cashflows Directory Reference

Files
file	averageonindexedcoupon.cpp [code]
file	averageonindexedcoupon.hpp [code]
	coupon paying the weighted average of the daily overnight rate
file	averageonindexedcouponpricer.cpp [code]
file	averageonindexedcouponpricer.hpp [code]
	Pricer for average overnight indexed coupons.
file	blackaveragebmacouponpricer.cpp [code]
file	blackaveragebmacouponpricer.hpp [code]
	black average bma coupon pricer for capped / floored BMA coupons
file	blackovernightindexedcouponpricer.cpp [code]
file	blackovernightindexedcouponpricer.hpp [code]
	black coupon pricer for capped / floored ON indexed coupons
file	bondtrscashflow.cpp [code]
file	bondtrscashflow.hpp [code]
	cashflow paying the total return of a bond
file	brlcdicouponpricer.cpp [code]
file	brlcdicouponpricer.hpp [code]
	Coupon pricer for a BRL CDI coupon.
file	cappedflooredaveragebmacoupon.cpp [code]
file	cappedflooredaveragebmacoupon.hpp [code]
	coupon paying a capped / floored average bma rate
file	cashflows.cpp [code]
file	cashflows.hpp [code]
	additional cash-flow analysis functions
file	cashflowtable.cpp [code]
file	cashflowtable.hpp [code]
	Cashflow table to store cashflow calculation results.
file	cmbcoupon.cpp [code]
file	cmbcoupon.hpp [code]
	Constant Maturity Bond yield coupon.
file	commoditycashflow.cpp [code]
file	commoditycashflow.hpp [code]
	Some data and logic shared among commodity cashflows.
file	commodityindexedaveragecashflow.cpp [code]
file	commodityindexedaveragecashflow.hpp [code]
	Cash flow dependent on the average commodity spot price or future's settlement price over a period. If settled in a foreign currency (domestic: currency on which the underlying curve is traded, foreing: settlement currency) the FX is applied day by day. This approach cannot be appied to averaged underlying curves.
file	commodityindexedcashflow.cpp [code]
file	commodityindexedcashflow.hpp [code]
	Cash flow dependent on a single commodity spot price or future's settlement price.
file	couponpricer.cpp [code]
file	couponpricer.hpp [code]
	Utility functions for setting coupon pricers on legs.
file	cpicoupon.cpp [code]
	CPI leg builder extending QuantLib's to handle caps and floors.
file	cpicoupon.hpp [code]
	CPI leg builder extending QuantLib's to handle caps and floors.
file	cpicouponpricer.cpp [code]
	CPI CashFlow and Coupon pricers that handle caps/floors.
file	cpicouponpricer.hpp [code]
	CPI cash flow and coupon pricers that handle caps/floors using a CpiCapFloorEngine.
file	durationadjustedcmscoupon.cpp [code]
file	durationadjustedcmscoupon.hpp [code]
	cms coupon scaled by a duration number
file	durationadjustedcmscoupontsrpricer.cpp [code]
file	durationadjustedcmscoupontsrpricer.hpp [code]
	tsr coupon pricer for duration adjusted cms coupon
file	equitycoupon.cpp [code]
file	equitycoupon.hpp [code]
	coupon paying the return on an equity
file	equitycouponpricer.cpp [code]
file	equitycouponpricer.hpp [code]
	Pricer for equity coupons.
file	equitymargincoupon.cpp [code]
file	equitymargincoupon.hpp [code]
	coupon paying the return on an equity
file	equitymargincouponpricer.cpp [code]
file	equitymargincouponpricer.hpp [code]
	Pricer for equity margin coupons.
file	fixedratefxlinkednotionalcoupon.cpp [code]
file	fixedratefxlinkednotionalcoupon.hpp [code]
	Coupon paying a fixed rate but with an FX linked notional.
file	floatingannuitycoupon.cpp [code]
file	floatingannuitycoupon.hpp [code]
	Coupon paying a Libor-type index.
file	floatingannuitynominal.cpp [code]
file	floatingannuitynominal.hpp [code]
	Nominal flow associated with a floating annuity coupon.
file	floatingratefxlinkednotionalcoupon.hpp [code]
	Coupon paying a Libor-type index but with an FX linked notional.
file	formulabasedcoupon.cpp [code]
file	formulabasedcoupon.hpp [code]
	formula based coupon
file	fxlinkedcashflow.cpp [code]
file	fxlinkedcashflow.hpp [code]
	An FX linked cashflow.
file	iborfracoupon.cpp [code]
file	iborfracoupon.hpp [code]
	coupon representing an forward rate agreement
file	indexedcoupon.cpp [code]
file	indexedcoupon.hpp [code]
	coupon with an indexed notional
file	jyyoyinflationcouponpricer.cpp [code]
file	jyyoyinflationcouponpricer.hpp [code]
	Jarrow Yildrim (JY) pricer for capped or floored year on year (YoY) inflation coupons.
file	lognormalcmsspreadpricer.cpp [code]
file	lognormalcmsspreadpricer.hpp [code]
	cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998
file	mcgaussianformulabasedcouponpricer.cpp [code]
file	mcgaussianformulabasedcouponpricer.hpp [code]
	formula based coupon pricer
file	nonstandardcapflooredyoyinflationcoupon.cpp [code]
file	nonstandardcapflooredyoyinflationcoupon.hpp [code]
file	nonstandardinflationcouponpricer.cpp [code]
file	nonstandardinflationcouponpricer.hpp [code]
	pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon.
file	nonstandardyoyinflationcoupon.cpp [code]
file	nonstandardyoyinflationcoupon.hpp [code]
	capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset
file	overnightindexedcoupon.cpp [code]
file	overnightindexedcoupon.hpp [code]
	coupon paying the compounded daily overnight rate, copy of QL class, added includeSpread flag
file	quantocouponpricer.cpp [code]
file	quantocouponpricer.hpp [code]
	quanto-adjusted coupon
file	scaledcoupon.hpp [code]
	Coupon / Cashflow paying scaled amounts.
file	strippedcapflooredcpicoupon.cpp [code]
file	strippedcapflooredcpicoupon.hpp [code]
	strips the embedded option from cap floored cpi coupons
file	strippedcapflooredyoyinflationcoupon.cpp [code]
file	strippedcapflooredyoyinflationcoupon.hpp [code]
	strips the embedded option from cap floored yoy inflation coupons
file	subperiodscoupon.cpp [code]
file	subperiodscoupon.hpp [code]
	Coupon with a number of sub-periods.
file	subperiodscouponpricer.cpp [code]
file	subperiodscouponpricer.hpp [code]
	Pricer for sub-period coupons.
file	trscashflow.cpp [code]
file	trscashflow.hpp [code]
	cashflow paying the total return of an asset
file	yoyinflationcoupon.cpp [code]
file	yoyinflationcoupon.hpp [code]
file	zerofixedcoupon.cpp [code]
file	zerofixedcoupon.hpp [code]
	Nominal flow associated with a floating annuity coupon.