CFL
Classes | Namespaces | Functions
Data.hpp File Reference

Useful data structures. More...

#include "cfl/Function.hpp"
#include "cfl/Inline/iData.hpp"
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Classes

class  cfl::Data::CashFlow
 Cash flow at fixed rate over regular time intervals. More...
 
class  cfl::Data::Swap
 Interest rate swap. More...
 

Namespaces

 cfl
 Main namespace for cfl library.
 
 cfl::Data
 Data structures.
 

Functions

Function cfl::Data::assetShape (double dLambda, double dInitialTime)
 
Function cfl::Data::bondShape (double dLambda, double dInitialTime)
 
Function cfl::Data::discount (double dYield, double dInitialTime)
 
Function cfl::Data::discount (const Function &rYield, double dInitialTime)
 
Function cfl::Data::forward (double dSpot, double dCostOfCarry, double dInitialTime)
 
Function cfl::Data::forward (double dSpot, const Function &rCostOfCarry, double dInitialTime)
 
Function cfl::Data::forward (double dSpot, double dDividendYield, const Function &rDiscount, double dInitialTime)
 
Function cfl::Data::volatility (double dSigma, double dLambda, double dInitialTime)
 

Detailed Description

Author
Dmitry Kramkov
Date
2000-2006

This file contains useful functions and classes that facilitate specifications of input data such as volatility, forward and discount curves and parameters of financial derivatives.