SAMPLE EXAM 2
Functions
Standard and barrier options on a single stock.

Functions

cfl::MultiFunction prb::boost (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel)
 

Detailed Description

This module contains functions that compute prices of standard and barrier options in cfl::AssetModel.

Function Documentation

cfl::MultiFunction prb::boost ( double  dNotional,
double  dLowerBarrier,
double  dUpperBarrier,
const std::vector< double > &  rBarrierTimes,
cfl::AssetModel rModel 
)

Computes the value of the "BOOST" (Banking On Overall Stability) option. This contract terminates at the first barrier time when the stock price hits either of the barriers. At the exit time the holder of the option receives the payoff given by the product of the notional amount dNotional on the percentage of the barrier times that the price of the stock spends inside of two barriers:

Payoff at exit time = Notional * (Number of barrier times strictly
smaller then the exit time)/(Total number of barrier times)

If the price of the stock never exits the barriers, then at last barrier time the holder of the option is paid the notional amount dNotional.

Parameters
dNotionalThe notional amount.
dLowerBarrierThe lower barrier.
dUpperBarrierThe upper barrier.
rBarrierTimesThe vector of barrier times. The first time is greater than the initial time.
rModelReference to implementation of AssetModel.
Returns
The price of the option as the function of the initial values of the state processes in the model.