QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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utilities Directory Reference

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