QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Files | |
file | basketgeneratingengine.cpp [code] |
file | basketgeneratingengine.hpp [code] |
base class for pricing engines capable of generating a calibration basket | |
file | blackswaptionengine.cpp [code] |
file | blackswaptionengine.hpp [code] |
Black-formula swaption engine. | |
file | discretizedswaption.cpp [code] |
file | discretizedswaption.hpp [code] |
Discretized swaption class. | |
file | fdg2swaptionengine.cpp [code] |
file | fdg2swaptionengine.hpp [code] |
finite differences swaption engine | |
file | fdhullwhiteswaptionengine.cpp [code] |
file | fdhullwhiteswaptionengine.hpp [code] |
finite differences swaption engine | |
file | g2swaptionengine.hpp [code] |
Swaption pricing engine for two-factor additive Gaussian Model G2++. | |
file | gaussian1dfloatfloatswaptionengine.cpp [code] |
file | gaussian1dfloatfloatswaptionengine.hpp [code] |
float float swaption engine for one factor interest rate models | |
file | gaussian1djamshidianswaptionengine.cpp [code] |
file | gaussian1djamshidianswaptionengine.hpp [code] |
Swaption engine using Jamshidian's decomposition. | |
file | gaussian1dnonstandardswaptionengine.cpp [code] |
file | gaussian1dnonstandardswaptionengine.hpp [code] |
file | gaussian1dswaptionengine.cpp [code] |
file | gaussian1dswaptionengine.hpp [code] |
file | jamshidianswaptionengine.cpp [code] |
file | jamshidianswaptionengine.hpp [code] |
Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054. | |
file | treeswaptionengine.cpp [code] |
file | treeswaptionengine.hpp [code] |
Numerical lattice engine for swaptions. | |