CFL
Data.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __cflData_hpp__
4 #define __cflData_hpp__
5 
18 #include "cfl/Function.hpp"
19 
20 namespace cfl
21 {
30 
32 
37  namespace Data
38  {
40 
41 
56  Function discount(double dYield, double dInitialTime);
57 
73  Function discount(const Function & rYield, double dInitialTime);
74 
87  Function volatility(double dSigma, double dLambda, double dInitialTime);
88 
101  Function forward(double dSpot, double dCostOfCarry, double dInitialTime);
102 
115  Function forward(double dSpot, const Function & rCostOfCarry,
116  double dInitialTime);
117 
132  Function forward(double dSpot, double dDividendYield,
133  const Function & rDiscount, double dInitialTime);
134 
145  Function assetShape(double dLambda, double dInitialTime);
146 
157  Function bondShape(double dLambda, double dInitialTime);
158 
160 
166  class CashFlow
167  {
168  public:
172  double notional;
173 
177  double rate;
178 
182  double period;
183 
188  };
189 
191 
198  class Swap: public CashFlow
199  {
200  public:
204  Swap(){};
205 
215  Swap(const CashFlow & rCashFlow, bool bPayFloat = true);
216 
222  bool payFloat;
223  };
225  }
227 }
228 
229 #include "cfl/Inline/iData.hpp"
230 #endif // of __cflData_hpp__
Function bondShape(double dLambda, double dInitialTime)
Interest rate swap.
Definition: Data.hpp:198
bool payFloat
Definition: Data.hpp:222
Swap()
Definition: Data.hpp:204
Cash flow at fixed rate over regular time intervals.
Definition: Data.hpp:166
Concrete class for a one-dimensional function.
Definition: Function.hpp:78
double rate
Definition: Data.hpp:177
Function assetShape(double dLambda, double dInitialTime)
Function volatility(double dSigma, double dLambda, double dInitialTime)
Function forward(double dSpot, double dCostOfCarry, double dInitialTime)
double notional
Definition: Data.hpp:172
unsigned numberOfPayments
Definition: Data.hpp:187
double period
Definition: Data.hpp:182
Main namespace for cfl library.
Definition: Approx.hpp:22
Function discount(double dYield, double dInitialTime)
One-dimensional function object in cfl library.