SAMPLE EXAM 1
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Functions | |
cfl::MultiFunction | prb::clique (double dMaturity, const std::vector< double > &rAverageTimes, const std::vector< double > &rResetTimes, double dInitialStrike, cfl::AssetModel &rModel) |
This module contains functions that compute prices of path dependent options in cfl::AssetModel and cfl::InterestRateModel.
cfl::MultiFunction prb::clique | ( | double | dMaturity, |
const std::vector< double > & | rAverageTimes, | ||
const std::vector< double > & | rResetTimes, | ||
double | dInitialStrike, | ||
cfl::AssetModel & | rModel | ||
) |
Computes the price of the clique option. The payoff of the option at maturity is given by:
where the summation is done over the set of averaging times rAverageTimes and and
are, respectively, the spot price and the strike at
. The value of the strike
at time
is given by the initial strike dInitialStrike, if there are no reset times before
, and the spot price at the previous reset time, otherwise.
dMaturity | The maturity of the option. |
rAverageTimes | The vector of averaging times. The last averaging time is less than the maturity. |
rResetTimes | The vector of reset times. Neither of reset times is an exercise time. The last reset time is less than the last exercise time. |
dInitialStrike | The initial strike. |
rModel | Reference to implementation of AssetModel. |