deltagammaengines.hpp File Reference

Additional builders for engines that return deltas, vegas, gammas, cross-gammas. More...

#include <qle/pricingengines/analyticeuropeanenginedeltagamma.hpp>
#include <qle/pricingengines/discountingcurrencyswapenginedeltagamma.hpp>
#include <qle/pricingengines/discountingfxforwardenginedeltagamma.hpp>
#include <qle/pricingengines/discountingswapenginedeltagamma.hpp>
#include <boost/make_shared.hpp>
#include <ored/portfolio/builders/fxforward.hpp>
#include <ored/portfolio/builders/fxoption.hpp>
#include <ored/portfolio/builders/swap.hpp>
#include <ored/portfolio/builders/vanillaoption.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/utilities/log.hpp>
#include <ql/pricingengines/swap/discountingswapengine.hpp>

Classes
class	SwapEngineBuilderDeltaGamma
	Engine Builder for Single Currency Swaps. More...
class	CurrencySwapEngineBuilderDeltaGamma
	Engine Builder for Cross Currency Swaps. More...
class	EuropeanOptionEngineBuilderDeltaGamma
	Engine Builder for European Options with delta/gamma extension. More...
class	FxEuropeanOptionEngineBuilderDeltaGamma
	Engine Builder for European FX Options with analytical sensitivities. More...
class	EquityEuropeanOptionEngineBuilderDeltaGamma
	Engine Builder for European Equity Options with analytical sensitivities. More...
class	FxForwardEngineBuilderDeltaGamma
	Engine Builder for FX Forwards. More...

Namespaces
	ore
	Serializable Credit Default Swap.
	ore::data

Detailed Description

Additional builders for engines that return deltas, vegas, gammas, cross-gammas.