This module contains functions that compute prices of path dependent options in cfl::AssetModel and cfl::InterestRateModel.
Computes the price of resettable interest rate cap. In this contract, the cap rate is reset at times rResetTimes to the float rate plus spread dSpread.
- Parameters
-
rCap | The parameters of interest rate cap. The initial cap rate is given by rCap.rate. |
dSpread | The spread added to float rate in order to compute resettable cap rate. |
rResetTimes | The vector of reset times for cap rate. |
rModel | Reference to implementation of InterestRateModel. |
- Returns
- The price of the option as the function of the initial values of the state processes in the model.