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cfl::Slice | prb::couponBond (unsigned iTime, const cfl::Data::CashFlow &rBond, const cfl::InterestRateModel &rModel) |
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cfl::PathDependent | prb::indUpDownOut (double dLowerBarrier, double dUpperBarrier, const std::vector< unsigned > &rResetIndexes, const cfl::AssetModel &rModel) |
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cfl::PathDependent | prb::histAverage (const std::vector< unsigned > &rResetIndexes, const cfl::AssetModel &rModel) |
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cfl::Slice | prb::rate (unsigned iTime, double dPeriod, const cfl::InterestRateModel &rModel) |
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cfl::PathDependent | prb::savingsAccountNextTime (double dPeriod, double dNotional, const std::vector< unsigned > &rResetIndexes, const cfl::InterestRateModel &rModel) |
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cfl::Slice | prb::swap (unsigned iTime, const cfl::Data::Swap &rSwap, const cfl::InterestRateModel &rModel) |
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This module contains auxiliary functions and classes for project Examples.
Computes the value of coupon bond.
- Parameters
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iTime | The index of the current event time. |
rBond | The parameters of the coupon bond issued at the event time with index iTime. |
rModel | Reference to implementation of InterestRateModel. |
- Returns
- The value of coupon bond at event time with index iTime.
- Parameters
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rResetIndexes | The vector of indexes of event times, when the additional state process changes its value. |
rModel | Reference to implementation of AssetModel. |
- Returns
- The additional state process represented by the historical average for the price of stock over the event times with indexes rResetIndexes.
- Parameters
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dLowerBarrier | The lower barrier. |
dUpperBarrier | The upper barrier. |
rResetIndexes | The vector of indexes of event times, when the additional state process changes its value. |
rModel | Reference to implementation of AssetModel. |
- Returns
- The additional state process represented by the indicator of the event that that the price of the stock has not crossed the upper and lower barriers at event times represented by indexes rResetIndexes.
Computes float (LIBOR) rate.
- Parameters
-
iTime | The index of the current event time. |
dPeriod | The time interval (given as year fraction) for interest rate loan. |
rModel | Reference to implementation of InterestRateModel. |
- Returns
- The float rate at event time with index iTime for loan with time interval dPeriod.
Describes the capital on savings account at next payment time.
- Parameters
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dPeriod | The time interval (given as year fraction) for interest rate loan. |
dNotional | The notional amount. |
rResetIndexes | The vector of indexes of event times, when the additional state process changes its value. |
rModel | Reference to implementation of InterestRateModel. |
- Returns
- Additional state process represented by the evolution of the capital on savings account at next payment time.
Computes the value of interest rate swap.
- Parameters
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iTime | The index of the current event time. |
rSwap | The parameters of interest rate swap issued at event time with index iTime. |
rModel | Reference to implementation of InterestRateModel. |
- Returns
- The value of interest rate swap issued at event time with index iTime.