OREAnnotatedSource/ored/databuilders_8cpp_source.html

/*

 Copyright (C) 2023 Quaternion Risk Management Ltd

 All rights reserved.


 This file is part of ORE, a free-software/open-source library

 for transparent pricing and risk analysis - http://opensourcerisk.org


 ORE is free software: you can redistribute it and/or modify it

 under the terms of the Modified BSD License.  You should have received a

 copy of the license along with this program.

 The license is also available online at <http://opensourcerisk.org>


 This program is distributed on the basis that it will form a useful

 contribution to risk analytics and model standardisation, but WITHOUT

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or

 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.

*/


#include <ored/utilities/databuilders.hpp>


#include <ored/model/calibrationinstrumentfactory.hpp>

#include <ored/model/calibrationinstruments/cpicapfloor.hpp>

#include <ored/model/calibrationinstruments/yoycapfloor.hpp>

#include <ored/model/calibrationinstruments/yoyswap.hpp>


#include <ored/portfolio/ascot.hpp>

#include <ored/portfolio/asianoption.hpp>

#include <ored/portfolio/balanceguaranteedswap.hpp>

#include <ored/portfolio/barrieroption.hpp>

#include <ored/portfolio/barrieroptionwrapper.hpp>

#include <ored/portfolio/bond.hpp>

#include <ored/portfolio/bondoption.hpp>

#include <ored/portfolio/bondposition.hpp>

#include <ored/portfolio/bondrepo.hpp>

#include <ored/portfolio/bondtotalreturnswap.hpp>

#include <ored/portfolio/builders/ascot.hpp>

#include <ored/portfolio/builders/asianoption.hpp>

#include <ored/portfolio/builders/balanceguaranteedswap.hpp>

#include <ored/portfolio/builders/bond.hpp>

#include <ored/portfolio/builders/bondoption.hpp>

#include <ored/portfolio/builders/bondrepo.hpp>

#include <ored/portfolio/builders/bondtotalreturnswap.hpp>

#include <ored/portfolio/builders/cachingenginebuilder.hpp>

#include <ored/portfolio/builders/capfloor.hpp>

#include <ored/portfolio/builders/capflooredaveragebmacouponleg.hpp>

#include <ored/portfolio/builders/capflooredaverageonindexedcouponleg.hpp>

#include <ored/portfolio/builders/capflooredcpileg.hpp>

#include <ored/portfolio/builders/capfloorediborleg.hpp>

#include <ored/portfolio/builders/capfloorednonstandardyoyleg.hpp>

#include <ored/portfolio/builders/capflooredovernightindexedcouponleg.hpp>

#include <ored/portfolio/builders/capflooredyoyleg.hpp>

#include <ored/portfolio/builders/cbo.hpp>

#include <ored/portfolio/builders/cdo.hpp>

#include <ored/portfolio/builders/cliquetoption.hpp>

#include <ored/portfolio/builders/cms.hpp>

#include <ored/portfolio/builders/cmsspread.hpp>

#include <ored/portfolio/builders/commodityapo.hpp>

#include <ored/portfolio/builders/commodityapomodelbuilder.hpp>

#include <ored/portfolio/builders/commodityasianoption.hpp>

#include <ored/portfolio/builders/commodityforward.hpp>

#include <ored/portfolio/builders/commodityoption.hpp>

#include <ored/portfolio/builders/commodityspreadoption.hpp>

#include <ored/portfolio/builders/commodityswap.hpp>

#include <ored/portfolio/builders/commodityswaption.hpp>

#include <ored/portfolio/builders/convertiblebond.hpp>

#include <ored/portfolio/builders/cpicapfloor.hpp>

#include <ored/portfolio/builders/creditdefaultswap.hpp>

#include <ored/portfolio/builders/creditdefaultswapoption.hpp>

#include <ored/portfolio/builders/creditlinkedswap.hpp>

#include <ored/portfolio/builders/currencyswap.hpp>

#include <ored/portfolio/builders/deltagammaengines.hpp>

#include <ored/portfolio/builders/durationadjustedcms.hpp>

#include <ored/portfolio/builders/equityasianoption.hpp>

#include <ored/portfolio/builders/equitybarrieroption.hpp>

#include <ored/portfolio/builders/equitycompositeoption.hpp>

#include <ored/portfolio/builders/equitydigitaloption.hpp>

#include <ored/portfolio/builders/equitydoublebarrieroption.hpp>

#include <ored/portfolio/builders/equitydoubletouchoption.hpp>

#include <ored/portfolio/builders/equityforward.hpp>

#include <ored/portfolio/builders/equityfuturesoption.hpp>

#include <ored/portfolio/builders/equityoption.hpp>

#include <ored/portfolio/builders/equityoutperformanceoption.hpp>

#include <ored/portfolio/builders/equitytouchoption.hpp>

#include <ored/portfolio/builders/flexiswap.hpp>

#include <ored/portfolio/builders/formulabasedcoupon.hpp>

#include <ored/portfolio/builders/forwardbond.hpp>

#include <ored/portfolio/builders/fxasianoption.hpp>

#include <ored/portfolio/builders/fxbarrieroption.hpp>

#include <ored/portfolio/builders/fxdigitalbarrieroption.hpp>

#include <ored/portfolio/builders/fxdigitaloption.hpp>

#include <ored/portfolio/builders/fxdoublebarrieroption.hpp>

#include <ored/portfolio/builders/fxdoubletouchoption.hpp>

#include <ored/portfolio/builders/fxforward.hpp>

#include <ored/portfolio/builders/fxoption.hpp>

#include <ored/portfolio/builders/fxtouchoption.hpp>

#include <ored/portfolio/builders/indexcreditdefaultswap.hpp>

#include <ored/portfolio/builders/indexcreditdefaultswapoption.hpp>

#include <ored/portfolio/builders/multilegoption.hpp>

#include <ored/portfolio/builders/pairwisevarianceswap.hpp>

#include <ored/portfolio/builders/quantoequityoption.hpp>

#include <ored/portfolio/builders/quantovanillaoption.hpp>

#include <ored/portfolio/builders/swap.hpp>

#include <ored/portfolio/builders/swaption.hpp>

#include <ored/portfolio/builders/vanillaoption.hpp>

#include <ored/portfolio/builders/varianceswap.hpp>

#include <ored/portfolio/builders/yoycapfloor.hpp>

#include <ored/portfolio/callableswap.hpp>

#include <ored/portfolio/capfloor.hpp>

#include <ored/portfolio/cbo.hpp>

#include <ored/portfolio/cdo.hpp>

#include <ored/portfolio/cliquetoption.hpp>

#include <ored/portfolio/commodityapo.hpp>

#include <ored/portfolio/commoditydigitalapo.hpp>

#include <ored/portfolio/commoditydigitaloption.hpp>

#include <ored/portfolio/commodityforward.hpp>

#include <ored/portfolio/commoditylegbuilder.hpp>

#include <ored/portfolio/commoditylegdata.hpp>

#include <ored/portfolio/commodityoption.hpp>

#include <ored/portfolio/commodityoptionstrip.hpp>

#include <ored/portfolio/commodityposition.hpp>

#include <ored/portfolio/commodityspreadoption.hpp>

#include <ored/portfolio/commodityswap.hpp>

#include <ored/portfolio/commodityswaption.hpp>

#include <ored/portfolio/compositeinstrumentwrapper.hpp>

#include <ored/portfolio/compositetrade.hpp>

#include <ored/portfolio/convertiblebond.hpp>

#include <ored/portfolio/convertiblebondreferencedata.hpp>

#include <ored/portfolio/creditdefaultswap.hpp>

#include <ored/portfolio/creditdefaultswapoption.hpp>

#include <ored/portfolio/creditlinkedswap.hpp>

#include <ored/portfolio/crosscurrencyswap.hpp>

#include <ored/portfolio/durationadjustedcmslegbuilder.hpp>

#include <ored/portfolio/durationadjustedcmslegdata.hpp>

#include <ored/portfolio/equitybarrieroption.hpp>

#include <ored/portfolio/equityderivative.hpp>

#include <ored/portfolio/equitydigitaloption.hpp>

#include <ored/portfolio/equitydoublebarrieroption.hpp>

#include <ored/portfolio/equitydoubletouchoption.hpp>

#include <ored/portfolio/equityeuropeanbarrieroption.hpp>

#include <ored/portfolio/equityforward.hpp>

#include <ored/portfolio/equityfuturesoption.hpp>

#include <ored/portfolio/equityfxlegbuilder.hpp>

#include <ored/portfolio/equityfxlegdata.hpp>

#include <ored/portfolio/equityoption.hpp>

#include <ored/portfolio/equityoptionposition.hpp>

#include <ored/portfolio/equityoutperformanceoption.hpp>

#include <ored/portfolio/equityposition.hpp>

#include <ored/portfolio/equityswap.hpp>

#include <ored/portfolio/equitytouchoption.hpp>

#include <ored/portfolio/failedtrade.hpp>

#include <ored/portfolio/flexiswap.hpp>

#include <ored/portfolio/formulabasedlegbuilder.hpp>

#include <ored/portfolio/formulabasedlegdata.hpp>

#include <ored/portfolio/forwardbond.hpp>

#include <ored/portfolio/forwardrateagreement.hpp>

#include <ored/portfolio/fxaverageforward.hpp>

#include <ored/portfolio/fxbarrieroption.hpp>

#include <ored/portfolio/fxderivative.hpp>

#include <ored/portfolio/fxdigitalbarrieroption.hpp>

#include <ored/portfolio/fxdigitaloption.hpp>

#include <ored/portfolio/fxdoublebarrieroption.hpp>

#include <ored/portfolio/fxdoubletouchoption.hpp>

#include <ored/portfolio/fxeuropeanbarrieroption.hpp>

#include <ored/portfolio/fxforward.hpp>

#include <ored/portfolio/fxkikobarrieroption.hpp>

#include <ored/portfolio/fxoption.hpp>

#include <ored/portfolio/fxswap.hpp>

#include <ored/portfolio/fxtouchoption.hpp>

#include <ored/portfolio/indexcreditdefaultswap.hpp>

#include <ored/portfolio/indexcreditdefaultswapdata.hpp>

#include <ored/portfolio/indexcreditdefaultswapoption.hpp>

#include <ored/portfolio/indexing.hpp>

#include <ored/portfolio/inflationswap.hpp>

#include <ored/portfolio/instrumentwrapper.hpp>

#include <ored/portfolio/legbuilders.hpp>

#include <ored/portfolio/legdata.hpp>

#include <ored/portfolio/legdatafactory.hpp>

#include <ored/portfolio/multilegoption.hpp>

#include <ored/portfolio/pairwisevarianceswap.hpp>

#include <ored/portfolio/referencedata.hpp>

#include <ored/portfolio/referencedatafactory.hpp>

#include <ored/portfolio/swap.hpp>

#include <ored/portfolio/swaption.hpp>

#include <ored/portfolio/trs.hpp>

#include <ored/portfolio/trsunderlyingbuilder.hpp>

#include <ored/portfolio/trswrapper.hpp>

#include <ored/portfolio/vanillaoption.hpp>

#include <ored/portfolio/varianceswap.hpp>

// scripted products

#include <ored/portfolio/accumulator.hpp>

#include <ored/portfolio/autocallable_01.hpp>

#include <ored/portfolio/basketoption.hpp>

#include <ored/portfolio/basketvarianceswap.hpp>

#include <ored/portfolio/bestentryoption.hpp>

#include <ored/portfolio/builders/asianoption.hpp>

#include <ored/portfolio/builders/cliquetoption.hpp>

#include <ored/portfolio/builders/riskparticipationagreement.hpp>

#include <ored/portfolio/builders/scriptedtrade.hpp>

#include <ored/portfolio/doubledigitaloption.hpp>

#include <ored/portfolio/europeanoptionbarrier.hpp>

#include <ored/portfolio/genericbarrieroption.hpp>

#include <ored/portfolio/knockoutswap.hpp>

#include <ored/portfolio/performanceoption_01.hpp>

#include <ored/portfolio/rainbowoption.hpp>

#include <ored/portfolio/riskparticipationagreement.hpp>

#include <ored/portfolio/scriptedtrade.hpp>

#include <ored/portfolio/tarf.hpp>

#include <ored/portfolio/windowbarrieroption.hpp>

#include <ored/portfolio/worstofbasketswap.hpp>


#include <qle/math/basiccpuenvironment.hpp>

#include <qle/math/openclenvironment.hpp>


#include <boost/thread/lock_types.hpp>

#include <boost/thread/shared_mutex.hpp>


namespace ore::data {


void dataBuilders() {


    static boost::shared_mutex mutex;

    static bool hasRun = false;


    boost::unique_lock<boost::shared_mutex> lock(mutex);


    if (hasRun)

        return;


    hasRun = true;


    ORE_REGISTER_LEG_DATA("Cashflow", CashflowData, false)

    ORE_REGISTER_LEG_DATA("Fixed", FixedLegData, false)

    ORE_REGISTER_LEG_DATA("ZeroCouponFixed", ZeroCouponFixedLegData, false)

    ORE_REGISTER_LEG_DATA("Floating", FloatingLegData, false)

    ORE_REGISTER_LEG_DATA("CPI", CPILegData, false)

    ORE_REGISTER_LEG_DATA("YY", YoYLegData, false)

    ORE_REGISTER_LEG_DATA("CMS", CMSLegData, false)

    ORE_REGISTER_LEG_DATA("CMB", CMBLegData, false)

    ORE_REGISTER_LEG_DATA("DigitalCMS", DigitalCMSLegData, false)

    ORE_REGISTER_LEG_DATA("CMSSpread", CMSSpreadLegData, false)

    ORE_REGISTER_LEG_DATA("DigitalCMSSpread", DigitalCMSSpreadLegData, false)

    ORE_REGISTER_LEG_DATA("Equity", EquityLegData, false)

    ORE_REGISTER_LEG_DATA("CommodityFixed", CommodityFixedLegData, false)

    ORE_REGISTER_LEG_DATA("CommodityFloating", CommodityFloatingLegData, false)

    ORE_REGISTER_LEG_DATA("DurationAdjustedCMS", DurationAdjustedCmsLegData, false)

    ORE_REGISTER_LEG_DATA("EquityMargin", EquityMarginLegData, false)

    ORE_REGISTER_LEG_DATA("FormulaBased", FormulaBasedLegData, false)


    ORE_REGISTER_CALIBRATION_INSTRUMENT("CpiCapFloor", CpiCapFloor, false)

    ORE_REGISTER_CALIBRATION_INSTRUMENT("YoYCapFloor", YoYCapFloor, false)

    ORE_REGISTER_CALIBRATION_INSTRUMENT("YoYSwap", YoYSwap, false)


    ORE_REGISTER_REFERENCE_DATUM("Bond", BondReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("CreditIndex", CreditIndexReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("EquityIndex", EquityIndexReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("CurrencyHedgedEquityIndex", CurrencyHedgedEquityIndexReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("PortfolioBasket", PortfolioBasketReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("CommodityIndex", CommodityIndexReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("Credit", CreditReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("Equity", EquityReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("BondBasket", BondBasketReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("ConvertibleBond", ConvertibleBondReferenceDatum, false)

    ORE_REGISTER_REFERENCE_DATUM("CBO", CboReferenceDatum, false)


    ORE_REGISTER_BOND_BUILDER("Bond", VanillaBondBuilder, false)

    ORE_REGISTER_BOND_BUILDER("ConvertibleBond", ConvertibleBondBuilder, false)


    ORE_REGISTER_TRADE_BUILDER("CrossCurrencySwap", CrossCurrencySwap, false)

    ORE_REGISTER_TRADE_BUILDER("CommoditySpreadOption", CommoditySpreadOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityFutureOption", EquityFutureOption, false)

    ORE_REGISTER_TRADE_BUILDER("BondTRS", BondTRS, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityOption", CommodityOption, false)

    ORE_REGISTER_TRADE_BUILDER("CapFloor", CapFloor, false)

    ORE_REGISTER_TRADE_BUILDER("FxDigitalOption", FxDigitalOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommoditySwaption", CommoditySwaption, false)

    ORE_REGISTER_TRADE_BUILDER("FxDigitalBarrierOption", FxDigitalBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("ForwardRateAgreement", ForwardRateAgreement, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityDigitalAveragePriceOption", CommodityDigitalAveragePriceOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommoditySwap", CommoditySwap, false)

    ORE_REGISTER_TRADE_BUILDER("EquitySwap", EquitySwap, false)

    ORE_REGISTER_TRADE_BUILDER("FxForward", FxForward, false)

    ORE_REGISTER_TRADE_BUILDER("BondRepo", BondRepo, false)

    ORE_REGISTER_TRADE_BUILDER("FxAverageForward", FxAverageForward, false)

    ORE_REGISTER_TRADE_BUILDER("FxEuropeanBarrierOption", FxEuropeanBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxTouchOption", FxTouchOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityAsianOption", EquityAsianOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxAsianOption", FxAsianOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityAsianOption", CommodityAsianOption, false)

    ORE_REGISTER_TRADE_BUILDER("Swaption", Swaption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityVarianceSwap", EqVarSwap, false)

    ORE_REGISTER_TRADE_BUILDER("FxVarianceSwap", FxVarSwap, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityVarianceSwap", ComVarSwap, false)

    ORE_REGISTER_TRADE_BUILDER("FxDoubleTouchOption", FxDoubleTouchOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxDoubleBarrierOption", FxDoubleBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityBarrierOption", EquityBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxSwap", FxSwap, false)

    ORE_REGISTER_TRADE_BUILDER("EquityTouchOption", EquityTouchOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityDigitalOption", EquityDigitalOption, false)

    ORE_REGISTER_TRADE_BUILDER("CompositeTrade", CompositeTrade, false)

    ORE_REGISTER_TRADE_BUILDER("MultiLegOption", MultiLegOption, false)

    ORE_REGISTER_TRADE_BUILDER("Swap", Swap, false)

    ORE_REGISTER_TRADE_BUILDER("IndexCreditDefaultSwap", IndexCreditDefaultSwap, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityForward", CommodityForward, false)

    ORE_REGISTER_TRADE_BUILDER("EquityCliquetOption", EquityCliquetOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityDigitalOption", CommodityDigitalOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityForward", EquityForward, false)

    ORE_REGISTER_TRADE_BUILDER("IndexCreditDefaultSwapOption", IndexCreditDefaultSwapOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityAveragePriceOption", CommodityAveragePriceOption, false)

    ORE_REGISTER_TRADE_BUILDER("CreditDefaultSwapOption", CreditDefaultSwapOption, false)

    ORE_REGISTER_TRADE_BUILDER("Failed", FailedTrade, false)

    ORE_REGISTER_TRADE_BUILDER("ForwardBond", ForwardBond, false)

    ORE_REGISTER_TRADE_BUILDER("EquityDoubleTouchOption", EquityDoubleTouchOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityOptionStrip", CommodityOptionStrip, false)

    ORE_REGISTER_TRADE_BUILDER("SyntheticCDO", SyntheticCDO, false)

    ORE_REGISTER_TRADE_BUILDER("Bond", Bond, false)

    ORE_REGISTER_TRADE_BUILDER("CreditLinkedSwap", CreditLinkedSwap, false)

    ORE_REGISTER_TRADE_BUILDER("EquityEuropeanBarrierOption", EquityEuropeanBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("InflationSwap", InflationSwap, false)

    ORE_REGISTER_TRADE_BUILDER("EquityDoubleBarrierOption", EquityDoubleBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("BondOption", BondOption, false)

    ORE_REGISTER_TRADE_BUILDER("CreditDefaultSwap", CreditDefaultSwap, false)

    ORE_REGISTER_TRADE_BUILDER("FxKIKOBarrierOption", FxKIKOBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxBarrierOption", FxBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityOption", EquityOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxOption", FxOption, false)

    ORE_REGISTER_TRADE_BUILDER("CBO", CBO, false)


    ORE_REGISTER_TRADE_BUILDER("TotalReturnSwap", TRS, false)

    ORE_REGISTER_TRADE_BUILDER("ContractForDifference", CFD, false)

    ORE_REGISTER_TRADE_BUILDER("BondPosition", BondPosition, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityPosition", CommodityPosition, false)

    ORE_REGISTER_TRADE_BUILDER("EquityPosition", EquityPosition, false)

    ORE_REGISTER_TRADE_BUILDER("EquityOptionPosition", EquityOptionPosition, false)

    ORE_REGISTER_TRADE_BUILDER("Ascot", Ascot, false)

    ORE_REGISTER_TRADE_BUILDER("ConvertibleBond", ConvertibleBond, false)


    ORE_REGISTER_TRADE_BUILDER("ScriptedTrade", ScriptedTrade, false)

    ORE_REGISTER_TRADE_BUILDER("Autocallable_01", Autocallable_01, false)

    ORE_REGISTER_TRADE_BUILDER("EquityWindowBarrierOption", EquityWindowBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxWindowBarrierOption", FxWindowBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityWindowBarrierOption", CommodityWindowBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityRainbowOption", EquityRainbowOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxRainbowOption", FxRainbowOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityRainbowOption", CommodityRainbowOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityGenericBarrierOption", EquityGenericBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxGenericBarrierOption", FxGenericBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityGenericBarrierOption", CommodityGenericBarrierOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityBestEntryOption", EquityBestEntryOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxBestEntryOption", FxBestEntryOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityBestEntryOption", CommodityBestEntryOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityAccumulator", EquityAccumulator, false)

    ORE_REGISTER_TRADE_BUILDER("FxAccumulator", FxAccumulator, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityAccumulator", CommodityAccumulator, false)

    ORE_REGISTER_TRADE_BUILDER("EquityBasketVarianceSwap", EquityBasketVarianceSwap, false)

    ORE_REGISTER_TRADE_BUILDER("FxBasketVarianceSwap", FxBasketVarianceSwap, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityBasketVarianceSwap", CommodityBasketVarianceSwap, false)

    ORE_REGISTER_TRADE_BUILDER("EquityTaRF", EquityTaRF, false)

    ORE_REGISTER_TRADE_BUILDER("FxTaRF", FxTaRF, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityTaRF", CommodityTaRF, false)

    ORE_REGISTER_TRADE_BUILDER("EquityWorstOfBasketSwap", EquityWorstOfBasketSwap, false)

    ORE_REGISTER_TRADE_BUILDER("FxWorstOfBasketSwap", FxWorstOfBasketSwap, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityWorstOfBasketSwap", CommodityWorstOfBasketSwap, false)

    ORE_REGISTER_TRADE_BUILDER("EquityBasketOption", EquityBasketOption, false)

    ORE_REGISTER_TRADE_BUILDER("FxBasketOption", FxBasketOption, false)

    ORE_REGISTER_TRADE_BUILDER("CommodityBasketOption", CommodityBasketOption, false)

    ORE_REGISTER_TRADE_BUILDER("EuropeanOptionBarrier", EuropeanOptionBarrier, false)

    ORE_REGISTER_TRADE_BUILDER("KnockOutSwap", KnockOutSwap, false)

    ORE_REGISTER_TRADE_BUILDER("DoubleDigitalOption", DoubleDigitalOption, false)

    ORE_REGISTER_TRADE_BUILDER("PerformanceOption_01", PerformanceOption_01, false)

    ORE_REGISTER_TRADE_BUILDER("RiskParticipationAgreement", RiskParticipationAgreement, false)

    ORE_REGISTER_TRADE_BUILDER("EquityOutperformanceOption", EquityOutperformanceOption, false)

    ORE_REGISTER_TRADE_BUILDER("EquityPairwiseVarianceSwap", EqPairwiseVarSwap, false)

    ORE_REGISTER_TRADE_BUILDER("FxPairwiseVarianceSwap", FxPairwiseVarSwap, false)


    ORE_REGISTER_TRADE_BUILDER("BalanceGuaranteedSwap", BalanceGuaranteedSwap, false)

    ORE_REGISTER_TRADE_BUILDER("CallableSwap", CallableSwap, false)

    ORE_REGISTER_TRADE_BUILDER("FlexiSwap", FlexiSwap, false)


    ORE_REGISTER_LEGBUILDER("CommodityFixedLegBuilder", CommodityFixedLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("CommodityFloatingLegBuilder", CommodityFloatingLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("DurationAdjustedCmsLegBuilder", DurationAdjustedCmsLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("FixedLegBuilder", FixedLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("ZeroCouponFixedLegBuilder", ZeroCouponFixedLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("FloatingLegBuilder", FloatingLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("CashflowLegBuilder", CashflowLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("CPILegBuilder", CPILegBuilder, false)

    ORE_REGISTER_LEGBUILDER("YYLegBuilder", YYLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("CMSLegBuilder", CMSLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("CMBLegBuilder", CMBLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("DigitalCMSLegBuilder", DigitalCMSLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("CMSSpreadLegBuilder", CMSSpreadLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("DigitalCMSSpreadLegBuilder", DigitalCMSSpreadLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("EquityLegBuilder", EquityLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("EquityMarginLegBuilder", EquityMarginLegBuilder, false)

    ORE_REGISTER_LEGBUILDER("FormulaBasedLegBuilder", FormulaBasedLegBuilder, false)


    ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcCurrencySwapEngineBuilder, false)

    ORE_REGISTER_AMC_ENGINE_BUILDER(LGMAmcSwaptionEngineBuilder, false)

    ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcSwapEngineBuilder, false)

    ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcFxOptionEngineBuilder, false)

    ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcFxForwardEngineBuilder, false)

    ORE_REGISTER_AMC_ENGINE_BUILDER(CamAmcMultiLegOptionEngineBuilder, false)

    ORE_REGISTER_AMC_ENGINE_BUILDER(ScriptedTradeEngineBuilder, false)


    ORE_REGISTER_AMCCG_ENGINE_BUILDER(ScriptedTradeEngineBuilder, false)


    ORE_REGISTER_ENGINE_BUILDER(CommoditySpreadOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CpiCapFloorEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityFutureEuropeanOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(DiscountingBondTRSEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanAsianOptionMCDAAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanAsianOptionMCDAASEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanAsianOptionMCDGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanAsianOptionADGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanAsianOptionADGASEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanAsianOptionACGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanAsianOptionTWEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanForwardOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityEuropeanCSOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityAmericanOptionFDEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityAmericanOptionBAWEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFloorEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxDigitalOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxDigitalCSOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommoditySwaptionAnalyticalEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommoditySwaptionMonteCarloEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxDigitalBarrierOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommoditySwapEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanCompositeEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxForwardEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(DiscountingBondRepoEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(AccrualBondRepoEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredOvernightIndexedCouponLegEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredCpiLegCouponEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredCpiLegCashFlowEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxTouchOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EuropeanSwaptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(LGMGridSwaptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(LGMFDSwaptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(LGMMCSwaptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(VarSwapEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxDoubleTouchOptionAnalyticEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxDoubleBarrierOptionAnalyticEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityBarrierOptionAnalyticEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityBarrierOptionFDEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityTouchOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredYoYLegEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityDigitalOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanAsianOptionMCDAAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanAsianOptionMCDAASEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanAsianOptionMCDGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanAsianOptionADGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanAsianOptionADGASEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanAsianOptionACGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanAsianOptionTWEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(SwapEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(SwapEngineBuilderOptimised, false)

    ORE_REGISTER_ENGINE_BUILDER(CrossCurrencySwapEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(MidPointIndexCdsEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(MidPointCdsMultiStateEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityForwardEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanAsianOptionMCDAAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanAsianOptionMCDAASEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanAsianOptionMCDGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanAsianOptionADGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanAsianOptionADGASEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanAsianOptionACGAPEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanAsianOptionTWEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CmsSpreadCouponPricerBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(AnalyticHaganCmsCouponPricerBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(NumericalHaganCmsCouponPricerBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(LinearTSRCmsCouponPricerBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityForwardEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(BlackIndexCdsOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(NumericalIntegrationIndexCdsOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityApoAnalyticalEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CommodityApoMonteCarloEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(BlackCdsOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(YoYCapFloorEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredAverageBMACouponLegEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredAverageONIndexedCouponLegEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(DiscountingForwardBondEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityDoubleTouchOptionAnalyticEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredIborLegEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(LinearTsrDurationAdjustedCmsCouponPricerBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(GaussCopulaBucketingCdoEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(BondDiscountingEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(BondMultiStateDiscountingEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CreditLinkedSwapEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityDoubleBarrierOptionAnalyticEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(BondOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(MidPointCdsEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxBarrierOptionAnalyticEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxBarrierOptionFDEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanCSOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityAmericanOptionFDEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityAmericanOptionBAWEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CapFlooredNonStandardYoYLegEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(QuantoEquityEuropeanOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanCSOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxAmericanOptionFDEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FxAmericanOptionBAWEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(AscotIntrinsicEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(ConvertibleBondFDDefaultableEquityJumpDiffusionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CboMCEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(CamMcMultiLegOptionEngineBuilder, false)


    ORE_REGISTER_ENGINE_BUILDER(ScriptedTradeEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(AsianOptionScriptedEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(RiskParticipationAgreementBlackEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(RiskParticipationAgreementXCcyBlackEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(RiskParticipationAgreementSwapLGMGridEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(RiskParticipationAgreementTLockLGMGridEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityCliquetOptionMcScriptEngineBuilder, false)


    ORE_REGISTER_ENGINE_BUILDER(FormulaBasedCouponPricerBuilder, false)


    ORE_REGISTER_ENGINE_BUILDER(SwapEngineBuilderDeltaGamma, false)

    ORE_REGISTER_ENGINE_BUILDER(CurrencySwapEngineBuilderDeltaGamma, false)

    ORE_REGISTER_ENGINE_BUILDER(FxEuropeanOptionEngineBuilderDeltaGamma, false)

    ORE_REGISTER_ENGINE_BUILDER(EquityEuropeanOptionEngineBuilderDeltaGamma, false)

    ORE_REGISTER_ENGINE_BUILDER(FxForwardEngineBuilderDeltaGamma, false)


    ORE_REGISTER_ENGINE_BUILDER(EquityOutperformanceOptionEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(PairwiseVarSwapEngineBuilder, false)


    ORE_REGISTER_ENGINE_BUILDER(FlexiSwapDiscountingEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(FlexiSwapLGMGridEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(BalanceGuaranteedSwapDiscountingEngineBuilder, false)

    ORE_REGISTER_ENGINE_BUILDER(BalanceGuaranteedSwapFlexiSwapLGMGridEngineBuilder, false)


    ORE_REGISTER_TRS_UNDERLYING_BUILDER("Bond", BondTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("ForwardBond", ForwardBondTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("EquityPosition", EquityPositionTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("CommodityPosition", CommodityPositionTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("EquityOptionPosition", EquityOptionPositionTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("BondPosition", BondPositionTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("Derivative", DerivativeTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("ConvertibleBond", ConvertibleBondTrsUnderlyingBuilder, false)

    ORE_REGISTER_TRS_UNDERLYING_BUILDER("CBO", CBOTrsUnderlyingBuilder, false)


    ORE_REGISTER_COMPUTE_FRAMEWORK_CREATOR("OpenCL", QuantExt::OpenClFramework, false);

    ORE_REGISTER_COMPUTE_FRAMEWORK_CREATOR("BasicCpu", QuantExt::BasicCpuFramework, false);

}


} // namespace ore::data

accumulator.hpp
accumulator wrapper for scripted trade

ascot.hpp
Ascot (or Convertible Bond Option) trade data model and serialization.

asianoption.hpp
Asian option representation.

autocallable_01.hpp
autocallable_01 wrapper for scripted trade

balanceguaranteedswap.hpp
Balance Guaranteed Swap data model and serialization.

barrieroption.hpp
Barrier Option data model and serialization.

barrieroptionwrapper.hpp
Wrapper for option instruments, tracks whether option has been exercised or not.

basiccpuenvironment.hpp

basketoption.hpp
basket option wrapper for scripted trade

basketvarianceswap.hpp

bestentryoption.hpp

bond.hpp
Bond trade data model and serialization.

bondoption.hpp
bond option data model and serialization

bondposition.hpp
Bond Position trade data model and serialization.

bondrepo.hpp
Bond Repo trade data model and serialization.

bondtotalreturnswap.hpp

ascot.hpp

asianoption.hpp
Abstract engine builders for European Asian Options.

balanceguaranteedswap.hpp

bond.hpp
builder that returns an engine to price a bond instrument

bondoption.hpp
Engine builder for bond option.

bondrepo.hpp

bondtotalreturnswap.hpp

capfloor.hpp
builder that returns an engine to price a cap or floor on IBOR instrument

cbo.hpp

cdo.hpp
Mid point CDO engines cached by currency.

cliquetoption.hpp
Engine builder for cliquet options.

commodityapo.hpp
Engine builder for commodity average price options.

commodityforward.hpp
Engine builder for commodity forward.

commodityoption.hpp
Engine builder for commodity options.

commodityspreadoption.hpp

commodityswap.hpp
Engine builder for commodity swaps.

commodityswaption.hpp
Engine builder for commodity swaptions.

convertiblebond.hpp

creditdefaultswap.hpp
Builder that returns an engine to price a credit default swap.

creditdefaultswapoption.hpp
Builder that returns an engine to price a credit default swap option.

creditlinkedswap.hpp

equitybarrieroption.hpp

equitydigitaloption.hpp

equitydoublebarrieroption.hpp

equitydoubletouchoption.hpp

equityforward.hpp
Builder that returns an engine to price an equity forward.

equityfuturesoption.hpp
Engine builder for equity futures options.

equityoption.hpp
Engine builder for equity options.

equityoutperformanceoption.hpp

equitytouchoption.hpp

flexiswap.hpp

forwardbond.hpp
Engine builder for forward bonds.

fxbarrieroption.hpp

fxdigitalbarrieroption.hpp

fxdigitaloption.hpp

fxdoublebarrieroption.hpp

fxdoubletouchoption.hpp

fxforward.hpp
Engine builder for FX Forwards.

fxoption.hpp
Engine builder for FX Options.

fxtouchoption.hpp

indexcreditdefaultswap.hpp

indexcreditdefaultswapoption.hpp

multilegoption.hpp
multi leg option engine builder

pairwisevarianceswap.hpp
pairwise variance swap engine builder

riskparticipationagreement.hpp

scriptedtrade.hpp

swap.hpp
Engine builder for Swaps.

swaption.hpp

vanillaoption.hpp
Abstract engine builders for European and American Options.

varianceswap.hpp
variance swap engine builder

cachingenginebuilder.hpp
Abstract template engine builder class.

calibrationinstrumentfactory.hpp
factory for making calibration instruments.

callableswap.hpp
Callable Swap data model and serialization.

capfloor.hpp
Ibor cap, floor or collar trade data model and serialization.

capflooredaveragebmacouponleg.hpp
builder that returns an engine to price capped floored avg BMA legs

capflooredaverageonindexedcouponleg.hpp

capflooredcpileg.hpp

capfloorediborleg.hpp
builder that returns an engine to price capped floored ibor legs

capfloorednonstandardyoyleg.hpp

capflooredovernightindexedcouponleg.hpp
builder that returns an engine to price capped floored ibor legs

capflooredyoyleg.hpp
builder that returns an engine to price capped floored yoy inflation legs

cbo.hpp
collateralized bond obligation data model

cdo.hpp

QuantExt::Ascot

QuantExt::BasicCpuFramework

QuantExt::BondOption

QuantExt::BondRepo

QuantExt::BondTRS

QuantExt::CBO

QuantExt::CommodityAveragePriceOption

QuantExt::CommodityForward

QuantExt::CommoditySpreadOption

QuantExt::ConvertibleBond

QuantExt::CreditLinkedSwap

QuantExt::CrossCurrencySwap

QuantExt::EquityForward

QuantExt::ForwardBond

QuantExt::FxForward

QuantExt::IndexCreditDefaultSwap

QuantExt::MultiLegOption

QuantExt::OpenClFramework

QuantExt::RiskParticipationAgreement

QuantExt::SyntheticCDO

ore::data::AccrualBondRepoEngineBuilder
Accrual Bond Repo Engine Builder.
Definition: bondrepo.hpp:54

ore::data::AnalyticHaganCmsCouponPricerBuilder
Definition: cms.hpp:49

ore::data::AscotIntrinsicEngineBuilder
Definition: ascot.hpp:46

ore::data::AsianOptionScriptedEngineBuilder
Definition: asianoption.hpp:293

ore::data::Autocallable_01
Definition: autocallable_01.hpp:33

ore::data::BalanceGuaranteedSwapDiscountingEngineBuilder
Balance Guaranteed Swap Discounting Engine Builder.
Definition: balanceguaranteedswap.hpp:32

ore::data::BalanceGuaranteedSwapFlexiSwapLGMGridEngineBuilder
Balance Guaranteed Swap Flexi Swap LGM Grid Engine Builder.
Definition: balanceguaranteedswap.hpp:39

ore::data::BalanceGuaranteedSwap
Serializable Balance Guaranteed Swap.
Definition: balanceguaranteedswap.hpp:71

ore::data::BlackCdsOptionEngineBuilder
Black CDS option engine builder for CDS options.
Definition: creditdefaultswapoption.hpp:56

ore::data::BlackIndexCdsOptionEngineBuilder
Black CDS option engine builder for index CDS options.
Definition: indexcreditdefaultswapoption.hpp:67

ore::data::BondBasketReferenceDatum
Bond Basket Reference Data.
Definition: referencedata.hpp:505

ore::data::BondDiscountingEngineBuilder
Discounting Engine Builder class for Bonds.
Definition: bond.hpp:65

ore::data::Bond
Serializable Bond.
Definition: bond.hpp:153

ore::data::BondMultiStateDiscountingEngineBuilder
Multi State Engine Builder class for Bonds.
Definition: bond.hpp:114

ore::data::BondOptionEngineBuilder
Engine builder for bond option.
Definition: bondoption.hpp:49

ore::data::BondPosition
Definition: bondposition.hpp:56

ore::data::BondReferenceDatum
Definition: referencedata.hpp:93

ore::data::CFD
Definition: trs.hpp:180

ore::data::CMBLegBuilder
Definition: legbuilders.hpp:97

ore::data::CMBLegData
Serializable Constant Maturity Bond Yield Leg Data.
Definition: legdata.hpp:687

ore::data::CMSLegBuilder
Definition: legbuilders.hpp:88

ore::data::CMSLegData
Serializable CMS Leg Data.
Definition: legdata.hpp:414

ore::data::CMSSpreadLegBuilder
Definition: legbuilders.hpp:115

ore::data::CMSSpreadLegData
Serializable CMS Spread Leg Data.
Definition: legdata.hpp:548

ore::data::CPILegBuilder
Definition: legbuilders.hpp:70

ore::data::CPILegData
Serializable CPI Leg Data.
Definition: legdata.hpp:281

ore::data::CallableSwap
Serializable Swaption.
Definition: callableswap.hpp:36

ore::data::CamAmcCurrencySwapEngineBuilder
Multileg option engine builder for external cam, with additional simulation dates (AMC)
Definition: currencyswap.hpp:33

ore::data::CamAmcFxForwardEngineBuilder
FX forward engine builder for external cam, with additional simulation dates (AMC)
Definition: fxforward.hpp:72

ore::data::CamAmcFxOptionEngineBuilder
FX option engine builder for external cam, with additional simulation dates (AMC)
Definition: fxoption.hpp:74

ore::data::CamAmcMultiLegOptionEngineBuilder
Multileg option engine builder for external cam, with additional simulation dates (AMC)
Definition: multilegoption.hpp:67

ore::data::CamAmcSwapEngineBuilder
Implementation of SwapEngineBuilderBase using MC pricer for external cam / AMC.
Definition: swap.hpp:153

ore::data::CamMcMultiLegOptionEngineBuilder
MultiLeg option engine builder for MC pricer.
Definition: multilegoption.hpp:52

ore::data::CapFloorEngineBuilder
Engine Builder for Caps, Floors and Collars on an IborIndex.
Definition: capfloor.hpp:36

ore::data::CapFloor
Serializable cap, floor, collar.
Definition: capfloor.hpp:37

ore::data::CapFlooredAverageBMACouponLegEngineBuilder
CouponPricer Builder for CapFlooredAVerageBMACouponLeg.
Definition: capflooredaveragebmacouponleg.hpp:39

ore::data::CapFlooredAverageONIndexedCouponLegEngineBuilder
CouponPricer Builder for CapFlooredOvernightIndexedCouponLeg.
Definition: capflooredaverageonindexedcouponleg.hpp:39

ore::data::CapFlooredCpiLegCashFlowEngineBuilder
Definition: capflooredcpileg.hpp:70

ore::data::CapFlooredCpiLegCouponEngineBuilder
CouponPricer Builder for Capped/Floored CPI Inflation Leg.
Definition: capflooredcpileg.hpp:39

ore::data::CapFlooredIborLegEngineBuilder
CouponPricer Builder for CapFlooredIborLeg.
Definition: capfloorediborleg.hpp:38

ore::data::CapFlooredNonStandardYoYLegEngineBuilder
CouponPricer Builder for Capped/Floored YoY Inflation Leg.
Definition: capfloorednonstandardyoyleg.hpp:39

ore::data::CapFlooredOvernightIndexedCouponLegEngineBuilder
CouponPricer Builder for CapFlooredOvernightIndexedCouponLeg.
Definition: capflooredovernightindexedcouponleg.hpp:39

ore::data::CapFlooredYoYLegEngineBuilder
CouponPricer Builder for Capped/Floored YoY Inflation Leg.
Definition: capflooredyoyleg.hpp:39

ore::data::CashflowData
Serializable Cashflow Leg Data.
Definition: legdata.hpp:89

ore::data::CashflowLegBuilder
Definition: legbuilders.hpp:61

ore::data::CboMCEngineBuilder
Definition: cbo.hpp:32

ore::data::CboReferenceDatum
Definition: cbo.hpp:36

ore::data::CmsSpreadCouponPricerBuilder
CouponPricer Builder for CmsSpreadLeg.
Definition: cmsspread.hpp:43

ore::data::ComVarSwap
Definition: varianceswap.hpp:126

ore::data::CommodityAccumulator
Definition: accumulator.hpp:90

ore::data::CommodityAmericanOptionBAWEngineBuilder
Definition: commodityoption.hpp:70

ore::data::CommodityAmericanOptionFDEngineBuilder
Definition: commodityoption.hpp:61

ore::data::CommodityApoAnalyticalEngineBuilder
Analytical Engine builder for Commodity Average Price Options.
Definition: commodityapo.hpp:63

ore::data::CommodityApoMonteCarloEngineBuilder
Monte Carlo Engine builder for Commodity Average Price Options.
Definition: commodityapo.hpp:104

ore::data::CommodityAsianOption
Definition: asianoption.hpp:114

ore::data::CommodityBasketOption
Definition: basketoption.hpp:73

ore::data::CommodityBasketVarianceSwap
Definition: basketvarianceswap.hpp:72

ore::data::CommodityBestEntryOption
Definition: bestentryoption.hpp:67

ore::data::CommodityDigitalAveragePriceOption
Definition: commoditydigitalapo.hpp:38

ore::data::CommodityDigitalOption
Commodity digital option trade representation as call spread.
Definition: commoditydigitaloption.hpp:35

ore::data::CommodityEuropeanAsianOptionACGAPEngineBuilder
Continuous Analytic Engine Builder for European Asian Commodity Geometric Average Price Options.
Definition: commodityasianoption.hpp:91

ore::data::CommodityEuropeanAsianOptionADGAPEngineBuilder
Discrete Analytic Engine Builder for European Asian Commodity Geometric Average Price Options.
Definition: commodityasianoption.hpp:69

ore::data::CommodityEuropeanAsianOptionADGASEngineBuilder
Discrete Analytic Engine Builder for European Asian Commodity Geometric Average Strike Options.
Definition: commodityasianoption.hpp:80

ore::data::CommodityEuropeanAsianOptionMCDAAPEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Commodity Arithmetic Average Price Options.
Definition: commodityasianoption.hpp:34

ore::data::CommodityEuropeanAsianOptionMCDAASEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Commodity Arithmetic Average Strike Options.
Definition: commodityasianoption.hpp:46

ore::data::CommodityEuropeanAsianOptionMCDGAPEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Commodity Geometric Average Price Options.
Definition: commodityasianoption.hpp:58

ore::data::CommodityEuropeanAsianOptionTWEngineBuilder
Discrete Analytic TW Engine Builder for European Asian Commodity Arithmetic Average Price Options.
Definition: commodityasianoption.hpp:102

ore::data::CommodityEuropeanCSOptionEngineBuilder
Definition: commodityoption.hpp:52

ore::data::CommodityEuropeanForwardOptionEngineBuilder
Definition: commodityoption.hpp:43

ore::data::CommodityEuropeanOptionEngineBuilder
Definition: commodityoption.hpp:34

ore::data::CommodityFixedLegBuilder
Definition: commoditylegbuilder.hpp:33

ore::data::CommodityFixedLegData
Definition: commoditylegdata.hpp:50

ore::data::CommodityFloatingLegBuilder
Definition: commoditylegbuilder.hpp:44

ore::data::CommodityFloatingLegData
Definition: commoditylegdata.hpp:96

ore::data::CommodityForwardEngineBuilder
Engine builder for commodity forward.
Definition: commodityforward.hpp:39

ore::data::CommodityGenericBarrierOption
Definition: genericbarrieroption.hpp:106

ore::data::CommodityIndexReferenceDatum
EquityIndex Reference data, contains the names and weights of an equity index.
Definition: referencedata.hpp:261

ore::data::CommodityOption
Commodity option trade representation.
Definition: commodityoption.hpp:35

ore::data::CommodityOptionStrip
Definition: commodityoptionstrip.hpp:38

ore::data::CommodityPosition
Serializable Commodity Position.
Definition: commodityposition.hpp:52

ore::data::CommodityRainbowOption
Definition: rainbowoption.hpp:71

ore::data::CommoditySpreadOptionEngineBuilder
Analytical Engine builder for Commodity Spread Options.
Definition: commodityspreadoption.hpp:54

ore::data::CommoditySwapEngineBuilder
Engine builder for Commodity Swaps.
Definition: commodityswap.hpp:39

ore::data::CommoditySwap
Definition: commodityswap.hpp:38

ore::data::CommoditySwaptionAnalyticalEngineBuilder
Analytical Approximation Engine builder for Commodity Swaptions.
Definition: commodityswaption.hpp:51

ore::data::CommoditySwaption
Definition: commodityswaption.hpp:35

ore::data::CommoditySwaptionMonteCarloEngineBuilder
Monte Carlo Engine builder for Commodity Swaptions.
Definition: commodityswaption.hpp:69

ore::data::CommodityTaRF
Definition: tarf.hpp:79

ore::data::CommodityWindowBarrierOption
Definition: windowbarrieroption.hpp:76

ore::data::CommodityWorstOfBasketSwap
Definition: worstofbasketswap.hpp:105

ore::data::CompositeTrade
Composite Trade class.
Definition: compositetrade.hpp:41

ore::data::ConvertibleBondFDDefaultableEquityJumpDiffusionEngineBuilder
Definition: convertiblebond.hpp:52

ore::data::ConvertibleBondReferenceDatum
Convertible Bond Reference data.
Definition: convertiblebondreferencedata.hpp:44

ore::data::CpiCapFloorEngineBuilder
Engine Builder for CPI Caps, Floors and Collars.
Definition: cpicapfloor.hpp:37

ore::data::CpiCapFloor
Definition: cpicapfloor.hpp:40

ore::data::CreditDefaultSwap
Definition: creditdefaultswap.hpp:36

ore::data::CreditDefaultSwapOption
Definition: creditdefaultswapoption.hpp:36

ore::data::CreditIndexReferenceDatum
Credit index reference data, contains a set of index constituents.
Definition: referencedata.hpp:184

ore::data::CreditLinkedSwapEngineBuilder
Definition: creditlinkedswap.hpp:29

ore::data::CreditReferenceDatum
CreditIndex Reference data, contains the names and weights of a credit index.
Definition: referencedata.hpp:426

ore::data::CrossCurrencySwapEngineBuilder
Discounted Cashflows Engine Builder for Cross Currency Swaps.
Definition: swap.hpp:126

ore::data::CurrencyHedgedEquityIndexReferenceDatum
Definition: referencedata.hpp:292

ore::data::CurrencySwapEngineBuilderDeltaGamma
Engine Builder for Cross Currency Swaps.
Definition: deltagammaengines.hpp:79

ore::data::DigitalCMSLegBuilder
Definition: legbuilders.hpp:106

ore::data::DigitalCMSLegData
Serializable Digital CMS Leg Data.
Definition: legdata.hpp:479

ore::data::DigitalCMSSpreadLegBuilder
Definition: legbuilders.hpp:124

ore::data::DigitalCMSSpreadLegData
Serializable Digital CMS Spread Leg Data.
Definition: legdata.hpp:620

ore::data::DiscountingBondRepoEngineBuilder
Discounting Bond Repo Engine Builder.
Definition: bondrepo.hpp:45

ore::data::DiscountingBondTRSEngineBuilder
Definition: bondtotalreturnswap.hpp:45

ore::data::DiscountingForwardBondEngineBuilder
Definition: forwardbond.hpp:63

ore::data::DoubleDigitalOption
Definition: doubledigitaloption.hpp:35

ore::data::DurationAdjustedCmsLegBuilder
Definition: durationadjustedcmslegbuilder.hpp:33

ore::data::DurationAdjustedCmsLegData
Definition: durationadjustedcmslegdata.hpp:32

ore::data::EqPairwiseVarSwap
Definition: pairwisevarianceswap.hpp:90

ore::data::EqVarSwap
Definition: varianceswap.hpp:98

ore::data::EquityAccumulator
Definition: accumulator.hpp:80

ore::data::EquityAmericanOptionBAWEngineBuilder
Engine Builder for American Equity Options using Barone Adesi Whaley Approximation.
Definition: equityoption.hpp:67

ore::data::EquityAmericanOptionFDEngineBuilder
Engine Builder for American Equity Options using Finite Difference Method.
Definition: equityoption.hpp:56

ore::data::EquityAsianOption
Definition: asianoption.hpp:102

ore::data::EquityBarrierOptionAnalyticEngineBuilder
Definition: equitybarrieroption.hpp:73

ore::data::EquityBarrierOptionFDEngineBuilder
Definition: equitybarrieroption.hpp:88

ore::data::EquityBarrierOption
Serializable EQ Barrier Option.
Definition: equitybarrieroption.hpp:39

ore::data::EquityBasketOption
Definition: basketoption.hpp:61

ore::data::EquityBasketVarianceSwap
Definition: basketvarianceswap.hpp:62

ore::data::EquityBestEntryOption
Definition: bestentryoption.hpp:57

ore::data::EquityCliquetOption
Definition: cliquetoption.hpp:104

ore::data::EquityCliquetOptionMcScriptEngineBuilder
Definition: cliquetoption.hpp:74

ore::data::EquityDigitalOptionEngineBuilder
Engine Builder for European EQ Digital Options.
Definition: equitydigitaloption.hpp:43

ore::data::EquityDigitalOption
Serializable EQ Digital Option.
Definition: equitydigitaloption.hpp:35

ore::data::EquityDoubleBarrierOptionAnalyticEngineBuilder
Definition: equitydoublebarrieroption.hpp:73

ore::data::EquityDoubleBarrierOption
Serializable Equity Double Barrier Option.
Definition: equitydoublebarrieroption.hpp:38

ore::data::EquityDoubleTouchOptionAnalyticEngineBuilder
Analytical Engine Builder for EQ Double Touch Options.
Definition: equitydoubletouchoption.hpp:76

ore::data::EquityDoubleTouchOption
SerializableEQ Double One-Touch/No-Touch Option.
Definition: equitydoubletouchoption.hpp:37

ore::data::EquityEuropeanAsianOptionACGAPEngineBuilder
Continuous Analytic Engine Builder for European Asian Equity Geometric Average Price Options.
Definition: equityasianoption.hpp:91

ore::data::EquityEuropeanAsianOptionADGAPEngineBuilder
Discrete Analytic Engine Builder for European Asian Equity Geometric Average Price Options.
Definition: equityasianoption.hpp:69

ore::data::EquityEuropeanAsianOptionADGASEngineBuilder
Discrete Analytic Engine Builder for European Asian Equity Geometric Average Strike Options.
Definition: equityasianoption.hpp:80

ore::data::EquityEuropeanAsianOptionMCDAAPEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Equity Arithmetic Average Price Options.
Definition: equityasianoption.hpp:34

ore::data::EquityEuropeanAsianOptionMCDAASEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Equity Arithmetic Average Strike Options.
Definition: equityasianoption.hpp:46

ore::data::EquityEuropeanAsianOptionMCDGAPEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Equity Geometric Average Price Options.
Definition: equityasianoption.hpp:58

ore::data::EquityEuropeanAsianOptionTWEngineBuilder
Discrete Analytic TW Engine Builder for European Asian Equity Arithmetic Average Price Options.
Definition: equityasianoption.hpp:102

ore::data::EquityEuropeanBarrierOption
Serializable EQ European Barrier Option.
Definition: equityeuropeanbarrieroption.hpp:39

ore::data::EquityEuropeanCSOptionEngineBuilder
Definition: equityoption.hpp:45

ore::data::EquityEuropeanCompositeEngineBuilder
Engine Builder for Composite European Equity Options.
Definition: equitycompositeoption.hpp:46

ore::data::EquityEuropeanOptionEngineBuilderDeltaGamma
Engine Builder for European Equity Options with analytical sensitivities.
Definition: deltagammaengines.hpp:149

ore::data::EquityEuropeanOptionEngineBuilder
Engine Builder for European Equity Option Options.
Definition: equityoption.hpp:36

ore::data::EquityForwardEngineBuilder
Engine Builder for European Equity Forwards.
Definition: equityforward.hpp:39

ore::data::EquityFutureEuropeanOptionEngineBuilder
Definition: equityfuturesoption.hpp:34

ore::data::EquityFutureOption
Serializable EQ Futures Option.
Definition: equityfuturesoption.hpp:38

ore::data::EquityGenericBarrierOption
Definition: genericbarrieroption.hpp:91

ore::data::EquityIndexReferenceDatum
EquityIndex Reference data, contains the names and weights of an equity index.
Definition: referencedata.hpp:249

ore::data::EquityLegBuilder
Definition: legbuilders.hpp:133

ore::data::EquityLegData
Serializable Fixed Leg Data.
Definition: legdata.hpp:754

ore::data::EquityMarginLegBuilder
Definition: equityfxlegbuilder.hpp:33

ore::data::EquityMarginLegData
Serializable Equity Margin Leg Data.
Definition: equityfxlegdata.hpp:38

ore::data::EquityOption
Serializable Equity Option.
Definition: equityoption.hpp:38

ore::data::EquityOptionPosition
Serializable Equity Option Position.
Definition: equityoptionposition.hpp:77

ore::data::EquityOutperformanceOptionEngineBuilder
Engine Builder for EQ Outperformance Option.
Definition: equityoutperformanceoption.hpp:47

ore::data::EquityOutperformanceOption
Serializable EQ Outperformance Option.
Definition: equityoutperformanceoption.hpp:39

ore::data::EquityPosition
Serializable Equity Position.
Definition: equityposition.hpp:52

ore::data::EquityRainbowOption
Definition: rainbowoption.hpp:59

ore::data::EquityReferenceDatum
Equity Reference data.
Definition: referencedata.hpp:463

ore::data::EquitySwap
Serializable Equity Swap contract.
Definition: equityswap.hpp:37

ore::data::EquityTaRF
Definition: tarf.hpp:69

ore::data::EquityTouchOptionEngineBuilder
Engine Builder for EQ Touch Options.
Definition: equitytouchoption.hpp:44

ore::data::EquityTouchOption
Serializable EQ One-Touch/No-Touch Option.
Definition: equitytouchoption.hpp:36

ore::data::EquityWindowBarrierOption
Definition: windowbarrieroption.hpp:66

ore::data::EquityWorstOfBasketSwap
Definition: worstofbasketswap.hpp:95

ore::data::EuropeanOptionBarrier
Definition: europeanoptionbarrier.hpp:34

ore::data::EuropeanSwaptionEngineBuilder
European Swaption Engine Builder.
Definition: swaption.hpp:57

ore::data::FailedTrade
Definition: failedtrade.hpp:34

ore::data::FixedLegBuilder
Definition: legbuilders.hpp:34

ore::data::FixedLegData
Serializable Fixed Leg Data.
Definition: legdata.hpp:117

ore::data::FlexiSwapDiscountingEngineBuilder
Flexi Swap Discounting Engine Builder.
Definition: flexiswap.hpp:82

ore::data::FlexiSwap
Serializable Flexi-Swap.
Definition: flexiswap.hpp:36

ore::data::FlexiSwapLGMGridEngineBuilder
Flexi Swap LGM Grid Engine Builder.
Definition: flexiswap.hpp:88

ore::data::FloatingLegBuilder
Definition: legbuilders.hpp:52

ore::data::FloatingLegData
Serializable Floating Leg Data.
Definition: legdata.hpp:179

ore::data::FormulaBasedCouponPricerBuilder
Definition: formulabasedcoupon.hpp:35

ore::data::FormulaBasedLegBuilder
Definition: formulabasedlegbuilder.hpp:36

ore::data::FormulaBasedLegData
Definition: formulabasedlegdata.hpp:32

ore::data::ForwardRateAgreement
Serializable ForwardRateAgreement.
Definition: forwardrateagreement.hpp:36

ore::data::FxAccumulator
Definition: accumulator.hpp:85

ore::data::FxAmericanOptionBAWEngineBuilder
Engine Builder for American Fx Options using Barone Adesi Whaley Approximation.
Definition: fxoption.hpp:67

ore::data::FxAmericanOptionFDEngineBuilder
Engine Builder for American Fx Options using Finite Difference Method.
Definition: fxoption.hpp:56

ore::data::FxAsianOption
Definition: asianoption.hpp:108

ore::data::FxAverageForward
Serializable Fx Average Forward.
Definition: fxaverageforward.hpp:33

ore::data::FxBarrierOptionAnalyticEngineBuilder
Definition: fxbarrieroption.hpp:75

ore::data::FxBarrierOptionFDEngineBuilder
Definition: fxbarrieroption.hpp:87

ore::data::FxBarrierOption
Serializable FX Barrier Option.
Definition: fxbarrieroption.hpp:34

ore::data::FxBasketOption
Definition: basketoption.hpp:67

ore::data::FxBasketVarianceSwap
Definition: basketvarianceswap.hpp:67

ore::data::FxBestEntryOption
Definition: bestentryoption.hpp:62

ore::data::FxDigitalBarrierOptionEngineBuilder
Engine Builder for European FX Digital Barrier Options.
Definition: fxdigitalbarrieroption.hpp:48

ore::data::FxDigitalBarrierOption
Serializable FX Digital Barrier Option.
Definition: fxdigitalbarrieroption.hpp:36

ore::data::FxDigitalCSOptionEngineBuilder
Engine Builder for European cash-settled FX Digital Options.
Definition: fxdigitaloption.hpp:69

ore::data::FxDigitalOptionEngineBuilder
Engine Builder for European FX Digital Options.
Definition: fxdigitaloption.hpp:43

ore::data::FxDigitalOption
Serializable FX Digital Option.
Definition: fxdigitaloption.hpp:35

ore::data::FxDoubleBarrierOptionAnalyticEngineBuilder
Analytical Engine Builder for FX Double Barrier Options.
Definition: fxdoublebarrieroption.hpp:78

ore::data::FxDoubleBarrierOption
Serializable FX Double Barrier Option.
Definition: fxdoublebarrieroption.hpp:34

ore::data::FxDoubleTouchOptionAnalyticEngineBuilder
Analytical Engine Builder for FX Double Touch Options.
Definition: fxdoubletouchoption.hpp:79

ore::data::FxDoubleTouchOption
Serializable FX Double One-Touch/No-Touch Option.
Definition: fxdoubletouchoption.hpp:37

ore::data::FxEuropeanAsianOptionACGAPEngineBuilder
Continuous Analytic Engine Builder for European Asian Fx Geometric Average Price Options.
Definition: fxasianoption.hpp:91

ore::data::FxEuropeanAsianOptionADGAPEngineBuilder
Discrete Analytic Engine Builder for European Asian Fx Geometric Average Price Options.
Definition: fxasianoption.hpp:69

ore::data::FxEuropeanAsianOptionADGASEngineBuilder
Discrete Analytic Engine Builder for European Asian Fx Geometric Average Strike Options.
Definition: fxasianoption.hpp:80

ore::data::FxEuropeanAsianOptionMCDAAPEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Fx Arithmetic Average Price Options.
Definition: fxasianoption.hpp:34

ore::data::FxEuropeanAsianOptionMCDAASEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Fx Arithmetic Average Strike Options.
Definition: fxasianoption.hpp:46

ore::data::FxEuropeanAsianOptionMCDGAPEngineBuilder
Discrete Monte Carlo Engine Builder for European Asian Fx Geometric Average Price Options.
Definition: fxasianoption.hpp:58

ore::data::FxEuropeanAsianOptionTWEngineBuilder
Discrete Analytic TW Engine Builder for European Asian Fx Arithmetic Average Price Options.
Definition: fxasianoption.hpp:102

ore::data::FxEuropeanBarrierOption
Serializable FX European Barrier Option.
Definition: fxeuropeanbarrieroption.hpp:39

ore::data::FxEuropeanCSOptionEngineBuilder
Definition: fxoption.hpp:45

ore::data::FxEuropeanOptionEngineBuilderDeltaGamma
Engine Builder for European FX Options with analytical sensitivities.
Definition: deltagammaengines.hpp:139

ore::data::FxEuropeanOptionEngineBuilder
Engine Builder for European Fx Option Options.
Definition: fxoption.hpp:37

ore::data::FxForwardEngineBuilderDeltaGamma
Engine Builder for FX Forwards.
Definition: deltagammaengines.hpp:158

ore::data::FxForwardEngineBuilder
Engine Builder for FX Forwards.
Definition: fxforward.hpp:54

ore::data::FxGenericBarrierOption
Definition: genericbarrieroption.hpp:101

ore::data::FxKIKOBarrierOption
Serializable FX KIKO Barrier Option.
Definition: fxkikobarrieroption.hpp:39

ore::data::FxOption
Serializable FX Option.
Definition: fxoption.hpp:38

ore::data::FxPairwiseVarSwap
Definition: pairwisevarianceswap.hpp:110

ore::data::FxRainbowOption
Definition: rainbowoption.hpp:65

ore::data::FxSwap
Serializable FX Swap.
Definition: fxswap.hpp:36

ore::data::FxTaRF
Definition: tarf.hpp:74

ore::data::FxTouchOptionEngineBuilder
Engine Builder for FX Touch Options.
Definition: fxtouchoption.hpp:46

ore::data::FxTouchOption
Serializable FX One-Touch/No-Touch Option.
Definition: fxtouchoption.hpp:39

ore::data::FxVarSwap
Definition: varianceswap.hpp:114

ore::data::FxWindowBarrierOption
Definition: windowbarrieroption.hpp:71

ore::data::FxWorstOfBasketSwap
Definition: worstofbasketswap.hpp:100

ore::data::GaussCopulaBucketingCdoEngineBuilder
Definition: cdo.hpp:112

ore::data::IndexCreditDefaultSwapOption
Definition: indexcreditdefaultswapoption.hpp:30

ore::data::InflationSwap
Serializable Cross Currency Swap contract.
Definition: inflationswap.hpp:37

ore::data::KnockOutSwap
Definition: knockoutswap.hpp:36

ore::data::LGMAmcSwaptionEngineBuilder
Definition: swaption.hpp:118

ore::data::LGMFDSwaptionEngineBuilder
Implementation of BermudanAmericanSwaptionEngineBuilder using LGM FD pricer.
Definition: swaption.hpp:94

ore::data::LGMGridSwaptionEngineBuilder
Implementation of BermudanAmericanSwaptionEngineBuilder using LGM Grid pricer.
Definition: swaption.hpp:82

ore::data::LGMMCSwaptionEngineBuilder
Implementation of LGMBermudanAmericanSwaptionEngineBuilder using MC pricer.
Definition: swaption.hpp:106

ore::data::LinearTSRCmsCouponPricerBuilder
Definition: cms.hpp:65

ore::data::LinearTsrDurationAdjustedCmsCouponPricerBuilder
Definition: durationadjustedcms.hpp:43

ore::data::MidPointCdsEngineBuilder
Midpoint engine builder class for credit default swaps.
Definition: creditdefaultswap.hpp:144

ore::data::MidPointCdsMultiStateEngineBuilder
Multi State Engine Builder class for CDS.
Definition: creditdefaultswap.hpp:171

ore::data::MidPointIndexCdsEngineBuilder
Midpoint Engine Builder class for IndexCreditDefaultSwaps.
Definition: indexcreditdefaultswap.hpp:62

ore::data::NumericalHaganCmsCouponPricerBuilder
Definition: cms.hpp:57

ore::data::NumericalIntegrationIndexCdsOptionEngineBuilder
Numerical Integration index CDS option engine.
Definition: indexcreditdefaultswapoption.hpp:79

ore::data::PairwiseVarSwapEngineBuilder
Engine Builder for Pairwise Variance Swaps.
Definition: pairwisevarianceswap.hpp:54

ore::data::PerformanceOption_01
Definition: performanceoption_01.hpp:35

ore::data::PortfolioBasketReferenceDatum
Definition: referencedata.hpp:401

ore::data::QuantoEquityEuropeanOptionEngineBuilder
Engine Builder for Quanto European Equity Option Options.
Definition: quantoequityoption.hpp:36

ore::data::RiskParticipationAgreementBlackEngineBuilder
RPA Black engine builder.
Definition: riskparticipationagreement.hpp:51

ore::data::RiskParticipationAgreementSwapLGMGridEngineBuilder
RPA Numeric LGM engine builder for swap underlyings.
Definition: riskparticipationagreement.hpp:85

ore::data::RiskParticipationAgreementTLockLGMGridEngineBuilder
RPA Numeric LGM engine builder for tlock underlyings.
Definition: riskparticipationagreement.hpp:97

ore::data::RiskParticipationAgreementXCcyBlackEngineBuilder
RPA XCcy Black engine builder.
Definition: riskparticipationagreement.hpp:62

ore::data::ScriptedTradeEngineBuilder
Definition: scriptedtrade.hpp:38

ore::data::ScriptedTrade
Definition: scriptedtrade.hpp:202

ore::data::SwapEngineBuilderDeltaGamma
Engine Builder for Single Currency Swaps.
Definition: deltagammaengines.hpp:52

ore::data::SwapEngineBuilder
Engine Builder for Single Currency Swaps.
Definition: swap.hpp:65

ore::data::SwapEngineBuilderOptimised
Engine Builder for Single Currency Swaps.
Definition: swap.hpp:86

ore::data::Swap
Serializable Swap, Single and Cross Currency.
Definition: swap.hpp:36

ore::data::Swaption
Serializable Swaption.
Definition: swaption.hpp:39

ore::data::TRS
Definition: trs.hpp:36

ore::data::VarSwapEngineBuilder
Engine Builder for Variance Swaps.
Definition: varianceswap.hpp:54

ore::data::YYLegBuilder
Definition: legbuilders.hpp:79

ore::data::YoYCapFloorEngineBuilder
Engine Builder for Year on Year Caps, Floors and Collars on an IborIndex.
Definition: yoycapfloor.hpp:37

ore::data::YoYCapFloor
Definition: yoycapfloor.hpp:37

ore::data::YoYLegData
Serializable YoY Leg Data.
Definition: legdata.hpp:349

ore::data::YoYSwap
Definition: yoyswap.hpp:35

ore::data::ZeroCouponFixedLegBuilder
Definition: legbuilders.hpp:43

ore::data::ZeroCouponFixedLegData
Serializable Fixed Leg Data.
Definition: legdata.hpp:145

cliquetoption.hpp
Equity Cliquet Option.

cms.hpp
builder that returns an engine to price capped floored ibor legs

cmsspread.hpp
builder that returns a cms spread coupon pricer

commodityapo.hpp
Commodity Average Price Option data model and serialization.

commodityapomodelbuilder.hpp
model builder for commodityapos

commodityasianoption.hpp
Engine builder for commodity Asian options.

commoditydigitalapo.hpp

commoditydigitaloption.hpp
Commodity digital option representation as call spread.

commodityforward.hpp
Commodity forward representation.

commoditylegbuilder.hpp
Commodity fixed and floating leg builders.

commoditylegdata.hpp
leg data for commodity leg types

commodityoption.hpp
Commodity option representation.

commodityoptionstrip.hpp
Commodity option strip data model and serialization.

commodityposition.hpp
Commodity Position trade data model and serialization.

commodityspreadoption.hpp

commodityswap.hpp
Commodity Swap data model and serialization.

commodityswaption.hpp
Commodity swaption data model and serialization.

compositeinstrumentwrapper.hpp
used to store multiple trade wrappers

compositetrade.hpp
Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles.

convertiblebond.hpp
Convertible Bond trade data model and serialization.

convertiblebondreferencedata.hpp
reference data

creditdefaultswap.hpp
Ibor cap, floor or collar trade data model and serialization.

creditdefaultswapoption.hpp
credit default swap option trade data model and serialization

creditlinkedswap.hpp
credit linked swap data model

crosscurrencyswap.hpp
Cross Currency Swap data model and serialization.

currencyswap.hpp

databuilders.hpp

ORE_REGISTER_LEG_DATA
#define ORE_REGISTER_LEG_DATA(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:25

ORE_REGISTER_LEGBUILDER
#define ORE_REGISTER_LEGBUILDER(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:43

ORE_REGISTER_TRS_UNDERLYING_BUILDER
#define ORE_REGISTER_TRS_UNDERLYING_BUILDER(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:64

ORE_REGISTER_REFERENCE_DATUM
#define ORE_REGISTER_REFERENCE_DATUM(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:32

ORE_REGISTER_BOND_BUILDER
#define ORE_REGISTER_BOND_BUILDER(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:36

ORE_REGISTER_CALIBRATION_INSTRUMENT
#define ORE_REGISTER_CALIBRATION_INSTRUMENT(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:28

ORE_REGISTER_COMPUTE_FRAMEWORK_CREATOR
#define ORE_REGISTER_COMPUTE_FRAMEWORK_CREATOR(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:67

ORE_REGISTER_TRADE_BUILDER
#define ORE_REGISTER_TRADE_BUILDER(NAME, CLASS, OVERWRITE)
Definition: databuilders.hpp:39

ORE_REGISTER_AMC_ENGINE_BUILDER
#define ORE_REGISTER_AMC_ENGINE_BUILDER(CLASS, OVERWRITE)
Definition: databuilders.hpp:47

ORE_REGISTER_ENGINE_BUILDER
#define ORE_REGISTER_ENGINE_BUILDER(CLASS, OVERWRITE)
Definition: databuilders.hpp:60

ORE_REGISTER_AMCCG_ENGINE_BUILDER
#define ORE_REGISTER_AMCCG_ENGINE_BUILDER(CLASS, OVERWRITE)
Definition: databuilders.hpp:53

deltagammaengines.hpp
Additional builders for engines that return deltas, vegas, gammas, cross-gammas.

doubledigitaloption.hpp
double digital option wrapper for scripted trade

durationadjustedcms.hpp
coupon pricer builder for duration adjusted cms coupons

durationadjustedcmslegbuilder.hpp
leg builder for duration adjusted cms coupon legs

durationadjustedcmslegdata.hpp
leg data for duration adjusted cms

equityasianoption.hpp
Engine builder for equity Asian options.

equitybarrieroption.hpp
Equity Barrier Option data model and serialization.

equitycompositeoption.hpp
Engine builder for equity composite options.

equityderivative.hpp
EQ base trade classes.

equitydigitaloption.hpp
EQ Digital Option data model and serialization.

equitydoublebarrieroption.hpp
Equity Double Barrier Option data model and serialization.

equitydoubletouchoption.hpp
EQ Double One-Touch/No-Touch Option data model and serialization.

equityeuropeanbarrieroption.hpp
EQ European Barrier Option data model and serialization.

equityforward.hpp
Equity Forward data model and serialization.

equityfuturesoption.hpp
EQ Futures Option data model and serialization.

equityfxlegbuilder.hpp
Equity & FX leg builders.

equityfxlegdata.hpp
leg data for equityfx leg types

equityoption.hpp
Equity Option data model and serialization.

equityoptionposition.hpp
Equity Option Position trade data model and serialization.

equityoutperformanceoption.hpp
EQ Outperformance Option data model and serialization.

equityposition.hpp
Equity Position trade data model and serialization.

equityswap.hpp
Equity Swap data model and serialization.

equitytouchoption.hpp
EQ One-Touch/No-Touch Option data model and serialization.

europeanoptionbarrier.hpp
European option with barrier wrapper for scripted trade.

failedtrade.hpp
Skeleton trade generated when trade loading/building fails.

flexiswap.hpp
Flexi-Swap data model and serialization.

formulabasedcoupon.hpp

formulabasedlegbuilder.hpp
Formula based leg builder.

formulabasedlegdata.hpp
leg data for formula based leg types

forwardbond.hpp

forwardrateagreement.hpp
ForwardRateAgreement data model and serialization.

fxasianoption.hpp
Engine builder for fx Asian options.

fxaverageforward.hpp
Fx Average Forward data model and serialization.

fxbarrieroption.hpp
FX Barrier Option data model and serialization.

fxderivative.hpp
FX base trade classes.

fxdigitalbarrieroption.hpp

fxdigitaloption.hpp
FX Digital Option data model and serialization.

fxdoublebarrieroption.hpp
FX Double Barrier Option data model and serialization.

fxdoubletouchoption.hpp
FX Double One-Touch/No-Touch Option data model and serialization.

fxeuropeanbarrieroption.hpp
FX European Barrier Option data model and serialization.

fxforward.hpp
FX Forward data model and serialization.

fxkikobarrieroption.hpp

fxoption.hpp
FX Option data model and serialization.

fxswap.hpp
FX Swap data model and serialization.

fxtouchoption.hpp
FX One-Touch/No-Touch Option data model and serialization.

genericbarrieroption.hpp
generic barrier option wrapper for scripted trade

indexcreditdefaultswap.hpp

indexcreditdefaultswapdata.hpp

indexcreditdefaultswapoption.hpp

indexing.hpp
leg indexing data model and serialization

inflationswap.hpp
Cross Currency Swap data model and serialization.

instrumentwrapper.hpp
Base class for wrapper of QL instrument, used to store "state" of trade under each scenario.

knockoutswap.hpp
knock out swap wrapper for scripted trade

legbuilders.hpp
Leg Builders.

legdata.hpp
leg data model and serialization

legdatafactory.hpp
Leg data factory that can be used to build instances of leg data.

cpicapfloor.hpp
class for holding details of a zero coupon CPI cap floor calibration instrument.

yoycapfloor.hpp
class for holding details of a year on year inflation cap floor calibration instrument.

multilegoption.hpp
Multileg Option data model.

ore::data
Definition: namespaces.docs:28

ore::data::dataBuilders
void dataBuilders()
Definition: databuilders.cpp:219

openclenvironment.hpp

pairwisevarianceswap.hpp
pairwise variance swap representation

performanceoption_01.hpp
performance option wrapper for scripted trade

cpicapfloor.hpp
builder that returns an engine to price a CPI cap or floor

yoycapfloor.hpp
Engine builder for year-on-year inflation caps/floors.

quantoequityoption.hpp
Engine builder for quanto equity options.

quantovanillaoption.hpp
Abstract engine builder for Quanto European Options.

rainbowoption.hpp
rainbow option wrapper for scripted trade

referencedata.hpp
Reference data model and serialization.

referencedatafactory.hpp
Reference data model and serialization.

riskparticipationagreement.hpp
risk participation agreement data model and serialization

scriptedtrade.hpp
scripted trade data model

ore::data::AssetPositionTrsUnderlyingBuilder
Definition: trsunderlyingbuilder.hpp:99

ore::data::BondPositionTrsUnderlyingBuilder
Definition: trsunderlyingbuilder.hpp:140

ore::data::BondTrsUnderlyingBuilder
Definition: trsunderlyingbuilder.hpp:65

ore::data::CBOTrsUnderlyingBuilder
Definition: cbo.hpp:118

ore::data::ConvertibleBondBuilder
Definition: convertiblebond.hpp:77

ore::data::ConvertibleBondTrsUnderlyingBuilder
Definition: convertiblebond.hpp:59

ore::data::DerivativeTrsUnderlyingBuilder
Definition: trsunderlyingbuilder.hpp:155

ore::data::EquityOptionPositionTrsUnderlyingBuilder
Definition: trsunderlyingbuilder.hpp:124

ore::data::ForwardBondTrsUnderlyingBuilder
Definition: trsunderlyingbuilder.hpp:82

ore::data::VanillaBondBuilder
Definition: bond.hpp:216

swap.hpp
Swap trade data model and serialization.

swaption.hpp
Swaption data model and serialization.

tarf.hpp
tarf wrapper for scripted trade

trs.hpp
trs

trsunderlyingbuilder.hpp

trswrapper.hpp
generic wrapper for trs (bond, convertible bond, equity, ...)

vanillaoption.hpp
vanilla option representation

varianceswap.hpp
variance swap representation

windowbarrieroption.hpp
window barrier option - wrapper for scripted trade

worstofbasketswap.hpp

yoyswap.hpp
class for holding details of a year on year inflation swap calibration instrument.