FINAL EXAM
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Functions | |
cfl::Function | prb::forwardFXFit (double dSpotFX, const std::vector< double > &rMaturities, const std::vector< double > &rDomesticDiscountFactors, const std::vector< double > &rForeignDiscountFactors, double dInitialTime) |
This module contains functions that construct input data curves, such as volatility, forward, and discount, for financial models.
cfl::Function prb::forwardFXFit | ( | double | dSpotFX, |
const std::vector< double > & | rMaturities, | ||
const std::vector< double > & | rDomesticDiscountFactors, | ||
const std::vector< double > & | rForeignDiscountFactors, | ||
double | dInitialTime | ||
) |
Computes forward exchange rate curve in the form:
where the cost-of-carry rate A is obtained by a least square fit to the market cost-of-carry rates.
dSpotFX | The spot exchange rate. |
rMaturities | The vector of maturities for discount factors. |
rDomesticDiscountFactors | The vector of domestic discount factors. |
rForeignDiscountFactors | The vector of foreign discount factors. |
dInitialTime | The initial time. |