Products.HTML_1.gif

functions to construct and use Market Models Products objects.

The first step is to load the QuantLib package.

Needs["QuantLib`"]

Within the Products part there are several constructors and member functions available

In[45]:=

Select[Category[Products],QLConstructor[#]&]

Out[45]=

Products.HTML_2.gif

In[46]:=

Select[Category[Products],QLMember[#]&]

Out[46]=

Products.HTML_3.gif

Constructors

MarketModelMultiProductComposite

In[47]:=

obj=MarketModelMultiProductComposite[]

Out[47]=

Products.HTML_4.gif

MarketModelOneStepForwards

Products.HTML_5.gif

In[48]:=

Products.HTML_6.gif

In[52]:=

obj=MarketModelOneStepForwards[RateTimes,Accruals,PaymentTimes,Strikes]

Out[52]=

Products.HTML_7.gif

MarketModelMultiStepRatchet

Products.HTML_8.gif

In[53]:=

Products.HTML_9.gif

In[62]:=

obj=MarketModelMultiStepRatchet[RateTimes,Accruals,PaymentTimes,GearingOfFloor,GearingOfFixing,SpreadOfFloor,SpreadOfFixing,InitialFloor,Payer]

Out[62]=

Products.HTML_10.gif

MarketModelOneStepOptionlets

Products.HTML_11.gif

Products.HTML_12.gif

obj=MarketModelOneStepOptionlets[RateTimes,Accruals,PaymentTimes,Payoffs]

Member function

MarketModelMultiProductCompositeAdd

Products.HTML_13.gif

Products.HTML_14.gif

MarketModelMultiProductCompositeAdd[obj,Product]

MarketModelMultiProductCompositeFinalize

In[63]:=

MarketModelMultiProductCompositeFinalize[obj]

MarketModelMultiProductSuggestedNumeraires

MarketModelMultiProductSuggestedNumeraires[obj]

MarketModelMultiProductPossibleCashFlowTimes

MarketModelMultiProductPossibleCashFlowTimes[obj]

MarketModelMultiProductNumberOfProducts

MarketModelMultiProductNumberOfProducts[obj]

MarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep

MarketModelMultiProductMaxNumberOfCashFlowsPerProductPerStep[obj]

Spikey Created with Wolfram Mathematica 7.0