This module contains functions that compute prices of path dependent options in cfl::AssetModel and cfl::InterestRateModel.
Computes the price of index amortizing swap. In this contract, the sides make interest payments similar to standard interest rate swap. However, the notional amount is reset at payment times by float (LIBOR) rate according to amortizing function fAmortizing. In addition, the swap is canceled as soon as the remaining notional amount reaches the level below dLowerThreshold percents of the original notional amount rSwap.notional.
- Parameters
-
rSwap | The parameters of the swap contract. |
fAmortizing | The amortizing function for the notional (usually, decreasing and taking values in (0,1)) |
dLowerThreshold | The threshold for the cleanup call. |
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.