Package Libor.LiborDerivatives

Package description: LiborDerivatives

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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.