FINAL EXAM
Functions
Path dependent options.

Functions

cfl::MultiFunction prb::deferredStartAverageRateSwap (const std::vector< double > &rResetTimes, double dStartTime, const cfl::Data::Swap &rSwap, cfl::InterestRateModel &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::deferredStartAverageRateSwap ( const std::vector< double > &  rResetTimes,
double  dStartTime,
const cfl::Data::Swap rSwap,
cfl::InterestRateModel rModel 
)

Computes the value of the deferred start average rate swap. The swap starts at dStartTime with the fixed rate

\[ \frac1{1+M}(R_0 + \sum_{i=1}^M R_i), \]

where $R_0=$ rSwap.rate and $R_i$ is the market swap rate at reset time $s_i$ for the contract with same parameters as the underlying swap, $i=1,\dots,M$.

Parameters
rResetTimesThe reset times for the computation of fixed rate ( $(s_i)_{i=1,\dots,M}$); rResetTimes.front() > rModel.initialTime().
dStartTimeThe start time for the swap; rResetTimes.back() < dStartTime.
rSwapThe parameters of the underlying swap.
rModelReference to implementation of cfl::InterestRateModel.
Returns
The price of the option as the function of the initial values of the state processes in the model.