QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Files | |
file | bsmrndcalculator.cpp [code] |
file | bsmrndcalculator.hpp [code] |
risk neutral terminal density calculator for the Black-Scholes-Merton model with constant volatility | |
file | cevrndcalculator.cpp [code] |
file | cevrndcalculator.hpp [code] |
risk neutral density calculator for the constant elasticity of variance (CEV) model | |
file | escroweddividendadjustment.cpp [code] |
file | escroweddividendadjustment.hpp [code] |
file | fdmaffinemodelswapinnervalue.cpp [code] |
file | fdmaffinemodelswapinnervalue.hpp [code] |
file | fdmaffinemodeltermstructure.cpp [code] |
file | fdmaffinemodeltermstructure.hpp [code] |
file | fdmboundaryconditionset.hpp [code] |
file | fdmdirichletboundary.cpp [code] |
file | fdmdirichletboundary.hpp [code] |
Dirichlet boundary conditions for differential operators. | |
file | fdmdiscountdirichletboundary.cpp [code] |
file | fdmdiscountdirichletboundary.hpp [code] |
discounted value on Dirichlet boundary conditions | |
file | fdmdividendhandler.cpp [code] |
file | fdmdividendhandler.hpp [code] |
dividend handler for fdm method for one equity direction | |
file | fdmescrowedloginnervaluecalculator.cpp [code] |
file | fdmescrowedloginnervaluecalculator.hpp [code] |
inner value for a escrowed dividend model | |
file | fdmhestongreensfct.cpp [code] |
file | fdmhestongreensfct.hpp [code] |
Heston Fokker-Planck Green's function. | |
file | fdmindicesonboundary.cpp [code] |
file | fdmindicesonboundary.hpp [code] |
helper class to extract the indices on a boundary | |
file | fdminnervaluecalculator.cpp [code] |
layer of abstraction to calculate the inner value | |
file | fdminnervaluecalculator.hpp [code] |
layer of abstraction to calculate the inner value | |
file | fdmmesherintegral.cpp [code] |
file | fdmmesherintegral.hpp [code] |
mesher based integral over target function. | |
file | fdmquantohelper.cpp [code] |
quanto helper to store market data needed for the quanto adjustment. | |
file | fdmquantohelper.hpp [code] |
helper class storing market data needed for the quanto adjustment. | |
file | fdmshoutloginnervaluecalculator.cpp [code] |
file | fdmshoutloginnervaluecalculator.hpp [code] |
inner value for a shout option | |
file | fdmtimedepdirichletboundary.cpp [code] |
file | fdmtimedepdirichletboundary.hpp [code] |
time dependent Dirichlet boundary conditions | |
file | gbsmrndcalculator.cpp [code] |
file | gbsmrndcalculator.hpp [code] |
risk neutral terminal density calculator for the Black-Scholes-Merton model with skew dependent volatility | |
file | hestonrndcalculator.cpp [code] |
file | hestonrndcalculator.hpp [code] |
risk neutral terminal density calculator for the Heston stochastic volatility model | |
file | localvolrndcalculator.cpp [code] |
file | localvolrndcalculator.hpp [code] |
local volatility risk neutral terminal density calculation | |
file | riskneutraldensitycalculator.cpp [code] |
file | riskneutraldensitycalculator.hpp [code] |
interface for a single asset risk neutral terminal density calculation | |
file | squarerootprocessrndcalculator.cpp [code] |
file | squarerootprocessrndcalculator.hpp [code] |
risk neutral terminal density calculator for the square root process | |