instruments Directory Reference

Files
file	ascot.cpp [code]
file	ascot.hpp [code]
	Ascot class.
file	averageois.cpp [code]
file	averageois.hpp [code]
	Swap of arithmetic average overnight index against fixed.
file	balanceguaranteedswap.cpp [code]
file	balanceguaranteedswap.hpp [code]
	Balance Guaranteed Swap instrument.
file	bondbasket.cpp [code]
file	bondbasket.hpp [code]
	Basket of defaultable bonds.
file	bondoption.cpp [code]
file	bondoption.hpp [code]
	bond option class
file	bondrepo.cpp [code]
file	bondrepo.hpp [code]
	bond repo instrument
file	bondtotalreturnswap.cpp [code]
file	bondtotalreturnswap.hpp [code]
file	brlcdiswap.cpp [code]
file	brlcdiswap.hpp [code]
	Standard BRL CDI swap.
file	cashflowresults.cpp [code]
file	cashflowresults.hpp [code]
	class holding cashflow-related results
file	cashsettledeuropeanoption.cpp [code]
file	cashsettledeuropeanoption.hpp [code]
	cash settled european vanilla option.
file	cbo.cpp [code]
	collateralized bond obligation instrument
file	cbo.hpp [code]
	collateralized bond obligation instrument
file	cdsoption.cpp [code]
file	cdsoption.hpp [code]
	CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines.
file	cliquetoption.cpp [code]
file	cliquetoption.hpp [code]
	Cliquet option.
file	commodityapo.cpp [code]
file	commodityapo.hpp [code]
	Swaption class.
file	commodityforward.cpp [code]
file	commodityforward.hpp [code]
	Instrument representing a commodity forward contract.
file	commodityspreadoption.cpp [code]
file	commodityspreadoption.hpp [code]
	Option class.
file	convertiblebond.cpp [code]
file	convertiblebond.hpp [code]
	convertible bond class
file	convertiblebond2.cpp [code]
file	convertiblebond2.hpp [code]
file	creditlinkedswap.cpp [code]
file	creditlinkedswap.hpp [code]
	credit linked swap instrument
file	crossccybasismtmresetswap.cpp [code]
file	crossccybasismtmresetswap.hpp [code]
	Cross currency basis swap instrument with MTM reset.
file	crossccybasisswap.cpp [code]
file	crossccybasisswap.hpp [code]
	Cross currency basis swap instrument.
file	crossccyfixfloatmtmresetswap.cpp [code]
file	crossccyfixfloatmtmresetswap.hpp [code]
	Cross currency fix float swap instrument with MTM reset.
file	crossccyfixfloatswap.cpp [code]
file	crossccyfixfloatswap.hpp [code]
	Cross currency fixed vs float swap instrument.
file	crossccyswap.cpp [code]
file	crossccyswap.hpp [code]
	Swap instrument with legs involving two currencies.
file	currencyswap.cpp [code]
file	currencyswap.hpp [code]
	Interest rate swap with extended interface.
file	deposit.cpp [code]
file	deposit.hpp [code]
	deposit instrument
file	equityforward.cpp [code]
file	equityforward.hpp [code]
	equityforward instrument
file	fixedbmaswap.cpp [code]
file	fixedbmaswap.hpp [code]
	fixed vs averaged bma swap
file	flexiswap.cpp [code]
file	flexiswap.hpp [code]
	Flexi-Swap instrument with global notional bounds.
file	forwardbond.cpp [code]
file	forwardbond.hpp [code]
	Forward bond class.
file	fxforward.cpp [code]
file	fxforward.hpp [code]
	defaultable fxforward instrument
file	genericswaption.cpp [code]
file	genericswaption.hpp [code]
	Swaption class.
file	impliedbondspread.cpp [code]
file	impliedbondspread.hpp [code]
	utilities for implied bond credit spread calculation
file	indexcdsoption.cpp [code]
file	indexcdsoption.hpp [code]
	Index CDS option instrument.
file	indexcreditdefaultswap.cpp [code]
file	indexcreditdefaultswap.hpp [code]
	Index Credit default swap.
file	makeaverageois.cpp [code]
file	makeaverageois.hpp [code]
	Helper class to instantiate standard average ON indexed swaps.
file	makecds.cpp [code]
file	makecds.hpp [code]
	Helper class to instantiate standard market cds.
file	makeoiscapfloor.cpp [code]
file	makeoiscapfloor.hpp [code]
	helper class to instantiate standard market OIS cap / floors
file	multiccycompositeinstrument.cpp [code]
file	multiccycompositeinstrument.hpp [code]
	bond option class
file	multilegoption.cpp [code]
file	multilegoption.hpp [code]
	multi leg option instrument
file	nullinstrument.hpp [code]
	A null instrument that always returns an NPV of 0.
file	oiccbasisswap.cpp [code]
file	oiccbasisswap.hpp [code]
	Cross currency overnight index swap paying compounded overnight vs. float.
file	outperformanceoption.cpp [code]
file	outperformanceoption.hpp [code]
file	pairwisevarianceswap.cpp [code]
file	pairwisevarianceswap.hpp [code]
	Pirwise Variance swap.
file	payment.cpp [code]
file	payment.hpp [code]
	payment instrument
file	rebatedexercise.cpp [code]
file	rebatedexercise.hpp [code]
	more flexible version of ql class
file	riskparticipationagreement.cpp [code]
file	riskparticipationagreement.hpp [code]
	RPA instrument.
file	riskparticipationagreement_tlock.cpp [code]
file	riskparticipationagreement_tlock.hpp [code]
	RPA instrument for tlock underlyings.
file	subperiodsswap.cpp [code]
file	subperiodsswap.hpp [code]
	Single currency sub periods swap instrument.
file	syntheticcdo.cpp [code]
file	syntheticcdo.hpp [code]
	Synthetic Collateralized Debt Obligation and pricing engines.
file	tenorbasisswap.cpp [code]
file	tenorbasisswap.hpp [code]
	Single currency tenor basis swap instrument.
file	vanillaforwardoption.hpp [code]
	Vanilla forward option on a single asset.
file	varianceswap.cpp [code]
file	varianceswap.hpp [code]
	Variance swap.