SAMPLE EXAM 3
SampleExam3.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2008. All rights reserved.
2 
3 #ifndef __SampleExam3_hpp__
4 #define __SampleExam3_hpp__
5 
6 #include "cfl/Data.hpp"
7 #include "cfl/AssetModel.hpp"
9 
20 namespace prb
22 {
30 
55  const std::vector<double> & rVolatilities,
56  double dInitialTime);
57 
59 
67 
85  compoundCallAmericanPut(double dMaturity,
86  double dCompoundCallStrike,
87  double dPutStrike,
88  const std::vector<double> & rExerciseTimes,
89  cfl::AssetModel & rModel);
90 
92 
100 
128  double dLiborSpread,
129  cfl::InterestRateModel & rModel);
130 
131 
133 
141 
162  double (*fAmortizing)(double),
163  double dLowerThreshold,
164  cfl::InterestRateModel & rModel);
165 
167 }
168 
169 #endif // of __SampleExam3_hpp__
cfl::MultiFunction compoundCallAmericanPut(double dMaturity, double dCompoundCallStrike, double dPutStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel)
cfl::MultiFunction callableCappedFloater(const cfl::Data::CashFlow &rCap, double dLiborSpread, cfl::InterestRateModel &rModel)
cfl::MultiFunction indexAmortizingSwap(const cfl::Data::Swap &rSwap, double(*fAmortizing)(double), double dLowerThreshold, cfl::InterestRateModel &rModel)
Problems for the course.
Definition: SampleExam3.hpp:21
STL class.
cfl::Function volatilityLinearInterpOfVar(const std::vector< double > &rMaturities, const std::vector< double > &rVolatilities, double dInitialTime)