FINAL EXAM
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Functions | |
cfl::MultiFunction | prb::capOnSwapRateArrears (const cfl::Data::CashFlow &rCap, double dSwapPeriod, unsigned iSwapPayments, cfl::InterestRateModel &rModel) |
This module contains functions that compute prices of standard and barrier options in cfl::InterestRateModel.
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
and given by
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.
rCap | The parameters of interest rate cap. |
dSwapPeriod | The period in the interest rate swap. |
iSwapPayments | The number of payments in interest rate swap. |
rModel | Reference to implementation of cfl::InterestRateModel. |