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