|
| 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.
|
| |
