SAMPLE EXAM 3
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Functions | |
cfl::MultiFunction | prb::callableCappedFloater (const cfl::Data::CashFlow &rCap, double dLiborSpread, cfl::InterestRateModel &rModel) |
This module contains functions that compute prices of standard and barrier options in cfl::InterestRateModel.
cfl::MultiFunction prb::callableCappedFloater | ( | const cfl::Data::CashFlow & | rCap, |
double | dLiborSpread, | ||
cfl::InterestRateModel & | rModel | ||
) |
Computes the price of callable capped floater. In this contract, at an exercise time the holder of the option receives the coupon
where is the LIBOR rate computed at
for maturity
,
is the notional amount (rCap.notional),
is the spread over LIBOR (dLiborSpread),
is the cap rate (rCap.rate) and
is the time interval between two payments (rCap.period). The seller can terminate the contract at any exercise time. In this case, in addition to the above coupon he pays the notional. If the contract has not been terminated before, then at maturity the holder receives the above coupon plus notional.
rCap | The parameters of the contract. Here rCap.rate defines the cap rate. |
dLiborSpread | The spread over LIBOR rate. |
rModel | Reference to implementation of InterestRateModel. |