SAMPLE EXAM 2
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Functions | |
cfl::MultiFunction | prb::boost (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rBarrierTimes, cfl::AssetModel &rModel) |
This module contains functions that compute prices of standard and barrier options in cfl::AssetModel.
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:
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.
dNotional | The notional amount. |
dLowerBarrier | The lower barrier. |
dUpperBarrier | The upper barrier. |
rBarrierTimes | The vector of barrier times. The first time is greater than the initial time. |
rModel | Reference to implementation of AssetModel. |