some renaming only, no real change

Author: jberthold

Instruments_test.sml

@@ -2,7 +2,7 @@ structure Instruments_Test = struct
 open Currency Contract Instruments
 fun pr s c = print (s ^ ":\n " ^ ppContr c ^ "\n")              
 
-val fxput = vanillaFx Put "F" "Nordea" (USD, SEK) 30E6 6.3 365
+val fxput = vanillaFx Put "F" "us" (USD, SEK) 30E6 6.3 365
 val () = pr "fxput" fxput
 
 val touch = fxBarrierTouch "me" "you" EUR 1000.0 (EUR,USD) 1.0 Up (12*30)

loadscript

@@ -7,8 +7,8 @@ app use ["DateUtil.sml", "ListSort.sig", "ListSort.sml", "CURRENCY.sig", "Curren
 (* bring contract "constructors" in direct scope *)
 open Currency Contract Instruments;
 
-print "vanillaFx Put \"F\" \"Nordea\" (USD,SEK) 30E6 6.3 365:\n";
+print "vanillaFx Put \"F\" \"us\" (USD,SEK) 30E6 6.3 365:\n";
 
-val fxput = vanillaFx Put "F" "Nordea" (USD,SEK) 30E6 6.3 365;
+val fxput = vanillaFx Put "F" "us" (USD,SEK) 30E6 6.3 365;
 
 

nordea2013-12-05.txt renamed to meetingnotes2013-12-15.txt

@@ -6,7 +6,7 @@
 			by Martin Elsman, DIKU
 		 with Patrick Bahr and Jost Berthold
 
-			Presentation at Nordea
+                            Presentation
 
 
 -----
@@ -35,7 +35,7 @@
 
  - vanilla call option
 
- - Nordea portfolio
+ - Example portfolio
 
 * Formal treatment (semantics)
 

portfolio.sml

@@ -6,38 +6,38 @@ in
 (* single barrier options: directly taken from table *)
 
 val singleBarriers =
-    [ fxSingleBarrierOut "Nordea" "A" (USD,SEK) Call Down 10E6 6.60 6.25 180 (* 6 months *)
-    , fxSingleBarrierOut "A" "Nordea" (USD,SEK) Call Down 15E6 6.40 6.25 180 (* 6 months *)
-    , fxSingleBarrierIn  "B" "Nordea" (USD,SEK) Put  Up   50E6 6.40 6.80 360 (* 1 year *)
-    , fxSingleBarrierOut "C" "Nordea" (USD,SEK) Call Down  5E6 6.30 6.70 360 (* 1 year *)
-    , fxSingleBarrierIn  "D" "Nordea" (USD,SEK) Put  Down 50E6 6.70 6.20 360 (* 1 year *)
+    [ fxSingleBarrierOut "us" "A" (USD,SEK) Call Down 10E6 6.60 6.25 180 (* 6 months *)
+    , fxSingleBarrierOut "A" "us" (USD,SEK) Call Down 15E6 6.40 6.25 180 (* 6 months *)
+    , fxSingleBarrierIn  "B" "us" (USD,SEK) Put  Up   50E6 6.40 6.80 360 (* 1 year *)
+    , fxSingleBarrierOut "C" "us" (USD,SEK) Call Down  5E6 6.30 6.70 360 (* 1 year *)
+    , fxSingleBarrierIn  "D" "us" (USD,SEK) Put  Down 50E6 6.70 6.20 360 (* 1 year *)
     ]
 
 val doubleBarriers =
-    [ fxDoubleBarrierIn  "A" "Nordea" (USD,SEK) Call  5E6 6.60 (6.20,6.80) 90 (* 3 months *)
-    , fxDoubleBarrierOut "B" "Nordea" (USD,SEK) Call 10E6 6.40 (6.20,6.80) 90
-    , fxDoubleBarrierOut "B" "Nordea" (USD,SEK) Put   8E6 6.50 (6.20,6.80) 90
-    , fxDoubleBarrierIn  "D" "Nordea" (USD,SEK) Put  40E6 6.30 (6.10,6.70) 360 (* 1 year *)
+    [ fxDoubleBarrierIn  "A" "us" (USD,SEK) Call  5E6 6.60 (6.20,6.80) 90 (* 3 months *)
+    , fxDoubleBarrierOut "B" "us" (USD,SEK) Call 10E6 6.40 (6.20,6.80) 90
+    , fxDoubleBarrierOut "B" "us" (USD,SEK) Put   8E6 6.50 (6.20,6.80) 90
+    , fxDoubleBarrierIn  "D" "us" (USD,SEK) Put  40E6 6.30 (6.10,6.70) 360 (* 1 year *)
     ]
 
 (* Asian options: not yet handled (needs observable average computation) *)
 
 val touchOptions =
-    [ fxBarrierTouch   "C" "Nordea" USD (0.04 * 10E6) (USD,SEK) 6.90 Up   180 (* 6 months *)
-    , fxBarrierTouch   "D" "Nordea" USD (0.03 * 20E6) (USD,SEK) 6.15 Down 360 (* 12 months*) 
-    , fxBarrierNoTouch "A" "Nordea" USD (0.07 * 20E6) (USD,SEK) 6.70 Up   180 (* 6 months*) 
-    , fxBarrierNoTouch "B" "Nordea" USD (0.08 * 20E6) (USD,SEK) 6.25 Down 360 (* 12 months*) 
+    [ fxBarrierTouch   "C" "us" USD (0.04 * 10E6) (USD,SEK) 6.90 Up   180 (* 6 months *)
+    , fxBarrierTouch   "D" "us" USD (0.03 * 20E6) (USD,SEK) 6.15 Down 360 (* 12 months*) 
+    , fxBarrierNoTouch "A" "us" USD (0.07 * 20E6) (USD,SEK) 6.70 Up   180 (* 6 months*) 
+    , fxBarrierNoTouch "B" "us" USD (0.08 * 20E6) (USD,SEK) 6.25 Down 360 (* 12 months*) 
     ]
 
 val vanillas =
-    [ vanillaFx Call "Nordea" "F" (USD,SEK) 10E6 6.60 90  (* 3 months *)
-    , vanillaFx Put  "Nordea" "F" (USD,SEK) 10E6 6.30 180 (* 6 months *)
-    , vanillaFx Put  "F" "Nordea" (USD,SEK) 10E6 6.30 360 (* 12 months *)
-    , vanillaFx Put  "Nordea" "F" (USD,SEK) 10E6 6.30 720 (* 24 months *)
+    [ vanillaFx Call "us" "F" (USD,SEK) 10E6 6.60 90  (* 3 months *)
+    , vanillaFx Put  "us" "F" (USD,SEK) 10E6 6.30 180 (* 6 months *)
+    , vanillaFx Put  "F" "us" (USD,SEK) 10E6 6.30 360 (* 12 months *)
+    , vanillaFx Put  "us" "F" (USD,SEK) 10E6 6.30 720 (* 24 months *)
     ]
 
 val forwards = 
-    [ fxForward "Nordea" "G" (USD,SEK) 60E6 6.55 180 (* 6 months *)
+    [ fxForward "us" "G" (USD,SEK) 60E6 6.55 180 (* 6 months *)
     ]
 
 (* everything together (using "all" constructor) is the portfolio *)