CFL EXAMPLES
ExamplesFunctions.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __ExamplesFunctions_hpp__
4 #define __ExamplesFunctions_hpp__
5 
6 #include "cfl/AssetModel.hpp"
8 #include "cfl/Data.hpp"
9 
21 namespace prb
22 {
29 
40  cfl::Slice couponBond(unsigned iTime, const cfl::Data::CashFlow & rBond,
41  const cfl::InterestRateModel & rModel);
42 
55  cfl::PathDependent indUpDownOut(double dLowerBarrier, double dUpperBarrier,
56  const std::vector<unsigned> & rResetIndexes,
57  const cfl::AssetModel & rModel);
58 
69  const cfl::AssetModel & rModel);
70 
82  cfl::Slice rate(unsigned iTime, double dPeriod,
83  const cfl::InterestRateModel & rModel);
84 
99  savingsAccountNextTime(double dPeriod, double dNotional,
100  const std::vector<unsigned> & rResetIndexes,
101  const cfl::InterestRateModel & rModel);
102 
114  cfl::Slice swap(unsigned iTime, const cfl::Data::Swap & rSwap,
115  const cfl::InterestRateModel & rModel);
116 
118 }
119 
120 #endif // of __ExamplesFunctions_hpp__
121 
122 
cfl::PathDependent savingsAccountNextTime(double dPeriod, double dNotional, const std::vector< unsigned > &rResetIndexes, const cfl::InterestRateModel &rModel)
cfl::PathDependent indUpDownOut(double dLowerBarrier, double dUpperBarrier, const std::vector< unsigned > &rResetIndexes, const cfl::AssetModel &rModel)
cfl::Slice swap(unsigned iTime, const cfl::Data::Swap &rSwap, const cfl::InterestRateModel &rModel)
cfl::PathDependent histAverage(const std::vector< unsigned > &rResetIndexes, const cfl::AssetModel &rModel)
Problems for the course.
Definition: Examples.hpp:28
cfl::Slice couponBond(unsigned iTime, const cfl::Data::CashFlow &rBond, const cfl::InterestRateModel &rModel)
STL class.
cfl::Slice rate(unsigned iTime, double dPeriod, const cfl::InterestRateModel &rModel)