QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
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 | |