## Package Libor.LiborDerivatives

Package description: `LiborDerivatives`

See:
Description

 Class Summary BermudanExerciseBoundary A JFrame associated with a `BermudanSwaption` and a two dimensional statistic (path functional) of the underlying Libor path. BermudanSwaption Bermudan Swaption. BSWPNTest CallableReverseFloater The callable reverse floater `CRF(p,q,K1,K2)` is simply a call on the `ReverseFloater` `RF(p,q,K1,K2)` with zero strike expiring at time `T_p`. Cap The cap on `[T_p,T_q]` with strike rate `kappa` implemented as the sum of individual caplets. Caplet Caplet `cplt([T_i,T_{i+1}],k)` pays off `h=delta_i*(L_i(T_i)-k)^+`, where `k` is the strike rate. CapletTest A `jUnit` test suite for the class `Caplet`. CvxTrigger Exercise trigger of a Bermudan swaption using convex deformation of the pure continuation region (see AmericanOptions.tex). CvxTriggerBase Base for an exercise trigger of a Bermudan swaption using convex deformation of the pure continuation region (see AmericanOptions.tex). LiborDerivative A derivative whose payoff is a functional of the path of a Libor process. PjTrigger Exercise trigger of a Bermudan swaption following Peter Jaeckel. PjTriggerBase Base for an exercise trigger of a Bermudan swaption following Peter Jaeckel. ReverseFloater The reverse floater `RF(p,q,K1,K2)` receives Libor `delta_jL_j(T_j)` and pays `delta_j*max{K1-L_j(T_j),K2}` at time `T_{j+1}, j=p,p+1,...,q-1`. Swap Payer swap `swp([T_p,T_q],kappa)` settled in arrears pays off `delta_k*(L_k(T_k)-kappa)` at time `T_{k+1}` for `k=p,p+1,...,q-1`. Swaption Forward start payer swaption `swpn(T,[T_p,T_q],k)` pays off `h=B_pq(T)*(S_pq(T)-k)^+` at exercise time `T=T_tau`, where `k` is the strike rate and `S_pq(T)` is the value of the `[T_p,T_q]`-swap rate at time `T`. TriggerSwap The trigger swap on `[T_p,T_q]` with trigger level `K` and strike rate `kappa` is triggered at the first time `T_j` such that `L_j(T_j)>K` and then initiates a swap `swap([T_j,T_q],kappa)`. ZeroCouponBond A zero coupon bond is the simplest example of a Libor derivative.

## Package description: `LiborDerivatives`

Implements some basic Libor derivatives (caplet, cap, swap, trigger swap, swaption, reverse floater, calleable reverse floater). Each Libor derivative has a control variate and methods to compute a Monte Carlo price with and without control variate and an analytic price if an analytic formula for the price is available. See LiborProcess.ps for details.