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