Provides interface specification and implementation of products, e.g., calibration products. Products can be valued using the model (which provides valuation curves).
- Christian Fries
Interface Summary Interface Description AnalyticProductThe interface which has to be implemented by a product which may be evaluated using an
Class Summary Class Description AbstractAnalyticProduct CapImplements the valuation of a cap via an analytic model, i.e. CashflowImplements the valuation of a single cashflow by a discount curve. DepositImplements the valuation of the (overnight) deposit (maturity t+1 or t+2). ForwardImplements the valuation of a forward using curves (discount curve, forward curve). ForwardRateAgreementImplements the valuation of a FRA in multi-curve setting. MarketForwardRateAgreementImplements the valuation of a market forward rate agreement using curves (discount curve, forward curve). PerformanceImplements an analytic product given by the ratio of two analytic products. PortfolioImplements the valuation of a portfolio of products implementing
SwapImplements the valuation of a swap using curves (discount curve, forward curve). SwapAnnuityImplements the valuation of a swap annuity using curves (discount curve). SwapLegImplements the valuation of a swap leg with unit notional of 1 using curves (discount curve, forward curve).