treeCallableEngine - 2024.1 English

#include "xf_fintech/tree_engine.hpp"

template <
    typename DT,
    typename Model,
    typename Process,
    int DIM,
    int LEN,
    int LEN2
    >
void treeCallableEngine (
    Model& model,
    DT* process,
    int type,
    DT fixedRate,
    int timestep,
    DT initTime [LEN],
    int initSize,
    int* callableCnt,
    int* paymentCnt,
    DT flatRate,
    DT nominal,
    DT x0,
    DT spread,
    DT* NPV
    )

Tree Callable Fixed Rate Bond Pricing Engine using Trinomial Tree based 1D Lattice method.

Parameters:

DT	supported data type including double and float data type, which decides the precision of result.
Model	short-rate model
Process	stochastic process
DIM	1D or 2D short-rate model
LEN	maximum length of timestep, which affects the latency and resources utilization.
LEN2	maximum length of node of tree, which affects the latency and resources utilization.
model	short-rate model that has been initialized
process	parameters of stochastic process
type	type of the callability, 0: Call, 1: Put
fixedRate	fixed annual interest rate.
timestep	estimate the number of discrete steps from 0 to T, T is the expiry time.
initTime	the time including begin timepoint, end timepoint, exercise timepoints, floating coupon timepoints, and fixed coupon timepoints is arranged from small to large. The timepoints are relative values based on the reference date the unit is year.
initSize	the length of array initTime.
callableCnt	callable timepoints count in initTime.
paymentCnt	payment timepoints count in initTime.
flatRate	floating benchmark annual interest rate
nominal	nominal principal
x0	initial underlying
spread	spreads on interest rates
NPV	is pricing result array of this engine

#include "xf_fintech/tree_engine.hpp"

template <
    typename DT,
    typename Model,
    typename Process,
    int DIM,
    int LEN,
    int LEN2
    >
void treeCallableEngine (
    Model& model,
    DT* process1,
    DT* process2,
    int type,
    DT fixedRate,
    int timestep,
    DT initTime [LEN],
    int initSize,
    int* callableCnt,
    int* paymentCnt,
    DT flatRate,
    DT nominal,
    DT x0,
    DT spread,
    DT rho,
    DT* NPV
    )

Tree Callable Fixed Rate Bond Pricing Engine using Trinomial Tree based 2D Lattice method.

Parameters:

DT	supported data type including double and float data type, which decides the precision of result.
Model	short-rate model
Process	stochastic process
DIM	1D or 2D short-rate model
LEN	maximum length of timestep, which affects the latency and resources utilization.
LEN2	maximum length of node of tree, which affects the latency and resources utilization.
model	short-rate model that has been initialized
process1	1st dimensional parameters of stochastic process
process2	2nd dimensional parameters of stochastic process
type	type of the callability, 0: Call, 1: Put
fixedRate	fixed annual interest rate.
timestep	estimate the number of discrete steps from 0 to T, T is the expiry time.
initTime	the time including begin timepoint, end timepoint, exercise timepoints, floating coupon timepoints, and fixed coupon timepoints is arranged from small to large. The timepoints are relative values based on the reference date the unit is year.
initSize	the length of array initTime.
callableCnt	callable timepoints count in initTime.
paymentCnt	payment timepoints count in initTime.
flatRate	floating benchmark annual interest rate
nominal	nominal principal
x0	initial underlying
spread	spreads on interest rates
rho	the correlation coefficient between price and variance.
NPV	is pricing result array of this engine