SAMPLE EXAM 2
SampleExam2.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __SampleExam2_hpp__
4 #define __SampleExam2_hpp__
5 
6 #include "cfl/Data.hpp"
7 #include "cfl/AssetModel.hpp"
9 
20 namespace prb
22 {
30 
52  double dPeriod, double dInitialTime);
53 
55 
63 
90  cfl::MultiFunction boost(double dNotional, double dLowerBarrier,
91  double dUpperBarrier,
92  const std::vector<double> & rBarrierTimes,
93  cfl::AssetModel & rModel);
94 
96 
104 
128  double dResetCouponRate,
129  double dRedemptionPrice,
130  cfl::InterestRateModel & rModel);
131 
133 
141 
159  double dSpread,
160  const std::vector<double> & rResetTimes,
161  cfl::InterestRateModel & rModel);
162 
164 }
165 
166 #endif // of __SampleExam2_hpp__
cfl::Function discountSwapLogLinearInterp(const std::vector< double > &rSwapRates, double dPeriod, double dInitialTime)
cfl::MultiFunction boost(double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel)
cfl::MultiFunction resetCouponPutBond(const cfl::Data::CashFlow &rBond, double dResetCouponRate, double dRedemptionPrice, cfl::InterestRateModel &rModel)
Problems for the course.
Definition: SampleExam2.hpp:21
STL class.
cfl::MultiFunction resetCap(const cfl::Data::CashFlow &rCap, double dSpread, const std::vector< double > &rResetTimes, cfl::InterestRateModel &rModel)