accumulator wrapper for scripted trade
additional interface for amc enabled models
Ascot (or Convertible Bond Option) trade data model and serialization.
Asian option representation.
abstract syntax tree for payoff scripting
resets cached values in ast
autocallable_01 wrapper for scripted trade
Balance Guaranteed Swap data model and serialization.
Barrier Option data model and serialization.
Wrapper for option instruments, tracks whether option has been exercised or not.
Wrapper class for building base correlation structures.
Base Correlation curve configuration classes.
credit basket data model and serialization
basket option wrapper for scripted trade
black scholes model for n underlyings (fx, equity or commodity)
black scholes model base class for n underlyings (fx, equity or commodity)
black scholes model for n underlyings (fx, equity or commodity)
black scholes model base class for n underlyings (fx, equity or commodity)
builder for an array of black scholes processes
builder for an array of black scholes processes
Bond trade data model and serialization.
credit bond basket data model and serialization
Interface for building a bond index.
bond option data model and serialization
Bond Position trade data model and serialization.
Bond Repo trade data model and serialization.
bond spread imply utility
market that can be used to imply bond spreads
Class for holding bootstrap configurations.
Abstract engine builders for European Asian Options.
builder that returns an engine to price a bond instrument
Engine builder for bond option.
builder that returns an engine to price a cap or floor on IBOR instrument
Mid point CDO engines cached by currency.
Engine builder for cliquet options.
Engine builder for commodity average price options.
Engine builder for commodity forward.
Engine builder for commodity options.
Engine builder for commodity swaps.
Engine builder for commodity swaptions.
Builder that returns an engine to price a credit default swap.
Builder that returns an engine to price a credit default swap option.
Builder that returns an engine to price an equity forward.
Engine builder for equity futures options.
Engine builder for equity options.
Engine builder for forward bonds.
Engine builder for FX Forwards.
Engine builder for FX Options.
multi leg option engine builder
pairwise variance swap engine builder
Engine builder for Swaps.
Abstract engine builders for European and American Options.
variance swap engine builder
Abstract template engine builder class.
Interface for calendar modifications, additional holidays and business days.
calendar parser singleton class
class for holding details of the calibration instruments for a model
class for holding calibration configuration details
factory for making calibration instruments.
cache for relevant points on curve / vol surfaces
Callable Swap data model and serialization.
Ibor cap, floor or collar trade data model and serialization.
builder that returns an engine to price capped floored avg BMA legs
builder that returns an engine to price capped floored ibor legs
builder that returns an engine to price capped floored ibor legs
builder that returns an engine to price capped floored yoy inflation legs
Build optionlet volatility structures from cap floor configurations.
Cap floor volatility curve configuration class.
collateralized bond obligation data model
Class for building cds volatility structures.
CDS and index CDS volatility configuration.
loader providing cloned data from another loader
builder that returns an engine to price capped floored ibor legs
builder that returns a cms spread coupon pricer
Holder class for collateral balances.
Commodity Average Price Option data model and serialization.
model builder for commodityapos
Engine builder for commodity Asian options.
Class for building a commodity price curve.
Commodity curve configuration class.
Commodity digital option representation as call spread.
Commodity forward representation.
Commodity fixed and floating leg builders.
leg data for commodity leg types
Commodity option representation.
Commodity option strip data model and serialization.
Commodity Position trade data model and serialization.
Builder for a Lognormal COM model component.
COM component data for the cross asset model.
Commodity Swap data model and serialization.
Commodity swaption data model and serialization.
Wrapper class for building commodity volatility structures.
Commodity volatility curve configuration.
used to store multiple trade wrappers
Loader that is a composite of two loaders.
Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles.
computation graph builder
script engine context holding variable names and values
Currency and instrument specific conventions/defaults.
Base class for classes that perform date calculations for future contracts.
Convertible Bond trade data model and serialization.
convertible bond data model and serialization
configuration class for building correlation matrices
Ibor cap, floor or collar trade data model and serialization.
A class to hold credit default swap data.
credit default swap option trade data model and serialization
credit linked swap data model
CR component data for the cross asset model.
Build a cross asset model.
Cross Currency Swap data model and serialization.
utility class to access CSV files
Market Datum Loader Implementation.
Helper function used for the index decompositon.
currency parser singleton class
Base curve configuration classes.
Curve configuration repository.
Curve requirements specification.
Wrapper class for building Default curves.
Default curve configuration classes.
Additional builders for engines that return deltas, vegas, gammas, cross-gammas.
DependencyGraph class to establish build order of marketObjects and its dependency.
double digital option wrapper for scripted trade
Dummy Market class returning empty handles, used in tests.
dummy model implementation
coupon pricer builder for duration adjusted cms coupons
leg builder for duration adjusted cms coupon legs
leg data for duration adjusted cms
A class to hold pricing engine parameters.
trade envelope data model and serialization
Builder for a Lognormal EQ model component.
EQ component data for the cross asset model.
Engine builder for equity Asian options.
Equity Barrier Option data model and serialization.
Engine builder for equity composite options.
Wrapper class for building Equity curves.
Equity curve configuration classes.
EQ Digital Option data model and serialization.
Equity Double Barrier Option data model and serialization.
EQ Double One-Touch/No-Touch Option data model and serialization.
EQ European Barrier Option data model and serialization.
Equity Forward data model and serialization.
EQ Futures Option data model and serialization.
Equity & FX leg builders.
leg data for equityfx leg types
Equity Option data model and serialization.
Equity Option Position trade data model and serialization.
Equity Position trade data model and serialization.
Equity Swap data model and serialization.
EQ One-Touch/No-Touch Option data model and serialization.
Wrapper class for building Equity volatility structures.
Equity volatility curve configuration classes.
European option with barrier wrapper for scripted trade.
Classes for representing an expiry for use in market quotes.
Skeleton trade generated when trade loading/building fails.
black scholes fd model base class for n underlyings (fx, equity or commodity)
fd gaussian cross asset model for single underlying ir model
Wrapper class for retrying file IO operations.
A market implementation providing curves for setting up bond rate helpers.
Logic for calculating required fixing dates on legs.
Flexi-Swap data model and serialization.
Extended QuantLib flow analysis.
ForwardRateAgreement data model and serialization.
Engine builder for fx Asian options.
Fx Average Forward data model and serialization.
FX Barrier Option data model and serialization.
Builder for a Lognormal FX model component.
FX component data for the cross asset model.
FX Digital Option data model and serialization.
FX Double Barrier Option data model and serialization.
FX Double One-Touch/No-Touch Option data model and serialization.
FX European Barrier Option data model and serialization.
FX Forward data model and serialization.
FX Option data model and serialization.
security spread configuration classes
FX Swap data model and serialization.
FX One-Touch/No-Touch Option data model and serialization.
Intelligent FX price repository.
Wrapper class for building FX volatility structures.
FX volatility curve configuration classes.
gaussian cross asset model for ir, fx, eq, com
generic barrier option wrapper for scripted trade
Swaption volatility curve configuration classes.
ibor fallback configuration
leg indexing data model and serialization
translates between QuantLib::Index::name() and ORE names
Map text representations to QuantLib/QuantExt types.
Builder for a Dodgson-Kainth inflation model component.
Dodgson Kainth inflation model component data for the cross asset model.
Builder for a Jarrow Yildrim inflation model component.
Jarrow Yildirim inflation model component data for the cross asset model.
Wrapper class for building YoY Inflation CapFloor volatility structures.
Inflation CapFloor volatility curve configuration class.
base class for holding inflation model data
Cross Currency Swap data model and serialization.
Base class for wrapper of QL instrument, used to store "state" of trade under each scenario.
IR component data for the cross asset model.
Generic interest rate model data.
knock out swap wrapper for scripted trade
leg data model and serialization
Leg data factory that can be used to build instances of leg data.
computation graph based lgm model calculations
Linear Gauss Markov model data.
Market Datum Loader Interface.
local vol model for n underlyings (fx, equity or commodity)
builder for an array of local vol processes
Classes and functions for log message handling.
make functions for non-standard ibor and fixed legs
Classes for representing a strike using various conventions.
market data related utilties
Market data representation.
An implementation of the Market class that stores the required objects in maps.
class for holding details of a zero coupon CPI cap floor calibration instrument.
class for holding details of a year on year inflation cap floor calibration instrument.
Shared utilities for model building and calibration.
interface for model against which a script can be run
interface for model against which a script can be run
basis implementation for a script engine model
base class for holding model data
basis implementation for a script engine model
class for holding model parameter data
Multileg Option data model.
Netting Set Definition - including CSA information where available.
netting set details data model and serialization
Manager class for repository of netting set details.
Class for holding 1-D solver configuration.
trade option data model and serialization
option exercise data model and serialization
option payment data model and serialization
Wrapper for option instruments, tracks whether option has been exercised or not.
Various OS specific utilities.
pairwise variance swap representation
Class for holding parametric smile configurations.
Map text representations to QuantLib/QuantExt types.
repository for cashflows generated by the PAYLOG() function
builder that returns an engine to price a CPI cap or floor
Engine builder for year-on-year inflation caps/floors.
Classes for progress reporting.
Engine builder for quanto equity options.
Abstract engine builder for Quanto European Options.
rainbow option wrapper for scripted trade
random ast generator for testing purposes
Reference data model and serialization.
Reference data model and serialization.
Utilities functions for reports.
md report and arbitrage check configuration
risk participation agreement data model and serialization
stack with safety checks and pop() that returns rvalue reference of top element
trade schedule data model and serialization
amc calculator for scripted trades
scripted instrument pricing engine
scripted instrument pricing engine using a cg model
scripted trade data model
A wrapper class for holding Bond Spread quotes.
security spread configuration classes
support for QuantLib::Date serialization
support for QuantLib::DayCounter serialization
support for QuantLib::Period serialization
mapping of SIMM credit qualifiers
Class for structured configuration errors.
Class for structured configuration warnings.
Error for market data or curve.
Error for model calibration / building.
Structured Trade Error class.
Classes for structured trade warnings.
Swap trade data model and serialization.
Swaption data model and serialization.
Wrapper class for building Swaption volatility structures.
Swaption volatility curve configuration classes.
tarf wrapper for scripted trade
non-contiguous time period handling
A class to hold Treasury-Lock data.
string conversion utilities
An concrete implementation of the Market class that loads todays market and builds the required curve...
a container holding information on calibration results during the t0 market build
A class to hold todays market configuration(s)
base trade data model and serialization
cbo tranche data model and serialization
generic wrapper for trs (bond, convertible bond, equity, ...)
value type and operations
vanilla option representation
variance swap representation
Utilities for sorting vectors using permutations.
ORE version as defined in QuantExt.
utilities for wildcard handling
window barrier option - wrapper for scripted trade
Wrapper class for QuantLib term structures.
Yield curve configuration classes.
Wrapper class for building yield volatility structures.
yield volatility curve configuration classes
class for holding details of a year on year inflation swap calibration instrument.
