FINAL EXAM
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Functions | |
cfl::MultiFunction | prb::downAndRebateOrUpAndOut (double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rLowerBarrierTimes, const std::vector< double > &rUpperBarrierTimes, cfl::AssetModel &rModel) |
This module contains functions that compute prices of standard and barrier options in cfl::AssetModel.
cfl::MultiFunction prb::downAndRebateOrUpAndOut | ( | double | dNotional, |
double | dLowerBarrier, | ||
double | dUpperBarrier, | ||
const std::vector< double > & | rLowerBarrierTimes, | ||
const std::vector< double > & | rUpperBarrierTimes, | ||
cfl::AssetModel & | rModel | ||
) |
Computes the value of the down-and-rebate or up-and-out barrier option. There are two types of barrier events:
After any of the barrier events the option is terminated. If neither of the barriers has been crossed, then the option expires worthless.
dNotional | The notional amount. |
dLowerBarrier | The lower barrier. |
dUpperBarrier | The upper barrier. |
rLowerBarrierTimes | The lower barrier times. |
rUpperBarrierTimes | The upper barrier times. |
rModel | Reference to implementation of cfl::AssetModel. |