Reference manual - version ored_version
| ▼ ored | |
| ► configuration | |
| basecorrelationcurveconfig.hpp | Base Correlation curve configuration classes |
| bootstrapconfig.hpp | Class for holding bootstrap configurations |
| capfloorvolcurveconfig.hpp | Cap floor volatility curve configuration class |
| cdsvolcurveconfig.hpp | CDS and index CDS volatility configuration |
| commoditycurveconfig.hpp | Commodity curve configuration class |
| commodityvolcurveconfig.hpp | Commodity volatility curve configuration |
| conventions.hpp | Currency and instrument specific conventions/defaults |
| curveconfig.hpp | Base curve configuration classes |
| curveconfigurations.hpp | Curve configuration repository |
| defaultcurveconfig.hpp | Default curve configuration classes |
| equitycurveconfig.hpp | Equity curve configuration classes |
| equityvolcurveconfig.hpp | Equity volatility curve configuration classes |
| fxspotconfig.hpp | Security spread configuration classes |
| fxvolcurveconfig.hpp | FX volatility curve configuration classes |
| genericyieldvolcurveconfig.hpp | Swaption volatility curve configuration classes |
| iborfallbackconfig.hpp | Ibor fallback configuration |
| inflationcapfloorvolcurveconfig.hpp | Inflation CapFloor volatility curve configuration class |
| inflationcurveconfig.hpp | Inflation curve config |
| onedimsolverconfig.hpp | Class for holding 1-D solver configuration |
| reportconfig.hpp | Md report and arbitrage check configuration |
| securityconfig.hpp | Security spread configuration classes |
| swaptionvolcurveconfig.hpp | Swaption volatility curve configuration classes |
| yieldcurveconfig.hpp | Yield curve configuration classes |
| yieldvolcurveconfig.hpp | Yield volatility curve configuration classes |
| ► marketdata | |
| basecorrelationcurve.hpp | Wrapper class for building base correlation structures |
| capfloorvolcurve.hpp | Build optionlet volatility structures from cap floor configurations |
| cdsvolcurve.hpp | Class for building cds volatility structures |
| clonedloader.hpp | Loader providing cloned data from another loader |
| commoditycurve.hpp | Class for building a commodity price curve |
| commodityvolcurve.hpp | Wrapper class for building commodity volatility structures |
| compositeloader.hpp | Loader that is a composite of two loaders |
| csvloader.hpp | Market Datum Loader Implementation |
| curvespec.hpp | Curve requirements specification |
| curvespecparser.hpp | CurveSpec parser |
| defaultcurve.hpp | Wrapper class for building Default curves |
| dependencygraph.hpp | DependencyGraph class to establish build order of marketObjects and its dependency |
| dummymarket.hpp | Dummy Market class returning empty handles, used in tests |
| equitycurve.hpp | Wrapper class for building Equity curves |
| equityvolcurve.hpp | Wrapper class for building Equity volatility structures |
| expiry.hpp | Classes for representing an expiry for use in market quotes |
| fittedbondcurvehelpermarket.hpp | A market implementation providing curves for setting up bond rate helpers |
| fxtriangulation.hpp | Intelligent FX price repository |
| fxvolcurve.hpp | Wrapper class for building FX volatility structures |
| inflationcapfloorvolcurve.hpp | Wrapper class for building YoY Inflation CapFloor volatility structures |
| inflationcurve.hpp | Inflation curve class |
| loader.hpp | Market Datum Loader Interface |
| market.hpp | Base Market class |
| marketdatum.hpp | Market data representation |
| marketdatumparser.hpp | Market Datum parser |
| marketimpl.hpp | An implementation of the Market class that stores the required objects in maps |
| security.hpp | A wrapper class for holding Bond Spread quotes |
| strike.hpp | Classes for representing a strike using various conventions |
| structuredcurveerror.hpp | Error for market data or curve |
| swaptionvolcurve.hpp | Wrapper class for building Swaption volatility structures |
| todaysmarket.hpp | An concrete implementation of the Market class that loads todays market and builds the required curves |
| todaysmarketcalibrationinfo.hpp | Container holding information on calibration results during the t0 market build |
| todaysmarketparameters.hpp | A class to hold todays market configuration(s) |
| wrappedmarket.hpp | Wrapped market |
| yieldcurve.hpp | Wrapper class for QuantLib term structures |
| yieldvolcurve.hpp | Wrapper class for building yield volatility structures |
| ► model | |
| ► calibrationinstruments | |
| cpicapfloor.hpp | Class for holding details of a zero coupon CPI cap floor calibration instrument |
| yoycapfloor.hpp | Class for holding details of a year on year inflation cap floor calibration instrument |
| yoyswap.hpp | Class for holding details of a year on year inflation swap calibration instrument |
| ► inflation | |
| infdkbuilder.hpp | Builder for a Dodgson-Kainth inflation model component |
| infdkdata.hpp | Dodgson Kainth inflation model component data for the cross asset model |
| infjybuilder.hpp | Builder for a Jarrow Yildrim inflation model component |
| infjydata.hpp | Jarrow Yildirim inflation model component data for the cross asset model |
| inflationmodeldata.hpp | Base class for holding inflation model data |
| blackscholesmodelbuilder.hpp | Builder for an array of black scholes processes |
| blackscholesmodelbuilderbase.hpp | Builder for an array of black scholes processes |
| calibrationbasket.hpp | Class for holding details of the calibration instruments for a model |
| calibrationconfiguration.hpp | Class for holding calibration configuration details |
| calibrationinstrumentfactory.hpp | Factory for making calibration instruments |
| calibrationpointcache.hpp | Cache for relevant points on curve / vol surfaces |
| commodityschwartzmodelbuilder.hpp | Builder for a Lognormal COM model component |
| commodityschwartzmodeldata.hpp | COM component data for the cross asset model |
| crcirbuilder.hpp | Build an cir model |
| crcirdata.hpp | CIR credit model data |
| crlgmdata.hpp | CR component data for the cross asset model |
| crossassetmodelbuilder.hpp | Build a cross asset model |
| crossassetmodeldata.hpp | Cross asset model data |
| eqbsbuilder.hpp | Builder for a Lognormal EQ model component |
| eqbsdata.hpp | EQ component data for the cross asset model |
| fxbsbuilder.hpp | Builder for a Lognormal FX model component |
| fxbsdata.hpp | FX component data for the cross asset model |
| hwbuilder.hpp | Build a hw model |
| irhwmodeldata.hpp | Hull White model data |
| irlgmdata.hpp | IR component data for the cross asset model |
| irmodeldata.hpp | Generic interest rate model data |
| lgmbuilder.hpp | Build an lgm model |
| lgmdata.hpp | Linear Gauss Markov model data |
| localvolmodelbuilder.hpp | Builder for an array of local vol processes |
| modeldata.hpp | Base class for holding model data |
| modelparameter.hpp | Class for holding model parameter data |
| structuredmodelerror.hpp | Error for model calibration / building |
| utilities.hpp | Shared utilities for model building and calibration |
| ► portfolio | |
| ► builders | |
| ascot.hpp | |
| asianoption.hpp | Abstract engine builders for European Asian Options |
| bond.hpp | Builder that returns an engine to price a bond instrument |
| bondoption.hpp | Engine builder for bond option |
| bondrepo.hpp | |
| cachingenginebuilder.hpp | Abstract template engine builder class |
| capfloor.hpp | Builder that returns an engine to price a cap or floor on IBOR instrument |
| capflooredaveragebmacouponleg.hpp | Builder that returns an engine to price capped floored avg BMA legs |
| capfloorediborleg.hpp | Builder that returns an engine to price capped floored ibor legs |
| capflooredovernightindexedcouponleg.hpp | Builder that returns an engine to price capped floored ibor legs |
| capflooredyoyleg.hpp | Builder that returns an engine to price capped floored yoy inflation legs |
| cbo.hpp | |
| cdo.hpp | Mid point CDO engines cached by currency |
| cliquetoption.hpp | Engine builder for cliquet options |
| cms.hpp | Builder that returns an engine to price capped floored ibor legs |
| cmsspread.hpp | Builder that returns a cms spread coupon pricer |
| commodityapo.hpp | Engine builder for commodity average price options |
| commodityapomodelbuilder.hpp | Model builder for commodityapos |
| commodityasianoption.hpp | Engine builder for commodity Asian options |
| commodityforward.hpp | Engine builder for commodity forward |
| commodityoption.hpp | Engine builder for commodity options |
| commodityswap.hpp | Engine builder for commodity swaps |
| commodityswaption.hpp | Engine builder for commodity swaptions |
| convertiblebond.hpp | |
| cpicapfloor.hpp | Builder that returns an engine to price a CPI cap or floor |
| creditdefaultswap.hpp | Builder that returns an engine to price a credit default swap |
| creditdefaultswapoption.hpp | Builder that returns an engine to price a credit default swap option |
| durationadjustedcms.hpp | Coupon pricer builder for duration adjusted cms coupons |
| equityasianoption.hpp | Engine builder for equity Asian options |
| equitybarrieroption.hpp | |
| equitycompositeoption.hpp | Engine builder for equity composite options |
| equitydigitaloption.hpp | |
| equitydoublebarrieroption.hpp | |
| equitydoubletouchoption.hpp | |
| equityforward.hpp | Builder that returns an engine to price an equity forward |
| equityfuturesoption.hpp | Engine builder for equity futures options |
| equityoption.hpp | Engine builder for equity options |
| equitytouchoption.hpp | |
| forwardbond.hpp | Engine builder for forward bonds |
| fxasianoption.hpp | Engine builder for fx Asian options |
| fxdigitaloption.hpp | |
| fxdoublebarrieroption.hpp | |
| fxdoubletouchoption.hpp | |
| fxforward.hpp | Engine builder for FX Forwards |
| fxoption.hpp | Engine builder for FX Options |
| fxtouchoption.hpp | |
| indexcreditdefaultswap.hpp | |
| multilegoption.hpp | Multi leg option engine builder |
| quantoequityoption.hpp | Engine builder for quanto equity options |
| quantovanillaoption.hpp | Abstract engine builder for Quanto European Options |
| riskparticipationagreement.hpp | |
| swap.hpp | Engine builder for Swaps |
| vanillaoption.hpp | Abstract engine builders for European and American Options |
| varianceswap.hpp | Variance swap engine builder |
| yoycapfloor.hpp | Engine builder for year-on-year inflation caps/floors |
| accumulator.hpp | Accumulator wrapper for scripted trade |
| ascot.hpp | Ascot (or Convertible Bond Option) trade data model and serialization |
| asianoption.hpp | Asian Option data model |
| autocallable_01.hpp | Autocallable_01 wrapper for scripted trade |
| barrieroption.hpp | Barrier Option data model and serialization |
| barrieroptionwrapper.hpp | Wrapper for option instruments, tracks whether option has been exercised or not |
| basketdata.hpp | Credit basket data model and serialization |
| basketoption.hpp | Basket option wrapper for scripted trade |
| bond.hpp | Bond trade data model and serialization |
| bondbasket.hpp | Credit bond basket data model and serialization |
| bondoption.hpp | Bond option data model and serialization |
| bondposition.hpp | Bond Position trade data model and serialization |
| bondrepo.hpp | Bond Repo trade data model and serialization |
| bondutils.hpp | Bond utilities |
| capfloor.hpp | Ibor cap, floor or collar trade data model and serialization |
| cbo.hpp | Collateralized bond obligation data model |
| cliquetoption.hpp | Equity Cliquet Option |
| commodityapo.hpp | Commodity Average Price Option data model and serialization |
| commoditydigitaloption.hpp | Commodity digital option representation as call spread |
| commodityforward.hpp | Commodity forward representation |
| commoditylegbuilder.hpp | Commodity fixed and floating leg builders |
| commoditylegdata.hpp | Leg data for commodity leg types |
| commodityoption.hpp | Commodity option representation |
| commodityoptionstrip.hpp | Commodity option strip data model and serialization |
| commodityposition.hpp | Commodity Position trade data model and serialization |
| commodityswap.hpp | Commodity Swap data model and serialization |
| commodityswaption.hpp | Commodity swaption data model and serialization |
| compositeinstrumentwrapper.hpp | Used to store multiple trade wrappers |
| compositetrade.hpp | Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles |
| convertiblebond.hpp | Convertible Bond trade data model and serialization |
| convertiblebonddata.hpp | Convertible bond data model and serialization |
| convertiblebondreferencedata.hpp | Reference data |
| creditdefaultswap.hpp | Ibor cap, floor or collar trade data model and serialization |
| creditdefaultswapdata.hpp | A class to hold credit default swap data |
| creditdefaultswapoption.hpp | Credit default swap option trade data model and serialization |
| creditlinkedswap.hpp | Credit linked swap data model |
| crosscurrencyswap.hpp | Cross Currency Swap data model and serialization |
| doubledigitaloption.hpp | Double digital option wrapper for scripted trade |
| durationadjustedcmslegbuilder.hpp | Leg builder for duration adjusted cms coupon legs |
| durationadjustedcmslegdata.hpp | Leg data for duration adjusted cms |
| enginedata.hpp | A class to hold pricing engine parameters |
| enginefactory.hpp | Pricing Engine Factory |
| envelope.hpp | Trade envelope data model and serialization |
| equitybarrieroption.hpp | Equity Barrier Option data model and serialization |
| equityderivative.hpp | EQ base trade classes |
| equitydigitaloption.hpp | EQ Digital Option data model and serialization |
| equitydoublebarrieroption.hpp | Equity Double Barrier Option data model and serialization |
| equitydoubletouchoption.hpp | EQ Double One-Touch/No-Touch Option data model and serialization |
| equityeuropeanbarrieroption.hpp | EQ European Barrier Option data model and serialization |
| equityforward.hpp | Equity Forward data model and serialization |
| equityfuturesoption.hpp | EQ Futures Option data model and serialization |
| equityfxlegbuilder.hpp | Equity & FX leg builders |
| equityfxlegdata.hpp | Leg data for equityfx leg types |
| equityoption.hpp | Equity Option data model and serialization |
| equityoptionposition.hpp | Equity Option Position trade data model and serialization |
| equityposition.hpp | Equity Position trade data model and serialization |
| equityswap.hpp | Equity Swap data model and serialization |
| equitytouchoption.hpp | EQ One-Touch/No-Touch Option data model and serialization |
| europeanoptionbarrier.hpp | European option with barrier wrapper for scripted trade |
| failedtrade.hpp | Skeleton trade generated when trade loading/building fails |
| fixingdates.hpp | Logic for calculating required fixing dates on legs |
| forwardrateagreement.hpp | ForwardRateAgreement data model and serialization |
| fxaverageforward.hpp | Fx Average Forward data model and serialization |
| fxbarrieroption.hpp | FX Barrier Option data model and serialization |
| fxderivative.hpp | FX base trade classes |
| fxdigitaloption.hpp | FX Digital Option data model and serialization |
| fxdoublebarrieroption.hpp | FX Double Barrier Option data model and serialization |
| fxdoubletouchoption.hpp | FX Double One-Touch/No-Touch Option data model and serialization |
| fxeuropeanbarrieroption.hpp | FX European Barrier Option data model and serialization |
| fxforward.hpp | FX Forward data model and serialization |
| fxoption.hpp | FX Option data model and serialization |
| fxswap.hpp | FX Swap data model and serialization |
| fxtouchoption.hpp | FX One-Touch/No-Touch Option data model and serialization |
| genericbarrieroption.hpp | Generic barrier option wrapper for scripted trade |
| indexing.hpp | Leg indexing data model and serialization |
| inflationswap.hpp | Cross Currency Swap data model and serialization |
| instrumentwrapper.hpp | Base class for wrapper of QL instrument, used to store "state" of trade under each scenario |
| knockoutswap.hpp | Knock out swap wrapper for scripted trade |
| legbuilders.hpp | Leg Builders |
| legdata.hpp | Leg data model and serialization |
| legdatafactory.hpp | Leg data factory that can be used to build instances of leg data |
| makenonstandardlegs.hpp | Make functions for non-standard ibor and fixed legs |
| multilegoption.hpp | Multileg Option data model |
| nettingsetdefinition.hpp | Netting Set Definition - including CSA information where available |
| nettingsetdetails.hpp | Netting set details data model and serialization |
| nettingsetmanager.hpp | Manager class for repository of netting set details |
| optiondata.hpp | Trade option data model and serialization |
| optionexercisedata.hpp | Option exercise data model and serialization |
| optionpaymentdata.hpp | Option payment data model and serialization |
| optionwrapper.hpp | Wrapper for option instruments, tracks whether option has been exercised or not |
| performanceoption_01.hpp | Performance option wrapper for scripted trade |
| portfolio.hpp | Portfolio class |
| premiumdata.hpp | Premium data |
| rainbowoption.hpp | Rainbow option wrapper for scripted trade |
| rangebound.hpp | Rangebound data model |
| referencedata.hpp | Reference data model and serialization |
| referencedatafactory.hpp | Reference data model and serialization |
| riskparticipationagreement.hpp | Risk participation agreement data model and serialization |
| schedule.hpp | Trade schedule data model and serialization |
| scriptedtrade.hpp | Scripted trade data model |
| simmcreditqualifiermapping.hpp | Mapping of SIMM credit qualifiers |
| structuredconfigurationerror.hpp | Class for structured configuration errors |
| structuredconfigurationwarning.hpp | Class for structured configuration warnings |
| structuredtradeerror.hpp | Structured Trade Error class |
| structuredtradewarning.hpp | Classes for structured trade warnings |
| swap.hpp | Swap trade data model and serialization |
| swaption.hpp | Swaption data model and serialization |
| tarf.hpp | Tarf wrapper for scripted trade |
| tlockdata.hpp | A class to hold Treasury-Lock data |
| trade.hpp | Base trade data model and serialization |
| tradefactory.hpp | Trade Factory |
| tranche.hpp | Cbo tranche data model and serialization |
| trs.hpp | Trs |
| trswrapper.hpp | Generic wrapper for trs (bond, convertible bond, equity, ...) |
| types.hpp | Payment lag |
| underlying.hpp | Underlying data model |
| vanillaoption.hpp | Vanilla Option data model |
| varianceswap.hpp | Variance swap representation |
| windowbarrieroption.hpp | Window barrier option - wrapper for scripted trade |
| ► report | |
| csvreport.hpp | CSV Report class |
| inmemoryreport.hpp | In memory report class |
| report.hpp | Report interface class |
| ► scripting | |
| ► engines | |
| analyticblackriskparticipationagreementengine.hpp | |
| analyticxccyblackriskparticipationagreementengine.hpp | |
| numericlgmriskparticipationagreementengine.hpp | |
| numericlgmriskparticipationagreementengine_tlock.hpp | |
| riskparticipationagreementbaseengine.hpp | |
| scriptedinstrumentamccalculator.hpp | Amc calculator for scripted trades |
| scriptedinstrumentpricingengine.hpp | Scripted instrument pricing engine |
| scriptedinstrumentpricingenginecg.hpp | Scripted instrument pricing engine using a cg model |
| ► models | |
| amcmodel.hpp | Additional interface for amc enabled models |
| blackscholes.hpp | Black scholes model for n underlyings (fx, equity or commodity) |
| blackscholesbase.hpp | Black scholes model base class for n underlyings (fx, equity or commodity) |
| blackscholescg.hpp | Black scholes model for n underlyings (fx, equity or commodity) |
| blackscholescgbase.hpp | Black scholes model base class for n underlyings (fx, equity or commodity) |
| dummymodel.hpp | Dummy model implementation |
| fdblackscholesbase.hpp | Black scholes fd model base class for n underlyings (fx, equity or commodity) |
| gaussiancam.hpp | Gaussian cross asset model for ir, fx, eq, com |
| localvol.hpp | Local vol model for n underlyings (fx, equity or commodity) |
| model.hpp | Interface for model against which a script can be run |
| modelcg.hpp | Interface for model against which a script can be run |
| modelcgimpl.hpp | Basis implementation for a script engine model |
| modelimpl.hpp | Basis implementation for a script engine model |
| ast.hpp | Abstract syntax tree for payoff scripting |
| astprinter.hpp | Ast printer |
| astresetter.hpp | Resets cached values in ast |
| asttoscriptconverter.hpp | Ast to script converter |
| computationgraphbuilder.hpp | Computation graph builder |
| context.hpp | Script engine context holding variable names and values |
| grammar.hpp | Payoff script grammar |
| paylog.hpp | Repository for cashflows generated by the PAYLOG() function |
| randomastgenerator.hpp | Random ast generator for testing purposes |
| safestack.hpp | Stack with safety checks and pop() that returns rvalue reference of top element |
| scriptedinstrument.hpp | Scripted instrument |
| scriptengine.hpp | Scriptengine |
| scriptparser.hpp | Script parser |
| staticanalyser.hpp | Static script analyser |
| utilities.hpp | Some utility functions |
| value.hpp | Value type and operations |
| ► utilities | |
| bondindexbuilder.hpp | Interface for building a bond index |
| calendaradjustmentconfig.hpp | Interface for calendar modifications, additional holidays and business days |
| calendarparser.hpp | Calendar parser singleton class |
| conventionsbasedfutureexpiry.hpp | Base class for classes that perform date calculations for future contracts |
| correlationmatrix.hpp | Configuration class for building correlation matrices |
| csvfilereader.hpp | Utility class to access CSV files |
| currencyhedgedequityindexdecomposition.hpp | Helper function used for the index decompositon |
| currencyparser.hpp | Currency parser singleton class |
| dategrid.hpp | The date grid class |
| fileio.hpp | Wrapper class for retrying file IO operations |
| flowanalysis.hpp | Extended QuantLib flow analysis |
| indexnametranslator.hpp | Translates between QuantLib::Index::name() and ORE names |
| indexparser.hpp | Map text representations to QuantLib/QuantExt types |
| initbuilders.hpp | Add builders to factories |
| log.hpp | Classes and functions for log message handling |
| marketdata.hpp | Market data related utilties |
| osutils.hpp | Various OS specific utilities |
| parsers.hpp | Map text representations to QuantLib/QuantExt types |
| progressbar.hpp | Classes for progress reporting |
| serializationdate.hpp | Support for QuantLib::Date serialization |
| serializationdaycounter.hpp | Support for QuantLib::DayCounter serialization |
| serializationperiod.hpp | Support for QuantLib::Period serialization |
| strike.hpp | Strike description |
| timeperiod.hpp | Non-contiguous time period handling |
| to_string.hpp | String conversion utilities |
| vectorutils.hpp | Utilities for sorting vectors using permutations |
| wildcard.hpp | Utilities for wildcard handling |
| xmlutils.hpp | XML utility functions |
| version.hpp | ORE version as defined in QuantExt |