SAMPLE EXAM 3
Functions
Path dependent options.

Functions

cfl::MultiFunction prb::indexAmortizingSwap (const cfl::Data::Swap &rSwap, double(*fAmortizing)(double), double dLowerThreshold, cfl::InterestRateModel &rModel)
 

Detailed Description

This module contains functions that compute prices of path dependent options in cfl::AssetModel and cfl::InterestRateModel.

Function Documentation

cfl::MultiFunction prb::indexAmortizingSwap ( const cfl::Data::Swap rSwap,
double(*)(double)  fAmortizing,
double  dLowerThreshold,
cfl::InterestRateModel rModel 
)

Computes the price of index amortizing swap. In this contract, the sides make interest payments similar to standard interest rate swap. However, the notional amount is reset at payment times by float (LIBOR) rate according to amortizing function fAmortizing. In addition, the swap is canceled as soon as the remaining notional amount reaches the level below dLowerThreshold percents of the original notional amount rSwap.notional.

Parameters
rSwapThe parameters of the swap contract.
fAmortizingThe amortizing function for the notional (usually, decreasing and taking values in (0,1))
dLowerThresholdThe threshold for the cleanup call.
rModelReference to implementation of InterestRateModel.
Returns
The price of the option as the function of the initial values of the state processes in the model.