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BondCall Class Reference

#include <Option.h>

Inheritance diagram for BondCall:

LiborDerivative Option List of all members.

Detailed Description

Call on a general bond with strike rate based on a Libor market model and exercisable at a Libor reset point $ . It is assumed that .

Definition at line 480 of file Option.h.

Public Member Functions

Bond * getBond ()
Real getStrike ()
 BondCall (Bond *D, Real strike, int s)
Real nextForwardPayoff ()
Real controlVariateMean ()
const RealArray1D nextControlledForwardPayoff ()
Real forwardPayoff (StandardBrownianNode *node, LmmLattice *theLattice, int s)
Real analyticForwardPrice () const
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

BondCall * sample (int p, int q, int lmmType=0, int volType=2, int corrType=1)
BondCall * sampleCallOnZeroCouponBond (int p, int lmmType=0, int volType=2, int corrType=1)

Constructor & Destructor Documentation

BondCall::BondCall (  Bond *    D,
Real    strike,
int    s
) 
 

Call on general bond portfolio

Parameters:
D the underlying bond.
strike the strike price.
s call exercisable at time .

Member Function Documentation

Bond* BondCall::getBond (    )  [inline]
 

The underlying bond.

Definition at line 493 of file Option.h.

Real BondCall::getStrike (    )  [inline]
 

The strike price.

Definition at line 496 of file Option.h.

References Real.

BondCall* BondCall::sample (  int    p,
int    q,
int    lmmType = 0,
int    volType = 2,
int    corrType = 1
)  [static]
 

Sample call on bond with random coupons in [0.5,1.5] received at . Strike price = cash price of the bond, expiration at .

Parameters:
p coupons begin at .
q coupons end at .
lmmType type of Libor market model: LiborMarketModel::DL,LFDL,PC,FPC.
volType type of volatility surface, VolSurface::CONST, JR, M.
corrType type of correlations, Correlations::CS, JR.

BondCall* BondCall::sampleCallOnZeroCouponBond (  int    p,
int    lmmType = 0,
int    volType = 2,
int    corrType = 1
)  [static]
 

Sample call on zero coupon bond maturing at exercisable at time , strike price = cash price This is a worst case for the assumptions of the analytic price formulas. Dimension of LMM is chosen to be p+3.

Parameters:
p bond matures at
lmmType type of Libor market model: LiborMarketModel::DL,LFDL,PC,FPC.
volType type of volatility surface, VolSurface::CONST, JR, M.
corrType type of correlations, Correlations::CS, JR.

Real BondCall::nextForwardPayoff (    )  [virtual]
 

Next random sample of the payoff payoff compounded forward from time to time .

Reimplemented from Option.

Real BondCall::controlVariateMean (    )  [virtual]
 

Mean of the control variate. This is the forward price of the bond at time zero.

Reimplemented from Option.

const RealArray1D BondCall::nextControlledForwardPayoff (    )  [virtual]
 

Vector Z with Z[0] the next forward payoff random sample and Z[1] the corresponding control variate. Return by value since it is so small.

Reimplemented from Option.

Real BondCall::forwardPayoff (  StandardBrownianNode *    node,
LmmLattice *    theLattice,
int    s
)  [virtual]
 

Payoff at node compounded forward to time . Specialization overrides base class template.

Parameters:
s lattice time step at which the node lives.

Reimplemented from LiborDerivative.

Real BondCall::analyticForwardPrice (    )  const [virtual]
 

See book, 6.9.4.

Reimplemented from Option.

std::ostream& BondCall::printSelf (  std::ostream &    os )  const [virtual]
 

Message identifying the derivative.

Reimplemented from LiborDerivative.

The documentation for this class was generated from the following file:
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