Package org.drip.sample.pykhtin2009

Regression Based Secondary Stochastic Projection
  • Class Summary
    Class Description
    ExposurePathBrownianBridge
    ExposurePathBrownianBridge sets up a Brownian Bridge Scheme base on the Pykhtin (2009) local Volatility Methodology to estimate Exposures at Secondary Nodes.
    ExposurePathFixFloat
    ExposurePathFixFloat sets up a Brownian Bridge Based Dense Exposure Generation from Sparse Nodes for a Fix-Float Swap.
    ExposurePathLocalVolatility
    ExposurePathLocalVolatility estimates the Path-wise Local Volatility Realizations using the Pykhtin (2009) Scheme.
    LocalVolatilityRegressor
    LocalVolatilityRegressor is a Demonstration of the Exposure Regression Local Volatility Methodology of Pykhtin (2009).