3 #ifndef __Examples_hpp__ 4 #define __Examples_hpp__ 99 double dLambda,
double dInitialTime);
163 double dUpperBarrier,
208 unsigned iNumberOfExercises,
287 double dLowerBarrier,
315 unsigned iFutureTimes,
double dMaturity,
346 double dStrike,
double dMaturity,
357 double dUpperBarrier,
400 #endif // of __Examples_hpp__ cfl::MultiFunction savingsAccount(double dPeriod, unsigned iNumberOfPeriods, double dNotional, cfl::InterestRateModel &rModel)
cfl::Function yieldShapeHullWhite(double dLambda, double dInitialTime)
cfl::MultiFunction cancellableCollar(const cfl::Data::CashFlow &rCap, double dFloorRate, cfl::InterestRateModel &rModel)
cfl::MultiFunction put(double dStrike, double dMaturity, cfl::AssetModel &rModel)
cfl::MultiFunction swaption(const cfl::Data::Swap &rSwap, double dMaturity, cfl::InterestRateModel &rModel)
cfl::MultiFunction swing(double dStrike, const std::vector< double > &rExerciseTimes, unsigned iNumberOfExercises, cfl::AssetModel &rModel)
cfl::MultiFunction downAndOutCap(const cfl::Data::CashFlow &rCap, double dLowerBarrier, cfl::InterestRateModel &rModel)
cfl::MultiFunction futureOnLibor(double dLiborPeriod, unsigned iFutureTimes, double dMaturity, cfl::InterestRateModel &rModel)
cfl::MultiFunction downAndOutAmericanCall(double dBarrier, const std::vector< double > &rBarrierTimes, double dStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel)
cfl::MultiFunction americanPut(double dStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel)
cfl::MultiFunction barrierUpOrDownAndOut_path(double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel)
cfl::MultiFunction putOnSavingsAccount(const cfl::Data::CashFlow &rAccount, cfl::InterestRateModel &rModel)
cfl::Function discountLogLinearInterp(const std::vector< double > &rDiscountTimes, const std::vector< double > &rDiscountFactors, double dInitialTime)
Problems for the course.
Definition: Examples.hpp:28
cfl::Function discountFitHullWhite(const std::vector< double > &rDiscountTimes, const std::vector< double > &rDiscountFactors, double dLambda, double dInitialTime)
cfl::MultiFunction cap(const cfl::Data::CashFlow &rCap, cfl::InterestRateModel &rModel)
cfl::MultiFunction barrierUpOrDownAndOut(double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel)
cfl::MultiFunction asianCall(const std::vector< double > &rAverageTimes, double dStrike, double dMaturity, cfl::AssetModel &rModel)