Provides interface specification and implementation of product based on a single interest rate curve.
- 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 a
AnnuityMapping.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 a