termstructures Directory Reference

Directories
directory	credit
directory	inflation

Files
file	adjusteddefaultcurve.hpp [code]
	default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h(s)
file	aposurface.cpp [code]
file	aposurface.hpp [code]
	Average future price option surface derived from future option surface.
file	atmadjustedsmilesection.hpp [code]
file	averagefuturepricehelper.cpp [code]
file	averagefuturepricehelper.hpp [code]
	Price helper for average of future settlement prices over a period.
file	averageoffpeakpowerhelper.cpp [code]
file	averageoffpeakpowerhelper.hpp [code]
	Price helper for average of off-peak electricity prices over a period.
file	averageoisratehelper.cpp [code]
file	averageoisratehelper.hpp [code]
	Rate helpers to facilitate usage of AverageOIS in bootstrapping.
file	averagespotpricehelper.cpp [code]
file	averagespotpricehelper.hpp [code]
	Price helper for average of spot price over a period.
file	basistwoswaphelper.cpp [code]
file	basistwoswaphelper.hpp [code]
	Libor basis swap helper as two swaps.
file	blackdeltautilities.cpp [code]
file	blackdeltautilities.hpp [code]
	utilities to calculate strikes from deltas and atm strikes on smiles
file	blackinvertedvoltermstructure.hpp [code]
	Black volatility surface that inverts an existing surface.
file	blackmonotonevarvoltermstructure.hpp [code]
	Black volatility surface that monotonises the variance in an existing surface.
file	blacktriangulationatmvol.hpp [code]
	Black volatility surface that implies an ATM vol based on triangulation.
file	blackvariancecurve3.cpp [code]
file	blackvariancecurve3.hpp [code]
	Black volatility curve modeled as variance curve.
file	blackvariancesurfacemoneyness.cpp [code]
file	blackvariancesurfacemoneyness.hpp [code]
	Black volatility surface based on forward moneyness.
file	blackvariancesurfacesparse.cpp [code]
file	blackvariancesurfacesparse.hpp [code]
	Black volatility surface modeled as variance surface.
file	blackvariancesurfacestddevs.cpp [code]
file	blackvariancesurfacestddevs.hpp [code]
	Black volatility surface modeled as variance surface.
file	blackvolconstantspread.cpp [code]
file	blackvolconstantspread.hpp [code]
	surface that combines an ATM curve and vol spreads from a surface
file	blackvolsurfaceabsolute.cpp [code]
file	blackvolsurfaceabsolute.hpp [code]
	Black volatility surface based on absolute quotes.
file	blackvolsurfacebfrr.cpp [code]
file	blackvolsurfacebfrr.hpp [code]
	Black volatility surface based on bf/rr quotes.
file	blackvolsurfacedelta.cpp [code]
file	blackvolsurfacedelta.hpp [code]
	Black volatility surface based on delta.
file	blackvolsurfaceproxy.cpp [code]
file	blackvolsurfaceproxy.hpp [code]
	Wrapper class for a BlackVolTermStructure when using proxy vols.
file	blackvolsurfacewithatm.cpp [code]
file	blackvolsurfacewithatm.hpp [code]
	Wrapper class for a BlackVolTermStructure that easily exposes ATM vols.
file	bondyieldshiftedcurvetermstructure.hpp [code]
	term structure provided yield curve shifted by bond spread
file	brlcdiratehelper.cpp [code]
file	brlcdiratehelper.hpp [code]
	Rate helper based on standard BRL CDI swap.
file	capfloorhelper.cpp [code]
file	capfloorhelper.hpp [code]
	Helper for bootstrapping optionlet volatilities from cap floor volatilities.
file	capfloortermvolcurve.hpp [code]
	Cap floor at-the-money term volatility curve.
file	capfloortermvolsurface.cpp [code]
file	capfloortermvolsurface.hpp [code]
	Cap/floor smile volatility surface.
file	capfloortermvolsurfacesparse.hpp [code]
file	commodityaveragebasispricecurve.hpp [code]
	A commodity price curve created from an averaged base curve and a collection of basis quotes.
file	commoditybasispricecurve.hpp [code]
	A commodity price curve created from a base price curve and a collection of basis quotes.
file	commoditybasispricecurvewrapper.hpp [code]
	A commodity price curve created from a generic price curve and a basis curve.
file	commoditybasispricetermstructure.hpp [code]
	An interface for a commodity price curve created from a base price curve and a collection of basis quotes.
file	correlationtermstructure.cpp [code]
file	correlationtermstructure.hpp [code]
	Term structure of correlations.
file	creditcurve.cpp [code]
file	creditcurve.hpp [code]
	wrapper for default curves, adding (index) reference data
file	creditvolcurve.cpp [code]
file	creditvolcurve.hpp [code]
	credit vol curve
file	crossccybasismtmresetswaphelper.cpp [code]
file	crossccybasismtmresetswaphelper.hpp [code]
	Cross currency basis swap helper with MTM reset.
file	crossccybasisswaphelper.cpp [code]
file	crossccybasisswaphelper.hpp [code]
	Cross currency basis swap helper.
file	crossccyfixfloatmtmresetswaphelper.cpp [code]
file	crossccyfixfloatmtmresetswaphelper.hpp [code]
file	crossccyfixfloatswaphelper.cpp [code]
file	crossccyfixfloatswaphelper.hpp [code]
	Cross currency fixed vs. float swap helper.
file	crosscurrencypricetermstructure.cpp [code]
file	crosscurrencypricetermstructure.hpp [code]
	Price term structure in a given currency derived from a price term structure in another currency.
file	datedstrippedoptionlet.cpp [code]
file	datedstrippedoptionlet.hpp [code]
	Stripped optionlet surface with fixed reference date.
file	datedstrippedoptionletadapter.cpp [code]
file	datedstrippedoptionletadapter.hpp [code]
	StrippedOptionlet Adapter.
file	datedstrippedoptionletbase.hpp [code]
	abstract class for optionlet surface with fixed reference date
file	discountratiomodifiedcurve.cpp [code]
file	discountratiomodifiedcurve.hpp [code]
	discount curve modified by the ratio of two other discount curves
file	dynamicblackvoltermstructure.hpp [code]
	dynamic black volatility term structure
file	dynamiccpivolatilitystructure.cpp [code]
file	dynamiccpivolatilitystructure.hpp [code]
	dynamic zero inflation volatility structure
file	dynamicoptionletvolatilitystructure.cpp [code]
file	dynamicoptionletvolatilitystructure.hpp [code]
	dynamic optionlet volatility structure
file	dynamicstype.hpp [code]
	dynamics type definitions
file	dynamicswaptionvolmatrix.cpp [code]
file	dynamicswaptionvolmatrix.hpp [code]
	dynamic swaption volatility matrix
file	dynamicyoyoptionletvolatilitystructure.cpp [code]
file	dynamicyoyoptionletvolatilitystructure.hpp [code]
	dynamic yoy inflation optionlet volatility structure
file	eqcommoptionsurfacestripper.cpp [code]
file	eqcommoptionsurfacestripper.hpp [code]
	Imply equity or commodity volatility surface from put/call price surfaces.
file	equityforwardcurvestripper.cpp [code]
file	equityforwardcurvestripper.hpp [code]
	Imply equity forwards from option put/call parity.
file	flatcorrelation.cpp [code]
file	flatcorrelation.hpp [code]
	Term structure of flat correlations.
file	flatforwarddividendcurve.cpp [code]
file	flatforwarddividendcurve.hpp [code]
	Term structure for a forward dividend curve. If extrapolation is set we extrapolate with the forecast curve.
file	futurepricehelper.cpp [code]
file	futurepricehelper.hpp [code]
	Future price helper.
file	fxblackvolsurface.cpp [code]
file	fxblackvolsurface.hpp [code]
	FX Black volatility surface that incorporates an FxSmile.
file	fxsmilesection.hpp [code]
	FX smile section assuming a strike/volatility space.
file	fxvannavolgasmilesection.cpp [code]
file	fxvannavolgasmilesection.hpp [code]
	FX smile section assuming a strike/volatility space using vanna volga method.
file	generatordefaulttermstructure.cpp [code]
file	generatordefaulttermstructure.hpp [code]
	Default curve implied from a single generator matrix.
file	hazardspreadeddefaulttermstructure.cpp [code]
file	hazardspreadeddefaulttermstructure.hpp [code]
	adds a constant hazard rate spread to a default term structure
file	iborfallbackcurve.cpp [code]
file	iborfallbackcurve.hpp [code]
	projection curve for ibor fallback indices
file	immfraratehelper.cpp [code]
file	immfraratehelper.hpp [code]
	IMM FRA rate helper.
file	implieddefaulttermstructure.hpp [code]
	implied default term structure
file	interpolatedcorrelationcurve.hpp [code]
	interpolated correlation term structure
file	interpolatedcpivolatilitysurface.hpp [code]
	zero inflation volatility structure interpolated on a expiry/strike matrix of quotes
file	interpolateddiscountcurve.hpp [code]
	interpolated discount term structure
file	interpolateddiscountcurve2.hpp [code]
	interpolated discount term structure
file	interpolatedhazardratecurve.hpp [code]
	interpolated hazard-rate term structure (with the option to disable the negative rates check)
file	interpolatedsurvivalprobabilitycurve.hpp [code]
	interpolated survival-probability term structure (with the option to disable the check for negative hazard rates)
file	interpolatedyoycapfloortermpricesurface.hpp [code]
	Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTermPriceSurface to allow choice of termstructure directly from YoY swap quotes or from atm swap quotes stripped from cap/floor price surface.
file	iterativebootstrap.hpp [code]
	Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes.
file	kinterpolatedyoyoptionletvolatilitysurface.hpp [code]
	fixed version of ql class (see patch 1,2,3 in the comments below)
file	multisectiondefaultcurve.hpp [code]
	default curve with an instantaneous hazard rate given by a vector of underlying curves in specific date ranges
file	oiccbasisswaphelper.cpp [code]
file	oiccbasisswaphelper.hpp [code]
	Overnight Indexed Cross Currency Basis Swap helpers.
file	oiscapfloorhelper.cpp [code]
file	oiscapfloorhelper.hpp [code]
	Helper for bootstrapping optionlet volatilties from ois cap floor volatilities.
file	oisratehelper.cpp [code]
file	oisratehelper.hpp [code]
	Overnight Indexed Swap (aka OIS) rate helpers.
file	optionletcurve.hpp [code]
	Interpolated one-dimensional curve of optionlet volatilities.
file	optionletstripper.cpp [code]
file	optionletstripper.hpp [code]
	optionlet (caplet/floorlet) volatility stripper
file	optionletstripper1.cpp [code]
file	optionletstripper1.hpp [code]
	Optionlet (caplet/floorlet) volatility strippers.
file	optionletstripper2.cpp [code]
file	optionletstripper2.hpp [code]
	ATM optionlet (caplet/floorlet) volatility stripper.
file	optionletstripperwithatm.hpp [code]
	Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities.
file	optionpricesurface.hpp [code]
	Surface to store option prices.
file	overnightfallbackcurve.cpp [code]
file	overnightfallbackcurve.hpp [code]
file	parametricvolatility.cpp [code]
file	parametricvolatility.hpp [code]
	cross-asset, generic volatility structure
file	parametricvolatilitysmilesection.cpp [code]
file	parametricvolatilitysmilesection.hpp [code]
file	piecewiseatmoptionletcurve.hpp [code]
	Create optionlet volatility structure from at-the-money cap floor term volatility curve.
file	piecewiseoptionletcurve.hpp [code]
	One-dimensional curve of bootstrapped optionlet volatilities.
file	piecewiseoptionletstripper.hpp [code]
	Strip optionlet volatility surface from cap floor volatility term surface.
file	piecewisepricecurve.hpp [code]
	Piecewise interpolated price term structure.
file	pricecurve.hpp [code]
	Interpolated price curve.
file	pricetermstructure.cpp [code]
file	pricetermstructure.hpp [code]
	Term structure of prices.
file	pricetermstructureadapter.cpp [code]
file	pricetermstructureadapter.hpp [code]
	PriceTermStructure adapter.
file	probabilitytraits.hpp [code]
	default probability bootstrap traits for QuantExt
file	proxyoptionletvolatility.cpp [code]
file	proxyoptionletvolatility.hpp [code]
	moneyness-adjusted optionlet vol for normal vols
file	proxyswaptionvolatility.cpp [code]
file	proxyswaptionvolatility.hpp [code]
	moneyness-adjusted swaption vol for normal vols
file	sabrparametricvolatility.cpp [code]
file	sabrparametricvolatility.hpp [code]
	sabr volatility structure
file	sabrstrippedoptionletadapter.hpp [code]
	Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model.
file	spreadedblackvolatilitycurve.cpp [code]
file	spreadedblackvolatilitycurve.hpp [code]
	Spreaded Black volatility curve.
file	spreadedblackvolatilitysurfacemoneyness.cpp [code]
file	spreadedblackvolatilitysurfacemoneyness.hpp [code]
	Spreaded Black volatility surface based on moneyness.
file	spreadedcorrelationcurve.cpp [code]
file	spreadedcorrelationcurve.hpp [code]
	Spreaded correlation curve.
file	spreadedcpivolatilitysurface.cpp [code]
file	spreadedcpivolatilitysurface.hpp [code]
file	spreadeddiscountcurve.cpp [code]
file	spreadeddiscountcurve.hpp [code]
	spreaded discount term structure
file	spreadedinflationcurve.cpp [code]
file	spreadedinflationcurve.hpp [code]
	spreaded inflation term structure
file	spreadedoptionletvolatility.cpp [code]
file	spreadedoptionletvolatility.hpp [code]
	Adds floor to QuantLib::SpreadedOptionletVolatility.
file	spreadedoptionletvolatility2.cpp [code]
file	spreadedoptionletvolatility2.hpp [code]
	Optionlet volatility with overlayed bilinearly interpolated spread surface.
file	spreadedpricetermstructure.cpp [code]
file	spreadedpricetermstructure.hpp [code]
	Spreaded Term structure of prices.
file	spreadedsmilesection.cpp [code]
file	spreadedsmilesection.hpp [code]
	Adds floor to QuantLib::SmileSection.
file	spreadedsmilesection2.cpp [code]
file	spreadedsmilesection2.hpp [code]
	smile section with linear interpolated vol spreads
file	spreadedsurvivalprobabilitytermstructure.cpp [code]
file	spreadedsurvivalprobabilitytermstructure.hpp [code]
	spreaded default term structure
file	spreadedswaptionvolatility.cpp [code]
file	spreadedswaptionvolatility.hpp [code]
	swaption cube defined via atm vol spreads over another cube
file	spreadedyoyvolsurface.cpp [code]
file	spreadedyoyvolsurface.hpp [code]
file	staticallycorrectedyieldtermstructure.hpp [code]
	Statically corrected yield term structure.
file	strippedcpivolatilitystructure.hpp [code]
	zero inflation volatility structure implied from a cpi cap/floor price surface
file	strippedoptionletadapter.hpp [code]
	Convert a StrippedOptionletBase in to an OptionletVolatilityStructure.
file	strippedoptionletadapter2.cpp [code]
file	strippedoptionletadapter2.hpp [code]
	StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)
file	strippedyoyinflationoptionletvol.cpp [code]
file	strippedyoyinflationoptionletvol.hpp [code]
	Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)
file	subperiodsswaphelper.cpp [code]
file	subperiodsswaphelper.hpp [code]
	Single currency sub periods swap helper.
file	survivalprobabilitycurve.hpp [code]
	interpolated survival probability term structure
file	swaptionsabrcube.cpp [code]
file	swaptionsabrcube.hpp [code]
	SABR Swaption volatility cube.
file	swaptionvolatilityconverter.cpp [code]
file	swaptionvolatilityconverter.hpp [code]
	Convert swaption volatilities from one type to another.
file	swaptionvolconstantspread.cpp [code]
file	swaptionvolconstantspread.hpp [code]
	swaption cube that combines an ATM matrix and vol spreads from a cube
file	swaptionvolcube2.cpp [code]
file	swaptionvolcube2.hpp [code]
	Swaption volatility cube, fit-later-interpolate-early approach.
file	swaptionvolcubewithatm.hpp [code]
	Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols.
file	tenorbasisswaphelper.cpp [code]
file	tenorbasisswaphelper.hpp [code]
	Single currency tenor basis swap helper.
file	terminterpolateddefaultcurve.hpp [code]
	default curve interpolating between two term curves
file	weightedyieldtermstructure.hpp [code]
	yield term structure given as a weighted average of yield term structures
file	yieldplusdefaultyieldtermstructure.hpp [code]
	yield term structure given as a yield ts plus weighted sum of default term structures
file	yoyinflationcurveobservermoving.hpp [code]
	Observable inflation term structure with floating reference date based on the interpolation of zero rate quotes.
file	yoyinflationcurveobserverstatic.hpp [code]
	Observable inflation term structure with fixed reference date based on the interpolation of yoy rate quotes.
file	yoyinflationoptionletvolstripper.cpp [code]
file	yoyinflationoptionletvolstripper.hpp [code]
	YoY Inflation Optionlet (caplet/floorlet) volatility strippers.
file	zeroinflationcurveobservermoving.hpp [code]
	Observable inflation term structure based on the interpolation of zero rate quotes, but with floating reference date.
file	zeroinflationcurveobserverstatic.hpp [code]
	Observable inflation term structure based on the interpolation of zero rate quotes.