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

Files

file  cmsspreadcoupon.cpp [code]
 
file  cmsspreadcoupon.hpp [code]
 CMS spread coupon.
 
file  digitalcmsspreadcoupon.cpp [code]
 
file  digitalcmsspreadcoupon.hpp [code]
 Cms-spread-rate coupon with digital call/put option.
 
file  lognormalcmsspreadpricer.cpp [code]
 
file  lognormalcmsspreadpricer.hpp [code]
 cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998
 
file  proxyibor.cpp [code]
 
file  proxyibor.hpp [code]
 IborIndex calculated as proxy of some other IborIndex.
 
file  quantocouponpricer.cpp [code]
 
file  quantocouponpricer.hpp [code]
 quanto-adjusted coupon
 
file  strippedcapflooredcoupon.cpp [code]
 
file  strippedcapflooredcoupon.hpp [code]
 strips the embedded option from cap floored coupons
 
file  swapspreadindex.cpp [code]
 
file  swapspreadindex.hpp [code]
 swap-rate spread indexes