CFL EXAMPLES
Functions
prb Namespace Reference

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)
 

Detailed Description

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.