This package contains the implementation of generic, Contingent Claims based instruments, defined in the following modules:

  • Instrument: Instrument implementation for generic instruments
  • Factory: Factory implementation to instantiate generic instruments
  • Election: Implementation of elections (e.g. the exercise of an option) for generic instruments
  • Lifecycle.Rule: Rule to process a time update event for generic instruments

The tutorial How To Model and Lifecycle Generic Instruments describes how a Contingent Claims payoff is defined and lifecycled in practice.