SAMPLE EXAM 1
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Functions | |
cfl::MultiFunction | prb::futureOnCheapToDeliver (double dFutureMaturity, unsigned iFutureTimes, const std::vector< cfl::Data::CashFlow > &rBonds, cfl::InterestRateModel &rModel) |
This module contains functions that compute prices of standard and barrier options in cfl::InterestRateModel.
cfl::MultiFunction prb::futureOnCheapToDeliver | ( | double | dFutureMaturity, |
unsigned | iFutureTimes, | ||
const std::vector< cfl::Data::CashFlow > & | rBonds, | ||
cfl::InterestRateModel & | rModel | ||
) |
Computes the future price of the cheapest bond to deliver. The set of times, when the future price is evaluated is given by
Denote by F(t(i)) the future price determined at time t(i). Recall that it costs nothing to enter into the future contract at time t(i) and that short position entered at time t(i) assumes the following transactions:
dFutureMaturity | The maturity of the future contract. |
iFutureTimes | The number of future times, that is, the times when the future price is determined. |
rBonds | The parameters of the underlying bonds. We assume that the issue times for all bonds equal dFutureMaturity. |
rModel | Reference to implementation of InterestRateModel. |