QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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equityfx Directory Reference

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file  andreasenhugelocalvoladapter.cpp [code]
 
file  andreasenhugelocalvoladapter.hpp [code]
 Implements the LocalVolTermStructure interface based on a Andreasen-Huge volatility interpolation.
 
file  andreasenhugevolatilityadapter.cpp [code]
 
file  andreasenhugevolatilityadapter.hpp [code]
 Implements the BlackVolTermStructure interface based on a Andreasen-Huge volatility interpolation.
 
file  andreasenhugevolatilityinterpl.cpp [code]
 
file  andreasenhugevolatilityinterpl.hpp [code]
 Andreasen-Huge local volatility calibration and interpolation.
 
file  blackconstantvol.hpp [code]
 Black constant volatility, no time dependence, no strike dependence.
 
file  blackvariancecurve.cpp [code]
 
file  blackvariancecurve.hpp [code]
 Black volatility curve modelled as variance curve.
 
file  blackvariancesurface.cpp [code]
 
file  blackvariancesurface.hpp [code]
 Black volatility surface modelled as variance surface.
 
file  blackvoltermstructure.cpp [code]
 
file  blackvoltermstructure.hpp [code]
 Black volatility term structure base classes.
 
file  fixedlocalvolsurface.cpp [code]
 
file  fixedlocalvolsurface.hpp [code]
 Local volatility surface based on fixed values plus interpolation.
 
file  gridmodellocalvolsurface.cpp [code]
 
file  gridmodellocalvolsurface.hpp [code]
 Parameterized volatility surface useful for model calibration.
 
file  hestonblackvolsurface.cpp [code]
 
file  hestonblackvolsurface.hpp [code]
 Black volatility surface back by Heston model.
 
file  impliedvoltermstructure.hpp [code]
 Implied Black Vol Term Structure.
 
file  localconstantvol.hpp [code]
 Local constant volatility, no time dependence, no asset dependence.
 
file  localvolcurve.hpp [code]
 Local volatility curve derived from a Black curve.
 
file  localvolsurface.cpp [code]
 
file  localvolsurface.hpp [code]
 Local volatility surface derived from a Black vol surface.
 
file  localvoltermstructure.cpp [code]
 
file  localvoltermstructure.hpp [code]
 Local volatility term structure base class.
 
file  noexceptlocalvolsurface.hpp [code]
 wrapper around Dupire local volatility surface, which does not throw exception if local volatility becomes negative