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LiborFunctional Namespace Reference


Detailed Description

Free standing functions computing various functionals F of the Libor process as deterministic functions of a vector

of accrual factors at time t. It is assumed that the vector H has natural indexation and of course that it contains all the accrual factors which are needed for the computation of F.

Assumption: all Libor compounding periods have the same length. This class has to be rewritten if we work with LMM with irregular tenor structure.

Note that the time t does not explicitly enter in any of the computations. Only the information in the vector H is needed..


Functions

Real X (int j, const RealArray1D &H)
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)


Function Documentation

Real X int    j,
const RealArray1D   H
[inline]
 

Libor .

Parameters:
H vector of accrual factors.

Definition at line 65 of file LiborFunctional.h.

References Real.

Referenced by Pricing::betaCoefficient(), Array1D< const UTRRealMatrix * >::dotProduct(), FirstExitTime< RangeType, ScalarType >::FirstExitTime(), PathFunctional< ProcessRangeType, RangeType >::getProcess(), HittingTime< RangeType, ScalarType >::HittingTime(), FirstExitTime< RangeType, ScalarType >::stop(), HittingTime< RangeType, ScalarType >::stop(), SumFunctional::SumFunctional(), and SumFunctional::valueAlongCurrentPath().

Real H_pq int    p,
int    q,
const RealArray1D   H,
Real    delta
 

Forward annuity (forward price of a basis point) on [T_p,T_q].

Parameters:
H vector of accrual factors.
delta length of all Libor accrual periods.

Real swapRate int    p,
int    q,
const RealArray1D   H,
Real    delta
 

Swaprate for swap on [T_p,T_q].

Parameters:
H vector of accrual factors.
delta length of all Libor accrual periods.

Real forwardSwaptionPayoff int    p,
int    q,
Real    kappa,
const RealArray1D   H,
Real    delta
 

Payoff of a forward swaption with strike rate kappa exercising into a swap on the interval [T_p,T_q]. Payoff is accrued forward to the horizon T_n.

Parameters:
H vector of accrual factors.
delta length of all Libor accrual periods.

Real forwardCapletPayoff int    i,
Real    kappa,
const RealArray1D   H,
Real    delta
 

Payoff of a caplet with strike rate kappa on the interval [T_i,T_{i+1}]. Payoff is accrued forward to the horizon T_n. It is assumed that the vector H is computed at time T_i. Slightly inaccurate since we are using to compound the payoff forward instead of the correct accrual factor .

Parameters:
H vector of accrual factors.
delta length of all Libor accrual periods.

Real forwardBondCallPayoff BondCall   bc,
const RealArray1D   H
 

Payoff of the BondCall accrued forward to the horizon T_n.

Parameters:
bc the BondCall.
H vector of accrual factors.


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