Pricing engines

Files
file	lgmbackwardsolver.hpp
	interface for LGM1F backward solver
file	lgmconvolutionsolver2.hpp
	numeric convolution solver for the LGM model using RandoMVariable
file	analyticcashsettledeuropeanengine.hpp
	pricing engine for cash settled European vanilla options.
file	analyticdkcpicapfloorengine.hpp
	analytic dk cpi cap floor engine
file	analyticjycpicapfloorengine.hpp
	Analytic Jarrow Yildrim (JY) CPI cap floor engine.
file	analyticjyyoycapfloorengine.hpp
	Analytic Jarrow Yildrim (JY) year on year cap floor engine.
file	analyticlgmcdsoptionengine.hpp
	analytic lgm cds option engine
file	analyticxassetlgmeqoptionengine.hpp
	analytic cross-asset lgm eq option engine
file	blackbondoptionengine.hpp
	Black bond option engine.
file	blackcdsoptionengine.hpp
	Black credit default swap option engine.
file	blackswaptionenginedeltagamma.hpp
	Swaption engine providing analytical deltas for vanilla swaps.
file	commodityapoengine.hpp
	commodity average price option engine
file	commodityschwartzfutureoptionengine.hpp
	commodity future options priced in the Schwartz model
file	commodityspreadoptionengine.hpp
	commodity spread option engine
file	commodityswaptionengine.hpp
	commodity swaption engine
file	cpibacheliercapfloorengine.hpp
	CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as normal vols.
file	cpiblackcapfloorengine.hpp
	CPI cap/floor engine using the Black pricing formula and interpreting the volatility data as lognormal vols.
file	depositengine.hpp
	deposit engine
file	discountingbondtrsengine.hpp
	Engine to value a Bond TRS.
file	discountingcommodityforwardengine.hpp
	Engine to value a commodity forward contract.
file	discountingcurrencyswapenginedeltagamma.hpp
	discounting currency swap engine providing analytical deltas and gammas for vanilla swaps
file	discountingequityforwardengine.hpp
	Engine to value an Equity Forward contract.
file	discountingforwardbondengine.hpp
	Engine to value a Forward Bond contract.
file	discountingfxforwardengine.hpp
	Engine to value an FX Forward off two yield curves.
file	discountingfxforwardenginedeltagamma.hpp
	Engine to value an FX Forward off two yield curves.
file	discountingriskybondengine.hpp
	Risky Bond Engine.
file	discountingriskybondenginemultistate.hpp
	Risky Bond Engine.
file	discountingswapenginedeltagamma.hpp
	Swap engine providing analytical deltas and gammas for vanilla swaps.
file	lgmconvolutionsolver.hpp
	numeric convolution solver for the LGM model
file	mclgmswapengine.hpp
	MC LGM swap engines.
file	mclgmswaptionengine.hpp
	MC LGM swaption engines.
file	midpointcdsenginemultistate.hpp
	Risky Bond Engine.
file	pairwisevarianceswapengine.cpp
	pairwise variance swap engine
file	pairwisevarianceswapengine.hpp
	pairwise variance swap engine
file	paymentdiscountingengine.hpp
	Single payment discounting engine.
file	varianceswapgeneralreplicationengine.cpp
	equity variance swap engine
file	varianceswapgeneralreplicationengine.hpp
	variance swap engine
file	volatilityfromvarianceswapengine.cpp
	volatility swap engine
file	volatilityfromvarianceswapengine.hpp
	volatility swap engine
file	constantcpivolatility.hpp
	Constant CPI Volatility Surface.

Classes
class	AnalyticCashSettledEuropeanEngine
	Pricing engine for cash settled European vanilla options using analytical formulae. More...
class	AnalyticCcLgmFxOptionEngine
	Analytic cc lgm fx option engine. More...
class	AnalyticDkCpiCapFloorEngine
	Analytic dk cpi cap floor engine. More...
class	AnalyticJyCpiCapFloorEngine
class	AnalyticJyYoYCapFloorEngine
class	AnalyticLgmCdsOptionEngine
class	AnalyticLgmSwaptionEngine
	Analytic LGM swaption engine for european exercise. More...
class	AnalyticXAssetLgmEquityOptionEngine
	Analytic cross-asset lgm equity option engine. More...
class	MonteCarloCBOEngine
	CBO engine, Monte Carlo for the sample payoff. More...
class	CommoditySchwartzFutureOptionEngine
	Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model. More...
class	DepositEngine
class	DiscountingBondTRSEngine
	Discounting Bond TRS Engine. More...
class	DiscountingCommodityForwardEngine
	Discounting commodity forward engine. More...
class	DiscountingForwardBondEngine
	Discounting Forward Bond Engine. More...
class	DiscountingFxForwardEngineDeltaGamma
	Discounting FX Forward Engine providing analytical deltas and gammas. More...
class	DiscountingRiskyBondEngine
	Discounting Risky Bond Engine. More...
class	DiscountingSwapEngineMultiCurve
	Discounting Swap Engine - Multi Curve. More...
class	OvernightIndexedCrossCcyBasisSwapEngine
class	PaymentDiscountingEngine
	Payment discounting engine. More...

Detailed Description

Grouping of all engine related classes, functions and files