Libor.LiborDerivatives
Class BSWPNTest

java.lang.Object
  Libor.LiborDerivatives.BSWPNTest

public class BSWPNTest

extends java.lang.Object

Constructor Summary

BSWPNTest()
Creates a new instance of BSWPNTest

Method Summary

static void

main(java.lang.String[] args) Test program.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BSWPNTest

public BSWPNTest()

Creates a new instance of BSWPNTest

Method Detail

main

public static void main(java.lang.String[] args)

Test program. Allocates a Libor process of dimension n=20 and a semiannual 10 non call 2 Bermudan swaption. Then computes the exercise boundary from the naive exercise strategy at time t=8.