template class xf::fintech::InflationCapFloorEngine¶
#include "inflation_capfloor_engine.hpp"
Overview¶
InflationCapFloorEngine Inflation Cap/Floor Engine.
Parameters:
DT | data type supported include float and double. |
LEN | maximum length of array |
template < typename DT, int LEN > class InflationCapFloorEngine
Methods¶
init¶
void init ( int typeIn, DT forwardRateIn, DT* cfRateIn, DT nominalIn, DT gearingIn, DT accrualTimeIn, int size, DT* timeIn, DT* rateIn )
init initialize array and parameters
Parameters:
typeIn | 0: Cap, 1: Floor. For Collar mode, it is actually the result of Cap mode minus the result of Floor mode. |
forwardRateIn | base of forward rate |
cfRateIn | cfRateIn[0]: Cap strike rate, cfRateIn[1]: Floor strike rate |
nominalIn | nominal principal |
gearingIn | gearing |
accrualTimeIn | accrual time |
size | the actual size of array timeIn |
timeIn | array time, the difference between the maturity date and the reference date, unit is year. |
rateIn | array rate |
calcuNPV¶
DT calcuNPV (int len)
calcuNPV calculate NPV function
Parameters:
len | length of year |
Returns:
return the NPV result