bondopt_put_coupon_bs.cc

Financial Recipes

#include <cmath>
#include <vector>
using namespace std;
#include "normdist.h"
#include "fin_recipes.h" 

double bond_option_price_put_coupon_bond_black_scholes( double B,
							double X,
							double r,
							double sigma,
							double time, 
							vector<double> coupon_times, 
							vector<double> coupon_amounts){
    for (unsigned int i=0;i<coupon_times.size();i++) {
	if (coupon_times[i]<=time) {
	    B -= coupon_amounts[i] * exp(-r*coupon_times[i]);
	};
    };
    return bond_option_price_put_zero_black_scholes(B,X,r,sigma,time);
};