dcv-classes: A 'ValuationEngine' implementing discounting of future cash...

In wbreymann/FEMS: R Package for Financial Enterprise Modelling and Simulation

A ValuationEngine implementing discounting of future cash flows

Description

This class represents a ValuationEngine that uses the future cash flow discounting method to compute a value of a CT. The engine is implemented in Java so that this class points to an instance of the respective Java class.

This class represents a link{ValuationEngine} that uses Capital Asset Pricing Model (CAPM) method to compute a value of a CT. The engine is implemented in Java so that this class points to an instance of the respective Java class.

This class represents a ValuationEngine that uses the future cash flow discounting method to compute a value of two legs in different currencies and converts these in the desired (target) currency of a CT. Thereby, the cash flows to be valued may be in two different currencies each being modelled with a separate discounting curve and discounting spread. Finally, based on a reference FX-rate index the values of the two currency-legs are converted into the specified target currency. The engine is implemented in Java so that this class points to an instance of the respective Java class.

Fields

jref

A rJava java object reference

jref

A rJava java object reference

jref

A rJava java object reference

See Also

DiscountingEngineModel, ValuationEngine, ValuationEngineModel

DiscountingEngine, ValuationEngine, ValuationEngineModel

DiscountingEngine, ValuationEngine, ValuationEngineModel

wbreymann/FEMS documentation built on May 6, 2024, 2:19 p.m.