Package webcab.lib.finance.pricing.contracts.standard

Class Summary

AsianOption	Implements an asian option.
AsianOptionPathDependent	Implements an asian option that does not need a model for the average.
BarrierContractPathDependent	Implements a barrier, parisian or parasian contract that doesn't need a trigger variable.
BinaryOption	Implements a binary option contract.
CapForward	Implements a cap which can be used only with forward curve models.
CapSpot	Implements a cap which can be used with any interest rate model.
CouponBond	Implements a coupon bond, which is a fixed income security.
CouponBondOption	Implements an option on a coupon paying (aka coupon-bearing) bond.
FixedForFixedSwap	Implements a ``fixed for fixed'' swap.
FloorForward	Implements a floor which can be used only with forward curve models.
FloorSpot	Implements a floor which can be used with any interest rate model.
Forward	Implements a forward contract.
ForwardStartAtTheMoneyOption	Implements a forward start option contract.
Future	Implements a future contract.
InterestRateSwapForward	Implements a standard interest rate swap, requiring a forward curve model.
InterestRateSwapSpot	Implements an approximation of an interest rate swap compatible with any spot rate model.
LookbackOption	Implements a lookback or ladder option.
LookbackOptionPathDependent	Implements a lookback or ladder option that does not need a model for the extremum.
SecondOrderCallOptionExample
SwapForward	Implements a general swap, requiring a forward curve model.
SwapSpot	Implements an approximation of a general swap contract compatible with any spot rate model.
TriggeredContract	Implements a contract which has the following properties: if the type of the triggered contrat is IN: it has the same payoff as another contract when a boolean variable of the model, named trigger, is true and pays a fixed sum, called rebate, otherwise.
VanillaInterestRateSwapForward	Implements a standard plain vanilla swap requiring a forward curve model.
VanillaInterestRateSwapSpot	Implements an approximation of a plain vanilla swap compatible with any spot rate model.
VanillaOption	Implements a vanilla option contract.
VanillaSwaptionSpot
ZeroCouponBond	Implements a zero coupon bond contract which is a fixed income security.
ZeroCouponBondOption	Implements an option on a zero coupon bond.
ZeroCouponBondOptionExample