Portfolio

Modules
	Builders
	Trade Data

Files
file	accumulator.hpp
	accumulator wrapper for scripted trade
file	autocallable_01.hpp
	autocallable_01 wrapper for scripted trade
file	optiondata.hpp
	trade option data model and serialization
file	barrieroption.hpp
	Barrier Option data model and serialization.
file	basketdata.hpp
	credit basket data model and serialization
file	basketoption.hpp
	basket option wrapper for scripted trade
file	europeanoptionbarrier.hpp
	European option with barrier wrapper for scripted trade.
file	bondbasket.hpp
	credit bond basket data model and serialization
file	bondutils.hpp
	bond utilities
file	cbo.hpp
file	cdo.hpp
	Mid point CDO engines cached by currency.
file	deltagammaengines.hpp
	Additional builders for engines that return deltas, vegas, gammas, cross-gammas.
file	equitybarrieroption.hpp
file	equitydigitaloption.hpp
file	equitydoublebarrieroption.hpp
file	equitydoubletouchoption.hpp
file	equityoutperformanceoption.hpp
file	equitytouchoption.hpp
file	fxoption.hpp
	Engine builder for FX Options.
file	fxoption.hpp
	Engine builder for FX Options.
file	fxdigitaloption.hpp
file	fxdoublebarrieroption.hpp
file	fxdoubletouchoption.hpp
file	fxtouchoption.hpp
file	fxtouchoption.hpp
file	indexcreditdefaultswap.hpp
file	indexcreditdefaultswap.hpp
file	cbo.hpp
	collateralized bond obligation data model
file	capfloor.hpp
	Ibor cap, floor or collar trade data model and serialization.
file	cliquetoption.hpp
	Equity Cliquet Option.
file	commoditylegbuilder.hpp
	Commodity fixed and floating leg builders.
file	commoditylegdata.hpp
	leg data for commodity leg types
file	compositetrade.hpp
	Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles.
file	convertiblebonddata.hpp
	convertible bond data model and serialization
file	convertiblebondreferencedata.hpp
	reference data
file	creditlinkedswap.hpp
	credit linked swap data model
file	creditlinkedswap.hpp
	credit linked swap data model
file	doubledigitaloption.hpp
	double digital option wrapper for scripted trade
file	durationadjustedcmslegbuilder.hpp
	leg builder for duration adjusted cms coupon legs
file	durationadjustedcmslegdata.hpp
	leg data for duration adjusted cms
file	equitybarrieroption.hpp
	Equity Barrier Option data model and serialization.
file	equityderivative.hpp
	EQ base trade classes.
file	equitydigitaloption.hpp
	EQ Digital Option data model and serialization.
file	equitydoublebarrieroption.hpp
	Equity Double Barrier Option data model and serialization.
file	equitydoubletouchoption.hpp
	EQ Double One-Touch/No-Touch Option data model and serialization.
file	equityeuropeanbarrieroption.hpp
	EQ European Barrier Option data model and serialization.
file	equityfuturesoption.hpp
	EQ Futures Option data model and serialization.
file	equityfxlegbuilder.hpp
	Equity & FX leg builders.
file	equityfxlegdata.hpp
	leg data for equityfx leg types
file	equityoutperformanceoption.hpp
	EQ Outperformance Option data model and serialization.
file	equitytouchoption.hpp
	EQ One-Touch/No-Touch Option data model and serialization.
file	europeanoptionbarrier.hpp
	European option with barrier wrapper for scripted trade.
file	formulabasedindexbuilder.hpp
	formula based index builder
file	formulabasedlegbuilder.hpp
	Formula based leg builder.
file	formulabasedlegdata.hpp
	leg data for formula based leg types
file	fxbarrieroption.hpp
	FX Barrier Option data model and serialization.
file	fxderivative.hpp
	FX base trade classes.
file	fxbarrieroption.hpp
	FX Barrier Option data model and serialization.
file	fxdigitaloption.hpp
	FX Digital Option data model and serialization.
file	fxdoublebarrieroption.hpp
	FX Double Barrier Option data model and serialization.
file	fxdoubletouchoption.hpp
	FX Double One-Touch/No-Touch Option data model and serialization.
file	fxeuropeanbarrieroption.hpp
	FX European Barrier Option data model and serialization.
file	fxdoublebarrieroption.hpp
	FX Double Barrier Option data model and serialization.
file	fxtouchoption.hpp
	FX One-Touch/No-Touch Option data model and serialization.
file	genericbarrieroption.hpp
	generic barrier option wrapper for scripted trade
file	knockoutswap.hpp
	knock out swap wrapper for scripted trade
file	legbuilders.hpp
	Leg Builders.
file	legdatafactory.hpp
	Leg data factory that can be used to build instances of leg data.
file	performanceoption_01.hpp
	performance option wrapper for scripted trade
file	portfolio.hpp
	Portfolio class.
file	rainbowoption.hpp
	rainbow option wrapper for scripted trade
file	rangebound.hpp
	rangebound data model
file	scriptedtrade.hpp
	scripted trade data model
file	simmcreditqualifiermapping.hpp
	mapping of SIMM credit qualifiers
file	structuredconfigurationerror.hpp
	Class for structured configuration errors.
file	structuredconfigurationwarning.hpp
	Class for structured configuration warnings.
file	structuredtradeerror.hpp
	Structured Trade Error class.
file	structuredtradewarning.hpp
	Classes for structured trade warnings.
file	tarf.hpp
	tarf wrapper for scripted trade
file	trade.hpp
	base trade data model and serialization
file	tradefactory.hpp
	Trade Factory.
file	tranche.hpp
	cbo tranche data model and serialization
file	types.hpp
	payment lag
file	underlying.hpp
	underlying data model
file	windowbarrieroption.hpp
	window barrier option - wrapper for scripted trade
file	europeanoptionbarrier.hpp
	European option with barrier wrapper for scripted trade.
file	formulaparser.hpp
	generic formula parser

Classes
class	BondMultiStateDiscountingEngineBuilder
	Multi State Engine Builder class for Bonds. More...
class	MidPointCdsMultiStateEngineBuilder
	Multi State Engine Builder class for CDS. More...
class	CreditDefaultSwapOptionEngineBuilder
	Engine Builder base class for Credit Default Swap Options. More...
class	BlackCdsOptionEngineBuilder
	Black CDS option engine builder for CDS options. More...
class	SwapEngineBuilderDeltaGamma
	Engine Builder for Single Currency Swaps. More...
class	EquityBarrierOptionEngineBuilder
	Engine Builder for Equity Barrier Options. More...
class	EquityDigitalOptionEngineBuilder
	Engine Builder for European EQ Digital Options. More...
class	EquityDoubleBarrierOptionEngineBuilder
	Engine Builder for Equity Double Barrier Options. More...
class	EquityDoubleTouchOptionEngineBuilder
	Abstract Engine Builder for EQ Double Touch Options. More...
class	EquityDoubleTouchOptionAnalyticEngineBuilder
	Analytical Engine Builder for EQ Double Touch Options. More...
class	EquityOutperformanceOptionEngineBuilder
	Engine Builder for EQ Outperformance Option. More...
class	EquityTouchOptionEngineBuilder
	Engine Builder for EQ Touch Options. More...
class	FxBarrierOptionEngineBuilder
	Engine Builder for European FX Barrier Options. More...
class	FxDigitalBarrierOptionEngineBuilder
	Engine Builder for European FX Digital Barrier Options. More...
class	FxDigitalOptionEngineBuilder
	Engine Builder for European FX Digital Options. More...
class	FxDoubleBarrierOptionEngineBuilder
	Engine Builder for European FX Double Barrier Options. More...
class	FxDoubleBarrierOptionAnalyticEngineBuilder
	Analytical Engine Builder for FX Double Barrier Options. More...
class	FxDoubleTouchOptionEngineBuilder
	Abstract Engine Builder for FX Double Touch Options. More...
class	FxDoubleTouchOptionAnalyticEngineBuilder
	Analytical Engine Builder for FX Double Touch Options. More...
class	FxTouchOptionEngineBuilder
	Engine Builder for FX Touch Options. More...
class	IndexCreditDefaultSwapEngineBuilder
	Engine Builder base class for Index Credit Default Swaps. More...
class	MidPointIndexCdsEngineBuilder
	Midpoint Engine Builder class for IndexCreditDefaultSwaps. More...
class	IndexCreditDefaultSwapOptionEngineBuilder
	Engine Builder base class for Index Credit Default Swap Options. More...
class	BlackIndexCdsOptionEngineBuilder
	Black CDS option engine builder for index CDS options. More...
class	CamAmcSwapEngineBuilder
	Implementation of SwapEngineBuilderBase using MC pricer for external cam / AMC. More...
class	CompositeTrade
	Composite Trade class. More...
class	LegDataFactory
class	Portfolio
	Serializable portfolio. More...
class	Trade
	Trade base class. More...
class	AbstractTradeBuilder
	TradeBuilder base class. More...
class	Underlying
	Class to hold Underlyings. More...

Functions
std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > >	buildPerformanceOptimizedDefaultCurves (const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > &curves)
	Engine Builder base class for CDOs. More...
template<class T >
QuantLib::ext::shared_ptr< LegAdditionalData >	createLegData ()

Detailed Description

Grouping of all portfolio related classes, functions and files

Function Documentation

buildPerformanceOptimizedDefaultCurves()

std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > buildPerformanceOptimizedDefaultCurves

(

const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > &

curves

)

Engine Builder base class for CDOs.

Pricing engines are cached by currency

createLegData()

QuantLib::ext::shared_ptr< LegAdditionalData > createLegData

(

)

Function that is used to build instances of LegAdditionalData

The template parameter is simply a particular instance of a LegAdditionalData class that is default constructible. The function returns the default constructed LegAdditionalData object. A simple example is the function to build an instance of FixedLegData would be called via createLegData<FixedLegData>().

Definition at line 49 of file legdatafactory.hpp.

{ return QuantLib::ext::make_shared<T>(); }

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