|
| file | kienitzlawsonswaynesabrpdedensity.hpp |
| | Adaption of VBA code by Jörg Kienitz, 2017, to create a SABR density with PDE methods.
|
| |
| file | normalsabr.hpp |
| | normal SABR model implied volatility approximation
|
| |
| file | aposurface.hpp |
| | Average future price option surface derived from future option surface.
|
| |
| file | averagefuturepricehelper.hpp |
| | Price helper for average of future settlement prices over a period.
|
| |
| file | averageoffpeakpowerhelper.hpp |
| | Price helper for average of off-peak electricity prices over a period.
|
| |
| file | averageoisratehelper.hpp |
| | Rate helpers to facilitate usage of AverageOIS in bootstrapping.
|
| |
| file | averagespotpricehelper.hpp |
| | Price helper for average of spot price over a period.
|
| |
| file | basistwoswaphelper.hpp |
| | Libor basis swap helper as two swaps.
|
| |
| file | blackdeltautilities.hpp |
| | utilities to calculate strikes from deltas and atm strikes on smiles
|
| |
| file | blackinvertedvoltermstructure.hpp |
| | Black volatility surface that inverts an existing surface.
|
| |
| file | blackmonotonevarvoltermstructure.hpp |
| | Black volatility surface that monotonises the variance in an existing surface.
|
| |
| file | blacktriangulationatmvol.hpp |
| | Black volatility surface that implies an ATM vol based on triangulation.
|
| |
| file | blackvariancecurve3.hpp |
| | Black volatility curve modeled as variance curve.
|
| |
| file | blackvariancesurfacemoneyness.hpp |
| | Black volatility surface based on forward moneyness.
|
| |
| file | blackvolconstantspread.hpp |
| | surface that combines an ATM curve and vol spreads from a surface
|
| |
| file | blackvolsurfacedelta.hpp |
| | Black volatility surface based on delta.
|
| |
| file | blackvolsurfaceproxy.hpp |
| | Wrapper class for a BlackVolTermStructure when using proxy vols.
|
| |
| file | blackvolsurfacewithatm.hpp |
| | Wrapper class for a BlackVolTermStructure that easily exposes ATM vols.
|
| |
| file | brlcdiratehelper.hpp |
| | Rate helper based on standard BRL CDI swap.
|
| |
| file | capfloorhelper.hpp |
| | Helper for bootstrapping optionlet volatilities from cap floor volatilities.
|
| |
| file | capfloortermvolcurve.hpp |
| | Cap floor at-the-money term volatility curve.
|
| |
| file | commodityaveragebasispricecurve.hpp |
| | A commodity price curve created from an averaged base curve and a collection of basis quotes.
|
| |
| file | commoditybasispricecurve.hpp |
| | A commodity price curve created from a base price curve and a collection of basis quotes.
|
| |
| file | commoditybasispricecurvewrapper.hpp |
| | A commodity price curve created from a generic price curve and a basis curve.
|
| |
| file | commoditybasispricetermstructure.hpp |
| | An interface for a commodity price curve created from a base price curve and a collection of basis quotes.
|
| |
| file | crossccybasismtmresetswaphelper.hpp |
| | Cross currency basis swap helper with MTM reset.
|
| |
| file | crossccybasisswaphelper.hpp |
| | Cross currency basis swap helper.
|
| |
| file | crossccybasismtmresetswaphelper.hpp |
| | Cross currency basis swap helper with MTM reset.
|
| |
| file | crossccyfixfloatswaphelper.hpp |
| | Cross currency fixed vs. float swap helper.
|
| |
| file | datedstrippedoptionlet.hpp |
| | Stripped optionlet surface with fixed reference date.
|
| |
| file | datedstrippedoptionletadapter.hpp |
| | StrippedOptionlet Adapter.
|
| |
| file | datedstrippedoptionletbase.hpp |
| | abstract class for optionlet surface with fixed reference date
|
| |
| file | dynamicblackvoltermstructure.hpp |
| | dynamic black volatility term structure
|
| |
| file | dynamiccpivolatilitystructure.hpp |
| | dynamic zero inflation volatility structure
|
| |
| file | dynamicoptionletvolatilitystructure.hpp |
| | dynamic optionlet volatility structure
|
| |
| file | dynamicstype.hpp |
| | dynamics type definitions
|
| |
| file | dynamicswaptionvolmatrix.hpp |
| | dynamic swaption volatility matrix
|
| |
| file | dynamicyoyoptionletvolatilitystructure.hpp |
| | dynamic yoy inflation optionlet volatility structure
|
| |
| file | eqcommoptionsurfacestripper.hpp |
| | Imply equity or commodity volatility surface from put/call price surfaces.
|
| |
| file | equityforwardcurvestripper.hpp |
| | Imply equity forwards from option put/call parity.
|
| |
| file | futurepricehelper.hpp |
| | Future price helper.
|
| |
| file | fxblackvolsurface.hpp |
| | FX Black volatility surface that incorporates an FxSmile.
|
| |
| file | fxsmilesection.hpp |
| | FX smile section assuming a strike/volatility space.
|
| |
| file | fxvannavolgasmilesection.hpp |
| | FX smile section assuming a strike/volatility space using vanna volga method.
|
| |
| file | generatordefaulttermstructure.hpp |
| | Default curve implied from a single generator matrix.
|
| |
| file | hazardspreadeddefaulttermstructure.hpp |
| | adds a constant hazard rate spread to a default term structure
|
| |
| file | immfraratehelper.hpp |
| | IMM FRA rate helper.
|
| |
| file | piecewisezeroinflationcurve.hpp |
| | Piecewise interpolated zero inflation term structure.
|
| |
| file | interpolateddiscountcurve.hpp |
| | interpolated discount term structure
|
| |
| file | interpolateddiscountcurve2.hpp |
| | interpolated discount term structure
|
| |
| file | interpolatedyoycapfloortermpricesurface.hpp |
| | 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 | multisectiondefaultcurve.hpp |
| | default curve with an instantaneous hazard rate given by a vector of underlying curves in specific date ranges
|
| |
| file | oiccbasisswaphelper.hpp |
| | Overnight Indexed Cross Currency Basis Swap helpers.
|
| |
| file | oiscapfloorhelper.hpp |
| | Helper for bootstrapping optionlet volatilties from ois cap floor volatilities.
|
| |
| file | oisratehelper.hpp |
| | Overnight Indexed Swap (aka OIS) rate helpers.
|
| |
| file | optionletstripper1.hpp |
| | Optionlet (caplet/floorlet) volatility strippers.
|
| |
| file | optionletstripper2.hpp |
| | ATM optionlet (caplet/floorlet) volatility stripper.
|
| |
| file | optionletstripperwithatm.hpp |
| | Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities.
|
| |
| file | piecewisepricecurve.hpp |
| | Piecewise interpolated price term structure.
|
| |
| file | proxyoptionletvolatility.hpp |
| | moneyness-adjusted optionlet vol for normal vols
|
| |
| file | proxyswaptionvolatility.hpp |
| | moneyness-adjusted swaption vol for normal vols
|
| |
| file | sabrstrippedoptionletadapter.hpp |
| | Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model.
|
| |
| file | spreadedblackvolatilitycurve.hpp |
| | Spreaded Black volatility curve.
|
| |
| file | spreadedblackvolatilitysurfacemoneyness.hpp |
| | Spreaded Black volatility surface based on moneyness.
|
| |
| file | spreadedoptionletvolatility2.hpp |
| | Optionlet volatility with overlayed bilinearly interpolated spread surface.
|
| |
| file | spreadeddiscountcurve.hpp |
| | spreaded discount term structure
|
| |
| file | spreadedinflationcurve.hpp |
| | spreaded inflation term structure
|
| |
| file | spreadedoptionletvolatility.hpp |
| | Adds floor to QuantLib::SpreadedOptionletVolatility.
|
| |
| file | spreadedoptionletvolatility2.hpp |
| | Optionlet volatility with overlayed bilinearly interpolated spread surface.
|
| |
| file | spreadedsmilesection.hpp |
| | Adds floor to QuantLib::SmileSection.
|
| |
| file | spreadedsmilesection2.hpp |
| | smile section with linear interpolated vol spreads
|
| |
| file | spreadedsurvivalprobabilitytermstructure.hpp |
| | spreaded default term structure
|
| |
| file | spreadedswaptionvolatility.hpp |
| | swaption cube defined via atm vol spreads over another cube
|
| |
| file | spreadedoptionletvolatility2.hpp |
| | Optionlet volatility with overlayed bilinearly interpolated spread surface.
|
| |
| file | staticallycorrectedyieldtermstructure.hpp |
| | Statically corrected yield term structure.
|
| |
| file | strippedoptionletadapter.hpp |
| | Convert a StrippedOptionletBase in to an OptionletVolatilityStructure.
|
| |
| file | strippedoptionletadapter2.hpp |
| | StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)
|
| |
| file | strippedyoyinflationoptionletvol.hpp |
| | Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)
|
| |
| file | subperiodsswaphelper.hpp |
| | Single currency sub periods swap helper.
|
| |
| file | survivalprobabilitycurve.hpp |
| | interpolated survival probability term structure
|
| |
| file | swaptionsabrcube.hpp |
| | SABR Swaption volatility cube.
|
| |
| file | swaptionvolatilityconverter.hpp |
| | Convert swaption volatilities from one type to another.
|
| |
| file | swaptionvolconstantspread.hpp |
| | swaption cube that combines an ATM matrix and vol spreads from a cube
|
| |
| file | swaptionvolcube2.hpp |
| | Swaption volatility cube, fit-later-interpolate-early approach.
|
| |
| file | swaptionvolcubewithatm.hpp |
| | Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols.
|
| |
| file | tenorbasisswaphelper.hpp |
| | Single currency tenor basis swap helper.
|
| |
| file | yoyinflationcurveobservermoving.hpp |
| | Observable inflation term structure with floating reference date based on the interpolation of zero rate quotes.
|
| |
| file | yoyinflationcurveobserverstatic.hpp |
| | Observable inflation term structure with fixed reference date based on the interpolation of yoy rate quotes.
|
| |
| file | yoyinflationoptionletvolstripper.hpp |
| | YoY Inflation Optionlet (caplet/floorlet) volatility strippers.
|
| |
| file | zeroinflationcurveobserverstatic.hpp |
| | Observable inflation term structure based on the interpolation of zero rate quotes.
|
| |
