This package contains utility functions that facilitate building and working with contingent-claim-based instruments. It includes the following modules:

  • Lifecycle.Rule: Rule to process a time update event for instruments that are modelled using On-the-Fly claims
  • Util: Contains utility functions for claims, e.g., checking content of a claim and converting claim time
  • Util.Lifecycle: Defines different types of events and how to lifecycle them
  • Util.Builders: Utility functions related to creating Contingent Claims, e.g. for bonds/swaps