Directories |
Files | |
file | accumulator.hpp |
accumulator wrapper for scripted trade | |
file | ascot.hpp |
Ascot (or Convertible Bond Option) trade data model and serialization. | |
file | asianoption.hpp |
Asian Option data model. | |
file | autocallable_01.hpp |
autocallable_01 wrapper for scripted trade | |
file | barrieroption.hpp |
Barrier Option data model and serialization. | |
file | barrieroptionwrapper.hpp |
Wrapper for option instruments, tracks whether option has been exercised or not. | |
file | basketdata.hpp |
credit basket data model and serialization | |
file | basketoption.hpp |
basket option wrapper for scripted trade | |
file | bond.hpp |
Bond trade data model and serialization. | |
file | bondbasket.hpp |
credit bond basket data model and serialization | |
file | bondoption.hpp |
bond option data model and serialization | |
file | bondposition.hpp |
Bond Position trade data model and serialization. | |
file | bondrepo.hpp |
Bond Repo trade data model and serialization. | |
file | bondutils.hpp |
bond utilities | |
file | capfloor.hpp |
Ibor cap, floor or collar trade data model and serialization. | |
file | cbo.hpp |
collateralized bond obligation data model | |
file | cliquetoption.hpp |
Equity Cliquet Option. | |
file | commodityapo.hpp |
Commodity Average Price Option data model and serialization. | |
file | commoditydigitaloption.hpp |
Commodity digital option representation as call spread. | |
file | commodityforward.hpp |
Commodity forward representation. | |
file | commoditylegbuilder.hpp |
Commodity fixed and floating leg builders. | |
file | commoditylegdata.hpp |
leg data for commodity leg types | |
file | commodityoption.hpp |
Commodity option representation. | |
file | commodityoptionstrip.hpp |
Commodity option strip data model and serialization. | |
file | commodityposition.hpp |
Commodity Position trade data model and serialization. | |
file | commodityswap.hpp |
Commodity Swap data model and serialization. | |
file | commodityswaption.hpp |
Commodity swaption data model and serialization. | |
file | compositeinstrumentwrapper.hpp |
used to store multiple trade wrappers | |
file | compositetrade.hpp |
Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles. | |
file | convertiblebond.hpp |
Convertible Bond trade data model and serialization. | |
file | convertiblebonddata.hpp |
convertible bond data model and serialization | |
file | convertiblebondreferencedata.hpp |
reference data | |
file | creditdefaultswap.hpp |
Ibor cap, floor or collar trade data model and serialization. | |
file | creditdefaultswapdata.hpp |
A class to hold credit default swap data. | |
file | creditdefaultswapoption.hpp |
credit default swap option trade data model and serialization | |
file | creditlinkedswap.hpp |
credit linked swap data model | |
file | crosscurrencyswap.hpp |
Cross Currency Swap data model and serialization. | |
file | doubledigitaloption.hpp |
double digital option wrapper for scripted trade | |
file | durationadjustedcmslegbuilder.hpp |
leg builder for duration adjusted cms coupon legs | |
file | durationadjustedcmslegdata.hpp |
leg data for duration adjusted cms | |
file | enginedata.hpp |
A class to hold pricing engine parameters. | |
file | enginefactory.hpp |
Pricing Engine Factory. | |
file | envelope.hpp |
trade envelope data model and serialization | |
file | equitybarrieroption.hpp |
Equity Barrier Option data model and serialization. | |
file | equityderivative.hpp |
EQ base trade classes. | |
file | equitydigitaloption.hpp |
EQ Digital Option data model and serialization. | |
file | equitydoublebarrieroption.hpp |
Equity Double Barrier Option data model and serialization. | |
file | equitydoubletouchoption.hpp |
EQ Double One-Touch/No-Touch Option data model and serialization. | |
file | equityeuropeanbarrieroption.hpp |
EQ European Barrier Option data model and serialization. | |
file | equityforward.hpp |
Equity Forward data model and serialization. | |
file | equityfuturesoption.hpp |
EQ Futures Option data model and serialization. | |
file | equityfxlegbuilder.hpp |
Equity & FX leg builders. | |
file | equityfxlegdata.hpp |
leg data for equityfx leg types | |
file | equityoption.hpp |
Equity Option data model and serialization. | |
file | equityoptionposition.hpp |
Equity Option Position trade data model and serialization. | |
file | equityposition.hpp |
Equity Position trade data model and serialization. | |
file | equityswap.hpp |
Equity Swap data model and serialization. | |
file | equitytouchoption.hpp |
EQ One-Touch/No-Touch Option data model and serialization. | |
file | europeanoptionbarrier.hpp |
European option with barrier wrapper for scripted trade. | |
file | failedtrade.hpp |
Skeleton trade generated when trade loading/building fails. | |
file | fixingdates.hpp |
Logic for calculating required fixing dates on legs. | |
file | forwardrateagreement.hpp |
ForwardRateAgreement data model and serialization. | |
file | fxaverageforward.hpp |
Fx Average Forward data model and serialization. | |
file | fxbarrieroption.hpp |
FX Barrier Option data model and serialization. | |
file | fxderivative.hpp |
FX base trade classes. | |
file | fxdigitaloption.hpp |
FX Digital Option data model and serialization. | |
file | fxdoublebarrieroption.hpp |
FX Double Barrier Option data model and serialization. | |
file | fxdoubletouchoption.hpp |
FX Double One-Touch/No-Touch Option data model and serialization. | |
file | fxeuropeanbarrieroption.hpp |
FX European Barrier Option data model and serialization. | |
file | fxforward.hpp |
FX Forward data model and serialization. | |
file | fxoption.hpp |
FX Option data model and serialization. | |
file | fxswap.hpp |
FX Swap data model and serialization. | |
file | fxtouchoption.hpp |
FX One-Touch/No-Touch Option data model and serialization. | |
file | genericbarrieroption.hpp |
generic barrier option wrapper for scripted trade | |
file | indexing.hpp |
leg indexing data model and serialization | |
file | inflationswap.hpp |
Cross Currency Swap data model and serialization. | |
file | instrumentwrapper.hpp |
Base class for wrapper of QL instrument, used to store "state" of trade under each scenario. | |
file | knockoutswap.hpp |
knock out swap wrapper for scripted trade | |
file | legbuilders.hpp |
Leg Builders. | |
file | legdata.hpp |
leg data model and serialization | |
file | legdatafactory.hpp |
Leg data factory that can be used to build instances of leg data. | |
file | makenonstandardlegs.hpp |
make functions for non-standard ibor and fixed legs | |
file | multilegoption.hpp |
Multileg Option data model. | |
file | nettingsetdefinition.hpp |
Netting Set Definition - including CSA information where available. | |
file | nettingsetdetails.hpp |
netting set details data model and serialization | |
file | nettingsetmanager.hpp |
Manager class for repository of netting set details. | |
file | optiondata.hpp |
trade option data model and serialization | |
file | optionexercisedata.hpp |
option exercise data model and serialization | |
file | optionpaymentdata.hpp |
option payment data model and serialization | |
file | optionwrapper.hpp |
Wrapper for option instruments, tracks whether option has been exercised or not. | |
file | performanceoption_01.hpp |
performance option wrapper for scripted trade | |
file | portfolio.hpp |
Portfolio class. | |
file | premiumdata.hpp |
premium data | |
file | rainbowoption.hpp |
rainbow option wrapper for scripted trade | |
file | rangebound.hpp |
rangebound data model | |
file | referencedata.hpp |
Reference data model and serialization. | |
file | referencedatafactory.hpp |
Reference data model and serialization. | |
file | riskparticipationagreement.hpp |
risk participation agreement data model and serialization | |
file | schedule.hpp |
trade schedule data model and serialization | |
file | scriptedtrade.hpp |
scripted trade data model | |
file | simmcreditqualifiermapping.hpp |
mapping of SIMM credit qualifiers | |
file | structuredconfigurationerror.hpp |
Class for structured configuration errors. | |
file | structuredconfigurationwarning.hpp |
Class for structured configuration warnings. | |
file | structuredtradeerror.hpp |
Structured Trade Error class. | |
file | structuredtradewarning.hpp |
Classes for structured trade warnings. | |
file | swap.hpp |
Swap trade data model and serialization. | |
file | swaption.hpp |
Swaption data model and serialization. | |
file | tarf.hpp |
tarf wrapper for scripted trade | |
file | tlockdata.hpp |
A class to hold Treasury-Lock data. | |
file | trade.hpp |
base trade data model and serialization | |
file | tradefactory.hpp |
Trade Factory. | |
file | tranche.hpp |
cbo tranche data model and serialization | |
file | trs.hpp |
trs | |
file | trswrapper.hpp |
generic wrapper for trs (bond, convertible bond, equity, ...) | |
file | types.hpp |
payment lag | |
file | underlying.hpp |
underlying data model | |
file | vanillaoption.hpp |
Vanilla Option data model. | |
file | varianceswap.hpp |
variance swap representation | |
file | windowbarrieroption.hpp |
window barrier option - wrapper for scripted trade | |