class xf::fintech::LMM

#include "xf_fintech_lmm.hpp"

Overview

This class implements the LIBOR Market Model framework.

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.

claimDeviceCap

int claimDeviceCap (Device* device)

Claims the device for running Cap pricing.

claimDeviceRatchetFloater

int claimDeviceRatchetFloater (Device* device)

Claims the device for running Ratchet Floater pricing.

claimDeviceRatchetCap

int claimDeviceRatchetCap (Device* device)

Claims the device for running Ratchet Cap pricing.