Reference manual - version ored_version
Modules | |
| Builders | |
| Trade Data | |
Files | |
| file | accumulator.hpp |
| accumulator wrapper for scripted trade | |
| file | autocallable_01.hpp |
| autocallable_01 wrapper for scripted trade | |
| file | optiondata.hpp |
| trade option data model and serialization | |
| file | barrieroption.hpp |
| Barrier Option data model and serialization. | |
| file | basketdata.hpp |
| credit basket data model and serialization | |
| file | basketoption.hpp |
| basket option wrapper for scripted trade | |
| file | europeanoptionbarrier.hpp |
| European option with barrier wrapper for scripted trade. | |
| file | bondbasket.hpp |
| credit bond basket data model and serialization | |
| file | bondutils.hpp |
| bond utilities | |
| file | cbo.hpp |
| file | cdo.hpp |
| Mid point CDO engines cached by currency. | |
| file | equitybarrieroption.hpp |
| file | equitydigitaloption.hpp |
| file | equitydoublebarrieroption.hpp |
| file | equitydoubletouchoption.hpp |
| file | equitytouchoption.hpp |
| file | fxoption.hpp |
| Engine builder for FX Options. | |
| file | fxoption.hpp |
| Engine builder for FX Options. | |
| file | fxdigitaloption.hpp |
| file | fxdoublebarrieroption.hpp |
| file | fxdoubletouchoption.hpp |
| file | fxtouchoption.hpp |
| file | indexcreditdefaultswap.hpp |
| file | indexcreditdefaultswap.hpp |
| file | cbo.hpp |
| collateralized bond obligation data model | |
| file | capfloor.hpp |
| Ibor cap, floor or collar trade data model and serialization. | |
| file | cliquetoption.hpp |
| Equity Cliquet Option. | |
| file | commoditylegbuilder.hpp |
| Commodity fixed and floating leg builders. | |
| file | commoditylegdata.hpp |
| leg data for commodity leg types | |
| file | compositetrade.hpp |
| Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles. | |
| file | convertiblebonddata.hpp |
| convertible bond data model and serialization | |
| file | convertiblebondreferencedata.hpp |
| reference data | |
| file | creditlinkedswap.hpp |
| credit linked swap data model | |
| 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 | 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 | 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 | equitytouchoption.hpp |
| EQ One-Touch/No-Touch Option data model and serialization. | |
| file | europeanoptionbarrier.hpp |
| European option with barrier wrapper for scripted trade. | |
| file | fxbarrieroption.hpp |
| FX Barrier Option data model and serialization. | |
| file | fxderivative.hpp |
| FX base trade classes. | |
| file | fxbarrieroption.hpp |
| FX Barrier Option data model and serialization. | |
| 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 | fxdoublebarrieroption.hpp |
| FX Double Barrier Option 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 | knockoutswap.hpp |
| knock out swap wrapper for scripted trade | |
| file | legbuilders.hpp |
| Leg Builders. | |
| file | legdatafactory.hpp |
| Leg data factory that can be used to build instances of leg data. | |
| file | performanceoption_01.hpp |
| performance option wrapper for scripted trade | |
| file | portfolio.hpp |
| Portfolio class. | |
| file | rainbowoption.hpp |
| rainbow option wrapper for scripted trade | |
| file | rangebound.hpp |
| rangebound data model | |
| 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 | tarf.hpp |
| tarf wrapper for scripted trade | |
| file | trade.hpp |
| base trade data model and serialization | |
| file | tradefactory.hpp |
| Trade Factory. | |
| file | tranche.hpp |
| cbo tranche data model and serialization | |
| file | types.hpp |
| payment lag | |
| file | underlying.hpp |
| underlying data model | |
| file | windowbarrieroption.hpp |
| window barrier option - wrapper for scripted trade | |
| file | europeanoptionbarrier.hpp |
| European option with barrier wrapper for scripted trade. | |
Classes | |
| class | BondMultiStateDiscountingEngineBuilder |
| Multi State Engine Builder class for Bonds. More... | |
| class | MidPointCdsMultiStateEngineBuilder |
| Multi State Engine Builder class for CDS. More... | |
| class | CreditDefaultSwapOptionEngineBuilder |
| Engine Builder base class for Credit Default Swap Options. More... | |
| class | BlackCdsOptionEngineBuilder |
| Black CDS option engine builder for CDS options. More... | |
| class | EquityBarrierOptionEngineBuilder |
| Engine Builder for Equity Barrier Options. More... | |
| class | EquityDigitalOptionEngineBuilder |
| Engine Builder for European EQ Digital Options. More... | |
| class | EquityDoubleBarrierOptionEngineBuilder |
| Engine Builder for Equity Double Barrier Options. More... | |
| class | EquityDoubleTouchOptionEngineBuilder |
| Abstract Engine Builder for EQ Double Touch Options. More... | |
| class | EquityDoubleTouchOptionAnalyticEngineBuilder |
| Analytical Engine Builder for EQ Double Touch Options. More... | |
| class | EquityTouchOptionEngineBuilder |
| Engine Builder for EQ Touch Options. More... | |
| class | FxBarrierOptionEngineBuilder |
| Engine Builder for European FX Barrier Options. More... | |
| class | FxDigitalBarrierOptionEngineBuilder |
| Engine Builder for European FX Digital Barrier Options. More... | |
| class | FxDigitalOptionEngineBuilder |
| Engine Builder for European FX Digital Options. More... | |
| class | FxDoubleBarrierOptionEngineBuilder |
| Engine Builder for European FX Double Barrier Options. More... | |
| class | FxDoubleBarrierOptionAnalyticEngineBuilder |
| Analytical Engine Builder for FX Double Barrier Options. More... | |
| class | FxDoubleTouchOptionEngineBuilder |
| Abstract Engine Builder for FX Double Touch Options. More... | |
| class | FxDoubleTouchOptionAnalyticEngineBuilder |
| Analytical Engine Builder for FX Double Touch Options. More... | |
| class | FxTouchOptionEngineBuilder |
| Engine Builder for FX Touch Options. More... | |
| class | IndexCreditDefaultSwapEngineBuilder |
| Engine Builder base class for Index Credit Default Swaps. More... | |
| class | MidPointIndexCdsEngineBuilder |
| Midpoint Engine Builder class for IndexCreditDefaultSwaps. More... | |
| class | IndexCreditDefaultSwapOptionEngineBuilder |
| Engine Builder base class for Index Credit Default Swap Options. More... | |
| class | BlackIndexCdsOptionEngineBuilder |
| Black CDS option engine builder for index CDS options. More... | |
| class | CamAmcSwapEngineBuilder |
| Implementation of SwapEngineBuilderBase using MC pricer for external cam / AMC. More... | |
| class | LgmMcBermudanSwaptionEngineBuilder |
| Implementation of LGMBermudanSwaptionEngineBuilder using MC pricer. More... | |
| class | CompositeTrade |
| Composite Trade class. More... | |
| class | LegDataFactory |
| class | Portfolio |
| Serializable portfolio. More... | |
| class | Trade |
| Trade base class. More... | |
| class | AbstractTradeBuilder |
| TradeBuilder base class. More... | |
| class | Underlying |
| Class to hold Underlyings. More... | |
Functions | |
| std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > > | buildPerformanceOptimizedDefaultCurves (const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure >> &curves) |
| Engine Builder base class for CDOs. More... | |
| template<class T > | |
| boost::shared_ptr< LegAdditionalData > | createLegData () |
Grouping of all portfolio related classes, functions and files
| std::vector<QuantLib::Handle<QuantLib::DefaultProbabilityTermStructure> > ore::data::buildPerformanceOptimizedDefaultCurves | ( | const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure >> & | curves | ) |
Engine Builder base class for CDOs.
Pricing engines are cached by currency
| boost::shared_ptr<LegAdditionalData> ore::data::createLegData | ( | ) |
Function that is used to build instances of LegAdditionalData
The template parameter is simply a particular instance of a LegAdditionalData class that is default constructible. The function returns the default constructed LegAdditionalData object. A simple example is the function to build an instance of FixedLegData would be called via createLegData<FixedLegData>().