CFL EXAMPLES
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Examples for the course Financial Computing with C++. More...
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Namespaces | |
prb | |
Problems for the course. | |
Functions | |
cfl::Function | prb::yieldShapeHullWhite (double dLambda, double dInitialTime) |
cfl::Function | prb::discountLogLinearInterp (const std::vector< double > &rDiscountTimes, const std::vector< double > &rDiscountFactors, double dInitialTime) |
cfl::Function | prb::discountFitHullWhite (const std::vector< double > &rDiscountTimes, const std::vector< double > &rDiscountFactors, double dLambda, double dInitialTime) |
cfl::MultiFunction | prb::put (double dStrike, double dMaturity, cfl::AssetModel &rModel) |
cfl::MultiFunction | prb::americanPut (double dStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | prb::barrierUpOrDownAndOut (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | prb::downAndOutAmericanCall (double dBarrier, const std::vector< double > &rBarrierTimes, double dStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | prb::swing (double dStrike, const std::vector< double > &rExerciseTimes, unsigned iNumberOfExercises, cfl::AssetModel &rModel) |
cfl::MultiFunction | prb::cap (const cfl::Data::CashFlow &rCap, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | prb::swaption (const cfl::Data::Swap &rSwap, double dMaturity, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | prb::cancellableCollar (const cfl::Data::CashFlow &rCap, double dFloorRate, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | prb::downAndOutCap (const cfl::Data::CashFlow &rCap, double dLowerBarrier, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | prb::futureOnLibor (double dLiborPeriod, unsigned iFutureTimes, double dMaturity, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | prb::asianCall (const std::vector< double > &rAverageTimes, double dStrike, double dMaturity, cfl::AssetModel &rModel) |
cfl::MultiFunction | prb::barrierUpOrDownAndOut_path (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel) |
cfl::MultiFunction | prb::savingsAccount (double dPeriod, unsigned iNumberOfPeriods, double dNotional, cfl::InterestRateModel &rModel) |
cfl::MultiFunction | prb::putOnSavingsAccount (const cfl::Data::CashFlow &rAccount, cfl::InterestRateModel &rModel) |
Examples for the course Financial Computing with C++.
This file contains examples of the construction of data curves and of the evaluation of derivative securities.