FINAL EXAM
Namespaces | Functions
Exam.hpp File Reference

Final Exam for the course Financial Computing with C++. More...

#include "cfl/Data.hpp"
#include "cfl/AssetModel.hpp"
#include "cfl/InterestRateModel.hpp"
#include <numeric>
Include dependency graph for Exam.hpp:

Go to the source code of this file.

Namespaces

 prb
 Problems for the course.
 

Functions

cfl::Function prb::forwardFXFit (double dSpotFX, const std::vector< double > &rMaturities, const std::vector< double > &rDomesticDiscountFactors, const std::vector< double > &rForeignDiscountFactors, double dInitialTime)
 
cfl::MultiFunction prb::downAndRebateOrUpAndOut (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rLowerBarrierTimes, const std::vector< double > &rUpperBarrierTimes, cfl::AssetModel &rModel)
 
cfl::MultiFunction prb::capOnSwapRateArrears (const cfl::Data::CashFlow &rCap, double dSwapPeriod, unsigned iSwapPayments, cfl::InterestRateModel &rModel)
 
cfl::MultiFunction prb::deferredStartAverageRateSwap (const std::vector< double > &rResetTimes, double dStartTime, const cfl::Data::Swap &rSwap, cfl::InterestRateModel &rModel)
 

Detailed Description

Final Exam for the course Financial Computing with C++.

Author
Dmitry Kramkov
Date
December, 2018