|
| 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
|
| |
