This module contains functions that compute prices of standard and barrier options in cfl::InterestRateModel.
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
-
rBond | The parameters of the underlying coupon bond. The initial coupon rate is given by rBond.rate. |
dResetCouponRate | The coupon rate after reset. Usually, this rate is smaller than the original coupon rate. |
dRedemptionPrice | The redemption price of the bond as percentage of the notional. Typically, dRedemptionPrice<1. |
rModel | Reference to implementation of InterestRateModel. |
- Returns
- The price of the option as the function of the initial values of the state processes in the model.