CFL
Namespaces | Classes | Functions | Variables
cfl Namespace Reference

Main namespace for cfl library. More...

Namespaces

 Black
 Black model for a single asset.
 
 Data
 Data structures.
 
 HullWhite
 Hull and White model for interest rates.
 
 NApprox
 Implementations of one-dimensional approximation methods.
 
 NBrownian
 Implementations of class Brownian.
 
 NError
 Implementations of Error class for different types of exceptions.
 
 NExtended
 Implementations of "expandable" financial models.
 
 NGaussRollback
 Implementations of the operator of conditional expectation with respect to gaussian distribution.
 
 NInd
 Implementations of indicator functions.
 
 NInterp
 Implementations of different interpolation methods.
 

Classes

class  Approx
 Standard concrete class for numerical approximation. More...
 
class  AssetModel
 Concrete class for financial models with a single asset. More...
 
class  Brownian
 Concrete class for the basic financial model with Brownian motion. More...
 
class  Error
 Exception class for cfl library. More...
 
class  Extended
 Concrete class for the "extended" financial models. More...
 
class  Function
 Concrete class for a one-dimensional function. More...
 
class  GaussRollback
 Concrete class for the operator of conditional expectation with respect to gaussian distribution. More...
 
class  IApprox
 Interface class for numerical approximation. More...
 
class  IAssetModel
 Interface class for a single asset model. More...
 
class  IBrownian
 Interface class for the basic financial model with Brownian motion. More...
 
class  IExtend
 Interface class for a one-dimensional extension of a model. More...
 
class  IFunction
 Interface for a one-dimensional function. More...
 
class  IGaussRollback
 Interface class for the operator of conditional expectation with respect to gaussian distribution. More...
 
class  IInd
 Interface class for one-dimensional indicator function. More...
 
class  IInterestRateModel
 Interface class for interest rate model. More...
 
class  IInterp
 Interface class for numerical interpolation. More...
 
class  IModel
 Interface class for financial models. More...
 
class  IMultiFunction
 Interface for multi-dimensional function objects. More...
 
class  Ind
 Standard concrete class for indicator functions. More...
 
class  InterestRateModel
 Concrete class for interest rate models. More...
 
class  Interp
 Standard concrete class for interpolation of one-dimensional functions. More...
 
class  IResetValues
 Interface class for a path dependent process. More...
 
class  MultiFunction
 Standard concrete class for multi-dimensional function object. More...
 
class  PathDependent
 Standard concrete class for path dependent functions. More...
 
class  Slice
 Representation of random payoffs in the library. More...
 
class  Tridiag
 Solver for tridiagonal system of equations. More...
 

Functions

Slice abs (const Slice &rSlice)
 
Function abs (const Function &rF)
 
MultiFunction abs (const MultiFunction &rF)
 
double atOrigin (const Slice &rSlice)
 
template<class T >
const T * begin (const std::valarray< T > &rIn)
 
template<class T >
const T * end (const std::valarray< T > &rIn)
 
template<class T >
bool equal (const std::valarray< T > &rIn1, const std::valarray< T > &rIn2)
 
Slice exp (const Slice &rSlice)
 
Function exp (const Function &rF)
 
MultiFunction exp (const MultiFunction &rF)
 
Slice indicator (const Slice &rSlice, double dBarrier)
 
Slice indicator (double dBarrier, const Slice &rSlice)
 
Slice indicator (const Slice &rSlice, const Slice &rBarrier)
 
MultiFunction interpolate (const Slice &rSlice)
 
MultiFunction interpolate (const Slice &rSlice, const std::vector< unsigned > &rState)
 
MultiFunction interpolate (const Slice &rSlice, unsigned iStates)
 
Slice log (const Slice &rSlice)
 
Function log (const Function &rF)
 
MultiFunction log (const MultiFunction &rF)
 
Slice max (const Slice &rSlice, double dValue)
 
Slice max (const Slice &rSlice1, const Slice &rSlice2)
 
Function max (const Function &rF, const Function &rG)
 
Slice max (double dValue, const Slice &rSlice)
 
Function max (double dV, const Function &rF)
 
MultiFunction max (const MultiFunction &rF, const MultiFunction &rG)
 
Function max (const Function &rF, double dV)
 
MultiFunction max (double dV, const MultiFunction &rF)
 
MultiFunction max (const MultiFunction &rF, double dV)
 
Slice min (const Slice &rSlice, double dValue)
 
Slice min (const Slice &rSlice1, const Slice &rSlice2)
 
Slice min (double dValue, const Slice &rSlice)
 
Function min (const Function &rF, const Function &rG)
 
Function min (double dV, const Function &rF)
 
MultiFunction min (const MultiFunction &rF, const MultiFunction &rG)
 
Function min (const Function &rF, double dV)
 
MultiFunction min (double dV, const MultiFunction &rF)
 
MultiFunction min (const MultiFunction &rF, double dV)
 
Function operator* (const Function &rF, const Function &rG)
 
MultiFunction operator* (const MultiFunction &rF, const MultiFunction &rG)
 
MultiFunction operator* (double dV, const MultiFunction &rF)
 
MultiFunction operator* (const MultiFunction &rF, double dV)
 
Slice operator* (const Slice &rSlice1, const Slice &rSlice2)
 
Function operator* (double dV, const Function &rF)
 
Slice operator* (const Slice &rSlice, double dValue)
 
Slice operator* (double dValue, const Slice &rSlice)
 
Function operator* (const Function &rF, double dV)
 
Function operator+ (const Function &rF, const Function &rG)
 
Slice operator+ (const Slice &rSlice1, const Slice &rSlice2)
 
MultiFunction operator+ (const MultiFunction &rF, const MultiFunction &rG)
 
Slice operator+ (const Slice &rSlice, double dValue)
 
MultiFunction operator+ (double dV, const MultiFunction &rF)
 
MultiFunction operator+ (const MultiFunction &rF, double dV)
 
Function operator+ (double dV, const Function &rF)
 
Slice operator+ (double dValue, const Slice &rSlice)
 
Function operator+ (const Function &rF, double dV)
 
Function operator- (const Function &rF)
 
MultiFunction operator- (const MultiFunction &rF)
 
Slice operator- (const Slice &rSlice)
 
Function operator- (const Function &rF, const Function &rG)
 
Slice operator- (const Slice &rSlice1, const Slice &rSlice2)
 
Function operator- (double dV, const Function &rF)
 
Slice operator- (const Slice &rSlice, double dValue)
 
MultiFunction operator- (const MultiFunction &rF, const MultiFunction &rG)
 
Slice operator- (double dValue, const Slice &rSlice)
 
MultiFunction operator- (double dV, const MultiFunction &rF)
 
MultiFunction operator- (const MultiFunction &rF, double dV)
 
Function operator- (const Function &rF, double dV)
 
Function operator/ (const Function &rF, const Function &rG)
 
Slice operator/ (const Slice &rSlice1, const Slice &rSlice2)
 
Function operator/ (double dV, const Function &rF)
 
Slice operator/ (const Slice &rSlice, double dValue)
 
Function operator/ (const Function &rF, double dV)
 
Slice operator/ (double dValue, const Slice &rSlice)
 
MultiFunction operator/ (const MultiFunction &rF, const MultiFunction &rG)
 
MultiFunction operator/ (double dV, const MultiFunction &rF)
 
MultiFunction operator/ (const MultiFunction &rF, double dV)
 
Slice pow (const Slice &rSlice, double dPower)
 
Function pow (const Function &rF, double dV)
 
MultiFunction pow (const MultiFunction &rF, double dV)
 
Slice rollback (const Slice &rSlice, unsigned iEventTime)
 
Slice sqrt (const Slice &rSlice)
 
Function sqrt (const Function &rF)
 
MultiFunction sqrt (const MultiFunction &rF)
 
template<class F >
Function toFunction (const F &rF, double dLeft=-std::numeric_limits< double >::infinity(), double dRight=std::numeric_limits< double >::infinity())
 
Function toFunction (const MultiFunction &rF, unsigned iArg=0, const std::valarray< double > &rOtherArg=std::valarray< double >())
 
MultiFunction toMultiFunction (double(*f)(const std::valarray< double > &), bool(*g)(const std::valarray< double > &), unsigned iDim)
 
MultiFunction toMultiFunction (const Function &rF, unsigned iArg, unsigned iDim)
 
MultiFunction toMultiFunction (const MultiFunction &rF, const std::vector< unsigned > &rArg, const std::valarray< double > &rOtherArg)
 

Variables

const double c_dEps = 10E-8
 A small positive number. More...
 

Detailed Description

Contains everything in cfl library.