class xf::fintech::LMM¶
#include "xf_fintech_lmm.hpp"
Methods¶
runCap¶
int runCap ( unsigned noTenors, unsigned noPaths, float* presentRate, float rhoBeta, float* capletVolas, float notional, float caprate, unsigned* seeds, float* outPrice )
Calculates the price of a cap option using the LIBOR Market Model (BGM) framework.
Parameters:
noTenors | Number of tenors in the model. |
noPaths | Number of MonteCarlo paths to generate. |
presentRate | Array with current LIBOR rates. |
rhoBeta | Beta parameter for correlation generation. Must be between 0 and 1. |
capletVolas | Implied caplet volatilities for the tenor structure, extracted with the Black76 model. |
notional | Notional value of the cap. |
caprate | Fixed caprate (K) for the cap. |
seeds | Array with seeds for the RNGs. Must contain UN seeds. |
outPrice | Calculated output price. |
runRatchetFloater¶
int runRatchetFloater ( unsigned noTenors, unsigned noPaths, float* presentRate, float rhoBeta, float* capletVolas, float notional, float rfX, float rfY, float rfAlpha, unsigned* seeds, float* outPrice )
Calculates the price of a ratchet floater option using the LIBOR Market Model (BGM) framework.
Parameters:
noTenors | Number of tenors in the model. |
noPaths | Number of MonteCarlo paths to generate. |
presentRate | Array with current LIBOR rates. |
rhoBeta | Beta parameter for correlation generation. Must be between 0 and 1. |
capletVolas | Implied caplet volatilities for the tenor structure, extracted with the Black76 model. |
notional | Notional value of the ratchet floater. |
rfX | X parameter for the ratchet floater. |
rfY | Y parameter for the ratchet floater. |
rfAlpha | alpha parameter for the ratchet floater. |
seeds | Array with seeds for the RNGs. Must contain UN seeds. |
outPrice | Calculated output price. |
runRatchetCap¶
int runRatchetCap ( unsigned noTenors, unsigned noPaths, float* presentRate, float rhoBeta, float* capletVolas, float notional, float spread, float kappa0, unsigned* seeds, float* outPrice )
Calculates the price of a ratchet cap option using the LIBOR Market Model (BGM) framework.
Parameters:
noTenors | Number of tenors in the model. |
noPaths | Number of MonteCarlo paths to generate. |
presentRate | Array with current LIBOR rates. |
rhoBeta | Beta parameter for correlation generation. Must be between 0 and 1. |
capletVolas | Implied caplet volatilities for the tenor structure, extracted with the Black76 model. |
notional | Notional value of the ratchet cap. |
spread | Spread parameter (s) of the ratchet cap pricing. |
kappa0 | Initial spread parameter (k0) of the ratchet cap pricing. |
seeds | Array with seeds for the RNGs. Must contain UN seeds. |
outPrice | Calculated output price. |