|
| 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.
|
| |
