QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | cmsmarket.cpp [code] |
file | cmsmarket.hpp [code] |
set of CMS quotes | |
file | cmsmarketcalibration.cpp [code] |
file | cmsmarketcalibration.hpp [code] |
file | gaussian1dswaptionvolatility.cpp [code] |
file | gaussian1dswaptionvolatility.hpp [code] |
swaption volatility implied by a gaussian 1d model | |
file | interpolatedswaptionvolatilitycube.cpp [code] |
file | interpolatedswaptionvolatilitycube.hpp [code] |
Swaption volatility cube, fit-later-interpolate-early approach. | |
file | sabrswaptionvolatilitycube.hpp [code] |
Swaption volatility cube, fit-early-interpolate-later approach The provided types are SabrSwaptionVolatilityCube using the classic Hagan 2002 Sabr formula NoArbSabrSwaptionVolatilityCube using the No Arbitrage Sabr model (Doust) | |
file | spreadedswaptionvol.cpp [code] |
file | spreadedswaptionvol.hpp [code] |
Spreaded swaption volatility. | |
file | swaptionconstantvol.cpp [code] |
file | swaptionconstantvol.hpp [code] |
Constant swaption volatility. | |
file | swaptionvolcube.cpp [code] |
file | swaptionvolcube.hpp [code] |
Swaption volatility cube. | |
file | swaptionvoldiscrete.cpp [code] |
file | swaptionvoldiscrete.hpp [code] |
Discretized swaption volatility. | |
file | swaptionvolmatrix.cpp [code] |
file | swaptionvolmatrix.hpp [code] |
Swaption at-the-money volatility matrix. | |
file | swaptionvolstructure.cpp [code] |
file | swaptionvolstructure.hpp [code] |
Swaption volatility structure. | |