HJM.h

#include <assert.h>
#include "HJM_type.h"

#include <cstring>

FTYPE RanUnif( long *s );
FTYPE CumNormalInv( FTYPE u );

int HJM_SimPath_Forward_Blocking(FTYPE *ppdHJMPath, int iN, int iFactors, FTYPE dYears, FTYPE *pdForward, FTYPE *pdTotalDrift,
    FTYPE *ppdFactors, long *lRndSeed, int BLOCKSIZE, FTYPE *pdZ, FTYPE *randZ);

int Discount_Factors_Blocking(FTYPE *pdDiscountFactors, int iN, FTYPE dYears, FTYPE *pdRatePath, int BLOCKSIZE, FTYPE *pdexpRes);

int HJM_Swaption_Blocking(FTYPE *pdSwaptionPrice, //Output vector that will store simulation results in the form:
    //Swaption Price
    //Swaption Standard Error
    //Swaption Parameters 
    FTYPE dStrike,				  
    FTYPE dCompounding,     //Compounding convention used for quoting the strike (0 => continuous,
    //0.5 => semi-annual, 1 => annual).
    FTYPE dMaturity,	      //Maturity of the swaption (time to expiration)
    FTYPE dTenor,	      //Tenor of the swap
    FTYPE dPaymentInterval, //frequency of swap payments e.g. dPaymentInterval = 0.5 implies a swap payment every half
    //year
    //HJM Framework Parameters (please refer HJM.cpp for explanation of variables and functions)
    int iN,						
    int iFactors, 
    FTYPE dYears, 
    FTYPE *pdYield, 
    FTYPE *ppdFactors,
    //Simulation Parameters
    long iRndSeed, 
    long lTrials, int blocksize, int tid,
		FTYPE *ppdHJMPath, FTYPE *pdForward, FTYPE *ppdDrifts, FTYPE *pdTotalDrift,
		FTYPE *pdDiscountingRatePath, FTYPE *pdPayoffDiscountFactors, FTYPE *pdSwapRatePath, FTYPE *pdSwapDiscountFactors, FTYPE *pdSwapPayoffs,
		FTYPE *pdZ, FTYPE *randZ,
		FTYPE *pdexpRes);
/*
extern "C" FTYPE *dvector(long length);
extern "C" FTYPE **dmatrix(long rows, long cols);
extern "C" void free_dvector(FTYPE *v);
extern "C" void free_dmatrix(FTYPE **m);
*/