pricingengines Directory Reference

Files
file	accrualbondrepoengine.cpp [code]
file	accrualbondrepoengine.hpp [code]
file	amccalculator.hpp [code]
	interface for amc calculator
file	analyticbarrierengine.cpp [code]
file	analyticbarrierengine.hpp [code]
	Analytic barrier option engines.
file	analyticcashsettledeuropeanengine.cpp [code]
file	analyticcashsettledeuropeanengine.hpp [code]
	pricing engine for cash settled European vanilla options.
file	analyticcclgmfxoptionengine.cpp [code]
file	analyticcclgmfxoptionengine.hpp [code]
	analytic cc lgm fx option engine
file	analyticdigitalamericanengine.cpp [code]
file	analyticdigitalamericanengine.hpp [code]
	Wrapper of QuantLib analytic digital American option engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
file	analyticdkcpicapfloorengine.cpp [code]
file	analyticdkcpicapfloorengine.hpp [code]
	analytic dk cpi cap floor engine
file	analyticdoublebarrierbinaryengine.cpp [code]
file	analyticdoublebarrierbinaryengine.hpp [code]
	Wrapper of QuantLib analytic double barrier binary engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
file	analyticdoublebarrierengine.cpp [code]
file	analyticdoublebarrierengine.hpp [code]
	Analytic barrier option engines.
file	analyticeuropeanengine.cpp [code]
file	analyticeuropeanengine.hpp [code]
	Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
file	analyticeuropeanenginedeltagamma.cpp [code]
file	analyticeuropeanenginedeltagamma.hpp [code]
	Analytic European engine providing sensitivities.
file	analyticeuropeanforwardengine.cpp [code]
file	analyticeuropeanforwardengine.hpp [code]
	Analytic European Forward engine.
file	analyticjycpicapfloorengine.cpp [code]
file	analyticjycpicapfloorengine.hpp [code]
	Analytic Jarrow Yildrim (JY) CPI cap floor engine.
file	analyticjyyoycapfloorengine.cpp [code]
file	analyticjyyoycapfloorengine.hpp [code]
	Analytic Jarrow Yildrim (JY) year on year cap floor engine.
file	analyticlgmcdsoptionengine.cpp [code]
file	analyticlgmcdsoptionengine.hpp [code]
	analytic lgm cds option engine
file	analyticlgmswaptionengine.cpp [code]
file	analyticlgmswaptionengine.hpp [code]
	analytic engine for european swaptions in the LGM model
file	analyticoutperformanceoptionengine.cpp [code]
file	analyticoutperformanceoptionengine.hpp [code]
	Analytic European engine for outperformance options.
file	analyticxassetlgmeqoptionengine.cpp [code]
file	analyticxassetlgmeqoptionengine.hpp [code]
	analytic cross-asset lgm eq option engine
file	baroneadesiwhaleyengine.cpp [code]
file	baroneadesiwhaleyengine.hpp [code]
	Barone-Adesi and Whaley approximation engine.
file	binomialconvertibleengine.cpp [code]
file	binomialconvertibleengine.hpp [code]
	binomial engine for convertible bonds
file	blackbondoptionengine.cpp [code]
file	blackbondoptionengine.hpp [code]
	Black bond option engine.
file	blackcdsoptionengine.cpp [code]
file	blackcdsoptionengine.hpp [code]
	Black credit default swap option engine.
file	blackindexcdsoptionengine.cpp [code]
file	blackindexcdsoptionengine.hpp [code]
	Black index credit default swap option engine.
file	blackmultilegoptionengine.cpp [code]
file	blackmultilegoptionengine.hpp [code]
	Simple Black European swaption engine.
file	blackswaptionenginedeltagamma.cpp [code]
file	blackswaptionenginedeltagamma.hpp [code]
	Swaption engine providing analytical deltas for vanilla swaps.
file	cboengine.cpp [code]
file	cboengine.hpp [code]
	collateralized bond obligation pricing engine
file	cbomcengine.cpp [code]
file	cbomcengine.hpp [code]
	Monte Carlo pricing engine for the cashflow CDO instrument.
file	commodityapoengine.cpp [code]
file	commodityapoengine.hpp [code]
	commodity average price option engine
file	commodityschwartzfutureoptionengine.cpp [code]
file	commodityschwartzfutureoptionengine.hpp [code]
	commodity future options priced in the Schwartz model
file	commodityspreadoptionengine.cpp [code]
file	commodityspreadoptionengine.hpp [code]
	commodity spread option engine
file	commodityswaptionengine.cpp [code]
file	commodityswaptionengine.hpp [code]
	commodity swaption engine
file	cpibacheliercapfloorengine.cpp [code]
file	cpibacheliercapfloorengine.hpp [code]
	CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as normal vols.
file	cpiblackcapfloorengine.cpp [code]
file	cpiblackcapfloorengine.hpp [code]
	CPI cap/floor engine using the Black pricing formula and interpreting the volatility data as lognormal vols.
file	cpicapfloorengines.cpp [code]
	Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing.
file	cpicapfloorengines.hpp [code]
	Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing.
file	crossccyswapengine.cpp [code]
file	crossccyswapengine.hpp [code]
	Cross currency swap engine.
file	depositengine.cpp [code]
file	depositengine.hpp [code]
	deposit engine
file	discountingbondrepoengine.cpp [code]
file	discountingbondrepoengine.hpp [code]
file	discountingbondtrsengine.cpp [code]
file	discountingbondtrsengine.hpp [code]
	Engine to value a Bond TRS.
file	discountingcommodityforwardengine.cpp [code]
file	discountingcommodityforwardengine.hpp [code]
	Engine to value a commodity forward contract.
file	discountingcreditlinkedswapengine.cpp [code]
file	discountingcreditlinkedswapengine.hpp [code]
	credit linked swap pricing engine
file	discountingcurrencyswapengine.cpp [code]
file	discountingcurrencyswapengine.hpp [code]
	discounting currency swap engine
file	discountingcurrencyswapenginedeltagamma.cpp [code]
file	discountingcurrencyswapenginedeltagamma.hpp [code]
	discounting currency swap engine providing analytical deltas and gammas for vanilla swaps
file	discountingequityforwardengine.cpp [code]
file	discountingequityforwardengine.hpp [code]
	Engine to value an Equity Forward contract.
file	discountingforwardbondengine.cpp [code]
file	discountingforwardbondengine.hpp [code]
	Engine to value a Forward Bond contract.
file	discountingfxforwardengine.cpp [code]
file	discountingfxforwardengine.hpp [code]
	Engine to value an FX Forward off two yield curves.
file	discountingfxforwardenginedeltagamma.cpp [code]
file	discountingfxforwardenginedeltagamma.hpp [code]
	Engine to value an FX Forward off two yield curves.
file	discountingriskybondengine.cpp [code]
file	discountingriskybondengine.hpp [code]
	Risky Bond Engine.
file	discountingriskybondenginemultistate.cpp [code]
file	discountingriskybondenginemultistate.hpp [code]
	Risky Bond Engine.
file	discountingswapenginedeltagamma.cpp [code]
file	discountingswapenginedeltagamma.hpp [code]
	Swap engine providing analytical deltas and gammas for vanilla swaps.
file	discountingswapenginemulticurve.cpp [code]
file	discountingswapenginemulticurve.hpp [code]
	Swap engine employing assumptions to speed up calculation.
file	discretizedconvertible.cpp [code]
file	discretizedconvertible.hpp [code]
	discretized convertible
file	fdconvertiblebondevents.cpp [code]
file	fdconvertiblebondevents.hpp [code]
file	fddefaultableequityjumpdiffusionconvertiblebondengine.cpp [code]
file	fddefaultableequityjumpdiffusionconvertiblebondengine.hpp [code]
file	indexcdsoptionbaseengine.cpp [code]
file	indexcdsoptionbaseengine.hpp [code]
	Base class for index cds option pricing engines.
file	indexcdstrancheengine.cpp [code]
file	indexcdstrancheengine.hpp [code]
	Index CDS tranche pricing engine.
file	inflationcapfloorengines.cpp [code]
file	inflationcapfloorengines.hpp [code]
	Inflation cap/floor engines from QuantLib, with optional external discount curve.
file	intrinsicascotengine.cpp [code]
file	intrinsicascotengine.hpp [code]
	intrinsic engine for Ascots
file	lgmconvolutionsolver.cpp [code]
file	lgmconvolutionsolver.hpp [code]
	numeric convolution solver for the LGM model
file	mccamcurrencyswapengine.cpp [code]
file	mccamcurrencyswapengine.hpp [code]
	MC CAM engine for currency swaps.
file	mccamfxforwardengine.cpp [code]
file	mccamfxforwardengine.hpp [code]
	MC CAM engine for FX Forward instrument.
file	mccamfxoptionengine.cpp [code]
file	mccamfxoptionengine.hpp [code]
	MC CAM engine for FX Option instrument.
file	mclgmswapengine.cpp [code]
file	mclgmswapengine.hpp [code]
	MC LGM swap engines.
file	mclgmswaptionengine.cpp [code]
file	mclgmswaptionengine.hpp [code]
	MC LGM swaption engines.
file	mcmultilegbaseengine.cpp [code]
file	mcmultilegbaseengine.hpp [code]
	base MC engine for multileg (option) instruments
file	mcmultilegoptionengine.cpp [code]
file	mcmultilegoptionengine.hpp [code]
	MC engine for multi leg option instrument.
file	midpointcdoengine.cpp [code]
file	midpointcdoengine.hpp [code]
file	midpointcdsenginemultistate.cpp [code]
file	midpointcdsenginemultistate.hpp [code]
	Risky Bond Engine.
file	midpointindexcdsengine.cpp [code]
file	midpointindexcdsengine.hpp [code]
	Mid-point engine for credit default swaps.
file	numericalintegrationindexcdsoptionengine.cpp [code]
file	numericalintegrationindexcdsoptionengine.hpp [code]
	numerical integration index credit default swap option engine.
file	numericlgmbgsflexiswapengine.cpp [code]
file	numericlgmbgsflexiswapengine.hpp [code]
	numeric engine for balance guaranteed swaps using a flexi swap proxy in the LGM model
file	numericlgmflexiswapengine.cpp [code]
file	numericlgmflexiswapengine.hpp [code]
	numeric engine for flexi swaps in the LGM model
file	numericlgmmultilegoptionengine.cpp [code]
file	numericlgmmultilegoptionengine.hpp [code]
file	oiccbasisswapengine.cpp [code]
file	oiccbasisswapengine.hpp [code]
	Overnight Indexed Cross Currency Basis Swap Engine.
file	pairwisevarianceswapengine.cpp [code]
	pairwise variance swap engine
file	pairwisevarianceswapengine.hpp [code]
	pairwise variance swap engine
file	paymentdiscountingengine.cpp [code]
file	paymentdiscountingengine.hpp [code]
	Single payment discounting engine.
file	tflattice.hpp [code]
	Binomial Tsiveriotis-Fernandes tree model.
file	varianceswapgeneralreplicationengine.cpp [code]
	equity variance swap engine
file	varianceswapgeneralreplicationengine.hpp [code]
	variance swap engine
file	volatilityfromvarianceswapengine.cpp [code]
	volatility swap engine
file	volatilityfromvarianceswapengine.hpp [code]
	volatility swap engine