SAMPLE EXAM 1
Functions
Path dependent options.

Functions

cfl::MultiFunction prb::clique (double dMaturity, const std::vector< double > &rAverageTimes, const std::vector< double > &rResetTimes, double dInitialStrike, cfl::AssetModel &rModel)
 

Detailed Description

This module contains functions that compute prices of path dependent options in cfl::AssetModel and cfl::InterestRateModel.

Function Documentation

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:

\[ V(T) = \frac1{N} \sum_{i=1}^N \max(S(t_i) - K(t_i), 0), \]

where the summation is done over the set of averaging times rAverageTimes and $S(t_i)$ and $K(t_i)$ are, respectively, the spot price and the strike at $t_i$. The value of the strike $K(t)$ at time $t$ is given by the initial strike dInitialStrike, if there are no reset times before $t$, and the spot price at the previous reset time, otherwise.

Parameters
dMaturityThe maturity of the option.
rAverageTimesThe vector of averaging times. The last averaging time is less than the maturity.
rResetTimesThe vector of reset times. Neither of reset times is an exercise time. The last reset time is less than the last exercise time.
dInitialStrikeThe initial strike.
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.