CFL EXAMPLES
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Problems for the course. More...
Functions | |
cfl::Function | yieldShapeHullWhite (double dLambda, double dInitialTime) |
cfl::Function | discountLogLinearInterp (const std::vector< double > &rDiscountTimes, const std::vector< double > &rDiscountFactors, double dInitialTime) |
cfl::Function | discountFitHullWhite (const std::vector< double > &rDiscountTimes, const std::vector< double > &rDiscountFactors, double dLambda, double dInitialTime) |
cfl::MultiFunction | put (double dStrike, double dMaturity, cfl::AssetModel &rModel) |
cfl::MultiFunction | americanPut (double dStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | barrierUpOrDownAndOut (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | downAndOutAmericanCall (double dBarrier, const std::vector< double > &rBarrierTimes, double dStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | swing (double dStrike, const std::vector< double > &rExerciseTimes, unsigned iNumberOfExercises, cfl::AssetModel &rModel) |
cfl::MultiFunction | cap (const cfl::Data::CashFlow &rCap, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | swaption (const cfl::Data::Swap &rSwap, double dMaturity, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | cancellableCollar (const cfl::Data::CashFlow &rCap, double dFloorRate, cfl::InterestRateModel &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 | asianCall (const std::vector< double > &rAverageTimes, double dStrike, double dMaturity, cfl::AssetModel &rModel) |
cfl::MultiFunction | barrierUpOrDownAndOut_path (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | savingsAccount (double dPeriod, unsigned iNumberOfPeriods, double dNotional, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | putOnSavingsAccount (const cfl::Data::CashFlow &rAccount, cfl::InterestRateModel &rModel) |
cfl::Slice | couponBond (unsigned iTime, const cfl::Data::CashFlow &rBond, const cfl::InterestRateModel &rModel) |
cfl::PathDependent | indUpDownOut (double dLowerBarrier, double dUpperBarrier, const std::vector< unsigned > &rResetIndexes, const cfl::AssetModel &rModel) |
cfl::PathDependent | histAverage (const std::vector< unsigned > &rResetIndexes, const cfl::AssetModel &rModel) |
cfl::Slice | rate (unsigned iTime, double dPeriod, const cfl::InterestRateModel &rModel) |
cfl::PathDependent | savingsAccountNextTime (double dPeriod, double dNotional, const std::vector< unsigned > &rResetIndexes, const cfl::InterestRateModel &rModel) |
cfl::Slice | swap (unsigned iTime, const cfl::Data::Swap &rSwap, const cfl::InterestRateModel &rModel) |
Problems for the course.
This namespace contains functions and classes related to the construction of data curves and to the computation of the prices of derivative securities.