@author Phineas Campbell

This page contains the code and details of a C++ class that can be used to build a trinomial tree for the short rate. The tree fits to the yield curve but not to the vol. curve.

The code is based on the p code on page 260 in Clewlow and Strickland and the model should not be used without reference to that text.
The code defines a C++ implementation of a tree object. By passing a set of parameters the class will build an array of nodes, each one corresponding to a node on the tree. Currently the tree is fitted to the underlying interest rate curve, but not a vol. curve.

by Bernt Arne

Calculates price of Asian option using German and Yor approach as descrbed in paper On the valuation of Asian options: the Geman-Yor Laplace transform revisited, December 2000, 24pp
LaLaplaceTransform function in file asianpricer.cpp is based on function Dv(a,z) as described in page 7 of the paper.
Note:
1.To do the inverse laplace transform, integration is performed after the bigger pole (2v+2)
2.There is problem with integration function not behaving well for oscillations, hence chunks of quad ouput are used for convergence

Results are verified to values mentioned in FMW test problem 1,2,3 mentioned in page 5 of Pricing Asian Options by Contour Integration

Here is an F2ced version of the program pfq.f

For Confluent HyperGeometric fun F(a,b,z) use:

extern void HyperGeomFun(double a_real,double a_imag,double b_real,double b_imag, double z_real, double z_imag,double* res_real,double* res_imag);

For complex gamma fn use:

extern void cgamma(double arg_real,double arg_imag,double* res_real, double* res_imag,int logFlag);ing

Setting logFlag=0 returns original value while logFlag=1 returns log of value

Fox example code refer [url="http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=10&lid=142"]Asian Option Price using German Yor's approach[/url]
suggestions are welcome, contact me at sommy1968ZNOSPAM@gmail.com

Calculates loss distribution of super CDO using Gaussian Copula.
Input overlap matrix structure is similar to table 3 page 7 as described in CDOs-Squared Demystified

Calculations are based on formulas for loss as described in Synthetic CDOs of CDOs: Squaring the Delta-Hedged Equity Trade

Program Output:
Displays bins of histogram for loss distribution.
If wGnuPlot.exe is present on the system path, uncomment the following line in main.cpp to display bar graph:
//#define HAVE_GNUPLOT 1