Package org.drip.template.forwardratefutures

Forward Rate Futures Construction Template
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    AUDBBSW3M
    AUDBBSW3M contains a Templated Pricing of the LIBOR 3M AUD Futures Instrument.
    CADCDOR3M
    CADCDOR3M contains a Templated Pricing of the CDOR 3M CAD Futures Instrument.
    CHFLIBOR3M
    CHFLIBOR3M contains a Templated Pricing of the LIBOR 3M CHF Futures Instrument.
    EURIBOR3M
    EURIBOR3M contains a Templated Pricing of the 3M EURIBOR EUR Instrument.
    EuroDollar
    EuroDollar contains a Templated Pricing of the EuroDollar (i.e, LIBOR 3M USD Futures) Instrument.
    GBPLIBOR3M
    GBPLIBOR3M contains a Templated Pricing of the 3M LIBOR GBP Instrument.
    JPYLIBOR3M
    JPYLIBOR3M contains a Templated Pricing of the LIBOR 3M JPY Futures Instrument.