Module net.finmath.lib
Package net.finmath.singleswaprate.products
package net.finmath.singleswaprate.products
Provides interface specification and implementation of product based on a single interest rate curve.
- Author:
- Christian Fries, Roland Bachl
-
ClassDescriptionAbstract layer between interface and implementation, which ensures compatibility of model and product.An abstract class providing valuation methods for single swap rate products.The interface of a product to be evaluated using a
VolatilityCubeModel
.A dummy product that only evaluates the value of aAnnuityMapping
.A European cash settled payer swaption.A European cash settled receiver swaption.A constant maturity swap.A dummy product that only evaluates the value of aNormalizingFunction
.