Package org.drip.state.csa

Credit Support Annex Latent State
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    CashFlowEstimator
    CashFlowEstimator estimates the Cash Flow Rate to be applied between the specified Dates.
  • Class Summary
    Class Description
    MultilateralBasisCurve
    MultilateralBasisCurve implements the CSA Cash Rate Curve as a Basis over an Overnight Curve.
    MultilateralFlatForwardCurve
    MultilateralFlatForwardCurve implements the CSA Cash Rate Curve using a Flat Forward CSA Rate.