FINAL EXAM
Functions
Standard and barrier options on interest rates.

Functions

cfl::MultiFunction prb::capOnSwapRateArrears (const cfl::Data::CashFlow &rCap, double dSwapPeriod, unsigned iSwapPayments, cfl::InterestRateModel &rModel)
 

Detailed Description

This module contains functions that compute prices of standard and barrier options in cfl::InterestRateModel.

Function Documentation

cfl::MultiFunction prb::capOnSwapRateArrears ( const cfl::Data::CashFlow rCap,
double  dSwapPeriod,
unsigned  iSwapPayments,
cfl::InterestRateModel rModel 
)

Computes the price of cap on swap rate set in arrears. In this contract, the payments occur at the times

t(i) = rModel.initialTime() + i*rCap.period,
i=1,...,rCap.numberOfPayments,

and given by

rCap.notional*rCap.period*max(R(t(i)) - rCap.rate,0.)

where R(t(i)) is the swap rate computed at t(i) in the swap contract with number of payments iSwapPayments and the interval between the payments dSwapPeriod.

Parameters
rCapThe parameters of interest rate cap.
dSwapPeriodThe period in the interest rate swap.
iSwapPaymentsThe number of payments in interest rate 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.