Directories | |
directory | asian |
directory | barrier |
directory | basket |
directory | bond |
directory | capfloor |
directory | cliquet |
directory | credit |
directory | forward |
directory | inflation |
directory | lookback |
directory | quanto |
directory | swap |
directory | swaption |
directory | vanilla |
Files | |
file | americanpayoffatexpiry.hpp |
Analytical formulae for american exercise with payoff at expiry. | |
file | americanpayoffathit.hpp |
Analytical formulae for american exercise with payoff at hit. | |
file | blackcalculator.hpp |
Black-formula calculator class. | |
file | blackformula.hpp |
Black formula. | |
file | blackscholescalculator.hpp |
Black-Scholes formula calculator class. | |
file | genericmodelengine.hpp |
Generic option engine based on a model. | |
file | greeks.hpp |
default greek calculations | |
file | latticeshortratemodelengine.hpp |
Engine for a short-rate model specialized on a lattice. | |
file | mclongstaffschwartzengine.hpp |
Longstaff Schwartz Monte Carlo engine for early exercise options. | |
file | mcsimulation.hpp |
framework for Monte Carlo engines | |