Files | |
file | ascot.hpp |
Ascot class. | |
file | averageois.hpp |
Swap of arithmetic average overnight index against fixed. | |
file | bondbasket.hpp |
Basket of defaultable bonds. | |
file | bondoption.hpp |
bond option class | |
file | bondrepo.hpp |
bond repo instrument | |
file | brlcdiswap.hpp |
Standard BRL CDI swap. | |
file | cashflowresults.hpp |
class holding cashflow-related results | |
file | cashsettledeuropeanoption.hpp |
cash settled european vanilla option. | |
file | cbo.hpp |
collateralized bond obligation instrument | |
file | cdsoption.hpp |
CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines. | |
file | cliquetoption.hpp |
Cliquet option. | |
file | commodityapo.hpp |
Swaption class. | |
file | commodityforward.hpp |
Instrument representing a commodity forward contract. | |
file | commodityspreadoption.hpp |
Option class. | |
file | convertiblebond.hpp |
convertible bond class | |
file | convertiblebond2.hpp |
file | creditlinkedswap.hpp |
credit linked swap instrument | |
file | crossccybasismtmresetswap.hpp |
Cross currency basis swap instrument with MTM reset. | |
file | crossccybasisswap.hpp |
Cross currency basis swap instrument. | |
file | crossccyfixfloatmtmresetswap.hpp |
Cross currency fix float swap instrument with MTM reset. | |
file | crossccyfixfloatswap.hpp |
Cross currency fixed vs float swap instrument. | |
file | crossccyswap.hpp |
Swap instrument with legs involving two currencies. | |
file | currencyswap.hpp |
Interest rate swap with extended interface. | |
file | deposit.hpp |
deposit instrument | |
file | doubleoibasisswap.hpp |
Overnight index swap paying compounded overnight vs. another compounded overnight. | |
file | equityforward.hpp |
equityforward instrument | |
file | fixedbmaswap.hpp |
fixed vs averaged bma swap | |
file | forwardbond.hpp |
Forward bond class. | |
file | fxforward.hpp |
defaultable fxforward instrument | |
file | genericswaption.hpp |
Swaption class. | |
file | impliedbondspread.hpp |
utilities for implied bond credit spread calculation | |
file | indexcdsoption.hpp |
Index CDS option instrument. | |
file | indexcreditdefaultswap.hpp |
Index Credit default swap. | |
file | makeaverageois.hpp |
Helper class to instantiate standard average ON indexed swaps. | |
file | makecds.hpp |
Helper class to instantiate standard market cds. | |
file | makeoiscapfloor.hpp |
helper class to instantiate standard market OIS cap / floors | |
file | multiccycompositeinstrument.hpp |
bond option class | |
file | multilegoption.hpp |
multi leg option instrument | |
file | nullinstrument.hpp |
A null instrument that always returns an NPV of 0. | |
file | oibasisswap.hpp |
Overnight index swap paying compounded overnight vs. float. | |
file | oiccbasisswap.hpp |
Cross currency overnight index swap paying compounded overnight vs. float. | |
file | payment.hpp |
payment instrument | |
file | rebatedexercise.hpp |
more flexible version of ql class | |
file | riskparticipationagreement.hpp |
RPA instrument. | |
file | riskparticipationagreement_tlock.hpp |
RPA instrument for tlock underlyings. | |
file | subperiodsswap.hpp |
Single currency sub periods swap instrument. | |
file | syntheticcdo.hpp |
Synthetic Collateralized Debt Obligation and pricing engines. | |
file | tenorbasisswap.hpp |
Single currency tenor basis swap instrument. | |
file | vanillaforwardoption.hpp |
Vanilla forward option on a single asset. | |
file | varianceswap.hpp |
Variance swap. | |