template class xf::fintech::CPICapFloorEngine¶
#include "cpi_capfloor_engine.hpp"
Overview¶
CPICapFloorEngine CPI Cap/Floor Engine.
Parameters:
DT | data type supported include float and double. |
LEN | maximum length of array |
template < typename DT, int LEN > class CPICapFloorEngine
Methods¶
init¶
void init ( int xSize, int ySize, DT* timeIn, DT* rateIn, DT* priceIn )
init initialize arrays and parameters
Parameters:
xSize | the actual size of array timeIn |
ySize | the actual size of array rateIn |
timeIn | array time, the difference between the maturity date and the reference date, unit is year. |
rateIn | array rate |
priceIn | array price |
calcuNPV¶
DT calcuNPV ( DT t, DT r )
calcuNPV calculate NPV function
Parameters:
t | the difference between the maturity date and the reference date, unit is year. |
r | the strike rate |
Returns:
return the NPV result