SAMPLE EXAM 2
Functions
Path dependent options.

Functions

cfl::MultiFunction prb::resetCap (const cfl::Data::CashFlow &rCap, double dSpread, const std::vector< double > &rResetTimes, cfl::InterestRateModel &rModel)
 

Detailed Description

This module contains functions that compute prices of path dependent options in cfl::AssetModel and cfl::InterestRateModel.

Function Documentation

cfl::MultiFunction prb::resetCap ( const cfl::Data::CashFlow rCap,
double  dSpread,
const std::vector< double > &  rResetTimes,
cfl::InterestRateModel rModel 
)

Computes the price of resettable interest rate cap. In this contract, the cap rate is reset at times rResetTimes to the float rate plus spread dSpread.

Parameters
rCapThe parameters of interest rate cap. The initial cap rate is given by rCap.rate.
dSpreadThe spread added to float rate in order to compute resettable cap rate.
rResetTimesThe vector of reset times for cap rate.
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.