QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | dynprogvppintrinsicvalueengine.cpp [code] |
file | dynprogvppintrinsicvalueengine.hpp [code] |
intrinsic value engine using dynamic programming | |
file | fdextoujumpvanillaengine.cpp [code] |
file | fdextoujumpvanillaengine.hpp [code] |
Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options. | |
file | fdklugeextouspreadengine.cpp [code] |
file | fdklugeextouspreadengine.hpp [code] |
FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option. | |
file | fdmdupire1dop.cpp [code] |
file | fdmdupire1dop.hpp [code] |
Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work. | |
file | fdmexpextouinnervaluecalculator.hpp [code] |
inner value calculator for an exponential extended Ornstein Uhlenbeck grid | |
file | fdmextendedornsteinuhlenbeckop.cpp [code] |
file | fdmextendedornsteinuhlenbeckop.hpp [code] |
Ornstein Uhlenbeck process plus jumps (Kluge Model) | |
file | fdmextoujumpmodelinnervalue.hpp [code] |
inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model) | |
file | fdmextoujumpop.cpp [code] |
file | fdmextoujumpop.hpp [code] |
Ornstein Uhlenbeck process plus jumps (Kluge Model) | |
file | fdmextoujumpsolver.cpp [code] |
file | fdmextoujumpsolver.hpp [code] |
file | fdmklugeextouop.cpp [code] |
file | fdmklugeextouop.hpp [code] |
Kluge process (power) plus Ornstein Uhlenbeck process (gas) | |
file | fdmklugeextousolver.hpp [code] |
Kluge/extended Ornstein-Uhlenbeck FDM solver. | |
file | fdmsimple2dextousolver.hpp [code] |
solver for simple swing options based on ext OU process | |
file | fdmsimple3dextoujumpsolver.hpp [code] |
solver for simple swing options based on ext OU-Jump (Kluge) Model | |
file | fdmspreadpayoffinnervalue.hpp [code] |
inner value calculator for a spread payoff | |
file | fdmvppstartlimitstepcondition.cpp [code] |
file | fdmvppstartlimitstepcondition.hpp [code] |
VPP incl start limit step condition for FD models. | |
file | fdmvppstepcondition.cpp [code] |
file | fdmvppstepcondition.hpp [code] |
VPP step condition for FD models. | |
file | fdmvppstepconditionfactory.cpp [code] |
file | fdmvppstepconditionfactory.hpp [code] |
factory for VPP step conditions for FD models | |
file | fdmzabrop.cpp [code] |
file | fdmzabrop.hpp [code] |
Zabr linear pricing operator. | |
file | fdornsteinuhlenbeckvanillaengine.cpp [code] |
file | fdornsteinuhlenbeckvanillaengine.hpp [code] |
Finite-Differences Ornstein Uhlenbeck vanilla option engine. | |
file | fdsimpleextoujumpswingengine.cpp [code] |
Finite Differences engine for simple swing options. | |
file | fdsimpleextoujumpswingengine.hpp [code] |
Finite Differences engine for simple swing options. | |
file | fdsimpleextoustorageengine.cpp [code] |
Finite Differences extended OU engine for simple storage options. | |
file | fdsimpleextoustorageengine.hpp [code] |
Finite Differences extended OU engine for simple storage options. | |
file | fdsimpleklugeextouvppengine.cpp [code] |
file | fdsimpleklugeextouvppengine.hpp [code] |
Finite Differences engine for simple vpp options. | |
file | glued1dmesher.cpp [code] |
One-dimensional grid mesher combining two existing ones. | |
file | glued1dmesher.hpp [code] |
One-dimensional grid mesher combining two existing ones. | |
file | vanillavppoption.cpp [code] |
file | vanillavppoption.hpp [code] |
vanilla virtual power plant option | |