FINAL EXAM
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Functions | |
cfl::MultiFunction | prb::deferredStartAverageRateSwap (const std::vector< double > &rResetTimes, double dStartTime, const cfl::Data::Swap &rSwap, cfl::InterestRateModel &rModel) |
This module contains functions that compute prices of path dependent options in cfl::AssetModel and cfl::InterestRateModel.
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
where rSwap.rate and
is the market swap rate at reset time
for the contract with same parameters as the underlying swap,
.
rResetTimes | The reset times for the computation of fixed rate ( ![]() |
dStartTime | The start time for the swap; rResetTimes.back() < dStartTime. |
rSwap | The parameters of the underlying swap. |
rModel | Reference to implementation of cfl::InterestRateModel. |