File List

Here is a list of all files with brief descriptions:

[detail level 1234]

▼ doc
► pages
groups.docs
index.docs
license.docs
namespaces.docs
▼ ored
► configuration
basecorrelationcurveconfig.cpp
basecorrelationcurveconfig.hpp	Base Correlation curve configuration classes
bootstrapconfig.cpp
bootstrapconfig.hpp	Class for holding bootstrap configurations
capfloorvolcurveconfig.cpp
capfloorvolcurveconfig.hpp	Cap floor volatility curve configuration class
cdsvolcurveconfig.cpp
cdsvolcurveconfig.hpp	CDS and index CDS volatility configuration
commoditycurveconfig.cpp
commoditycurveconfig.hpp	Commodity curve configuration class
commodityvolcurveconfig.cpp
commodityvolcurveconfig.hpp	Commodity volatility curve configuration
conventions.cpp	Currency and instrument specific conventions
conventions.hpp	Currency and instrument specific conventions/defaults
correlationcurveconfig.cpp
correlationcurveconfig.hpp
currencyconfig.cpp
currencyconfig.hpp
curveconfig.cpp
curveconfig.hpp	Base curve configuration classes
curveconfigurations.cpp
curveconfigurations.hpp	Curve configuration repository
defaultcurveconfig.cpp
defaultcurveconfig.hpp	Default curve configuration classes
equitycurveconfig.cpp
equitycurveconfig.hpp	Equity curve configuration classes
equityvolcurveconfig.cpp
equityvolcurveconfig.hpp	Equity volatility curve configuration classes
fxspotconfig.hpp	Security spread configuration classes
fxvolcurveconfig.cpp
fxvolcurveconfig.hpp	FX volatility curve configuration classes
genericyieldvolcurveconfig.cpp
genericyieldvolcurveconfig.hpp	Swaption volatility curve configuration classes
iborfallbackconfig.cpp
iborfallbackconfig.hpp	Ibor fallback configuration
inflationcapfloorvolcurveconfig.cpp
inflationcapfloorvolcurveconfig.hpp	Inflation CapFloor volatility curve configuration class
inflationcurveconfig.cpp
inflationcurveconfig.hpp	Inflation curve config
onedimsolverconfig.cpp
onedimsolverconfig.hpp	Class for holding 1-D solver configuration
parametricsmileconfiguration.cpp
parametricsmileconfiguration.hpp	Class for holding parametric smile configurations
reportconfig.cpp
reportconfig.hpp	Md report and arbitrage check configuration
securityconfig.hpp	Security spread configuration classes
swaptionvolcurveconfig.hpp	Swaption volatility curve configuration classes
volatilityconfig.cpp
volatilityconfig.hpp
yieldcurveconfig.cpp
yieldcurveconfig.hpp	Yield curve configuration classes
yieldvolcurveconfig.hpp	Yield volatility curve configuration classes
► marketdata
adjustedinmemoryloader.cpp
adjustedinmemoryloader.hpp
adjustmentfactors.cpp
adjustmentfactors.hpp
basecorrelationcurve.cpp
basecorrelationcurve.hpp	Wrapper class for building base correlation structures
bondspreadimply.cpp
bondspreadimply.hpp	Bond spread imply utility
bondspreadimplymarket.cpp
bondspreadimplymarket.hpp	Market that can be used to imply bond spreads
capfloorvolcurve.cpp
capfloorvolcurve.hpp	Build optionlet volatility structures from cap floor configurations
cdsvolcurve.cpp
cdsvolcurve.hpp	Class for building cds volatility structures
clonedloader.cpp
clonedloader.hpp	Loader providing cloned data from another loader
commoditycurve.cpp
commoditycurve.hpp	Class for building a commodity price curve
commodityvolcurve.cpp
commodityvolcurve.hpp	Wrapper class for building commodity volatility structures
compositeloader.hpp	Loader that is a composite of two loaders
correlationcurve.cpp
correlationcurve.hpp
csvloader.cpp	Market Datum Loader impl
csvloader.hpp	Market Datum Loader Implementation
curvespec.cpp
curvespec.hpp	Curve requirements specification
curvespecparser.cpp
curvespecparser.hpp	CurveSpec parser
defaultcurve.cpp
defaultcurve.hpp	Wrapper class for building Default curves
dependencygraph.cpp	DependencyGraph class to establish build order of marketObjects and its dependency
dependencygraph.hpp	DependencyGraph class to establish build order of marketObjects and its dependency
dummymarket.hpp	Dummy Market class returning empty handles, used in tests
equitycurve.cpp
equitycurve.hpp	Wrapper class for building Equity curves
equityvolcurve.cpp
equityvolcurve.hpp	Wrapper class for building Equity volatility structures
expiry.cpp
expiry.hpp	Classes for representing an expiry for use in market quotes
fittedbondcurvehelpermarket.cpp
fittedbondcurvehelpermarket.hpp	A market implementation providing curves for setting up bond rate helpers
fixings.cpp
fixings.hpp
fxtriangulation.cpp
fxtriangulation.hpp	Intelligent FX price repository
fxvolcurve.cpp
fxvolcurve.hpp	Wrapper class for building FX volatility structures
genericyieldvolcurve.cpp
genericyieldvolcurve.hpp
inflationcapfloorvolcurve.cpp
inflationcapfloorvolcurve.hpp	Wrapper class for building YoY Inflation CapFloor volatility structures
inflationcurve.cpp
inflationcurve.hpp	Inflation curve class
inmemoryloader.cpp
inmemoryloader.hpp
loader.cpp
loader.hpp	Market Datum Loader Interface
market.cpp
market.hpp	Base Market class
marketdatum.cpp
marketdatum.hpp	Market data representation
marketdatumparser.cpp
marketdatumparser.hpp	Market Datum parser
marketimpl.cpp
marketimpl.hpp	An implementation of the Market class that stores the required objects in maps
security.cpp
security.hpp	A wrapper class for holding Bond Spread quotes
strike.cpp
strike.hpp	Classes for representing a strike using various conventions
structuredcurveerror.hpp	Error for market data or curve
swaptionvolcurve.cpp
swaptionvolcurve.hpp	Wrapper class for building Swaption volatility structures
todaysmarket.cpp	An concrete implementation of the Market class that loads todays market and builds the required curves
todaysmarket.hpp	An concrete implementation of the Market class that loads todays market and builds the required curves
todaysmarketcalibrationinfo.cpp
todaysmarketcalibrationinfo.hpp	Container holding information on calibration results during the t0 market build
todaysmarketparameters.cpp
todaysmarketparameters.hpp	A class to hold todays market configuration(s)
wrappedmarket.cpp
wrappedmarket.hpp	Wrapped market
yieldcurve.cpp
yieldcurve.hpp	Wrapper class for QuantLib term structures
yieldvolcurve.cpp
yieldvolcurve.hpp	Wrapper class for building yield volatility structures
► model
► calibrationinstruments
cpicapfloor.cpp
cpicapfloor.hpp	Class for holding details of a zero coupon CPI cap floor calibration instrument
yoycapfloor.cpp
yoycapfloor.hpp	Class for holding details of a year on year inflation cap floor calibration instrument
yoyswap.cpp
yoyswap.hpp	Class for holding details of a year on year inflation swap calibration instrument
► inflation
infdkbuilder.cpp
infdkbuilder.hpp	Builder for a Dodgson-Kainth inflation model component
infdkdata.cpp
infdkdata.hpp	Dodgson Kainth inflation model component data for the cross asset model
infjybuilder.cpp
infjybuilder.hpp	Builder for a Jarrow Yildrim inflation model component
infjydata.cpp
infjydata.hpp	Jarrow Yildirim inflation model component data for the cross asset model
inflationmodeldata.cpp
inflationmodeldata.hpp	Base class for holding inflation model data
blackscholesmodelbuilder.cpp
blackscholesmodelbuilder.hpp	Builder for an array of black scholes processes
blackscholesmodelbuilderbase.cpp
blackscholesmodelbuilderbase.hpp	Builder for an array of black scholes processes
calibrationbasket.cpp
calibrationbasket.hpp	Class for holding details of the calibration instruments for a model
calibrationconfiguration.cpp
calibrationconfiguration.hpp	Class for holding calibration configuration details
calibrationinstrumentfactory.cpp
calibrationinstrumentfactory.hpp	Factory for making calibration instruments
calibrationpointcache.cpp
calibrationpointcache.hpp	Cache for relevant points on curve / vol surfaces
commodityschwartzmodelbuilder.cpp
commodityschwartzmodelbuilder.hpp	Builder for a Lognormal COM model component
commodityschwartzmodeldata.cpp
commodityschwartzmodeldata.hpp	COM component data for the cross asset model
crcirbuilder.cpp
crcirbuilder.hpp	Build an cir model
crcirdata.cpp
crcirdata.hpp	CIR credit model data
crlgmbuilder.cpp
crlgmbuilder.hpp
crlgmdata.cpp
crlgmdata.hpp	CR component data for the cross asset model
crossassetmodelbuilder.cpp
crossassetmodelbuilder.hpp	Build a cross asset model
crossassetmodeldata.cpp
crossassetmodeldata.hpp	Cross asset model data
eqbsbuilder.cpp
eqbsbuilder.hpp	Builder for a Lognormal EQ model component
eqbsdata.cpp
eqbsdata.hpp	EQ component data for the cross asset model
fxbsbuilder.cpp
fxbsbuilder.hpp	Builder for a Lognormal FX model component
fxbsdata.cpp
fxbsdata.hpp	FX component data for the cross asset model
hwbuilder.cpp
hwbuilder.hpp	Build a hw model
irhwmodeldata.cpp
irhwmodeldata.hpp	Hull White model data
irlgmdata.cpp
irlgmdata.hpp	IR component data for the cross asset model
irmodeldata.cpp
irmodeldata.hpp	Generic interest rate model data
lgmbuilder.cpp
lgmbuilder.hpp	Build an lgm model
lgmdata.cpp
lgmdata.hpp	Linear Gauss Markov model data
localvolmodelbuilder.cpp
localvolmodelbuilder.hpp	Builder for an array of local vol processes
modeldata.cpp
modeldata.hpp	Base class for holding model data
modelparameter.cpp
modelparameter.hpp	Class for holding model parameter data
structuredmodelerror.hpp	Error for model calibration / building
structuredmodelwarning.hpp
utilities.cpp
utilities.hpp	Shared utilities for model building and calibration
► portfolio
► builders
ascot.cpp
ascot.hpp
asianoption.cpp
asianoption.hpp	Abstract engine builders for European Asian Options
balanceguaranteedswap.cpp
balanceguaranteedswap.hpp
bond.cpp
bond.hpp	Builder that returns an engine to price a bond instrument
bondoption.cpp
bondoption.hpp	Engine builder for bond option
bondrepo.cpp
bondrepo.hpp
bondtotalreturnswap.cpp
bondtotalreturnswap.hpp
cachingenginebuilder.hpp	Abstract template engine builder class
capfloor.cpp
capfloor.hpp	Builder that returns an engine to price a cap or floor on IBOR instrument
capflooredaveragebmacouponleg.cpp
capflooredaveragebmacouponleg.hpp	Builder that returns an engine to price capped floored avg BMA legs
capflooredaverageonindexedcouponleg.cpp
capflooredaverageonindexedcouponleg.hpp
capflooredcpileg.cpp
capflooredcpileg.hpp
capfloorediborleg.cpp
capfloorediborleg.hpp	Builder that returns an engine to price capped floored ibor legs
capfloorednonstandardyoyleg.cpp
capfloorednonstandardyoyleg.hpp
capflooredovernightindexedcouponleg.cpp
capflooredovernightindexedcouponleg.hpp	Builder that returns an engine to price capped floored ibor legs
capflooredyoyleg.cpp
capflooredyoyleg.hpp	Builder that returns an engine to price capped floored yoy inflation legs
cbo.cpp
cbo.hpp
cdo.cpp
cdo.hpp	Mid point CDO engines cached by currency
cliquetoption.cpp
cliquetoption.hpp	Engine builder for cliquet options
cms.cpp
cms.hpp	Builder that returns an engine to price capped floored ibor legs
cmsspread.cpp
cmsspread.hpp	Builder that returns a cms spread coupon pricer
commodityapo.cpp
commodityapo.hpp	Engine builder for commodity average price options
commodityapomodelbuilder.cpp
commodityapomodelbuilder.hpp	Model builder for commodityapos
commodityasianoption.cpp
commodityasianoption.hpp	Engine builder for commodity Asian options
commodityforward.cpp
commodityforward.hpp	Engine builder for commodity forward
commodityoption.cpp
commodityoption.hpp	Engine builder for commodity options
commodityspreadoption.cpp
commodityspreadoption.hpp
commodityswap.cpp
commodityswap.hpp	Engine builder for commodity swaps
commodityswaption.cpp
commodityswaption.hpp	Engine builder for commodity swaptions
convertiblebond.cpp
convertiblebond.hpp
cpicapfloor.cpp
cpicapfloor.hpp	Builder that returns an engine to price a CPI cap or floor
creditdefaultswap.cpp
creditdefaultswap.hpp	Builder that returns an engine to price a credit default swap
creditdefaultswapoption.cpp
creditdefaultswapoption.hpp	Builder that returns an engine to price a credit default swap option
creditlinkedswap.cpp
creditlinkedswap.hpp
currencyswap.cpp
currencyswap.hpp
deltagammaengines.cpp
deltagammaengines.hpp	Additional builders for engines that return deltas, vegas, gammas, cross-gammas
durationadjustedcms.cpp
durationadjustedcms.hpp	Coupon pricer builder for duration adjusted cms coupons
equityasianoption.cpp
equityasianoption.hpp	Engine builder for equity Asian options
equitybarrieroption.cpp
equitybarrieroption.hpp
equitycompositeoption.cpp
equitycompositeoption.hpp	Engine builder for equity composite options
equitydigitaloption.cpp
equitydigitaloption.hpp
equitydoublebarrieroption.cpp
equitydoublebarrieroption.hpp
equitydoubletouchoption.cpp
equitydoubletouchoption.hpp
equityforward.cpp
equityforward.hpp	Builder that returns an engine to price an equity forward
equityfuturesoption.cpp
equityfuturesoption.hpp	Engine builder for equity futures options
equityoption.cpp
equityoption.hpp	Engine builder for equity options
equityoutperformanceoption.cpp
equityoutperformanceoption.hpp
equitytouchoption.cpp
equitytouchoption.hpp
flexiswap.cpp
flexiswap.hpp
formulabasedcoupon.cpp
formulabasedcoupon.hpp
forwardbond.cpp
forwardbond.hpp	Engine builder for forward bonds
fxasianoption.cpp
fxasianoption.hpp	Engine builder for fx Asian options
fxbarrieroption.cpp
fxbarrieroption.hpp
fxdigitalbarrieroption.cpp
fxdigitalbarrieroption.hpp
fxdigitaloption.cpp
fxdigitaloption.hpp
fxdoublebarrieroption.cpp
fxdoublebarrieroption.hpp
fxdoubletouchoption.cpp
fxdoubletouchoption.hpp
fxforward.cpp
fxforward.hpp	Engine builder for FX Forwards
fxoption.cpp
fxoption.hpp	Engine builder for FX Options
fxtouchoption.cpp
fxtouchoption.hpp
indexcreditdefaultswap.cpp
indexcreditdefaultswap.hpp
indexcreditdefaultswapoption.cpp
indexcreditdefaultswapoption.hpp
multilegoption.cpp
multilegoption.hpp	Multi leg option engine builder
pairwisevarianceswap.cpp
pairwisevarianceswap.hpp	Pairwise variance swap engine builder
quantoequityoption.cpp
quantoequityoption.hpp	Engine builder for quanto equity options
quantovanillaoption.hpp	Abstract engine builder for Quanto European Options
riskparticipationagreement.cpp
riskparticipationagreement.hpp
scriptedtrade.cpp
scriptedtrade.hpp
swap.cpp
swap.hpp	Engine builder for Swaps
swaption.cpp
swaption.hpp
vanillaoption.hpp	Abstract engine builders for European and American Options
varianceswap.cpp
varianceswap.hpp	Variance swap engine builder
yoycapfloor.cpp
yoycapfloor.hpp	Engine builder for year-on-year inflation caps/floors
accumulator.cpp
accumulator.hpp	Accumulator wrapper for scripted trade
ascot.cpp
ascot.hpp	Ascot (or Convertible Bond Option) trade data model and serialization
asianoption.cpp
asianoption.hpp	Asian option representation
autocallable_01.cpp
autocallable_01.hpp	Autocallable_01 wrapper for scripted trade
balanceguaranteedswap.cpp
balanceguaranteedswap.hpp	Balance Guaranteed Swap data model and serialization
barrierdata.cpp
barrierdata.hpp
barrieroption.cpp
barrieroption.hpp	Barrier Option data model and serialization
barrieroptionwrapper.cpp
barrieroptionwrapper.hpp	Wrapper for option instruments, tracks whether option has been exercised or not
basketdata.cpp
basketdata.hpp	Credit basket data model and serialization
basketoption.cpp
basketoption.hpp	Basket option wrapper for scripted trade
basketvarianceswap.cpp
basketvarianceswap.hpp
bestentryoption.cpp
bestentryoption.hpp
bond.cpp
bond.hpp	Bond trade data model and serialization
bondbasket.cpp
bondbasket.hpp	Credit bond basket data model and serialization
bondoption.cpp
bondoption.hpp	Bond option data model and serialization
bondposition.cpp
bondposition.hpp	Bond Position trade data model and serialization
bondrepo.cpp
bondrepo.hpp	Bond Repo trade data model and serialization
bondtotalreturnswap.cpp
bondtotalreturnswap.hpp
bondutils.cpp
bondutils.hpp	Bond utilities
callableswap.cpp
callableswap.hpp	Callable Swap data model and serialization
capfloor.cpp
capfloor.hpp	Ibor cap, floor or collar trade data model and serialization
cbo.cpp
cbo.hpp	Collateralized bond obligation data model
cdo.cpp
cdo.hpp
cliquetoption.cpp
cliquetoption.hpp	Equity Cliquet Option
collateralbalance.cpp
collateralbalance.hpp	Holder class for collateral balances
commodityapo.cpp
commodityapo.hpp	Commodity Average Price Option data model and serialization
commoditydigitalapo.cpp
commoditydigitalapo.hpp
commoditydigitaloption.cpp
commoditydigitaloption.hpp	Commodity digital option representation as call spread
commodityforward.cpp
commodityforward.hpp	Commodity forward representation
commoditylegbuilder.cpp
commoditylegbuilder.hpp	Commodity fixed and floating leg builders
commoditylegdata.cpp
commoditylegdata.hpp	Leg data for commodity leg types
commodityoption.cpp
commodityoption.hpp	Commodity option representation
commodityoptionstrip.cpp
commodityoptionstrip.hpp	Commodity option strip data model and serialization
commodityposition.cpp
commodityposition.hpp	Commodity Position trade data model and serialization
commodityspreadoption.cpp
commodityspreadoption.hpp
commodityswap.cpp
commodityswap.hpp	Commodity Swap data model and serialization
commodityswaption.cpp
commodityswaption.hpp	Commodity swaption data model and serialization
compositeinstrumentwrapper.cpp
compositeinstrumentwrapper.hpp	Used to store multiple trade wrappers
compositetrade.cpp
compositetrade.hpp	Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles
convertiblebond.cpp
convertiblebond.hpp	Convertible Bond trade data model and serialization
convertiblebonddata.cpp
convertiblebonddata.hpp	Convertible bond data model and serialization
convertiblebondreferencedata.cpp
convertiblebondreferencedata.hpp	Reference data
creditdefaultswap.cpp
creditdefaultswap.hpp	Ibor cap, floor or collar trade data model and serialization
creditdefaultswapdata.cpp
creditdefaultswapdata.hpp	A class to hold credit default swap data
creditdefaultswapoption.cpp
creditdefaultswapoption.hpp	Credit default swap option trade data model and serialization
creditlinkedswap.cpp
creditlinkedswap.hpp	Credit linked swap data model
crosscurrencyswap.cpp
crosscurrencyswap.hpp	Cross Currency Swap data model and serialization
doubledigitaloption.cpp
doubledigitaloption.hpp	Double digital option wrapper for scripted trade
durationadjustedcmslegbuilder.cpp
durationadjustedcmslegbuilder.hpp	Leg builder for duration adjusted cms coupon legs
durationadjustedcmslegdata.cpp
durationadjustedcmslegdata.hpp	Leg data for duration adjusted cms
enginedata.cpp
enginedata.hpp	A class to hold pricing engine parameters
enginefactory.cpp
enginefactory.hpp	Pricing Engine Factory
envelope.cpp
envelope.hpp	Trade envelope data model and serialization
equitybarrieroption.cpp
equitybarrieroption.hpp	Equity Barrier Option data model and serialization
equityderivative.hpp	EQ base trade classes
equitydigitaloption.cpp
equitydigitaloption.hpp	EQ Digital Option data model and serialization
equitydoublebarrieroption.cpp
equitydoublebarrieroption.hpp	Equity Double Barrier Option data model and serialization
equitydoubletouchoption.cpp
equitydoubletouchoption.hpp	EQ Double One-Touch/No-Touch Option data model and serialization
equityeuropeanbarrieroption.cpp
equityeuropeanbarrieroption.hpp	EQ European Barrier Option data model and serialization
equityforward.cpp
equityforward.hpp	Equity Forward data model and serialization
equityfuturesoption.cpp
equityfuturesoption.hpp	EQ Futures Option data model and serialization
equityfxlegbuilder.cpp
equityfxlegbuilder.hpp	Equity & FX leg builders
equityfxlegdata.cpp
equityfxlegdata.hpp	Leg data for equityfx leg types
equityoption.cpp
equityoption.hpp	Equity Option data model and serialization
equityoptionposition.cpp
equityoptionposition.hpp	Equity Option Position trade data model and serialization
equityoutperformanceoption.cpp
equityoutperformanceoption.hpp	EQ Outperformance Option data model and serialization
equityposition.cpp
equityposition.hpp	Equity Position trade data model and serialization
equityswap.cpp
equityswap.hpp	Equity Swap data model and serialization
equitytouchoption.cpp
equitytouchoption.hpp	EQ One-Touch/No-Touch Option data model and serialization
europeanoptionbarrier.cpp
europeanoptionbarrier.hpp	European option with barrier wrapper for scripted trade
failedtrade.cpp
failedtrade.hpp	Skeleton trade generated when trade loading/building fails
fixingdates.cpp
fixingdates.hpp	Logic for calculating required fixing dates on legs
flexiswap.cpp
flexiswap.hpp	Flexi-Swap data model and serialization
formulabasedindexbuilder.cpp
formulabasedindexbuilder.hpp	Formula based index builder
formulabasedlegbuilder.cpp
formulabasedlegbuilder.hpp	Formula based leg builder
formulabasedlegdata.cpp
formulabasedlegdata.hpp	Leg data for formula based leg types
forwardbond.cpp
forwardbond.hpp
forwardrateagreement.cpp
forwardrateagreement.hpp	ForwardRateAgreement data model and serialization
fxaverageforward.cpp
fxaverageforward.hpp	Fx Average Forward data model and serialization
fxbarrieroption.cpp
fxbarrieroption.hpp	FX Barrier Option data model and serialization
fxderivative.hpp	FX base trade classes
fxdigitalbarrieroption.cpp
fxdigitalbarrieroption.hpp
fxdigitaloption.cpp
fxdigitaloption.hpp	FX Digital Option data model and serialization
fxdoublebarrieroption.cpp
fxdoublebarrieroption.hpp	FX Double Barrier Option data model and serialization
fxdoubletouchoption.cpp
fxdoubletouchoption.hpp	FX Double One-Touch/No-Touch Option data model and serialization
fxeuropeanbarrieroption.cpp
fxeuropeanbarrieroption.hpp	FX European Barrier Option data model and serialization
fxforward.cpp
fxforward.hpp	FX Forward data model and serialization
fxkikobarrieroption.cpp
fxkikobarrieroption.hpp
fxoption.cpp
fxoption.hpp	FX Option data model and serialization
fxswap.cpp
fxswap.hpp	FX Swap data model and serialization
fxtouchoption.cpp
fxtouchoption.hpp	FX One-Touch/No-Touch Option data model and serialization
genericbarrieroption.cpp
genericbarrieroption.hpp	Generic barrier option wrapper for scripted trade
indexcreditdefaultswap.cpp
indexcreditdefaultswap.hpp
indexcreditdefaultswapdata.cpp
indexcreditdefaultswapdata.hpp
indexcreditdefaultswapoption.cpp
indexcreditdefaultswapoption.hpp
indexing.cpp
indexing.hpp	Leg indexing data model and serialization
inflationswap.cpp
inflationswap.hpp	Cross Currency Swap data model and serialization
instrumentwrapper.cpp
instrumentwrapper.hpp	Base class for wrapper of QL instrument, used to store "state" of trade under each scenario
knockoutswap.cpp
knockoutswap.hpp	Knock out swap wrapper for scripted trade
legbuilders.cpp
legbuilders.hpp	Leg Builders
legdata.cpp
legdata.hpp	Leg data model and serialization
legdatafactory.cpp
legdatafactory.hpp	Leg data factory that can be used to build instances of leg data
makenonstandardlegs.cpp
makenonstandardlegs.hpp	Make functions for non-standard ibor and fixed legs
multilegoption.cpp
multilegoption.hpp	Multileg Option data model
nettingsetdefinition.cpp
nettingsetdefinition.hpp	Netting Set Definition - including CSA information where available
nettingsetdetails.cpp
nettingsetdetails.hpp	Netting set details data model and serialization
nettingsetmanager.cpp
nettingsetmanager.hpp	Manager class for repository of netting set details
optiondata.cpp
optiondata.hpp	Trade option data model and serialization
optionexercisedata.cpp
optionexercisedata.hpp	Option exercise data model and serialization
optionpaymentdata.cpp
optionpaymentdata.hpp	Option payment data model and serialization
optionwrapper.cpp
optionwrapper.hpp	Wrapper for option instruments, tracks whether option has been exercised or not
pairwisevarianceswap.cpp
pairwisevarianceswap.hpp	Pairwise variance swap representation
performanceoption_01.cpp
performanceoption_01.hpp	Performance option wrapper for scripted trade
portfolio.cpp
portfolio.hpp	Portfolio class
premiumdata.cpp
premiumdata.hpp	Premium data
rainbowoption.cpp
rainbowoption.hpp	Rainbow option wrapper for scripted trade
rangebound.cpp
rangebound.hpp	Rangebound data model
referencedata.cpp
referencedata.hpp	Reference data model and serialization
referencedatafactory.cpp
referencedatafactory.hpp	Reference data model and serialization
riskparticipationagreement.cpp
riskparticipationagreement.hpp	Risk participation agreement data model and serialization
schedule.cpp
schedule.hpp	Trade schedule data model and serialization
scriptedtrade.cpp
scriptedtrade.hpp	Scripted trade data model
simmcreditqualifiermapping.hpp	Mapping of SIMM credit qualifiers
structuredconfigurationerror.hpp	Class for structured configuration errors
structuredconfigurationwarning.hpp	Class for structured configuration warnings
structuredtradeerror.hpp	Structured Trade Error class
structuredtradewarning.hpp	Classes for structured trade warnings
swap.cpp
swap.hpp	Swap trade data model and serialization
swaption.cpp
swaption.hpp	Swaption data model and serialization
tarf.cpp
tarf.hpp	Tarf wrapper for scripted trade
tlockdata.cpp
tlockdata.hpp	A class to hold Treasury-Lock data
trade.cpp
trade.hpp	Base trade data model and serialization
tradeactions.cpp
tradeactions.hpp
tradebarrier.cpp
tradebarrier.hpp
tradefactory.cpp
tradefactory.hpp	Trade Factory
trademonetary.cpp
trademonetary.hpp
tradestrike.cpp
tradestrike.hpp
tranche.cpp
tranche.hpp	Cbo tranche data model and serialization
trs.cpp
trs.hpp	Trs
trsunderlyingbuilder.cpp
trsunderlyingbuilder.hpp
trswrapper.cpp
trswrapper.hpp	Generic wrapper for trs (bond, convertible bond, equity, ...)
types.hpp	Payment lag
underlying.cpp
underlying.hpp	Underlying data model
vanillaoption.cpp
vanillaoption.hpp	Vanilla option representation
varianceswap.cpp
varianceswap.hpp	Variance swap representation
windowbarrieroption.cpp
windowbarrieroption.hpp	Window barrier option - wrapper for scripted trade
worstofbasketswap.cpp
worstofbasketswap.hpp
► report
csvreport.cpp
csvreport.hpp	CSV Report class
inmemoryreport.cpp
inmemoryreport.hpp	In memory report class
report.hpp	Report interface class
utilities.cpp
utilities.hpp	Utilities functions for reports
► scripting
► engines
analyticblackriskparticipationagreementengine.cpp
analyticblackriskparticipationagreementengine.hpp
analyticxccyblackriskparticipationagreementengine.cpp
analyticxccyblackriskparticipationagreementengine.hpp
cliquetoptionmcscriptengine.cpp
cliquetoptionmcscriptengine.hpp
numericlgmriskparticipationagreementengine.cpp
numericlgmriskparticipationagreementengine.hpp
numericlgmriskparticipationagreementengine_tlock.cpp
numericlgmriskparticipationagreementengine_tlock.hpp
riskparticipationagreementbaseengine.cpp
riskparticipationagreementbaseengine.hpp
scriptedinstrumentamccalculator.cpp
scriptedinstrumentamccalculator.hpp	Amc calculator for scripted trades
scriptedinstrumentpricingengine.cpp
scriptedinstrumentpricingengine.hpp	Scripted instrument pricing engine
scriptedinstrumentpricingenginecg.cpp
scriptedinstrumentpricingenginecg.hpp	Scripted instrument pricing engine using a cg model
► models
amcmodel.hpp	Additional interface for amc enabled models
blackscholes.cpp
blackscholes.hpp	Black scholes model for n underlyings (fx, equity or commodity)
blackscholesbase.cpp
blackscholesbase.hpp	Black scholes model base class for n underlyings (fx, equity or commodity)
blackscholescg.cpp
blackscholescg.hpp	Black scholes model for n underlyings (fx, equity or commodity)
blackscholescgbase.cpp
blackscholescgbase.hpp	Black scholes model base class for n underlyings (fx, equity or commodity)
dummymodel.hpp	Dummy model implementation
fdblackscholesbase.cpp
fdblackscholesbase.hpp	Black scholes fd model base class for n underlyings (fx, equity or commodity)
fdgaussiancam.cpp
fdgaussiancam.hpp	Fd gaussian cross asset model for single underlying ir model
gaussiancam.cpp
gaussiancam.hpp	Gaussian cross asset model for ir, fx, eq, com
gaussiancamcg.cpp
gaussiancamcg.hpp	Gaussian CAM model
hwcg.cpp
hwcg.hpp
lgmcg.cpp
lgmcg.hpp	Computation graph based lgm model calculations
localvol.cpp
localvol.hpp	Local vol model for n underlyings (fx, equity or commodity)
model.hpp	Interface for model against which a script can be run
modelcg.cpp
modelcg.hpp	Interface for model against which a script can be run
modelcgimpl.cpp
modelcgimpl.hpp	Basis implementation for a script engine model
modelimpl.cpp
modelimpl.hpp	Basis implementation for a script engine model
ast.cpp
ast.hpp	Abstract syntax tree for payoff scripting
astprinter.cpp
astprinter.hpp	Ast printer
astresetter.cpp
astresetter.hpp	Resets cached values in ast
asttoscriptconverter.cpp
asttoscriptconverter.hpp	Ast to script converter
computationgraphbuilder.cpp
computationgraphbuilder.hpp	Computation graph builder
context.cpp
context.hpp	Script engine context holding variable names and values
grammar.cpp
grammar.hpp	Payoff script grammar
paylog.cpp
paylog.hpp	Repository for cashflows generated by the PAYLOG() function
randomastgenerator.cpp
randomastgenerator.hpp	Random ast generator for testing purposes
safestack.hpp	Stack with safety checks and pop() that returns rvalue reference of top element
scriptedinstrument.cpp
scriptedinstrument.hpp	Scripted instrument
scriptengine.cpp
scriptengine.hpp	Scriptengine
scriptparser.cpp
scriptparser.hpp	Script parser
staticanalyser.cpp
staticanalyser.hpp	Static script analyser
utilities.cpp
utilities.hpp	Some utility functions
value.cpp
value.hpp	Value type and operations
► utilities
bondindexbuilder.cpp
bondindexbuilder.hpp	Interface for building a bond index
calendaradjustmentconfig.cpp
calendaradjustmentconfig.hpp	Interface for calendar modifications, additional holidays and business days
calendarparser.cpp
calendarparser.hpp	Calendar parser singleton class
conventionsbasedfutureexpiry.cpp
conventionsbasedfutureexpiry.hpp	Base class for classes that perform date calculations for future contracts
correlationmatrix.cpp
correlationmatrix.hpp	Configuration class for building correlation matrices
csvfilereader.cpp
csvfilereader.hpp	Utility class to access CSV files
currencyhedgedequityindexdecomposition.cpp
currencyhedgedequityindexdecomposition.hpp	Helper function used for the index decompositon
currencyparser.cpp
currencyparser.hpp	Currency parser singleton class
databuilders.cpp
databuilders.hpp
dategrid.cpp
dategrid.hpp	The date grid class
fileio.cpp
fileio.hpp	Wrapper class for retrying file IO operations
flowanalysis.cpp
flowanalysis.hpp	Extended QuantLib flow analysis
formulaparser.cpp
formulaparser.hpp	Generic formula parser
indexnametranslator.cpp
indexnametranslator.hpp	Translates between QuantLib::Index::name() and ORE names
indexparser.cpp
indexparser.hpp	Map text representations to QuantLib/QuantExt types
inflationstartdate.cpp
inflationstartdate.hpp
log.cpp
log.hpp	Classes and functions for log message handling
marketdata.cpp
marketdata.hpp	Market data related utilties
osutils.cpp
osutils.hpp	Various OS specific utilities
parsers.cpp
parsers.hpp	Map text representations to QuantLib/QuantExt types
progressbar.cpp
progressbar.hpp	Classes for progress reporting
serializationdate.hpp	Support for QuantLib::Date serialization
serializationdaycounter.hpp	Support for QuantLib::DayCounter serialization
serializationperiod.hpp	Support for QuantLib::Period serialization
strike.cpp
strike.hpp	Strike description
timeperiod.cpp
timeperiod.hpp	Non-contiguous time period handling
to_string.cpp
to_string.hpp	String conversion utilities
vectorutils.hpp	Utilities for sorting vectors using permutations
wildcard.cpp
wildcard.hpp	Utilities for wildcard handling
xmlutils.cpp
xmlutils.hpp	XML utility functions
auto_link.hpp
ored.hpp
version.hpp	ORE version as defined in QuantExt
▼ test
adjustmentfactors.cpp
basecorrelationcurve.cpp
bond.cpp
calendaradjustment.cpp
calendars.cpp
cbo.cpp
ccyswapwithresets.cpp
cds.cpp
cdsindexoption.cpp
cms.cpp
commodityapo.cpp
commodityasianoption.cpp
commoditycurve.cpp
commoditycurveconfig.cpp
commodityoption.cpp
commodityswaption.cpp
commodityvolcurve.cpp
commodityvolcurveconfig.cpp
compositetrade.cpp
compositewrapper.cpp
conventions.cpp
conventionsbasedfutureexpiry.cpp
correlationcurveconfig.cpp
cpicapfloor.cpp
cpiswap.cpp
creditdefaultswapdata.cpp
crossassetmodeldata.cpp
curveconfig.cpp
curvespecparser.cpp
digitalcms.cpp
equityasianoption.cpp
equitymarketdata.cpp
equityswap.cpp
equitytrades.cpp
expiry.cpp
fittedbondcurve.cpp
fixings.cpp
formulaparser.cpp
fxaccumulator.cpp
fxasianoption.cpp
fxdom.cpp
fxexotics.cpp
fxoption.cpp
fxswap.cpp
fxtarf.cpp
fxtriangulation.cpp
fxvolcurve.cpp
gaussiancam.cpp
generalisedreplicatingvarianceswapengine.cpp
indices.cpp
inflationcapfloor.cpp
inflationcurve.cpp
legdata.cpp
localvol.cpp
mxnircurves.cpp
optionpaymentdata.cpp
ored_commodityforward.cpp
oredtestmarket.cpp
oredtestmarket.hpp
parser.cpp
portfolio.cpp
representativefxoption.cpp
representativeswaption.cpp
riskparticipationagreement.cpp
schedule.cpp
scriptengine.cpp
scriptparser.cpp
strike.cpp
swaption.cpp
testsuite.cpp
todaysmarket.cpp
value.cpp
xmlmanipulation.cpp
yieldcurve.cpp
zerocouponswap.cpp