SAMPLE EXAM 3
Namespaces | Functions
SampleExam3.hpp File Reference

Final Exam for the course Financial Computing with C++. More...

#include "cfl/Data.hpp"
#include "cfl/AssetModel.hpp"
#include "cfl/InterestRateModel.hpp"
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Go to the source code of this file.

Namespaces

 prb
 Problems for the course.
 

Functions

cfl::Function prb::volatilityLinearInterpOfVar (const std::vector< double > &rMaturities, const std::vector< double > &rVolatilities, double dInitialTime)
 
cfl::MultiFunction prb::compoundCallAmericanPut (double dMaturity, double dCompoundCallStrike, double dPutStrike, const std::vector< double > &rExerciseTimes, cfl::AssetModel &rModel)
 
cfl::MultiFunction prb::callableCappedFloater (const cfl::Data::CashFlow &rCap, double dLiborSpread, cfl::InterestRateModel &rModel)
 
cfl::MultiFunction prb::indexAmortizingSwap (const cfl::Data::Swap &rSwap, double(*fAmortizing)(double), double dLowerThreshold, cfl::InterestRateModel &rModel)
 

Detailed Description

Final Exam for the course Financial Computing with C++.

Author
Dmitry Kramkov
Date
2008