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finMath lib documentation

Package net.finmath.singleswaprate

Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.

See: Description

Package net.finmath.singleswaprate Description

Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate. Most notable examples include the cash settled swaption and the constant maturity swap.
Author:
Christian Fries, Roland Bachl
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Copyright © 2018 Christian P. Fries.

Copyright © 2019. All rights reserved.