FINAL EXAM
Exam.hpp
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1 //Copyright (c) Dmitry Kramkov, 2000-2018. All rights reserved.
2 
3 #ifndef __Exam_hpp__
4 #define __Exam_hpp__
5 
6 #include "cfl/Data.hpp"
7 #include "cfl/AssetModel.hpp"
9 #include <numeric>
10 
20 namespace prb
22 {
47  cfl::Function forwardFXFit(double dSpotFX,
48  const std::vector<double> & rMaturities,
49  const std::vector<double> & rDomesticDiscountFactors,
50  const std::vector<double> & rForeignDiscountFactors,
51  double dInitialTime);
53 
61 
88  downAndRebateOrUpAndOut(double dNotional, double dLowerBarrier,
89  double dUpperBarrier,
90  const std::vector<double> & rLowerBarrierTimes,
91  const std::vector<double> & rUpperBarrierTimes,
92  cfl::AssetModel & rModel);
94 
128  double dSwapPeriod, unsigned iSwapPayments,
129  cfl::InterestRateModel & rModel);
131 
164  double dStartTime,
165  const cfl::Data::Swap & rSwap,
166  cfl::InterestRateModel & rModel);
168 }
169 #endif // of __Exam_hpp__
cfl::MultiFunction downAndRebateOrUpAndOut(double dNotional, double dLowerBarrier, double dUpperBarrier, const std::vector< double > &rLowerBarrierTimes, const std::vector< double > &rUpperBarrierTimes, cfl::AssetModel &rModel)
cfl::MultiFunction deferredStartAverageRateSwap(const std::vector< double > &rResetTimes, double dStartTime, const cfl::Data::Swap &rSwap, cfl::InterestRateModel &rModel)
Problems for the course.
Definition: Exam.hpp:21
STL class.
cfl::Function forwardFXFit(double dSpotFX, const std::vector< double > &rMaturities, const std::vector< double > &rDomesticDiscountFactors, const std::vector< double > &rForeignDiscountFactors, double dInitialTime)
cfl::MultiFunction capOnSwapRateArrears(const cfl::Data::CashFlow &rCap, double dSwapPeriod, unsigned iSwapPayments, cfl::InterestRateModel &rModel)