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Bond Class Reference

#include <Bond.h>

List of all members.


Detailed Description

General bond

that is, a linear combination of zero coupon bonds based on a Libor market model. It is assumed that . BondCall.

Definition at line 64 of file Bond.h.

Public Member Functions

LiborMarketModelgetLMM () const
void setLMM (LiborMarketModel *lmm)
int get_p () const
int get_q () const
const RealArray1Dget_c () const
const RealArray1Dget_b () const
 Bond (int k, int m, const RealArray1D &d, LiborMarketModel *lmm)
 Bond (int i, LiborMarketModel *lmm)
Real forwardPrice (int t) const
Real forwardPrice () const
Real cashPrice (int t) const
Real cashPrice () const
std::ostream & printSelf (std::ostream &os) const


Constructor & Destructor Documentation

Bond::Bond int    k,
int    m,
const RealArray1D   d,
LiborMarketModel   lmm
 

General bond portfolio, ie. linear combination of zero coupon bonds

Parameters:
k,m = p,q.
d coupons.
lmm underlying Libor market model.

Bond::Bond int    i,
LiborMarketModel   lmm
 

Zero coupon bonds maturing at time .

Parameters:
i bond matures at time .
lmm underlying Libor market model.


Member Function Documentation

LiborMarketModel* Bond::getLMM   const [inline]
 

The underlying Libor market model

Definition at line 78 of file Bond.h.

void Bond::setLMM LiborMarketModel   lmm [inline]
 

Resets the underlying Libor market model.

Definition at line 81 of file Bond.h.

int Bond::get_p   const [inline]
 

See bond definition.

Definition at line 84 of file Bond.h.

int Bond::get_q   const [inline]
 

See bond definition.

Definition at line 87 of file Bond.h.

const RealArray1D& Bond::get_c   const [inline]
 

See bond definition.

Definition at line 90 of file Bond.h.

const RealArray1D& Bond::get_b   const [inline]
 

.

Definition at line 93 of file Bond.h.

Real Bond::forwardPrice int    t const
 

Forward price at time from current Libor path.

Real Bond::forwardPrice   const
 

Forward price at time .

Real Bond::cashPrice int    t const
 

Cash price at time from current Libor path.

Real Bond::cashPrice   const
 

Cash price at time .

std::ostream& Bond::printSelf std::ostream &    os const
 

Message identifying the object.


The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:32 2003 for Libor-Library by doxygen1.3-rc3