|
| 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
|
| |
