CFL EXAMPLES
Namespaces | Functions
Examples.hpp File Reference

Examples for the course Financial Computing with C++. More...

#include "cfl/Data.hpp"
#include "cfl/AssetModel.hpp"
#include "cfl/InterestRateModel.hpp"
Include dependency graph for Examples.hpp:

Go to the source code of this file.

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)
 

Detailed Description

Examples for the course Financial Computing with C++.

Author
Dmitry Kramkov
Date
2000-2008

This file contains examples of the construction of data curves and of the evaluation of derivative securities.