| #ifndef __HJM_SECURITIES__ |
| #define __HJM_SECURITIES__ |
| |
| #include "HJM_type.h" |
| |
| int HJM_SimPath_Yield(FTYPE **ppdHJMPath, int iN, int iFactors, FTYPE dYears, FTYPE *pdYield, FTYPE **ppdFactors); |
| int HJM_SimPath_Forward(FTYPE **ppdHJMPath, int iN, int iFactors, FTYPE dYears, FTYPE *pdForward, FTYPE *pdTotalDrift, |
| FTYPE **ppdFactors, long *iSeed); |
| int HJM_Yield_to_Forward(FTYPE *pdForward, int iN, FTYPE *pdYield); |
| int HJM_Factors(FTYPE **ppdFactors,int iN, int iFactors, FTYPE *pdVol, FTYPE **ppdFacBreak); |
| int HJM_Drifts(FTYPE *pdTotalDrift, FTYPE **ppdDrifts, int iN, int iFactors, FTYPE dYears, FTYPE **ppdFactors); |
| int HJM_Correlations(FTYPE **ppdHJMCorr, int iN, int iFactors, FTYPE **ppdFactors); |
| int HJM_Forward_to_Yield(FTYPE *pdYield, int iN, FTYPE *pdForward); |
| int Discount_Factors(FTYPE *pdDiscountFactors, int iN, FTYPE dYears, FTYPE *pdRatePath); |
| FTYPE dMax( FTYPE dA, FTYPE dB ); |
| |
| #endif //__HJM_SECURITIES__ |
