Files | |
| file | averagebmacoupon.hpp |
| coupon paying a weighted average of BMA-index fixings | |
| file | capflooredcoupon.hpp |
| Floating rate coupon with additional cap/floor. | |
| file | capflooredinflationcoupon.hpp |
| caplet and floorlet pricing for YoY inflation coupons | |
| file | cashflows.hpp |
| Cash-flow analysis functions. | |
| file | cashflowvectors.hpp |
| Cash flow vector builders. | |
| file | cmscoupon.hpp |
| CMS coupon. | |
| file | conundrumpricer.hpp |
| CMS-coupon pricer. | |
| file | coupon.hpp |
| Coupon accruing over a fixed period. | |
| file | couponpricer.hpp |
| Coupon pricers. | |
| file | cpicoupon.hpp |
| Coupon paying a zero-inflation index. | |
| file | cpicouponpricer.hpp |
| zero inflation-coupon pricer | |
| file | digitalcmscoupon.hpp |
| Cms-rate coupon with digital call/put option. | |
| file | digitalcoupon.hpp |
| Floating-rate coupon with digital call/put option. | |
| file | digitaliborcoupon.hpp |
| Ibor-rate coupon with digital call/put option. | |
| file | dividend.hpp |
| A stock dividend. | |
| file | duration.hpp |
| Duration type enumeration. | |
| file | fixedratecoupon.hpp |
| Coupon paying a fixed annual rate. | |
| file | floatingratecoupon.hpp |
| Coupon paying a variable index-based rate. | |
| file | iborcoupon.hpp |
| Coupon paying a Libor-type index. | |
| file | indexedcashflow.hpp |
| file | inflationcoupon.hpp |
| file | inflationcouponpricer.hpp |
| inflation-coupon pricers | |
| file | overnightindexedcoupon.hpp |
| coupon paying the compounded daily overnight rate | |
| file | rangeaccrual.hpp |
| range-accrual coupon | |
| file | replication.hpp |
| Sub, Central, or Super replication. | |
| file | simplecashflow.hpp |
| Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals) | |
| file | timebasket.hpp |
| distribution over a number of date ranges | |
| file | yoyinflationcoupon.hpp |
| Coupon paying a yoy inflation index. | |