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LiborFunctional.h

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/* WARANTY NOTICE AND COPYRIGHT
This program is free software; you can redistribute it and/or
modify it under the terms of the GNU General Public License
as published by the Free Software Foundation; either version 2
of the License, or (at your option) any later version.

This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
GNU General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program; if not, write to the Free Software
Foundation, Inc., 59 Temple Place - Suite 330, Boston, MA  02111-1307, USA.

Copyright (C) Michael J. Meyer

matmjm@mindspring.com
spyqqqdia@yahoo.com

*/


#ifndef martingale_liborfunctional_h    
#define martingale_liborfunctional_h

#include "TypedefsMacros.h"
#include "Array.h"


MTGL_BEGIN_NAMESPACE(Martingale)

// dependencies
class BondCall;


namespace LiborFunctional {
        
        inline Real X(int j, const RealArray1D& H){ return (H[j]-H[j+1])/H[j+1]; }
        
        Real H_pq(int p, int q, const RealArray1D& H, Real delta);      
                
        Real swapRate(int p, int q, const RealArray1D& H, Real delta);
                
                
    Real forwardSwaptionPayoff
        (int p, int q, Real kappa, const RealArray1D& H, Real delta);
        
        
    Real forwardCapletPayoff
        (int i, Real kappa,const RealArray1D& H, Real delta);
        
        
    Real forwardBondCallPayoff(BondCall* bc, const RealArray1D& H);

};



MTGL_END_NAMESPACE(Martingale)

#endif

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