|
| file | accumulator.cpp [code] |
| |
| file | accumulator.hpp [code] |
| | accumulator wrapper for scripted trade
|
| |
| file | ascot.cpp [code] |
| |
| file | ascot.hpp [code] |
| | Ascot (or Convertible Bond Option) trade data model and serialization.
|
| |
| file | asianoption.cpp [code] |
| |
| file | asianoption.hpp [code] |
| | Asian option representation.
|
| |
| file | autocallable_01.cpp [code] |
| |
| file | autocallable_01.hpp [code] |
| | autocallable_01 wrapper for scripted trade
|
| |
| file | balanceguaranteedswap.cpp [code] |
| |
| file | balanceguaranteedswap.hpp [code] |
| | Balance Guaranteed Swap data model and serialization.
|
| |
| file | barrierdata.cpp [code] |
| |
| file | barrierdata.hpp [code] |
| |
| file | barrieroption.cpp [code] |
| |
| file | barrieroption.hpp [code] |
| | Barrier Option data model and serialization.
|
| |
| file | barrieroptionwrapper.cpp [code] |
| |
| file | barrieroptionwrapper.hpp [code] |
| | Wrapper for option instruments, tracks whether option has been exercised or not.
|
| |
| file | basketdata.cpp [code] |
| |
| file | basketdata.hpp [code] |
| | credit basket data model and serialization
|
| |
| file | basketoption.cpp [code] |
| |
| file | basketoption.hpp [code] |
| | basket option wrapper for scripted trade
|
| |
| file | basketvarianceswap.cpp [code] |
| |
| file | basketvarianceswap.hpp [code] |
| |
| file | bestentryoption.cpp [code] |
| |
| file | bestentryoption.hpp [code] |
| |
| file | bond.cpp [code] |
| |
| file | bond.hpp [code] |
| | Bond trade data model and serialization.
|
| |
| file | bondbasket.cpp [code] |
| |
| file | bondbasket.hpp [code] |
| | credit bond basket data model and serialization
|
| |
| file | bondoption.cpp [code] |
| |
| file | bondoption.hpp [code] |
| | bond option data model and serialization
|
| |
| file | bondposition.cpp [code] |
| |
| file | bondposition.hpp [code] |
| | Bond Position trade data model and serialization.
|
| |
| file | bondrepo.cpp [code] |
| |
| file | bondrepo.hpp [code] |
| | Bond Repo trade data model and serialization.
|
| |
| file | bondtotalreturnswap.cpp [code] |
| |
| file | bondtotalreturnswap.hpp [code] |
| |
| file | bondutils.cpp [code] |
| |
| file | bondutils.hpp [code] |
| | bond utilities
|
| |
| file | callableswap.cpp [code] |
| |
| file | callableswap.hpp [code] |
| | Callable Swap data model and serialization.
|
| |
| file | capfloor.cpp [code] |
| |
| file | capfloor.hpp [code] |
| | Ibor cap, floor or collar trade data model and serialization.
|
| |
| file | cbo.cpp [code] |
| |
| file | cbo.hpp [code] |
| | collateralized bond obligation data model
|
| |
| file | cdo.cpp [code] |
| |
| file | cdo.hpp [code] |
| |
| file | cliquetoption.cpp [code] |
| |
| file | cliquetoption.hpp [code] |
| | Equity Cliquet Option.
|
| |
| file | collateralbalance.cpp [code] |
| |
| file | collateralbalance.hpp [code] |
| | Holder class for collateral balances.
|
| |
| file | commodityapo.cpp [code] |
| |
| file | commodityapo.hpp [code] |
| | Commodity Average Price Option data model and serialization.
|
| |
| file | commoditydigitalapo.cpp [code] |
| |
| file | commoditydigitalapo.hpp [code] |
| |
| file | commoditydigitaloption.cpp [code] |
| |
| file | commoditydigitaloption.hpp [code] |
| | Commodity digital option representation as call spread.
|
| |
| file | commodityforward.cpp [code] |
| |
| file | commodityforward.hpp [code] |
| | Commodity forward representation.
|
| |
| file | commoditylegbuilder.cpp [code] |
| |
| file | commoditylegbuilder.hpp [code] |
| | Commodity fixed and floating leg builders.
|
| |
| file | commoditylegdata.cpp [code] |
| |
| file | commoditylegdata.hpp [code] |
| | leg data for commodity leg types
|
| |
| file | commodityoption.cpp [code] |
| |
| file | commodityoption.hpp [code] |
| | Commodity option representation.
|
| |
| file | commodityoptionstrip.cpp [code] |
| |
| file | commodityoptionstrip.hpp [code] |
| | Commodity option strip data model and serialization.
|
| |
| file | commodityposition.cpp [code] |
| |
| file | commodityposition.hpp [code] |
| | Commodity Position trade data model and serialization.
|
| |
| file | commodityspreadoption.cpp [code] |
| |
| file | commodityspreadoption.hpp [code] |
| |
| file | commodityswap.cpp [code] |
| |
| file | commodityswap.hpp [code] |
| | Commodity Swap data model and serialization.
|
| |
| file | commodityswaption.cpp [code] |
| |
| file | commodityswaption.hpp [code] |
| | Commodity swaption data model and serialization.
|
| |
| file | compositeinstrumentwrapper.cpp [code] |
| |
| file | compositeinstrumentwrapper.hpp [code] |
| | used to store multiple trade wrappers
|
| |
| file | compositetrade.cpp [code] |
| |
| file | compositetrade.hpp [code] |
| | Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles.
|
| |
| file | convertiblebond.cpp [code] |
| |
| file | convertiblebond.hpp [code] |
| | Convertible Bond trade data model and serialization.
|
| |
| file | convertiblebonddata.cpp [code] |
| |
| file | convertiblebonddata.hpp [code] |
| | convertible bond data model and serialization
|
| |
| file | convertiblebondreferencedata.cpp [code] |
| |
| file | convertiblebondreferencedata.hpp [code] |
| | reference data
|
| |
| file | creditdefaultswap.cpp [code] |
| |
| file | creditdefaultswap.hpp [code] |
| | Ibor cap, floor or collar trade data model and serialization.
|
| |
| file | creditdefaultswapdata.cpp [code] |
| |
| file | creditdefaultswapdata.hpp [code] |
| | A class to hold credit default swap data.
|
| |
| file | creditdefaultswapoption.cpp [code] |
| |
| file | creditdefaultswapoption.hpp [code] |
| | credit default swap option trade data model and serialization
|
| |
| file | creditlinkedswap.cpp [code] |
| |
| file | creditlinkedswap.hpp [code] |
| | credit linked swap data model
|
| |
| file | crosscurrencyswap.cpp [code] |
| |
| file | crosscurrencyswap.hpp [code] |
| | Cross Currency Swap data model and serialization.
|
| |
| file | doubledigitaloption.cpp [code] |
| |
| file | doubledigitaloption.hpp [code] |
| | double digital option wrapper for scripted trade
|
| |
| file | durationadjustedcmslegbuilder.cpp [code] |
| |
| file | durationadjustedcmslegbuilder.hpp [code] |
| | leg builder for duration adjusted cms coupon legs
|
| |
| file | durationadjustedcmslegdata.cpp [code] |
| |
| file | durationadjustedcmslegdata.hpp [code] |
| | leg data for duration adjusted cms
|
| |
| file | enginedata.cpp [code] |
| |
| file | enginedata.hpp [code] |
| | A class to hold pricing engine parameters.
|
| |
| file | enginefactory.cpp [code] |
| |
| file | enginefactory.hpp [code] |
| | Pricing Engine Factory.
|
| |
| file | envelope.cpp [code] |
| |
| file | envelope.hpp [code] |
| | trade envelope data model and serialization
|
| |
| file | equitybarrieroption.cpp [code] |
| |
| file | equitybarrieroption.hpp [code] |
| | Equity Barrier Option data model and serialization.
|
| |
| file | equityderivative.hpp [code] |
| | EQ base trade classes.
|
| |
| file | equitydigitaloption.cpp [code] |
| |
| file | equitydigitaloption.hpp [code] |
| | EQ Digital Option data model and serialization.
|
| |
| file | equitydoublebarrieroption.cpp [code] |
| |
| file | equitydoublebarrieroption.hpp [code] |
| | Equity Double Barrier Option data model and serialization.
|
| |
| file | equitydoubletouchoption.cpp [code] |
| |
| file | equitydoubletouchoption.hpp [code] |
| | EQ Double One-Touch/No-Touch Option data model and serialization.
|
| |
| file | equityeuropeanbarrieroption.cpp [code] |
| |
| file | equityeuropeanbarrieroption.hpp [code] |
| | EQ European Barrier Option data model and serialization.
|
| |
| file | equityforward.cpp [code] |
| |
| file | equityforward.hpp [code] |
| | Equity Forward data model and serialization.
|
| |
| file | equityfuturesoption.cpp [code] |
| |
| file | equityfuturesoption.hpp [code] |
| | EQ Futures Option data model and serialization.
|
| |
| file | equityfxlegbuilder.cpp [code] |
| |
| file | equityfxlegbuilder.hpp [code] |
| | Equity & FX leg builders.
|
| |
| file | equityfxlegdata.cpp [code] |
| |
| file | equityfxlegdata.hpp [code] |
| | leg data for equityfx leg types
|
| |
| file | equityoption.cpp [code] |
| |
| file | equityoption.hpp [code] |
| | Equity Option data model and serialization.
|
| |
| file | equityoptionposition.cpp [code] |
| |
| file | equityoptionposition.hpp [code] |
| | Equity Option Position trade data model and serialization.
|
| |
| file | equityoutperformanceoption.cpp [code] |
| |
| file | equityoutperformanceoption.hpp [code] |
| | EQ Outperformance Option data model and serialization.
|
| |
| file | equityposition.cpp [code] |
| |
| file | equityposition.hpp [code] |
| | Equity Position trade data model and serialization.
|
| |
| file | equityswap.cpp [code] |
| |
| file | equityswap.hpp [code] |
| | Equity Swap data model and serialization.
|
| |
| file | equitytouchoption.cpp [code] |
| |
| file | equitytouchoption.hpp [code] |
| | EQ One-Touch/No-Touch Option data model and serialization.
|
| |
| file | europeanoptionbarrier.cpp [code] |
| |
| file | europeanoptionbarrier.hpp [code] |
| | European option with barrier wrapper for scripted trade.
|
| |
| file | failedtrade.cpp [code] |
| |
| file | failedtrade.hpp [code] |
| | Skeleton trade generated when trade loading/building fails.
|
| |
| file | fixingdates.cpp [code] |
| |
| file | fixingdates.hpp [code] |
| | Logic for calculating required fixing dates on legs.
|
| |
| file | flexiswap.cpp [code] |
| |
| file | flexiswap.hpp [code] |
| | Flexi-Swap data model and serialization.
|
| |
| file | formulabasedindexbuilder.cpp [code] |
| |
| file | formulabasedindexbuilder.hpp [code] |
| | formula based index builder
|
| |
| file | formulabasedlegbuilder.cpp [code] |
| |
| file | formulabasedlegbuilder.hpp [code] |
| | Formula based leg builder.
|
| |
| file | formulabasedlegdata.cpp [code] |
| |
| file | formulabasedlegdata.hpp [code] |
| | leg data for formula based leg types
|
| |
| file | forwardbond.cpp [code] |
| |
| file | forwardbond.hpp [code] |
| |
| file | forwardrateagreement.cpp [code] |
| |
| file | forwardrateagreement.hpp [code] |
| | ForwardRateAgreement data model and serialization.
|
| |
| file | fxaverageforward.cpp [code] |
| |
| file | fxaverageforward.hpp [code] |
| | Fx Average Forward data model and serialization.
|
| |
| file | fxbarrieroption.cpp [code] |
| |
| file | fxbarrieroption.hpp [code] |
| | FX Barrier Option data model and serialization.
|
| |
| file | fxderivative.hpp [code] |
| | FX base trade classes.
|
| |
| file | fxdigitalbarrieroption.cpp [code] |
| |
| file | fxdigitalbarrieroption.hpp [code] |
| |
| file | fxdigitaloption.cpp [code] |
| |
| file | fxdigitaloption.hpp [code] |
| | FX Digital Option data model and serialization.
|
| |
| file | fxdoublebarrieroption.cpp [code] |
| |
| file | fxdoublebarrieroption.hpp [code] |
| | FX Double Barrier Option data model and serialization.
|
| |
| file | fxdoubletouchoption.cpp [code] |
| |
| file | fxdoubletouchoption.hpp [code] |
| | FX Double One-Touch/No-Touch Option data model and serialization.
|
| |
| file | fxeuropeanbarrieroption.cpp [code] |
| |
| file | fxeuropeanbarrieroption.hpp [code] |
| | FX European Barrier Option data model and serialization.
|
| |
| file | fxforward.cpp [code] |
| |
| file | fxforward.hpp [code] |
| | FX Forward data model and serialization.
|
| |
| file | fxkikobarrieroption.cpp [code] |
| |
| file | fxkikobarrieroption.hpp [code] |
| |
| file | fxoption.cpp [code] |
| |
| file | fxoption.hpp [code] |
| | FX Option data model and serialization.
|
| |
| file | fxswap.cpp [code] |
| |
| file | fxswap.hpp [code] |
| | FX Swap data model and serialization.
|
| |
| file | fxtouchoption.cpp [code] |
| |
| file | fxtouchoption.hpp [code] |
| | FX One-Touch/No-Touch Option data model and serialization.
|
| |
| file | genericbarrieroption.cpp [code] |
| |
| file | genericbarrieroption.hpp [code] |
| | generic barrier option wrapper for scripted trade
|
| |
| file | indexcreditdefaultswap.cpp [code] |
| |
| file | indexcreditdefaultswap.hpp [code] |
| |
| file | indexcreditdefaultswapdata.cpp [code] |
| |
| file | indexcreditdefaultswapdata.hpp [code] |
| |
| file | indexcreditdefaultswapoption.cpp [code] |
| |
| file | indexcreditdefaultswapoption.hpp [code] |
| |
| file | indexing.cpp [code] |
| |
| file | indexing.hpp [code] |
| | leg indexing data model and serialization
|
| |
| file | inflationswap.cpp [code] |
| |
| file | inflationswap.hpp [code] |
| | Cross Currency Swap data model and serialization.
|
| |
| file | instrumentwrapper.cpp [code] |
| |
| file | instrumentwrapper.hpp [code] |
| | Base class for wrapper of QL instrument, used to store "state" of trade under each scenario.
|
| |
| file | knockoutswap.cpp [code] |
| |
| file | knockoutswap.hpp [code] |
| | knock out swap wrapper for scripted trade
|
| |
| file | legbuilders.cpp [code] |
| |
| file | legbuilders.hpp [code] |
| | Leg Builders.
|
| |
| file | legdata.cpp [code] |
| |
| file | legdata.hpp [code] |
| | leg data model and serialization
|
| |
| file | legdatafactory.cpp [code] |
| |
| file | legdatafactory.hpp [code] |
| | Leg data factory that can be used to build instances of leg data.
|
| |
| file | makenonstandardlegs.cpp [code] |
| |
| file | makenonstandardlegs.hpp [code] |
| | make functions for non-standard ibor and fixed legs
|
| |
| file | multilegoption.cpp [code] |
| |
| file | multilegoption.hpp [code] |
| | Multileg Option data model.
|
| |
| file | nettingsetdefinition.cpp [code] |
| |
| file | nettingsetdefinition.hpp [code] |
| | Netting Set Definition - including CSA information where available.
|
| |
| file | nettingsetdetails.cpp [code] |
| |
| file | nettingsetdetails.hpp [code] |
| | netting set details data model and serialization
|
| |
| file | nettingsetmanager.cpp [code] |
| |
| file | nettingsetmanager.hpp [code] |
| | Manager class for repository of netting set details.
|
| |
| file | optiondata.cpp [code] |
| |
| file | optiondata.hpp [code] |
| | trade option data model and serialization
|
| |
| file | optionexercisedata.cpp [code] |
| |
| file | optionexercisedata.hpp [code] |
| | option exercise data model and serialization
|
| |
| file | optionpaymentdata.cpp [code] |
| |
| file | optionpaymentdata.hpp [code] |
| | option payment data model and serialization
|
| |
| file | optionwrapper.cpp [code] |
| |
| file | optionwrapper.hpp [code] |
| | Wrapper for option instruments, tracks whether option has been exercised or not.
|
| |
| file | pairwisevarianceswap.cpp [code] |
| |
| file | pairwisevarianceswap.hpp [code] |
| | pairwise variance swap representation
|
| |
| file | performanceoption_01.cpp [code] |
| |
| file | performanceoption_01.hpp [code] |
| | performance option wrapper for scripted trade
|
| |
| file | portfolio.cpp [code] |
| |
| file | portfolio.hpp [code] |
| | Portfolio class.
|
| |
| file | premiumdata.cpp [code] |
| |
| file | premiumdata.hpp [code] |
| | premium data
|
| |
| file | rainbowoption.cpp [code] |
| |
| file | rainbowoption.hpp [code] |
| | rainbow option wrapper for scripted trade
|
| |
| file | rangebound.cpp [code] |
| |
| file | rangebound.hpp [code] |
| | rangebound data model
|
| |
| file | referencedata.cpp [code] |
| |
| file | referencedata.hpp [code] |
| | Reference data model and serialization.
|
| |
| file | referencedatafactory.cpp [code] |
| |
| file | referencedatafactory.hpp [code] |
| | Reference data model and serialization.
|
| |
| file | riskparticipationagreement.cpp [code] |
| |
| file | riskparticipationagreement.hpp [code] |
| | risk participation agreement data model and serialization
|
| |
| file | schedule.cpp [code] |
| |
| file | schedule.hpp [code] |
| | trade schedule data model and serialization
|
| |
| file | scriptedtrade.cpp [code] |
| |
| file | scriptedtrade.hpp [code] |
| | scripted trade data model
|
| |
| file | simmcreditqualifiermapping.hpp [code] |
| | mapping of SIMM credit qualifiers
|
| |
| file | structuredconfigurationerror.hpp [code] |
| | Class for structured configuration errors.
|
| |
| file | structuredconfigurationwarning.hpp [code] |
| | Class for structured configuration warnings.
|
| |
| file | structuredtradeerror.hpp [code] |
| | Structured Trade Error class.
|
| |
| file | structuredtradewarning.hpp [code] |
| | Classes for structured trade warnings.
|
| |
| file | swap.cpp [code] |
| |
| file | swap.hpp [code] |
| | Swap trade data model and serialization.
|
| |
| file | swaption.cpp [code] |
| |
| file | swaption.hpp [code] |
| | Swaption data model and serialization.
|
| |
| file | tarf.cpp [code] |
| |
| file | tarf.hpp [code] |
| | tarf wrapper for scripted trade
|
| |
| file | tlockdata.cpp [code] |
| |
| file | tlockdata.hpp [code] |
| | A class to hold Treasury-Lock data.
|
| |
| file | trade.cpp [code] |
| |
| file | trade.hpp [code] |
| | base trade data model and serialization
|
| |
| file | tradeactions.cpp [code] |
| |
| file | tradeactions.hpp [code] |
| |
| file | tradebarrier.cpp [code] |
| |
| file | tradebarrier.hpp [code] |
| |
| file | tradefactory.cpp [code] |
| |
| file | tradefactory.hpp [code] |
| | Trade Factory.
|
| |
| file | trademonetary.cpp [code] |
| |
| file | trademonetary.hpp [code] |
| |
| file | tradestrike.cpp [code] |
| |
| file | tradestrike.hpp [code] |
| |
| file | tranche.cpp [code] |
| |
| file | tranche.hpp [code] |
| | cbo tranche data model and serialization
|
| |
| file | trs.cpp [code] |
| |
| file | trs.hpp [code] |
| | trs
|
| |
| file | trsunderlyingbuilder.cpp [code] |
| |
| file | trsunderlyingbuilder.hpp [code] |
| |
| file | trswrapper.cpp [code] |
| |
| file | trswrapper.hpp [code] |
| | generic wrapper for trs (bond, convertible bond, equity, ...)
|
| |
| file | types.hpp [code] |
| | payment lag
|
| |
| file | underlying.cpp [code] |
| |
| file | underlying.hpp [code] |
| | underlying data model
|
| |
| file | vanillaoption.cpp [code] |
| |
| file | vanillaoption.hpp [code] |
| | vanilla option representation
|
| |
| file | varianceswap.cpp [code] |
| |
| file | varianceswap.hpp [code] |
| | variance swap representation
|
| |
| file | windowbarrieroption.cpp [code] |
| |
| file | windowbarrieroption.hpp [code] |
| | window barrier option - wrapper for scripted trade
|
| |
| file | worstofbasketswap.cpp [code] |
| |
| file | worstofbasketswap.hpp [code] |
| |
