instruments Directory Reference

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.