Class Forward

Defined in File forward.hpp

Class Documentation

class Forward

Public Functions

inline Forward(double spot, double tenor, double borrow_rate, double interest_rate, const DividendTable &div)

inline void set_tenor(double v)

inline void set_spot(double v)

inline void set_borrow_rate(double v)

inline void set_interest_rate(double v)

inline void set_dividend(const DividendTable &div)

double forward()

double d_forward_d_q()

double implied_borrow(double fwd)

inline double hedge_rate_growth(double t, double T)

inline double hedge_rate_discount(double t, double T)