Directories | |
directory | bonds |
Files | |
file | asianoption.hpp |
Asian option on a single asset. | |
file | assetswap.hpp |
Bullet bond vs Libor swap. | |
file | averagetype.hpp |
Averaging algorithm enumeration. | |
file | barrieroption.hpp |
Barrier option on a single asset. | |
file | barriertype.hpp |
Barrier type. | |
file | basketoption.hpp |
Basket option on a number of assets. | |
file | bmaswap.hpp |
swap paying Libor against BMA coupons | |
file | bond.hpp |
concrete bond class | |
file | callabilityschedule.hpp |
Schedule of put/call dates. | |
file | capfloor.hpp |
cap and floor class | |
file | claim.hpp |
Classes for default-event claims. | |
file | cliquetoption.hpp |
Cliquet option. | |
file | compositeinstrument.hpp |
Composite instrument class. | |
file | cpicapfloor.hpp |
zero-inflation-indexed-ratio-with-base option | |
file | cpiswap.hpp |
zero-inflation-indexed-ratio-with-base swap | |
file | creditdefaultswap.hpp |
Credit default swap. | |
file | dividendbarrieroption.hpp |
Barrier option on a single asset with discrete dividends. | |
file | dividendschedule.hpp |
Schedule of dividend dates. | |
file | dividendvanillaoption.hpp |
Vanilla option on a single asset with discrete dividends. | |
file | europeanoption.hpp |
European option on a single asset. | |
file | fixedratebondforward.hpp |
forward contract on a fixed-rate bond | |
file | forward.hpp |
Base forward class. | |
file | forwardrateagreement.hpp |
forward rate agreement | |
file | forwardvanillaoption.hpp |
Forward version of a vanilla option. | |
file | impliedvolatility.hpp |
Utilities for implied-volatility calculation. | |
file | inflationcapfloor.hpp |
file | lookbackoption.hpp |
Lookback option on a single asset. | |
file | makecapfloor.hpp |
Helper class to instantiate standard market cap/floor. | |
file | makecms.hpp |
Helper class to instantiate standard market CMS. | |
file | makeois.hpp |
Helper class to instantiate overnight indexed swaps. | |
file | makeswaption.hpp |
Helper class to instantiate standard market swaption. | |
file | makevanillaswap.hpp |
Helper class to instantiate standard market swaps. | |
file | makeyoyinflationcapfloor.hpp |
file | multiassetoption.hpp |
Option on multiple assets. | |
file | oneassetoption.hpp |
Option on a single asset. | |
file | overnightindexedswap.hpp |
Overnight index swap paying compounded overnight vs. fixed. | |
file | payoffs.hpp |
Payoffs for various options. | |
file | quantobarrieroption.hpp |
Quanto version of a barrier option. | |
file | quantoforwardvanillaoption.hpp |
Quanto version of a forward vanilla option. | |
file | quantovanillaoption.hpp |
Quanto version of a vanilla option. | |
file | stickyratchet.hpp |
Payoffs for double nested options of sticky or ratchet type. | |
file | stock.hpp |
concrete stock class | |
file | swap.hpp |
Interest rate swap. | |
file | swaption.hpp |
Swaption class. | |
file | vanillaoption.hpp |
Vanilla option on a single asset. | |
file | vanillastorageoption.hpp |
vanilla storage option class | |
file | vanillaswap.hpp |
Simple fixed-rate vs Libor swap. | |
file | vanillaswingoption.hpp |
vanilla swing option class | |
file | varianceswap.hpp |
Variance swap. | |
file | yearonyearinflationswap.hpp |
Year-on-year inflation-indexed swap. | |
file | zerocouponinflationswap.hpp |
Zero-coupon inflation-indexed swap. | |