CFL
Classes | Functions

Data structures. More...

Classes

class  CashFlow
 Cash flow at fixed rate over regular time intervals. More...
 
class  Swap
 Interest rate swap. More...
 

Functions

Function assetShape (double dLambda, double dInitialTime)
 
Function bondShape (double dLambda, double dInitialTime)
 
Function discount (double dYield, double dInitialTime)
 
Function discount (const Function &rYield, double dInitialTime)
 
Function forward (double dSpot, double dCostOfCarry, double dInitialTime)
 
Function forward (double dSpot, const Function &rCostOfCarry, double dInitialTime)
 
Function forward (double dSpot, double dDividendYield, const Function &rDiscount, double dInitialTime)
 
Function volatility (double dSigma, double dLambda, double dInitialTime)
 

Detailed Description

This namespace contains useful functions and classes that facilitate specifications of input data such as volatility, forward and discount curves and parameters of financial derivatives.