instruments Directory Reference

Directories
directory	bonds

Files
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.hpp [code]
file	dividendschedule.hpp [code]
	Schedule of dividend dates.
file	dividendvanillaoption.hpp [code]
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.