SAMPLE EXAM 2
Functions
Standard and barrier options on interest rates.

Functions

cfl::MultiFunction prb::resetCouponPutBond (const cfl::Data::CashFlow &rBond, double dResetCouponRate, double dRedemptionPrice, cfl::InterestRateModel &rModel)
 

Detailed Description

This module contains functions that compute prices of standard and barrier options in cfl::InterestRateModel.

Function Documentation

cfl::MultiFunction prb::resetCouponPutBond ( const cfl::Data::CashFlow rBond,
double  dResetCouponRate,
double  dRedemptionPrice,
cfl::InterestRateModel rModel 
)

Computes the price of puttable bond with resettable coupon at its issue time. In this contract, after coupon payment the issuer can reset the coupon rate from the original (higher) value rBond.rate to the (lower) reset value dResetCouponRate. After that at any payment time greater or equal the reset time and less than maturity the holder can sell the bond back to the issuer for the redemption value dRedemptionPrice*rBond.notional.

Parameters
rBondThe parameters of the underlying coupon bond. The initial coupon rate is given by rBond.rate.
dResetCouponRateThe coupon rate after reset. Usually, this rate is smaller than the original coupon rate.
dRedemptionPriceThe redemption price of the bond as percentage of the notional. Typically, dRedemptionPrice<1.
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.