portfolio Directory Reference

Directories
directory	builders

Files
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]