Provides interface specification and implementation of product based on a single interest rate curve.
- Christian Fries, Roland Bachl
Interface Summary Interface Description AnalyticVolatilityCubeProductThe interface which has to be implemented by a product which may be evaluated using an
Class Summary Class Description AbstractAnalyticVolatilityCubeProductAbstract layer between interface and implementation, which ensures compatibility of model and product. AbstractSingleSwapRateProductAn abstract class providing valuation methods for single swap rate products. AnnuityDummyProductA dummy product that only evaluates the value of a
CashSettledPayerSwaptionA European cash settled payer swaption. CashSettledReceiverSwaptionA European cash settled receiver swaption. ConstantMaturitySwapA constant maturity swap. NormalizingDummyProductA dummy product that only evaluates the value of a