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Reference manual - version ored_version
Files | Classes
Builders

Files

file  asianoption.hpp
 Abstract engine builders for European Asian Options.
 
file  bond.hpp
 builder that returns an engine to price a bond instrument
 
file  cachingenginebuilder.hpp
 Abstract template engine builder class.
 
file  capfloor.hpp
 builder that returns an engine to price a cap or floor on IBOR instrument
 
file  capflooredovernightindexedcouponleg.hpp
 builder that returns an engine to price capped floored ibor legs
 
file  capflooredyoyleg.hpp
 builder that returns an engine to price capped floored yoy inflation legs
 
file  capfloorediborleg.hpp
 builder that returns an engine to price capped floored ibor legs
 
file  capflooredyoyleg.hpp
 builder that returns an engine to price capped floored yoy inflation legs
 
file  capflooredovernightindexedcouponleg.hpp
 builder that returns an engine to price capped floored ibor legs
 
file  capflooredyoyleg.hpp
 builder that returns an engine to price capped floored yoy inflation legs
 
file  cms.hpp
 builder that returns an engine to price capped floored ibor legs
 
file  cmsspread.hpp
 builder that returns a cms spread coupon pricer
 
file  commodityasianoption.hpp
 Engine builder for commodity Asian options.
 
file  commodityforward.hpp
 Engine builder for commodity forward.
 
file  commodityoption.hpp
 Engine builder for commodity options.
 
file  cpicapfloor.hpp
 builder that returns an engine to price a CPI cap or floor
 
file  creditdefaultswap.hpp
 Builder that returns an engine to price a credit default swap.
 
file  creditdefaultswap.hpp
 Builder that returns an engine to price a credit default swap.
 
file  durationadjustedcms.hpp
 coupon pricer builder for duration adjuted cms coupons
 
file  equityasianoption.hpp
 Engine builder for equity Asian options.
 
file  equityforward.hpp
 Builder that returns an engine to price an equity forward.
 
file  equityfuturesoption.hpp
 Engine builder for equity futures options.
 
file  equityoption.hpp
 Engine builder for equity options.
 
file  forwardbond.hpp
 Engine builder for forward bonds.
 
file  fxasianoption.hpp
 Engine builder for fx Asian options.
 
file  fxforward.hpp
 Engine builder for FX Forwards.
 
file  fxoption.hpp
 Engine builder for FX Options.
 
file  equityoption.hpp
 Engine builder for equity options.
 
file  quantovanillaoption.hpp
 Abstract engine builder for Quanto European Options.
 
file  swap.hpp
 Engine builder for Swaps.
 
file  swap.hpp
 Engine builder for Swaps.
 
file  vanillaoption.hpp
 Abstract engine builders for European and American Options.
 
file  yoycapfloor.hpp
 Engine builder for year-on-year inflation caps/floors.
 

Classes

class  AsianOptionEngineBuilder
 Abstract Engine Builder for Asian Options. More...
 
class  EuropeanAsianOptionMCDAAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Arithmetic Average Price Options. More...
 
class  EuropeanAsianOptionMCDAASEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Arithmetic Average Strike Options. More...
 
class  EuropeanAsianOptionMCDGAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Geometric Average Price Options. More...
 
class  EuropeanAsianOptionADGAPEngineBuilder
 Discrete Analytic Engine Builder for European Asian Geometric Average Price Options. More...
 
class  EuropeanAsianOptionADGASEngineBuilder
 Discrete Analytic Engine Builder for European Asian Geometric Average Strike Options. More...
 
class  EuropeanAsianOptionACGAPEngineBuilder
 Continuous Analytic Engine Builder for European Asian Geometric Average Price Options. More...
 
class  BondEngineBuilder
 Engine Builder base class for Bonds. More...
 
class  BondDiscountingEngineBuilder
 Discounting Engine Builder class for Bonds. More...
 
class  CachingEngineBuilder< T, U, Args >
 Abstract template EngineBuilder class that can cache engines and coupon pricers. More...
 
class  CapFloorEngineBuilder
 Engine Builder for Caps, Floors and Collars on an IborIndex. More...
 
class  CapFlooredAverageONIndexedCouponLegEngineBuilder
 CouponPricer Builder for CapFlooredOvernightIndexedCouponLeg. More...
 
class  CapFlooredCpiLegCouponEngineBuilder
 CouponPricer Builder for Capped/Floored CPI Inflation Leg. More...
 
class  CapFlooredIborLegEngineBuilder
 CouponPricer Builder for CapFlooredIborLeg. More...
 
class  CapFlooredNonStandardYoYLegEngineBuilder
 CouponPricer Builder for Capped/Floored YoY Inflation Leg. More...
 
class  CapFlooredOvernightIndexedCouponLegEngineBuilder
 CouponPricer Builder for CapFlooredOvernightIndexedCouponLeg. More...
 
class  CapFlooredYoYLegEngineBuilder
 CouponPricer Builder for Capped/Floored YoY Inflation Leg. More...
 
class  CmsCouponPricerBuilder
 CouponPricer Builder for CmsLeg. More...
 
class  CmsSpreadCouponPricerBuilder
 CouponPricer Builder for CmsSpreadLeg. More...
 
class  CommodityEuropeanAsianOptionMCDAAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Commodity Arithmetic Average Price Options. More...
 
class  CommodityEuropeanAsianOptionMCDAASEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Commodity Arithmetic Average Strike Options. More...
 
class  CommodityEuropeanAsianOptionMCDGAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Commodity Geometric Average Price Options. More...
 
class  CommodityEuropeanAsianOptionADGAPEngineBuilder
 Discrete Analytic Engine Builder for European Asian Commodity Geometric Average Price Options. More...
 
class  CommodityEuropeanAsianOptionADGASEngineBuilder
 Discrete Analytic Engine Builder for European Asian Commodity Geometric Average Strike Options. More...
 
class  CommodityEuropeanAsianOptionACGAPEngineBuilder
 Continuous Analytic Engine Builder for European Asian Commodity Geometric Average Price Options. More...
 
class  CommodityForwardEngineBuilder
 Engine builder for commodity forward. More...
 
class  CommodityEuropeanOptionEngineBuilder
 
class  CommodityEuropeanForwardOptionEngineBuilder
 
class  CommodityEuropeanCSOptionEngineBuilder
 
class  CommodityAmericanOptionFDEngineBuilder
 
class  CommodityAmericanOptionBAWEngineBuilder
 
class  CpiCapFloorEngineBuilder
 Engine Builder for CPI Caps, Floors and Collars. More...
 
class  CreditDefaultSwapEngineBuilder
 Engine builder base class for credit default swaps. More...
 
class  MidPointCdsEngineBuilder
 Midpoint engine builder class for credit default swaps. More...
 
class  EquityEuropeanAsianOptionMCDAAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Equity Arithmetic Average Price Options. More...
 
class  EquityEuropeanAsianOptionMCDAASEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Equity Arithmetic Average Strike Options. More...
 
class  EquityEuropeanAsianOptionMCDGAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Equity Geometric Average Price Options. More...
 
class  EquityEuropeanAsianOptionADGAPEngineBuilder
 Discrete Analytic Engine Builder for European Asian Equity Geometric Average Price Options. More...
 
class  EquityEuropeanAsianOptionADGASEngineBuilder
 Discrete Analytic Engine Builder for European Asian Equity Geometric Average Strike Options. More...
 
class  EquityEuropeanAsianOptionACGAPEngineBuilder
 Continuous Analytic Engine Builder for European Asian Equity Geometric Average Price Options. More...
 
class  EquityForwardEngineBuilder
 Engine Builder for European Equity Forwards. More...
 
class  EquityFutureEuropeanOptionEngineBuilder
 
class  EquityEuropeanOptionEngineBuilder
 Engine Builder for European Equity Option Options. More...
 
class  EquityEuropeanCSOptionEngineBuilder
 
class  EquityAmericanOptionFDEngineBuilder
 Engine Builder for American Equity Options using Finite Difference Method. More...
 
class  EquityAmericanOptionBAWEngineBuilder
 Engine Builder for American Equity Options using Barone Adesi Whaley Approximation. More...
 
class  FxEuropeanAsianOptionMCDAAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Fx Arithmetic Average Price Options. More...
 
class  FxEuropeanAsianOptionMCDAASEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Fx Arithmetic Average Strike Options. More...
 
class  FxEuropeanAsianOptionMCDGAPEngineBuilder
 Discrete Monte Carlo Engine Builder for European Asian Fx Geometric Average Price Options. More...
 
class  FxEuropeanAsianOptionADGAPEngineBuilder
 Discrete Analytic Engine Builder for European Asian Fx Geometric Average Price Options. More...
 
class  FxEuropeanAsianOptionADGASEngineBuilder
 Discrete Analytic Engine Builder for European Asian Fx Geometric Average Strike Options. More...
 
class  FxEuropeanAsianOptionACGAPEngineBuilder
 Continuous Analytic Engine Builder for European Asian Fx Geometric Average Price Options. More...
 
class  FxForwardEngineBuilderBase
 Engine Builder base class for FX Forwards. More...
 
class  FxForwardEngineBuilder
 Engine Builder for FX Forwards. More...
 
class  FxEuropeanOptionEngineBuilder
 Engine Builder for European Fx Option Options. More...
 
class  FxEuropeanCSOptionEngineBuilder
 
class  FxAmericanOptionFDEngineBuilder
 Engine Builder for American Fx Options using Finite Difference Method. More...
 
class  FxAmericanOptionBAWEngineBuilder
 Engine Builder for American Fx Options using Barone Adesi Whaley Approximation. More...
 
class  QuantoEquityEuropeanOptionEngineBuilder
 Engine Builder for Quanto European Equity Option Options. More...
 
class  QuantoVanillaOptionEngineBuilder
 Abstract Engine Builder for Quanto Vanilla Options. More...
 
class  QuantoEuropeanOptionEngineBuilder
 Abstract Engine Builder for Quanto European Vanilla Options. More...
 
class  SwapEngineBuilderBase
 Engine Builder base class for Single Currency Swaps. More...
 
class  SwapEngineBuilder
 Engine Builder for Single Currency Swaps. More...
 
class  SwapEngineBuilderOptimised
 Engine Builder for Single Currency Swaps. More...
 
class  CrossCurrencySwapEngineBuilderBase
 Engine Builder base class for Cross Currency Swaps. More...
 
class  EuropeanSwaptionEngineBuilder
 European Swaption Engine Builder. More...
 
class  BermudanSwaptionEngineBuilder
 Abstract BermudanSwaptionEngineBuilder class. More...
 
class  LGMBermudanSwaptionEngineBuilder
 Abstract LGMBermudanSwaptionEngineBuilder class. More...
 
class  LGMGridBermudanSwaptionEngineBuilder
 Implementation of BermudanSwaptionEngineBuilder using LGM Grid pricer. More...
 
class  VanillaOptionEngineBuilder
 Abstract Engine Builder for Vanilla Options. More...
 
class  EuropeanOptionEngineBuilder
 Abstract Engine Builder for European Vanilla Options. More...
 
class  EuropeanForwardOptionEngineBuilder
 Abstract Engine Builder for European Vanilla Forward Options. More...
 
class  EuropeanCSOptionEngineBuilder
 
class  AmericanOptionEngineBuilder
 Abstract Engine Builder for American Vanilla Options. More...
 
class  AmericanOptionFDEngineBuilder
 Abstract Engine Builder for American Vanilla Options using Finite Difference Method. More...
 
class  AmericanOptionBAWEngineBuilder
 Abstract Engine Builder for American Vanilla Options using Barone Adesi Whaley Approximation. More...
 
class  YoYCapFloorEngineBuilder
 Engine Builder for Year on Year Caps, Floors and Collars on an IborIndex. More...
 

Detailed Description

Grouping of all trade building related classes, functions and files