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

CPICapFloorEngine ()

default constructor

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

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