Directories |
Files | |
file | adjusteddefaultcurve.hpp |
default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h(s) | |
file | aposurface.hpp |
Average future price option surface derived from future option surface. | |
file | averagefuturepricehelper.hpp |
Price helper for average of future settlement prices over a period. | |
file | averageoffpeakpowerhelper.hpp |
Price helper for average of off-peak electricity prices over a period. | |
file | averageoisratehelper.hpp |
Rate helpers to facilitate usage of AverageOIS in bootstrapping. | |
file | averagespotpricehelper.hpp |
Price helper for average of spot price over a period. | |
file | basistwoswaphelper.hpp |
Libor basis swap helper as two swaps. | |
file | blackdeltautilities.hpp |
utilities to calculate strikes from deltas and atm strikes on smiles | |
file | blackinvertedvoltermstructure.hpp |
Black volatility surface that inverts an existing surface. | |
file | blackmonotonevarvoltermstructure.hpp |
Black volatility surface that monotonises the variance in an existing surface. | |
file | blacktriangulationatmvol.hpp |
Black volatility surface that implies an ATM vol based on triangulation. | |
file | blackvariancecurve3.hpp |
Black volatility curve modeled as variance curve. | |
file | blackvariancesurfacemoneyness.hpp |
Black volatility surface based on forward moneyness. | |
file | blackvariancesurfacesparse.hpp |
Black volatility surface modeled as variance surface. | |
file | blackvariancesurfacestddevs.hpp |
Black volatility surface modeled as variance surface. | |
file | blackvolconstantspread.hpp |
surface that combines an ATM curve and vol spreads from a surface | |
file | blackvolsurfaceabsolute.hpp |
Black volatility surface based on absolute quotes. | |
file | blackvolsurfacebfrr.hpp |
Black volatility surface based on bf/rr quotes. | |
file | blackvolsurfacedelta.hpp |
Black volatility surface based on delta. | |
file | blackvolsurfaceproxy.hpp |
Wrapper class for a BlackVolTermStructure when using proxy vols. | |
file | blackvolsurfacewithatm.hpp |
Wrapper class for a BlackVolTermStructure that easily exposes ATM vols. | |
file | bondyieldshiftedcurvetermstructure.hpp |
term structure provided yield curve shifted by bond spread | |
file | brlcdiratehelper.hpp |
Rate helper based on standard BRL CDI swap. | |
file | capfloorhelper.hpp |
Helper for bootstrapping optionlet volatilities from cap floor volatilities. | |
file | capfloortermvolcurve.hpp |
Cap floor at-the-money term volatility curve. | |
file | capfloortermvolsurface.hpp |
Cap/floor smile volatility surface. | |
file | commodityaveragebasispricecurve.hpp |
A commodity price curve created from an averaged base curve and a collection of basis quotes. | |
file | commoditybasispricecurve.hpp |
A commodity price curve created from a base price curve and a collection of basis quotes. | |
file | commoditybasispricecurvewrapper.hpp |
A commodity price curve created from a generic price curve and a basis curve. | |
file | commoditybasispricetermstructure.hpp |
An interface for a commodity price curve created from a base price curve and a collection of basis quotes. | |
file | correlationtermstructure.hpp |
Term structure of correlations. | |
file | creditcurve.hpp |
wrapper for default curves, adding (index) reference data | |
file | creditvolcurve.hpp |
credit vol curve | |
file | crossccybasismtmresetswaphelper.hpp |
Cross currency basis swap helper with MTM reset. | |
file | crossccybasisswaphelper.hpp |
Cross currency basis swap helper. | |
file | crossccyfixfloatswaphelper.hpp |
Cross currency fixed vs. float swap helper. | |
file | crosscurrencypricetermstructure.hpp |
Price term structure in a given currency derived from a price term structure in another currency. | |
file | datedstrippedoptionlet.hpp |
Stripped optionlet surface with fixed reference date. | |
file | datedstrippedoptionletadapter.hpp |
StrippedOptionlet Adapter. | |
file | datedstrippedoptionletbase.hpp |
abstract class for optionlet surface with fixed reference date | |
file | discountratiomodifiedcurve.hpp |
discount curve modified by the ratio of two other discount curves | |
file | dynamicblackvoltermstructure.hpp |
dynamic black volatility term structure | |
file | dynamiccpivolatilitystructure.hpp |
dynamic zero inflation volatility structure | |
file | dynamicoptionletvolatilitystructure.hpp |
dynamic optionlet volatility structure | |
file | dynamicstype.hpp |
dynamics type definitions | |
file | dynamicswaptionvolmatrix.hpp |
dynamic swaption volatility matrix | |
file | dynamicyoyoptionletvolatilitystructure.hpp |
dynamic yoy inflation optionlet volatility structure | |
file | eqcommoptionsurfacestripper.hpp |
Imply equity or commodity volatility surface from put/call price surfaces. | |
file | equityforwardcurvestripper.hpp |
Imply equity forwards from option put/call parity. | |
file | flatcorrelation.hpp |
Term structure of flat correlations. | |
file | futurepricehelper.hpp |
Future price helper. | |
file | fxblackvolsurface.hpp |
FX Black volatility surface that incorporates an FxSmile. | |
file | fxsmilesection.hpp |
FX smile section assuming a strike/volatility space. | |
file | fxvannavolgasmilesection.hpp |
FX smile section assuming a strike/volatility space using vanna volga method. | |
file | generatordefaulttermstructure.hpp |
Default curve implied from a single generator matrix. | |
file | hazardspreadeddefaulttermstructure.hpp |
adds a constant hazard rate spread to a default term structure | |
file | iborfallbackcurve.hpp |
projection curve for ibor fallback indices | |
file | immfraratehelper.hpp |
IMM FRA rate helper. | |
file | implieddefaulttermstructure.hpp |
implied default term structure | |
file | interpolatedcorrelationcurve.hpp |
interpolated correlation term structure | |
file | interpolatedcpivolatilitysurface.hpp |
zero inflation volatility structure interpolated on a expiry/strike matrix of quotes | |
file | interpolateddiscountcurve.hpp |
interpolated discount term structure | |
file | interpolateddiscountcurve2.hpp |
interpolated discount term structure | |
file | interpolatedhazardratecurve.hpp |
interpolated hazard-rate term structure (with the option to disable the negative rates check) | |
file | interpolatedsurvivalprobabilitycurve.hpp |
interpolated survival-probability term structure (with the option to disable the check for negative hazard rates) | |
file | interpolatedyoycapfloortermpricesurface.hpp |
Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTermPriceSurface to allow choice of termstructure directly from YoY swap quotes or from atm swap quotes stripped from cap/floor price surface. | |
file | iterativebootstrap.hpp |
Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes. | |
file | kinterpolatedyoyoptionletvolatilitysurface.hpp |
fixed version of ql class (see patch 1,2,3 in the comments below) | |
file | multisectiondefaultcurve.hpp |
default curve with an instantaneous hazard rate given by a vector of underlying curves in specific date ranges | |
file | oibasisswaphelper.hpp |
Overnight Indexed vs Overnight Indexed Basis Swap rate helpers. | |
file | oiccbasisswaphelper.hpp |
Overnight Indexed Cross Currency Basis Swap helpers. | |
file | oiscapfloorhelper.hpp |
Helper for bootstrapping optionlet volatilties from ois cap floor volatilities. | |
file | oisratehelper.hpp |
Overnight Indexed Swap (aka OIS) rate helpers. | |
file | optionletcurve.hpp |
Interpolated one-dimensional curve of optionlet volatilities. | |
file | optionletstripper.hpp |
optionlet (caplet/floorlet) volatility stripper | |
file | optionletstripper1.hpp |
Optionlet (caplet/floorlet) volatility strippers. | |
file | optionletstripper2.hpp |
ATM optionlet (caplet/floorlet) volatility stripper. | |
file | optionletstripperwithatm.hpp |
Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities. | |
file | optionpricesurface.hpp |
Surface to store option prices. | |
file | piecewiseatmoptionletcurve.hpp |
Create optionlet volatility structure from at-the-money cap floor term volatility curve. | |
file | piecewiseoptionletcurve.hpp |
One-dimensional curve of bootstrapped optionlet volatilities. | |
file | piecewiseoptionletstripper.hpp |
Strip optionlet volatility surface from cap floor volatility term surface. | |
file | piecewisepricecurve.hpp |
Piecewise interpolated price term structure. | |
file | pricecurve.hpp |
Interpolated price curve. | |
file | pricetermstructure.hpp |
Term structure of prices. | |
file | pricetermstructureadapter.hpp |
PriceTermStructure adapter. | |
file | probabilitytraits.hpp |
default probability bootstrap traits for QuantExt | |
file | proxyoptionletvolatility.hpp |
moneyness-adjusted optionlet vol for normal vols | |
file | proxyswaptionvolatility.hpp |
moneyness-adjusted swaption vol for normal vols | |
file | spreadedblackvolatilitycurve.hpp |
Spreaded Black volatility curve. | |
file | spreadedblackvolatilitysurfacemoneyness.hpp |
Spreaded Black volatility surface based on moneyness. | |
file | spreadedcorrelationcurve.hpp |
Spreaded correlation curve. | |
file | spreadeddiscountcurve.hpp |
spreaded discount term structure | |
file | spreadedinflationcurve.hpp |
spreaded inflation term structure | |
file | spreadedoptionletvolatility.hpp |
Adds floor to QuantLib::SpreadedOptionletVolatility. | |
file | spreadedoptionletvolatility2.hpp |
Optionlet volatility with overlayed bilinearly interpolated spread surface. | |
file | spreadedpricetermstructure.hpp |
Spreaded Term structure of prices. | |
file | spreadedsmilesection.hpp |
Adds floor to QuantLib::SmileSection. | |
file | spreadedsmilesection2.hpp |
smile section with linear interpolated vol spreads | |
file | spreadedsurvivalprobabilitytermstructure.hpp |
spreaded default term structure | |
file | spreadedswaptionvolatility.hpp |
swaption cube defined via atm vol spreads over another cube | |
file | staticallycorrectedyieldtermstructure.hpp |
Statically corrected yield term structure. | |
file | strippedcpivolatilitystructure.hpp |
zero inflation volatility structure implied from a cpi cap/floor price surface | |
file | strippedoptionletadapter.hpp |
Convert a StrippedOptionletBase in to an OptionletVolatilityStructure. | |
file | strippedoptionletadapter2.hpp |
StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation) | |
file | strippedyoyinflationoptionletvol.hpp |
Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat extrapolation) | |
file | subperiodsswaphelper.hpp |
Single currency sub periods swap helper. | |
file | survivalprobabilitycurve.hpp |
interpolated survival probability term structure | |
file | swaptionvolatilityconverter.hpp |
Convert swaption volatilities from one type to another. | |
file | swaptionvolconstantspread.hpp |
swaption cube that combines an ATM matrix and vol spreads from a cube | |
file | swaptionvolcube2.hpp |
Swaption volatility cube, fit-later-interpolate-early approach. | |
file | swaptionvolcubewithatm.hpp |
Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols. | |
file | tenorbasisswaphelper.hpp |
Single currency tenor basis swap helper. | |
file | terminterpolateddefaultcurve.hpp |
default curve interpolating between two term curves | |
file | weightedyieldtermstructure.hpp |
yield term structure given as a weighted average of yield term structures | |
file | yieldplusdefaultyieldtermstructure.hpp |
yield term structure given as a yield ts plus weighted sum of default term structures | |
file | yoyinflationcurveobservermoving.hpp |
Observable inflation term structure with floating reference date based on the interpolation of zero rate quotes. | |
file | yoyinflationcurveobserverstatic.hpp |
Observable inflation term structure with fixed reference date based on the interpolation of yoy rate quotes. | |
file | yoyinflationoptionletvolstripper.hpp |
YoY Inflation Optionlet (caplet/floorlet) volatility strippers. | |
file | zeroinflationcurveobservermoving.hpp |
Observable inflation term structure based on the interpolation of zero rate quotes, but with floating reference date. | |
file | zeroinflationcurveobserverstatic.hpp |
Observable inflation term structure based on the interpolation of zero rate quotes. | |