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

InflationCapFloorEngine

InflationCapFloorEngine ()

default constructor

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