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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. |
LiborDerivatives
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