|
| file | asianoption.cpp [code] |
| |
| file | asianoption.hpp [code] |
| | Asian option on a single asset.
|
| |
| file | assetswap.cpp [code] |
| |
| file | assetswap.hpp [code] |
| | Bullet bond vs Libor swap.
|
| |
| file | averagetype.cpp [code] |
| |
| file | averagetype.hpp [code] |
| | Averaging algorithm enumeration.
|
| |
| file | barrieroption.cpp [code] |
| |
| file | barrieroption.hpp [code] |
| | Barrier option on a single asset.
|
| |
| file | barriertype.cpp [code] |
| |
| file | barriertype.hpp [code] |
| | Barrier type.
|
| |
| file | basketoption.cpp [code] |
| |
| file | basketoption.hpp [code] |
| | Basket option on a number of assets.
|
| |
| file | bmaswap.cpp [code] |
| |
| file | bmaswap.hpp [code] |
| | swap paying Libor against BMA coupons
|
| |
| file | bond.cpp [code] |
| |
| file | bond.hpp [code] |
| | concrete bond class
|
| |
| file | bondforward.cpp [code] |
| |
| file | bondforward.hpp [code] |
| | forward contract on a bond
|
| |
| file | callabilityschedule.hpp [code] |
| | Schedule of put/call dates.
|
| |
| file | capfloor.cpp [code] |
| |
| file | capfloor.hpp [code] |
| | cap and floor class
|
| |
| file | claim.cpp [code] |
| |
| file | claim.hpp [code] |
| | Classes for default-event claims.
|
| |
| file | cliquetoption.cpp [code] |
| |
| file | cliquetoption.hpp [code] |
| | Cliquet option.
|
| |
| file | complexchooseroption.cpp [code] |
| |
| file | complexchooseroption.hpp [code] |
| | Complex chooser option.
|
| |
| file | compositeinstrument.cpp [code] |
| |
| file | compositeinstrument.hpp [code] |
| | Composite instrument class.
|
| |
| file | compoundoption.cpp [code] |
| |
| file | compoundoption.hpp [code] |
| | Compound option on a single asset.
|
| |
| file | cpicapfloor.cpp [code] |
| |
| file | cpicapfloor.hpp [code] |
| | zero-inflation-indexed-ratio-with-base option
|
| |
| file | cpiswap.cpp [code] |
| |
| file | cpiswap.hpp [code] |
| | zero-inflation-indexed-ratio-with-base swap
|
| |
| file | creditdefaultswap.cpp [code] |
| |
| file | creditdefaultswap.hpp [code] |
| | Credit default swap.
|
| |
| file | dividendbarrieroption.cpp [code] |
| |
| file | dividendbarrieroption.hpp [code] |
| | Barrier option on a single asset with discrete dividends.
|
| |
| file | dividendschedule.hpp [code] |
| | Schedule of dividend dates.
|
| |
| file | dividendvanillaoption.cpp [code] |
| |
| file | dividendvanillaoption.hpp [code] |
| | Vanilla option on a single asset with discrete dividends.
|
| |
| file | doublebarrieroption.cpp [code] |
| |
| file | doublebarrieroption.hpp [code] |
| | double Barrier european option on a single asset
|
| |
| file | doublebarriertype.cpp [code] |
| |
| file | doublebarriertype.hpp [code] |
| | Double Barrier type.
|
| |
| file | equitytotalreturnswap.cpp [code] |
| |
| file | equitytotalreturnswap.hpp [code] |
| | Equity total return swap.
|
| |
| file | europeanoption.cpp [code] |
| |
| file | europeanoption.hpp [code] |
| | European option on a single asset.
|
| |
| file | fixedratebondforward.hpp [code] |
| | forward contract on a fixed-rate bond
|
| |
| file | fixedvsfloatingswap.cpp [code] |
| |
| file | fixedvsfloatingswap.hpp [code] |
| | Fixed-rate vs floating-rate swap.
|
| |
| file | floatfloatswap.cpp [code] |
| |
| file | floatfloatswap.hpp [code] |
| | swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves
|
| |
| file | floatfloatswaption.cpp [code] |
| |
| file | floatfloatswaption.hpp [code] |
| | floatfloatswaption class
|
| |
| file | forward.cpp [code] |
| |
| file | forward.hpp [code] |
| | Base forward class.
|
| |
| file | forwardrateagreement.cpp [code] |
| |
| file | forwardrateagreement.hpp [code] |
| | forward rate agreement
|
| |
| file | forwardvanillaoption.cpp [code] |
| |
| file | forwardvanillaoption.hpp [code] |
| | Forward version of a vanilla option.
|
| |
| file | futures.cpp [code] |
| |
| file | futures.hpp [code] |
| | Futures.
|
| |
| file | impliedvolatility.cpp [code] |
| |
| file | impliedvolatility.hpp [code] |
| | Utilities for implied-volatility calculation.
|
| |
| file | inflationcapfloor.cpp [code] |
| |
| file | inflationcapfloor.hpp [code] |
| | inflation cap and floor class, just year-on-year variety for now
|
| |
| file | lookbackoption.cpp [code] |
| |
| file | lookbackoption.hpp [code] |
| | Lookback option on a single asset.
|
| |
| file | makecapfloor.cpp [code] |
| |
| file | makecapfloor.hpp [code] |
| | Helper class to instantiate standard market cap/floor.
|
| |
| file | makecds.cpp [code] |
| |
| file | makecds.hpp [code] |
| | Helper class to instantiate standard market cds.
|
| |
| file | makecms.cpp [code] |
| |
| file | makecms.hpp [code] |
| | Helper class to instantiate standard market CMS.
|
| |
| file | makeois.cpp [code] |
| |
| file | makeois.hpp [code] |
| | Helper class to instantiate overnight indexed swaps.
|
| |
| file | makeswaption.cpp [code] |
| |
| file | makeswaption.hpp [code] |
| | Helper class to instantiate standard market swaption.
|
| |
| file | makevanillaswap.cpp [code] |
| |
| file | makevanillaswap.hpp [code] |
| | Helper class to instantiate standard market swaps.
|
| |
| file | makeyoyinflationcapfloor.cpp [code] |
| |
| file | makeyoyinflationcapfloor.hpp [code] |
| | Helper class to instantiate standard yoy inflation cap/floor.
|
| |
| file | margrabeoption.cpp [code] |
| |
| file | margrabeoption.hpp [code] |
| | Margrabe option on two assets.
|
| |
| file | multiassetoption.cpp [code] |
| |
| file | multiassetoption.hpp [code] |
| | Option on multiple assets.
|
| |
| file | nonstandardswap.cpp [code] |
| |
| file | nonstandardswap.hpp [code] |
| | vanilla swap but possibly with period dependent nominal and strike
|
| |
| file | nonstandardswaption.cpp [code] |
| |
| file | nonstandardswaption.hpp [code] |
| | nonstandard swap option class
|
| |
| file | oneassetoption.cpp [code] |
| |
| file | oneassetoption.hpp [code] |
| | Option on a single asset.
|
| |
| file | overnightindexedswap.cpp [code] |
| |
| file | overnightindexedswap.hpp [code] |
| | Overnight index swap paying compounded overnight vs. fixed.
|
| |
| file | overnightindexfuture.cpp [code] |
| |
| file | overnightindexfuture.hpp [code] |
| | Overnight Index Future.
|
| |
| file | payoffs.cpp [code] |
| |
| file | payoffs.hpp [code] |
| | Payoffs for various options.
|
| |
| file | quantobarrieroption.cpp [code] |
| |
| file | quantobarrieroption.hpp [code] |
| | Quanto version of a barrier option.
|
| |
| file | quantoforwardvanillaoption.cpp [code] |
| |
| file | quantoforwardvanillaoption.hpp [code] |
| | Quanto version of a forward vanilla option.
|
| |
| file | quantovanillaoption.cpp [code] |
| |
| file | quantovanillaoption.hpp [code] |
| | Quanto version of a vanilla option.
|
| |
| file | simplechooseroption.cpp [code] |
| |
| file | simplechooseroption.hpp [code] |
| | Simple chooser option on a single asset.
|
| |
| file | simplifynotificationgraph.cpp [code] |
| |
| file | simplifynotificationgraph.hpp [code] |
| | utility functions to reduce number of notifications sent by observables
|
| |
| file | stickyratchet.cpp [code] |
| |
| file | stickyratchet.hpp [code] |
| | Payoffs for double nested options of sticky or ratchet type.
|
| |
| file | stock.cpp [code] |
| |
| file | stock.hpp [code] |
| | concrete stock class
|
| |
| file | swap.cpp [code] |
| |
| file | swap.hpp [code] |
| | Interest rate swap.
|
| |
| file | swaption.cpp [code] |
| |
| file | swaption.hpp [code] |
| | Swaption class.
|
| |
| file | vanillaoption.cpp [code] |
| |
| file | vanillaoption.hpp [code] |
| | Vanilla option on a single asset.
|
| |
| file | vanillastorageoption.hpp [code] |
| | vanilla storage option class
|
| |
| file | vanillaswap.cpp [code] |
| |
| file | vanillaswap.hpp [code] |
| | Simple fixed-rate vs Libor swap.
|
| |
| file | vanillaswingoption.cpp [code] |
| | vanilla swing option class
|
| |
| file | vanillaswingoption.hpp [code] |
| | vanilla swing option class
|
| |
| file | varianceswap.cpp [code] |
| |
| file | varianceswap.hpp [code] |
| | Variance swap.
|
| |
| file | yearonyearinflationswap.cpp [code] |
| |
| file | yearonyearinflationswap.hpp [code] |
| | Year-on-year inflation-indexed swap.
|
| |
| file | zerocouponinflationswap.cpp [code] |
| |
| file | zerocouponinflationswap.hpp [code] |
| | Zero-coupon inflation-indexed swap.
|
| |
| file | zerocouponswap.cpp [code] |
| |
| file | zerocouponswap.hpp [code] |
| | Zero-coupon interest rate swap.
|
| |