QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | concentrating1dmesher.cpp [code] |
One-dimensional grid mesher concentrating around critical points. | |
file | concentrating1dmesher.hpp [code] |
One-dimensional grid mesher concentrating around critical points. | |
file | exponentialjump1dmesher.cpp [code] |
mesher for a exponential jump mesher with high mean reversion rate and low jump intensity | |
file | exponentialjump1dmesher.hpp [code] |
mesher for a exponential jump mesher with high mean reversion rate and low jump intensity | |
file | fdm1dmesher.hpp [code] |
One-dimensional simple FDM mesher object working on an index. | |
file | fdmblackscholesmesher.cpp [code] |
1-d mesher for the Black-Scholes process (in ln(S)) | |
file | fdmblackscholesmesher.hpp [code] |
1-d mesher for the Black-Scholes process (in ln(S)) | |
file | fdmblackscholesmultistrikemesher.cpp [code] |
1-d mesher for the Black-Scholes process (in ln(S)) | |
file | fdmblackscholesmultistrikemesher.hpp [code] |
1-d mesher for the Black-Scholes process (in ln(S)) | |
file | fdmcev1dmesher.cpp [code] |
file | fdmcev1dmesher.hpp [code] |
One-dimensional mesher for the CEV model. | |
file | fdmhestonvariancemesher.cpp [code] |
file | fdmhestonvariancemesher.hpp [code] |
One-dimensional grid mesher for the variance part of the Heston model. | |
file | fdmmesher.hpp [code] |
mesher for a fdm grid | |
file | fdmmeshercomposite.cpp [code] |
file | fdmmeshercomposite.hpp [code] |
FdmMesher which is a composite of Fdm1dMesher. | |
file | fdmsimpleprocess1dmesher.cpp [code] |
file | fdmsimpleprocess1dmesher.hpp [code] |
One-dimensional grid mesher. | |
file | predefined1dmesher.hpp [code] |
One-dimensional mesher build from a given set of points. | |
file | uniform1dmesher.hpp [code] |
One-dimensional simple uniform grid mesher. | |
file | uniformgridmesher.cpp [code] |
file | uniformgridmesher.hpp [code] |
uniform grid mesher | |