models Directory Reference

Files
file	annuitymapping.cpp [code]
file	annuitymapping.hpp [code]
	base class for annuity mapping functions used in TSR models
file	basket.cpp [code]
file	basket.hpp [code]
	basket of issuers and related notionals
file	blackscholesmodelwrapper.hpp [code]
	wrapper around a vector of BS processes
file	carrmadanarbitragecheck.cpp [code]
file	carrmadanarbitragecheck.hpp [code]
	arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005)
file	cdsoptionhelper.cpp [code]
file	cdsoptionhelper.hpp [code]
	cds option calibration helper
file	cirppconstantfellerparametrization.hpp [code]
	constant CIR ++ parametrization
file	cirppconstantparametrization.hpp [code]
	constant CIR ++ parametrization
file	cirppimplieddefaulttermstructure.cpp [code]
file	cirppimplieddefaulttermstructure.hpp [code]
	default probability structure implied by a CIRPP model
file	cirppparametrization.hpp [code]
	CIR ++ parametrisation.
file	cmscaphelper.cpp [code]
file	cmscaphelper.hpp [code]
	Cms Option helper class.
file	commoditymodel.hpp [code]
	Commodity model base class.
file	commodityschwartzmodel.cpp [code]
file	commodityschwartzmodel.hpp [code]
	Schwartz (1997) one-factor model of the commodity price termstructure.
file	commodityschwartzparametrization.cpp [code]
file	commodityschwartzparametrization.hpp [code]
	Schwartz commodity model parametrization.
file	constantlosslatentmodel.hpp [code]
file	cpicapfloorhelper.cpp [code]
file	cpicapfloorhelper.hpp [code]
	CPI Cap Floor calibration helper.
file	crcirpp.cpp [code]
file	crcirpp.hpp [code]
	CIR++ credit model class.
file	crlgm1fparametrization.hpp [code]
	Credit Linear Gaussian Markov 1 factor parametrization.
file	crossassetanalytics.cpp [code]
file	crossassetanalytics.hpp [code]
	analytics for the cross asset model
file	crossassetanalyticsbase.hpp [code]
	basic functions for analytics in the cross asset model
file	crossassetmodel.cpp [code]
file	crossassetmodel.hpp [code]
	cross asset model
file	crossassetmodelimpliedeqvoltermstructure.cpp [code]
file	crossassetmodelimpliedeqvoltermstructure.hpp [code]
	dynamic black volatility term structure
file	crossassetmodelimpliedfxvoltermstructure.cpp [code]
file	crossassetmodelimpliedfxvoltermstructure.hpp [code]
	dynamic black volatility term structure
file	crstateparametrization.hpp [code]
	credit state parametrization
file	defaultableequityjumpdiffusionmodel.cpp [code]
file	defaultableequityjumpdiffusionmodel.hpp [code]
file	defaultlossmodel.hpp [code]
file	defaultprobabilitylatentmodel.hpp [code]
file	dkimpliedyoyinflationtermstructure.cpp [code]
file	dkimpliedyoyinflationtermstructure.hpp [code]
	year on year inflation term structure implied by a Dodgson Kainth (DK) model
file	dkimpliedzeroinflationtermstructure.cpp [code]
file	dkimpliedzeroinflationtermstructure.hpp [code]
	zero inflation term structure implied by a Dodgson Kainth (DK) model
file	eqbsconstantparametrization.cpp [code]
file	eqbsconstantparametrization.hpp [code]
	Constant equity model parametrization.
file	eqbsparametrization.cpp [code]
file	eqbsparametrization.hpp [code]
	EQ Black Scholes parametrization.
file	eqbspiecewiseconstantparametrization.cpp [code]
file	eqbspiecewiseconstantparametrization.hpp [code]
	piecewise constant model parametrization
file	exactbachelierimpliedvolatility.cpp [code]
file	exactbachelierimpliedvolatility.hpp [code]
	implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017
file	extendedconstantlosslatentmodel.hpp [code]
file	futureoptionhelper.cpp [code]
file	futureoptionhelper.hpp [code]
	calibration helper for Black-Scholes options
file	fxbsconstantparametrization.cpp [code]
file	fxbsconstantparametrization.hpp [code]
	Constant FX model parametrization.
file	fxbsmodel.hpp [code]
	fx black scholes model
file	fxbsparametrization.cpp [code]
file	fxbsparametrization.hpp [code]
	FX Black Scholes parametrization.
file	fxbspiecewiseconstantparametrization.cpp [code]
file	fxbspiecewiseconstantparametrization.hpp [code]
	piecewise constant model parametrization
file	fxeqoptionhelper.cpp [code]
file	fxeqoptionhelper.hpp [code]
	calibration helper for Black-Scholes options
file	fxmodel.hpp [code]
	fx model base class
file	gaussian1dcrossassetadaptor.cpp [code]
file	gaussian1dcrossassetadaptor.hpp [code]
	adaptor class that extracts one irlgm1f component
file	gaussianlhplossmodel.cpp [code]
file	gaussianlhplossmodel.hpp [code]
file	homogeneouspooldef.hpp [code]
file	hullwhitebucketing.cpp [code]
file	hullwhitebucketing.hpp [code]
	probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Appdx. B
file	hwconstantparametrization.hpp [code]
	Hull White n factor parametrization with constant reversion and vol.
file	hwmodel.cpp [code]
file	hwmodel.hpp [code]
	hull white n Factor model class
file	hwparametrization.hpp [code]
	Hull White n factor parametrization.
file	infdkparametrization.hpp [code]
	Inflation Dodgson Kainth parametrization.
file	infdkvectorised.cpp [code]
file	infdkvectorised.hpp [code]
file	infjyparameterization.cpp [code]
file	infjyparameterization.hpp [code]
	Jarrow Yildrim inflation parameterization.
file	inhomogeneouspooldef.hpp [code]
file	irlgm1fconstantparametrization.hpp [code]
	constant model parametrization
file	irlgm1fparametrization.hpp [code]
	Interest Rate Linear Gaussian Markov 1 factor parametrization.
file	irlgm1fpiecewiseconstanthullwhiteadaptor.hpp [code]
	adaptor to emulate piecewise constant Hull White parameters
file	irlgm1fpiecewiseconstantparametrization.hpp [code]
	piecewise constant model parametrization
file	irlgm1fpiecewiselinearparametrization.hpp [code]
	piecewise linear model parametrization
file	irmodel.hpp [code]
	ir model base class
file	jyimpliedyoyinflationtermstructure.cpp [code]
file	jyimpliedyoyinflationtermstructure.hpp [code]
	year on year inflation term structure implied by a Jarrow Yildrim (JY) model
file	jyimpliedzeroinflationtermstructure.cpp [code]
file	jyimpliedzeroinflationtermstructure.hpp [code]
	zero inflation term structure implied by a Jarrow Yildrim (JY) model
file	kienitzlawsonswaynesabrpdedensity.cpp [code]
file	kienitzlawsonswaynesabrpdedensity.hpp [code]
	Adaption of VBA code by Jörg Kienitz, 2017, to create a SABR density with PDE methods.
file	lgm.cpp [code]
file	lgm.hpp [code]
	lgm model class
file	lgmbackwardsolver.hpp [code]
	interface for LGM1F backward solver
file	lgmcalibrationinfo.cpp [code]
file	lgmcalibrationinfo.hpp [code]
	info data on how a lgm model was calibrated
file	lgmconvolutionsolver2.cpp [code]
file	lgmconvolutionsolver2.hpp [code]
	numeric convolution solver for the LGM model using RandoMVariable
file	lgmfdsolver.cpp [code]
file	lgmfdsolver.hpp [code]
file	lgmimplieddefaulttermstructure.cpp [code]
file	lgmimplieddefaulttermstructure.hpp [code]
	default probability structure implied by a LGM model
file	lgmimpliedyieldtermstructure.cpp [code]
file	lgmimpliedyieldtermstructure.hpp [code]
	yield term structure implied by a LGM model
file	lgmvectorised.cpp [code]
file	lgmvectorised.hpp [code]
	vectorised lgm model calculations
file	linearannuitymapping.cpp [code]
file	linearannuitymapping.hpp [code]
	linear annuity mapping function f(S) = a*S+b
file	linkablecalibratedmodel.cpp [code]
file	linkablecalibratedmodel.hpp [code]
	calibrated model class with linkable parameters
file	marketobserver.hpp [code]
	helper class for model builders that observes market ts
file	modelbuilder.hpp [code]
	Model builder base class.
file	modelimpliedpricetermstructure.cpp [code]
file	modelimpliedpricetermstructure.hpp [code]
	price term structure implied by a COM model
file	modelimpliedyieldtermstructure.cpp [code]
file	modelimpliedyieldtermstructure.hpp [code]
	yield term structure implied by an IR model
file	normalsabr.cpp [code]
file	normalsabr.hpp [code]
	normal SABR model implied volatility approximation
file	normalsabrinterpolation.hpp [code]
	normal SABR interpolation interpolation between discrete points
file	normalsabrsmilesection.cpp [code]
file	normalsabrsmilesection.hpp [code]
	normal sabr smile section class
file	parametrization.cpp [code]
file	parametrization.hpp [code]
	base class for model parametrizations
file	piecewiseconstanthelper.cpp [code]
file	piecewiseconstanthelper.hpp [code]
	helper classes for piecewise constant parametrizations
file	poollossmodel.hpp [code]
file	projectedcrossassetmodel.cpp [code]
file	projectedcrossassetmodel.hpp [code]
	cross asset model projection utils
file	pseudoparameter.hpp [code]
	parameter giving access to calibration machinery
file	representativefxoption.cpp [code]
file	representativefxoption.hpp [code]
	representative fx option matcher
file	representativeswaption.cpp [code]
file	representativeswaption.hpp [code]
	representative swaption matcher
file	transitionmatrix.cpp [code]
file	transitionmatrix.hpp [code]
	utility functions for transition matrices and generators
file	yoycapfloorhelper.cpp [code]
file	yoycapfloorhelper.hpp [code]
	Year on year inflation cap floor calibration helper.
file	yoyinflationmodeltermstructure.cpp [code]
file	yoyinflationmodeltermstructure.hpp [code]
	year-on-year inflation term structure implied by a cross asset model
file	yoyswaphelper.cpp [code]
file	yoyswaphelper.hpp [code]
	Year on year inflation swap calibration helper.
file	zeroinflationmodeltermstructure.cpp [code]
file	zeroinflationmodeltermstructure.hpp [code]
	zero inflation term structure implied by a cross asset model