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file | atmadjustedsmilesection.hpp |
| smile section that allows for alternate specification of atm level and recentering the source volatility accordingly
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file | atmsmilesection.hpp |
| smile section that allows for explicit / alternate specification of atm level
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file | basketgeneratingengine.hpp |
| base class for pricing engines capable of generating a calibration basket
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file | floatfloatswap.hpp |
| swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves
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file | floatfloatswaption.hpp |
| floatfloatswaption class
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file | gaussian1dcapfloorengine.hpp |
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file | gaussian1dfloatfloatswaptionengine.hpp |
| float float swaption engine for one factor interest rate models
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file | gaussian1djamshidianswaptionengine.hpp |
| Swaption engine using Jamshidian's decomposition.
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file | gaussian1dmodel.hpp |
| basic interface for one factor interest rate models
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file | gaussian1dnonstandardswaptionengine.hpp |
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file | gaussian1dswaptionengine.hpp |
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file | gsr.hpp |
| GSR 1 factor model.
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file | gsrprocess.hpp |
| GSR model process with piecewise volatilities and mean reversions, the dynamic is expressed in some T-forward measure. You may provide a single value for the mean reversion, then it is assumed to be constant. For many grid points (like 20 and above) evaluation may get slow. A caching is therefore provided. By that the results become inconsistent as soon as the parameters change. In that case flushCache() must be called. To ensure correct calibration this is done in the generateArguments() of the GSR model.
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file | kahalesmilesection.hpp |
| Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all.
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file | markovfunctional.hpp |
| Markov Functional 1 Factor Model.
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file | mfstateprocess.hpp |
| State process for markov functional model.
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file | nonstandardswap.hpp |
| vanilla swap but possibly with period dependent nominal and strike
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file | nonstandardswaption.hpp |
| nonstandard swap option class
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file | smilesectionutils.hpp |
| Additional utilities for smile sections.
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