysis	DomesticCollateralForeignForexAnalysis contains an analysis of the correlation and volatility impact on the price of a Domestic Collateralized Foreign Pay-out Forex Contract.
ForeignCollateralDomesticForex	ForeignCollateralDomesticForex demonstrates the construction and the usage of Foreign Currency Collateralized Domestic Pay-out FX forward product, and generation of its measures.
ForeignCollateralDomesticForexAnalysis	ForeignCollateralDomesticForexAnalysis contains an analysis of the correlation and volatility impact on the price of a Foreign Collateralized Domestic Pay-out Forex Contract.
ForeignCollateralizedZeroCoupon	ForeignCollateralizedZeroCoupon contains an analysis of the correlation and volatility impact on the single cash flow discount factor of a Foreign Collateralized Zero Coupon.