mainrainbowoptions.cpp File Reference

#include "../Interface/main.h"
#include "../PartI/rainbowoption.h"
#include "../PartB/YieldCurve.h"
#include <iostream>
#include <valarray>

Go to the source code of this file.

Functions
bool	mainrainbowoptions (void)
	test of the credit curve object

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Function Documentation

bool mainrainbowoptions (  void   )

test of the credit curve object Author: Yann * Types (MonteCarlo, ClosedForm ) Definition at line 13 of file mainrainbowoptions.cpp. References AssetsBasketMax, BestOf2AssetsCash, BetterOf2Assets, ClosedForm, RainbowOption::getCorrelRisk(), RainbowOption::getPartialDelta(), RainbowOption::getPartialGamma(), RainbowOption::getPartialVega(), RainbowOption::getPrice(), RainbowOption::getRho(), Max2AssetsCall, Max2AssetsPut, Min2AssetsCall, Min2AssetsPut, MonteCarlo, Real, Date::setDateToToday(), RainbowOption::setRainbowType(), SpreadOptionMax, WorseOf2Assets, and WorstOf2AssetsCash. Referenced by maintests().

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