SAMPLE EXAM 1
SampleExam1.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2006. All rights reserved.
2 
3 #ifndef __SampleExam1_hpp__
4 #define __SampleExam1_hpp__
5 
6 #include "cfl/Data.hpp"
7 #include "cfl/AssetModel.hpp"
9 
20 namespace prb
22 {
30 
46  forwardStockDividends(double dSpot,
47  std::vector<double> & rFixedDividendsTimes,
48  std::vector<double> & rFixedDividends,
49  const cfl::Function & rDiscount,
50  double dInitialTime);
51 
53 
61 
82  cfl::MultiFunction upRangeOutPut(double dUpperBarrier, unsigned iOutTimes,
83  const std::vector<double> & rBarrierTimes,
84  double dStrike, double dMaturity,
85  cfl::AssetModel & rModel);
86 
88 
96 
132  futureOnCheapToDeliver(double dFutureMaturity,
133  unsigned iFutureTimes,
134  const std::vector<cfl::Data::CashFlow> & rBonds,
135  cfl::InterestRateModel & rModel);
136 
138 
146 
174  cfl::MultiFunction clique(double dMaturity,
175  const std::vector<double> & rAverageTimes,
176  const std::vector<double> & rResetTimes,
177  double dInitialStrike,
178  cfl::AssetModel & rModel);
179 
181 }
182 
183 #endif // of __SampleExam1_hpp__
cfl::MultiFunction clique(double dMaturity, const std::vector< double > &rAverageTimes, const std::vector< double > &rResetTimes, double dInitialStrike, cfl::AssetModel &rModel)
cfl::MultiFunction upRangeOutPut(double dUpperBarrier, unsigned iOutTimes, const std::vector< double > &rBarrierTimes, double dStrike, double dMaturity, cfl::AssetModel &rModel)
Problems for the course.
Definition: SampleExam1.hpp:21
cfl::Function forwardStockDividends(double dSpot, std::vector< double > &rFixedDividendsTimes, std::vector< double > &rFixedDividends, const cfl::Function &rDiscount, double dInitialTime)
STL class.
cfl::MultiFunction futureOnCheapToDeliver(double dFutureMaturity, unsigned iFutureTimes, const std::vector< cfl::Data::CashFlow > &rBonds, cfl::InterestRateModel &rModel)