Single Currency Derivatives#
Single currency derivatives are examples of the simplest two-leg structures.
Abstract base class with common parameters for many |
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Create an interest rate swap composing a |
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Create a single currency basis swap composing two |
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Create a forward rate agreement composing single period |
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Create a zero coupon swap (ZCS) composing a |
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Create a zero coupon index swap (ZCIS) composing an |
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Create an indexed interest rate swap (IIRS) composing an |
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Create a short term interest rate (STIR) future. |