Namespaces
	os

Classes
class	BaseCorrelationCurveConfig
	Base Correlation term structure configuration. More...

class	BootstrapConfig

class	CapFloorVolatilityCurveConfig

class	CDSVolatilityCurveConfig

class	PriceSegment

class	CommodityCurveConfig
	Commodity curve configuration. More...

class	CommodityVolatilityConfig
	Commodity volatility configuration. More...

class	Convention
	Abstract base class for convention objects. More...

class	Conventions
	Repository for currency dependent market conventions. More...

class	InstrumentConventions
	Singleton to hold conventions. More...

class	ZeroRateConvention
	Container for storing Zero Rate conventions. More...

class	DepositConvention
	Container for storing Deposit conventions. More...

class	FutureConvention
	Container for storing Money Market Futures conventions. More...

class	FraConvention
	Container for storing Forward rate Agreement conventions. More...

class	OisConvention
	Container for storing Overnight Index Swap conventions. More...

class	IborIndexConvention
	Container for storing Ibor Index conventions. More...

class	OvernightIndexConvention
	Container for storing Overnight Index conventions. More...

class	SwapIndexConvention
	Container for storing Swap Index conventions. More...

class	IRSwapConvention
	Container for storing Interest Rate Swap conventions. More...

class	AverageOisConvention
	Container for storing Average OIS conventions. More...

class	TenorBasisSwapConvention
	Container for storing Tenor Basis Swap conventions. More...

class	TenorBasisTwoSwapConvention
	Container for storing conventions for Tenor Basis Swaps quoted as a spread of two interest rate swaps. More...

class	BMABasisSwapConvention
	Container for storing Libor-BMA Basis Swap conventions. More...

class	FXConvention
	Container for storing FX Spot quote conventions. More...

class	CrossCcyBasisSwapConvention
	Container for storing Cross Currency Basis Swap quote conventions. More...

class	CrossCcyFixFloatSwapConvention

class	CdsConvention
	Container for storing Credit Default Swap quote conventions. More...

class	InflationSwapConvention

class	SecuritySpreadConvention
	Container for storing Bond Spread Rate conventions. More...

class	CmsSpreadOptionConvention
	Container for storing CMS Spread Option conventions. More...

class	CommodityForwardConvention

class	CommodityFutureConvention

class	FxOptionConvention
	Container for storing FX Option conventions. More...

class	ZeroInflationIndexConvention

class	BondYieldConvention

class	CorrelationCurveConfig
	Correlation curve configuration. More...

class	CurveConfig
	Base curve configuration. More...

class	CurveConfigurations
	Container class for all Curve Configurations. More...

class	CurveConfigurationsManager

class	DefaultCurveConfig
	Default curve configuration. More...

class	EquityCurveConfig
	Equity curve configuration. More...

class	EquityVolatilityCurveConfig
	Equity volatility structure configuration. More...

class	FXSpotConfig
	FXSpot configuration. More...

class	FXVolatilityCurveConfig
	FX volatility structure configuration. More...

class	GenericYieldVolatilityCurveConfig
	Generic yield volatility curve configuration class. More...

class	IborFallbackConfig

class	InflationCapFloorVolatilityCurveConfig
	Inflation CapFloor volatility curve configuration class. More...

class	InflationCurveConfig

class	OneDimSolverConfig

class	ReportConfig

class	SecurityConfig
	Security configuration. More...

class	SwaptionVolatilityCurveConfig
	Swaption volatility curve configuration class. More...

class	VolatilityConfig

class	ProxyVolatilityConfig

class	CDSProxyVolatilityConfig

class	QuoteBasedVolatilityConfig

class	ConstantVolatilityConfig

class	VolatilityCurveConfig

class	VolatilitySurfaceConfig

class	VolatilityStrikeSurfaceConfig

class	VolatilityDeltaSurfaceConfig

class	VolatilityMoneynessSurfaceConfig

class	VolatilityApoFutureSurfaceConfig

class	VolatilityConfigBuilder

class	YieldCurveSegment
	Base class for yield curve segments. More...

class	DirectYieldCurveSegment
	Direct yield curve segment. More...

class	SimpleYieldCurveSegment
	Simple yield curve segment. More...

class	AverageOISYieldCurveSegment
	Average OIS yield curve segment. More...

class	TenorBasisYieldCurveSegment
	Tenor Basis yield curve segment. More...

class	CrossCcyYieldCurveSegment
	Cross Currency yield curve segment. More...

class	ZeroSpreadedYieldCurveSegment
	Zero Spreaded yield curve segment. More...

class	WeightedAverageYieldCurveSegment
	Weighted average yield curve segment. More...

class	YieldPlusDefaultYieldCurveSegment
	Yield plus default curves segment. More...

class	DiscountRatioYieldCurveSegment
	Discount ratio yield curve segment. More...

class	FittedBondYieldCurveSegment
	FittedBond yield curve segment. More...

class	IborFallbackCurveSegment
	Ibor Fallback yield curve segment. More...

class	BondYieldShiftedYieldCurveSegment
	Bond yield shifted yield curve segment. More...

class	YieldCurveConfig
	Yield Curve configuration. More...

class	YieldVolatilityCurveConfig
	Yield volatility curve configuration. More...

class	AdjustmentFactors
	Class to hold market data adjustment factors - for example equity stock splits. More...

class	BaseCorrelationCurve

class	CapFloorVolCurve

class	CDSVolCurve

class	ClonedLoader

class	CommodityCurve

class	CommodityVolCurve
	Wrapper class for building commodity volatility structures. More...

class	CompositeLoader

class	CorrelationCurve
	Wrapper class for building correlation structures. More...

class	CSVLoader
	Utility class for loading market quotes and fixings from a file. More...

class	CurveSpec
	Curve Specification. More...

class	YieldCurveSpec
	Yield curve description. More...

class	DefaultCurveSpec
	Default curve description. More...

class	CDSVolatilityCurveSpec
	CDS Volatility curve description. More...

class	BaseCorrelationCurveSpec
	Base Correlation surface description. More...

class	SwaptionVolatilityCurveSpec
	Swaption Volatility curve description. More...

class	YieldVolatilityCurveSpec
	Yield volatility curve description. More...

class	CapFloorVolatilityCurveSpec
	Cap/Floor Volatility curve description. More...

class	FXSpotSpec
	FX Spot description. More...

class	FXVolatilityCurveSpec
	FX Volatility curve description. More...

class	InflationCurveSpec
	Inflation curve description. More...

class	InflationCapFloorVolatilityCurveSpec
	Inflation cap floor volatility description. More...

class	EquityCurveSpec
	Equity curve description. More...

class	EquityVolatilityCurveSpec
	Equity Volatility curve description. More...

class	SecuritySpec
	Security description. More...

class	CommodityCurveSpec
	Commodity curve description. More...

class	CommodityVolatilityCurveSpec
	Commodity volatility description. More...

class	CorrelationCurveSpec
	Correlation curve description. More...

class	DefaultCurve
	Wrapper class for building Swaption volatility structures. More...

class	DependencyGraph

class	EquityCurve
	Wrapper class for building Equity curves (spot quote, yield term structure, risk free IR term structure) More...

class	EquityVolCurve
	Wrapper class for building Equity volatility structures. More...

class	Expiry

class	ExpiryDate

class	ExpiryPeriod

class	FutureContinuationExpiry

class	FittedBondCurveHelperMarket

struct	Fixing
	Fixing data structure. More...

class	FXTriangulation

class	FXVolCurve
	Wrapper class for building FX volatility structures. More...

class	GenericYieldVolCurve
	Wrapper class for building Generic yield volatility structures. More...

class	InflationCapFloorVolCurve

class	InflationCurve
	Wrapper class for building inflation curves. More...

class	InMemoryLoader

class	Loader
	Market data loader base class. More...

struct	PseudoCurrencyMarketParameters
	Struct to store parameters for commodities to be treatred as pseudo currencies. More...

class	GlobalPseudoCurrencyMarketParameters
	Singleton to store Global parameters, this should be initialised at some point with PEGP. More...

class	Market
	Market. More...

class	MarketDatum
	Base market data class. More...

struct	SharedPtrMarketDatumComparator

class	MoneyMarketQuote
	Money market data class. More...

class	FRAQuote
	FRA market data class. More...

class	ImmFraQuote
	IMM FRA market data class. More...

class	SwapQuote
	Swap market data class. More...

class	ZeroQuote

class	DiscountQuote
	Discount market data class. More...

class	MMFutureQuote
	Money Market Future data class. More...

class	OIFutureQuote
	Overnight index future data class. More...

class	BasisSwapQuote
	Basis Swap data class. More...

class	BMASwapQuote
	BMA Swap data class. More...

class	CrossCcyBasisSwapQuote
	Cross Currency Basis Swap data class. More...

class	CrossCcyFixFloatSwapQuote
	Cross Currency Fix Float Swap quote holder. More...

class	CdsQuote

class	HazardRateQuote
	Hazard rate data class. More...

class	RecoveryRateQuote
	Recovery rate data class. More...

class	SwaptionQuote
	Swaption data class. More...

class	SwaptionShiftQuote
	Shift data class (for SLN swaption volatilities) More...

class	BondOptionQuote
	Bond option data class. More...

class	BondOptionShiftQuote
	Shift data class (for SLN bond option volatilities) More...

class	CapFloorQuote
	Cap/Floor data class. More...

class	CapFloorShiftQuote
	Shift data class (for SLN cap/floor volatilities) More...

class	FXSpotQuote
	Foreign exchange rate data class. More...

class	FXForwardQuote
	Foreign exchange rate data class. More...

class	FXOptionQuote
	FX Option data class. More...

class	ZcInflationSwapQuote
	ZC Inflation swap data class. More...

class	InflationCapFloorQuote
	Inflation Cap Floor data class. More...

class	ZcInflationCapFloorQuote
	ZC Cap Floor data class. More...

class	YoYInflationSwapQuote
	YoY Inflation swap data class. More...

class	YyInflationCapFloorQuote
	YY Cap Floor data class. More...

class	SeasonalityQuote
	Inflation seasonality data class. More...

class	EquitySpotQuote
	Equity/Index spot price data class. More...

class	EquityForwardQuote
	Equity forward data class. More...

class	EquityDividendYieldQuote
	Equity/Index Dividend yield data class. More...

class	EquityOptionQuote
	Equity/Index Option data class. More...

class	SecuritySpreadQuote
	Bond spread data class. More...

class	BaseCorrelationQuote
	Base correlation data class. More...

class	IndexCDSOptionQuote
	CDS Index Option data class. More...

class	CommoditySpotQuote
	Commodity spot quote class. More...

class	CommodityForwardQuote
	Commodity forward quote class. More...

class	CommodityOptionQuote
	Commodity option data class. More...

class	CorrelationQuote
	Spread data class. More...

class	CPRQuote
	CPR data class. More...

class	BondPriceQuote
	Bond Price Quote. More...

class	TransitionProbabilityQuote
	Transition Probability data class. More...

class	MarketImpl
	Market Implementation. More...

class	Security
	Wrapper class for holding Bond Spread and recovery rate quotes. More...

class	BaseStrike

class	AbsoluteStrike

class	DeltaStrike

class	AtmStrike

class	MoneynessStrike

class	StructuredCurveErrorMessage
	Utility class for Structured Curve errors, contains the curve ID. More...

class	StructuredCurveWarningMessage

class	SwaptionVolCurve
	Wrapper class for building Swaption volatility structures. More...

class	TodaysMarket
	Today's Market. More...

struct	YieldCurveCalibrationInfo

struct	PiecewiseYieldCurveCalibrationInfo

struct	FittedBondCurveCalibrationInfo

struct	InflationCurveCalibrationInfo

struct	ZeroInflationCurveCalibrationInfo

struct	YoYInflationCurveCalibrationInfo

struct	CommodityCurveCalibrationInfo

struct	FxEqCommVolCalibrationInfo

struct	IrVolCalibrationInfo

struct	TodaysMarketCalibrationInfo

class	MarketConfiguration

class	TodaysMarketParameters
	Today's Market Parameters. More...

class	WrappedMarket
	Wrapped Market. More...

class	YieldCurve
	Wrapper class for building yield term structures. More...

class	YieldVolCurve
	Wrapper class for building Yield volatility structures. More...

class	BlackScholesModelBuilder

class	BlackScholesModelBuilderBase

class	CalibrationInstrument

class	CalibrationBasket

class	CalibrationConfiguration

class	CalibrationInstrumentFactory

class	CpiCapFloor

class	YoYCapFloor

class	YoYSwap

class	CalibrationPointCache

class	CommoditySchwartzModelBuilder
	Builder for a COM model component. More...

class	CommoditySchwartzData
	COM Schwartz Model Parameters. More...

class	CrCirBuilder
	Builder for a cir model component. More...

class	CrCirData

class	CrLgmBuilder

class	CrLgmData
	CR LGM Model Parameters. More...

class	CrossAssetModelBuilder
	Cross Asset Model Builder. More...

class	InstantaneousCorrelations
	InstantaneousCorrelations. More...

class	CrossAssetModelData
	Cross Asset Model Parameters. More...

class	EqBsBuilder
	Builder for a Lognormal EQ model component. More...

class	EqBsData
	EQ Model Parameters. More...

class	FxBsBuilder
	Builder for a Lognormal FX model component. More...

class	FxBsData
	FX Model Parameters. More...

class	HwBuilder
	Builder for a Hull White model or a HW component for the CAM. More...

class	InfDkBuilder

class	InfDkData

class	InfJyBuilder

class	InfJyData

class	InflationModelData

class	HwModelData
	Hull White Model Parameters. More...

class	IrLgmData
	INF Model Parameters. More...

class	IrModelData
	Linear Gauss Markov Model Parameters. More...

class	LgmBuilder
	Builder for a Linear Gauss Markov model component. More...

class	LgmData
	Linear Gauss Markov Model Parameters. More...

class	LgmReversionTransformation

class	LocalVolModelBuilder

class	ModelData

class	ModelParameter

class	VolatilityParameter

class	ReversionParameter

class	StructuredModelErrorMessage
	Utility class for Structured Model errors. More...

class	Accumulator

class	EquityAccumulator

class	FxAccumulator

class	CommodityAccumulator

class	Ascot
	Serializable Convertible Bond. More...

class	AsianOption
	Serializable Asian Option. More...

class	EquityAsianOption

class	FxAsianOption

class	CommodityAsianOption

class	Autocallable_01

class	BarrierData
	Serializable obejct holding barrier data. More...

class	BarrierOption
	Serializable FX Barrier Option. More...

class	FxOptionWithBarrier

class	EquityOptionWithBarrier

class	BarrierOptionWrapper
	Barrier Option Wrapper. More...

class	SingleBarrierOptionWrapper

class	DoubleBarrierOptionWrapper

class	BasketConstituent

class	BasketData

class	BasketOption

class	EquityBasketOption

class	FxBasketOption

class	CommodityBasketOption

class	BasketVarianceSwap

class	EquityBasketVarianceSwap

class	FxBasketVarianceSwap

class	CommodityBasketVarianceSwap

class	BestEntryOption

class	EquityBestEntryOption

class	FxBestEntryOption

class	CommodityBestEntryOption

class	BondData

class	Bond
	Serializable Bond. More...

struct	BondBuilder
	Bond Factory that builds bonds from reference data. More...

class	BondFactory

struct	VanillaBondBuilder

class	BondBasket
	Serializable Bond-Basket Data. More...

class	BondOption
	Serializable Bond Option. More...

class	BondPositionData

class	BondPosition

class	BondPositionInstrumentWrapper
	Equity Position instrument wrapper. More...

class	BondRepo

class	BondTRS

class	AscotEngineBuilder

class	AscotIntrinsicEngineBuilder

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	EuropeanAsianOptionTWEngineBuilder
	Discrete Analytic TW Engine Builder for European Asian Arithmetic Average Price Options. More...

class	AsianOptionScriptedEngineBuilder

class	BondEngineBuilder
	Engine Builder base class for Bonds. More...

class	BondDiscountingEngineBuilder
	Discounting Engine Builder class for Bonds. More...

class	BondMultiStateDiscountingEngineBuilder
	Multi State Engine Builder class for Bonds. More...

class	BondOptionEngineBuilder
	Engine builder for bond option. More...

class	BondRepoEngineBuilderBase
	Bond Repo engine builder base class. More...

class	DiscountingBondRepoEngineBuilder
	Discounting Bond Repo Engine Builder. More...

class	AccrualBondRepoEngineBuilder
	Accrual Bond Repo Engine Builder. More...

class	BondTRSEngineBuilder

class	DiscountingBondTRSEngineBuilder

class	CachingEngineBuilder
	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	CapFlooredAverageBMACouponLegEngineBuilder
	CouponPricer Builder for CapFlooredAVerageBMACouponLeg. More...

class	CapFlooredAverageONIndexedCouponLegEngineBuilder
	CouponPricer Builder for CapFlooredOvernightIndexedCouponLeg. More...

class	CapFlooredCpiLegCouponEngineBuilder
	CouponPricer Builder for Capped/Floored CPI Inflation Leg. More...

class	CapFlooredCpiLegCashFlowEngineBuilder

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	CboMCEngineBuilder

class	CdoEngineBuilder

class	GaussCopulaBucketingCdoEngineBuilder

class	CliquetOptionEngineBuilder
	Engine builder for Cliquet Options. More...

class	EquityCliquetOptionEngineBuilder
	Engine Builder for Equity Cliquet Options. More...

class	EquityCliquetOptionMcScriptEngineBuilder

class	CmsCouponPricerBuilder
	CouponPricer Builder for CmsLeg. More...

class	AnalyticHaganCmsCouponPricerBuilder

class	NumericalHaganCmsCouponPricerBuilder

class	LinearTSRCmsCouponPricerBuilder

class	CmsSpreadCouponPricerBuilder
	CouponPricer Builder for CmsSpreadLeg. More...

class	CommodityApoBaseEngineBuilder
	Engine builder base class for Commodity Average Price Options. More...

class	CommodityApoAnalyticalEngineBuilder
	Analytical Engine builder for Commodity Average Price Options. More...

class	CommodityApoMonteCarloEngineBuilder
	Monte Carlo Engine builder for Commodity Average Price Options. More...

class	CommodityApoModelBuilder

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	CommodityEuropeanAsianOptionTWEngineBuilder
	Discrete Analytic TW Engine Builder for European Asian Commodity Arithmetic Average Price Options. More...

class	CommodityForwardEngineBuilder
	Engine builder for commodity forward. More...

class	CommodityEuropeanOptionEngineBuilder

class	CommodityEuropeanForwardOptionEngineBuilder

class	CommodityEuropeanCSOptionEngineBuilder

class	CommodityAmericanOptionFDEngineBuilder

class	CommodityAmericanOptionBAWEngineBuilder

class	CommoditySpreadOptionBaseEngineBuilder
	Base Engine builder for Commodity Spread Options. More...

class	CommoditySpreadOptionEngineBuilder
	Analytical Engine builder for Commodity Spread Options. More...

class	CommoditySwapEngineBuilder
	Engine builder for Commodity Swaps. More...

class	CommoditySwaptionEngineBuilder
	Engine builder for Commodity Swaptions. More...

class	CommoditySwaptionAnalyticalEngineBuilder
	Analytical Approximation Engine builder for Commodity Swaptions. More...

class	CommoditySwaptionMonteCarloEngineBuilder
	Monte Carlo Engine builder for Commodity Swaptions. More...

class	ConvertibleBondEngineBuilder

class	ConvertibleBondFDDefaultableEquityJumpDiffusionEngineBuilder

class	CpiCapFloorEngineBuilder
	Engine Builder for CPI Caps, Floors and Collars. More...

class	CDSEngineKey

class	CreditDefaultSwapEngineBuilder
	Engine builder base class for credit default swaps. More...

class	MidPointCdsEngineBuilder
	Midpoint engine builder class for credit default swaps. 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	CreditLinkedSwapEngineBuilder

class	CamAmcCurrencySwapEngineBuilder
	Multileg option engine builder for external cam, with additional simulation dates (AMC) More...

class	DurationAdjustedCmsCouponPricerBuilder

class	LinearTsrDurationAdjustedCmsCouponPricerBuilder

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	EquityEuropeanAsianOptionTWEngineBuilder
	Discrete Analytic TW Engine Builder for European Asian Equity Arithmetic Average Price Options. More...

class	EquityBarrierOptionEngineBuilder
	Engine Builder for Equity Barrier Options. More...

class	EquityBarrierOptionAnalyticEngineBuilder

class	EquityBarrierOptionFDEngineBuilder

class	EquityEuropeanCompositeEngineBuilder
	Engine Builder for Composite European Equity Options. More...

class	EquityDigitalOptionEngineBuilder
	Engine Builder for European EQ Digital Options. More...

class	EquityDoubleBarrierOptionEngineBuilder
	Engine Builder for Equity Double Barrier Options. More...

class	EquityDoubleBarrierOptionAnalyticEngineBuilder

class	EquityDoubleTouchOptionEngineBuilder
	Abstract Engine Builder for EQ Double Touch Options. More...

class	EquityDoubleTouchOptionAnalyticEngineBuilder
	Analytical Engine Builder for EQ Double Touch 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	EquityTouchOptionEngineBuilder
	Engine Builder for EQ Touch Options. More...

class	fwdBondEngineBuilder

class	DiscountingForwardBondEngineBuilder

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	FxEuropeanAsianOptionTWEngineBuilder
	Discrete Analytic TW Engine Builder for European Asian Fx Arithmetic Average Price Options. More...

class	FxBarrierOptionEngineBuilder
	Engine Builder for European FX Barrier Options. More...

class	FxBarrierOptionAnalyticEngineBuilder

class	FxBarrierOptionFDEngineBuilder

class	FxDigitalBarrierOptionEngineBuilder
	Engine Builder for European FX Digital Barrier Options. More...

class	FxDigitalOptionEngineBuilder
	Engine Builder for European FX Digital Options. More...

class	FxDigitalCSOptionEngineBuilder
	Engine Builder for European cash-settled 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	FxForwardEngineBuilderBase
	Engine Builder base class for FX Forwards. More...

class	FxForwardEngineBuilder
	Engine Builder for FX Forwards. More...

class	CamAmcFxForwardEngineBuilder
	FX forward engine builder for external cam, with additional simulation dates (AMC) 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	CamAmcFxOptionEngineBuilder
	FX option engine builder for external cam, with additional simulation dates (AMC) 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	NumericalIntegrationIndexCdsOptionEngineBuilder
	Numerical Integration index CDS option engine. More...

class	MultiLegOptionEngineBuilderBase
	MultiLeg option engine builder base class. More...

class	CamMcMultiLegOptionEngineBuilder
	MultiLeg option engine builder for MC pricer. More...

class	CamAmcMultiLegOptionEngineBuilder
	Multileg option engine builder for external cam, with additional simulation dates (AMC) 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	RiskParticipationAgreementEngineBuilderBase
	RPA base engine builder. More...

class	RiskParticipationAgreementBlackEngineBuilder
	RPA Black engine builder. More...

class	RiskParticipationAgreementXCcyBlackEngineBuilder
	RPA XCcy Black engine builder. More...

class	RiskParticipationAgreementLGMGridEngineBuilder
	RPA Numeric LGM base builder. More...

class	RiskParticipationAgreementSwapLGMGridEngineBuilder
	RPA Numeric LGM engine builder for swap underlyings. More...

class	RiskParticipationAgreementTLockLGMGridEngineBuilder
	RPA Numeric LGM engine builder for tlock underlyings. More...

class	ScriptedTradeEngineBuilder

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	CrossCurrencySwapEngineBuilder
	Discounted Cashflows Engine Builder for Cross Currency Swaps. More...

class	CamAmcSwapEngineBuilder
	Implementation of SwapEngineBuilderBase using MC pricer for external cam / AMC. 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	LgmMcBermudanSwaptionEngineBuilder
	Implementation of LGMBermudanSwaptionEngineBuilder using MC pricer. More...

class	LgmAmcBermudanSwaptionEngineBuilder

class	CachingOptionEngineBuilder

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	VarSwapEngineBuilder
	Engine Builder for Variance Swaps. More...

class	YoYCapFloorEngineBuilder
	Engine Builder for Year on Year Caps, Floors and Collars on an IborIndex. More...

class	CapFloor
	Serializable cap, floor, collar. More...

class	CboReferenceDatum

class	CBO

struct	CBOTrsUnderlyingBuilder

class	SyntheticCDO
	Serializable CDS Index Tranche (Synthetic CDO) More...

class	CliquetOption
	Serializable Equity Cliquet Option. More...

class	EquityCliquetOption

class	CommodityAveragePriceOption

class	CommodityDigitalAveragePriceOption

class	CommodityDigitalOption
	Commodity digital option trade representation as call spread. More...

class	CommodityForward

class	CommodityFixedLegBuilder

class	CommodityFloatingLegBuilder

class	CommodityFixedLegData

class	CommodityFloatingLegData

class	CommodityOption
	Commodity option trade representation. More...

class	CommodityOptionStrip

class	CommodityPositionData
	Serializable Commodity Position Data. More...

class	CommodityPosition
	Serializable Commodity Position. More...

class	CommodityPositionInstrumentWrapper
	Commodity Position instrument wrapper. More...

class	CommodityPositionInstrumentWrapperEngine

class	CommoditySpreadOptionData

class	CommoditySpreadOption

class	CommoditySwap

class	CommoditySwaption

class	CompositeInstrumentWrapper
	Composite Instrument Wrapper. More...

class	CompositeTrade
	Composite Trade class. More...

class	ConvertibleBond
	Serializable Convertible Bond. More...

struct	ConvertibleBondTrsUnderlyingBuilder

struct	ConvertibleBondBuilder

class	ConvertibleBondData

class	ConvertibleBondReferenceDatum
	Convertible Bond Reference data. More...

class	CreditDefaultSwap

class	CdsReferenceInformation

class	CreditDefaultSwapData

class	CreditDefaultSwapOption

class	CreditLinkedSwap

class	CrossCurrencySwap
	Serializable Cross Currency Swap contract. More...

class	DoubleDigitalOption

class	DurationAdjustedCmsLegBuilder

class	DurationAdjustedCmsLegData

class	EngineData
	Pricing engine description. More...

class	EngineBuilder
	Base PricingEngine Builder class for a specific model and engine. More...

class	DelegatingEngineBuilder
	Delegating Engine Builder. More...

class	EngineBuilderFactory
	Engine/ Leg Builder Factory - notice that both engine and leg builders are allowed to maintain a state. More...

class	EngineFactory
	Pricing Engine Factory class. More...

class	LegBuilder

class	Envelope
	Serializable object holding generic trade data, reporting dimensions. More...

class	EquityBarrierOption
	Serializable EQ Barrier Option. More...

class	EquityDerivative
	Base class for all Equity Derivaties. More...

class	EquitySingleAssetDerivative
	Base class for all single asset Equity Derivaties. More...

class	EquityDigitalOption
	Serializable EQ Digital Option. More...

class	EquityDoubleBarrierOption
	Serializable Equity Double Barrier Option. More...

class	EquityDoubleTouchOption
	SerializableEQ Double One-Touch/No-Touch Option. More...

class	EquityEuropeanBarrierOption
	Serializable EQ European Barrier Option. More...

class	EquityForward
	Serializable Equity Forward contract. More...

class	EquityFutureOption
	Serializable EQ Futures Option. More...

class	EquityMarginLegBuilder

class	EquityMarginLegData
	Serializable Equity Margin Leg Data. More...

class	EquityOption
	Serializable Equity Option. More...

class	EquityOptionUnderlyingData
	Serializable Equity Option Underlying Data, this represents one underlying in EquityOptionPositionData. More...

class	EquityOptionPositionData
	Serializable Equity Option Position Data. More...

class	EquityOptionPosition
	Serializable Equity Option Position. More...

class	EquityOptionPositionInstrumentWrapper
	Equity Option Position instrument wrapper. More...

class	EquityOptionPositionInstrumentWrapperEngine

class	EquityPositionData
	Serializable Equity Position Data. More...

class	EquityPosition
	Serializable Equity Position. More...

class	EquityPositionInstrumentWrapper
	Equity Position instrument wrapper. More...

class	EquityPositionInstrumentWrapperEngine

class	EquitySwap
	Serializable Equity Swap contract. More...

class	EquityTouchOption
	Serializable EQ One-Touch/No-Touch Option. More...

class	EuropeanOptionBarrier

class	FailedTrade

class	RequiredFixings

class	FixingDateGetter

class	ForwardBond

class	ForwardRateAgreement
	Serializable ForwardRateAgreement. More...

class	FxAverageForward
	Serializable Fx Average Forward. More...

class	FxBarrierOption
	Serializable FX Barrier Option. More...

class	FxDerivative
	Base class for all FX Derivaties. More...

class	FxSingleAssetDerivative
	Base class for all single asset FX Derivaties. More...

class	FxDigitalBarrierOption
	Serializable FX Digital Barrier Option. More...

class	FxDigitalOption
	Serializable FX Digital Option. More...

class	FxDoubleBarrierOption
	Serializable FX Double Barrier Option. More...

class	FxDoubleTouchOption
	Serializable FX Double One-Touch/No-Touch Option. More...

class	FxEuropeanBarrierOption
	Serializable FX European Barrier Option. More...

class	FxForward
	Serializable FX Forward. More...

class	FxKIKOBarrierOption
	Serializable FX KIKO Barrier Option. More...

class	FxOption
	Serializable FX Option. More...

class	FxSwap
	Serializable FX Swap. More...

class	FxTouchOption
	Serializable FX One-Touch/No-Touch Option. More...

class	GenericBarrierOption

class	EquityGenericBarrierOption

class	FxGenericBarrierOption

class	CommodityGenericBarrierOption

class	IndexCreditDefaultSwap

class	IndexCreditDefaultSwapData

class	IndexCreditDefaultSwapOption

class	Indexing
	Serializable object holding indexing data. More...

class	InflationSwap
	Serializable Cross Currency Swap contract. More...

class	InstrumentWrapper
	Instrument Wrapper. More...

class	VanillaInstrument
	Vanilla Instrument Wrapper. More...

class	KnockOutSwap

class	FixedLegBuilder

class	ZeroCouponFixedLegBuilder

class	FloatingLegBuilder

class	CashflowLegBuilder

class	CPILegBuilder

class	YYLegBuilder

class	CMSLegBuilder

class	CMBLegBuilder

class	DigitalCMSLegBuilder

class	CMSSpreadLegBuilder

class	DigitalCMSSpreadLegBuilder

class	EquityLegBuilder

class	LegAdditionalData
	Serializable Additional Leg Data. More...

class	CashflowData
	Serializable Cashflow Leg Data. More...

class	FixedLegData
	Serializable Fixed Leg Data. More...

class	ZeroCouponFixedLegData
	Serializable Fixed Leg Data. More...

class	FloatingLegData
	Serializable Floating Leg Data. More...

class	CPILegData
	Serializable CPI Leg Data. More...

class	YoYLegData
	Serializable YoY Leg Data. More...

class	CMSLegData
	Serializable CMS Leg Data. More...

class	DigitalCMSLegData
	Serializable Digital CMS Leg Data. More...

class	CMSSpreadLegData
	Serializable CMS Spread Leg Data. More...

class	DigitalCMSSpreadLegData
	Serializable Digital CMS Spread Leg Data. More...

class	CMBLegData
	Serializable Constant Maturity Bond Yield Leg Data. More...

class	EquityLegData
	Serializable Fixed Leg Data. More...

class	AmortizationData
	Serializable object holding amortization rules. More...

class	LegData
	Serializable object holding leg data. More...

class	LegDataFactory

class	MultiLegOption

class	CSA

class	NettingSetDefinition
	Netting Set Definition. More...

class	NettingSetDetails
	Serializable object holding netting set identification data. More...

class	NettingSetManager
	Netting Set Manager. More...

class	OptionData
	Serializable object holding option data. More...

class	ExerciseBuilder

class	OptionExerciseData

class	OptionPaymentData

class	OptionWrapper
	Option Wrapper. More...

class	EuropeanOptionWrapper
	European Option Wrapper. More...

class	AmericanOptionWrapper
	American Option Wrapper. More...

class	BermudanOptionWrapper
	Bermudan Option Wrapper. More...

class	PerformanceOption_01

class	Portfolio
	Serializable portfolio. More...

class	PremiumData
	Serializable object holding premium data. More...

class	RainbowOption

class	EquityRainbowOption

class	FxRainbowOption

class	CommodityRainbowOption

class	RangeBound
	Serializable obejct holding range bound data. More...

class	ReferenceDatum
	Base class for reference data. More...

class	BondReferenceDatum

class	CreditIndexConstituent

class	CreditIndexReferenceDatum
	Credit index reference data, contains a set of index constituents. More...

class	IndexReferenceDatum
	Base class for indices - lets see if we can keep this, they might diverge too much... More...

class	EquityIndexReferenceDatum
	EquityIndex Reference data, contains the names and weights of an equity index. More...

class	CommodityIndexReferenceDatum
	EquityIndex Reference data, contains the names and weights of an equity index. More...

class	CurrencyHedgedEquityIndexReferenceDatum

class	CreditReferenceDatum
	CreditIndex Reference data, contains the names and weights of a credit index. More...

class	EquityReferenceDatum
	Equity Reference data. More...

class	BondBasketReferenceDatum
	Bond Basket Reference Data. More...

class	ReferenceDataManager
	Interface for Reference Data lookups. More...

class	BasicReferenceDataManager
	Basic Concrete impl that loads an big XML and keeps data in memory. More...

class	AbstractReferenceDatumBuilder

class	ReferenceDatumBuilder
	Template TradeBuilder class. More...

class	ReferenceDatumFactory

class	RiskParticipationAgreement
	Serializable risk participation agreement. More...

class	ScheduleRules
	Serializable object holding schedule Rules data. More...

class	ScheduleDates
	Serializable object holding schedule Dates data. More...

class	ScheduleDerived
	Serializable object holding Derived schedule data. More...

class	ScheduleData
	Serializable schedule data. More...

class	ScheduleBuilder

class	ScriptedTradeEventData

class	ScriptedTradeValueTypeData

class	ScriptedTradeScriptData

class	ScriptLibraryData

class	ScriptedTrade

class	ScriptLibraryStorage

struct	SimmCreditQualifierMapping

class	StructuredConfigurationErrorMessage
	Utility classes for Structured configuration errors, contains the configuration type and ID (NettingSetId, CounterParty, etc.) More...

class	StructuredConfigurationWarningMessage
	Utility classes for Structured warnings, contains the configuration type and ID (NettingSetId, CounterParty, etc.) More...

class	StructuredTradeErrorMessage
	Utility class for Structured Trade errors, contains the Trade ID and Type. More...

class	StructuredTradeWarningMessage
	Utility classes for Structured warnings, contains the Trade ID and Type. More...

class	Swap
	Serializable Swap, Single and Cross Currency. More...

class	Swaption
	Serializable Swaption. More...

class	TaRF

class	EquityTaRF

class	FxTaRF

class	CommodityTaRF

class	TreasuryLockData

class	Trade
	Trade base class. More...

class	TradeAction
	Serializable object holding a trade action. More...

class	TradeActions
	Serializable object holding generic trade actions. More...

class	TradeBarrier

class	AbstractTradeBuilder
	TradeBuilder base class. More...

class	TradeBuilder
	Template TradeBuilder class. More...

class	TradeFactory
	TradeFactory. More...

class	TradeMonetary

class	TradeStrike

class	TrancheData
	Serializable Bond-Basket Data. More...

class	TRS

class	CFD

struct	TrsUnderlyingBuilder

class	TrsUnderlyingBuilderFactory

struct	BondTrsUnderlyingBuilder

struct	ForwardBondTrsUnderlyingBuilder

struct	AssetPositionTrsUnderlyingBuilder

struct	EquityOptionPositionTrsUnderlyingBuilder

struct	BondPositionTrsUnderlyingBuilder

struct	DerivativeTrsUnderlyingBuilder

class	TRSWrapper
	TRS Instrument Wrapper. More...

class	TRSWrapperAccrualEngine

struct	PaymentLagPeriod

struct	PaymentLagInteger

class	Underlying
	Class to hold Underlyings. More...

class	BasicUnderlying

class	EquityUnderlying

class	CommodityUnderlying

class	FXUnderlying

class	InterestRateUnderlying

class	InflationUnderlying

class	CreditUnderlying

class	BondUnderlying

class	UnderlyingBuilder

class	VanillaOptionTrade
	Serializable Vanilla Option. More...

class	VarSwap

class	EqVarSwap

class	FxVarSwap

class	ComVarSwap

class	WindowBarrierOption

class	EquityWindowBarrierOption

class	FxWindowBarrierOption

class	CommodityWindowBarrierOption

class	WorstOfBasketSwap

class	EquityWorstOfBasketSwap

class	FxWorstOfBasketSwap

class	CommodityWorstOfBasketSwap

class	CSVFileReport

class	InMemoryReport

class	PlainInMemoryReport
	InMemoryReport with access to plain types instead of boost::variant<>, to facilitate language bindings. More...

class	Report

struct	LocationInfo

struct	ASTNode

struct	OperatorPlusNode

struct	OperatorMinusNode

struct	OperatorMultiplyNode

struct	OperatorDivideNode

struct	NegateNode

struct	FunctionAbsNode

struct	FunctionExpNode

struct	FunctionLogNode

struct	FunctionSqrtNode

struct	FunctionNormalCdfNode

struct	FunctionNormalPdfNode

struct	FunctionMaxNode

struct	FunctionMinNode

struct	FunctionPowNode

struct	FunctionBlackNode

struct	FunctionDcfNode

struct	FunctionDaysNode

struct	FunctionPayNode

struct	FunctionLogPayNode

struct	FunctionNpvNode

struct	FunctionNpvMemNode

struct	HistFixingNode

struct	FunctionDiscountNode

struct	FunctionFwdCompNode

struct	FunctionFwdAvgNode

struct	FunctionAboveProbNode

struct	FunctionBelowProbNode

struct	FunctionDateIndexNode

struct	SortNode

struct	PermuteNode

struct	ConstantNumberNode

struct	VariableNode

struct	SizeOpNode

struct	VarEvaluationNode

struct	AssignmentNode

struct	RequireNode

struct	DeclarationNumberNode

struct	SequenceNode

struct	ConditionEqNode

struct	ConditionNeqNode

struct	ConditionLtNode

struct	ConditionLeqNode

struct	ConditionGtNode

struct	ConditionGeqNode

struct	ConditionNotNode

struct	ConditionAndNode

struct	ConditionOrNode

struct	IfThenElseNode

struct	LoopNode

class	ComputationGraphBuilder

struct	Context

class	AnalyticBlackRiskParticipationAgreementEngine

class	AnalyticXCcyBlackRiskParticipationAgreementEngine

class	CliquetOptionMcScriptEngine

class	NumericLgmRiskParticipationAgreementEngine

class	NumericLgmRiskParticipationAgreementEngineTLock

class	RiskParticipationAgreementBaseEngine

class	ScriptedInstrumentAmcCalculator

class	ScriptedInstrumentPricingEngine

class	ScriptedInstrumentPricingEngineCG

struct	ASTNodeAnnotation

struct	ScriptGrammar

class	AmcModel

class	BlackScholes

class	BlackScholesBase

class	BlackScholesCG

class	BlackScholesCGBase

class	DummyModel

class	FdBlackScholesBase

class	GaussianCam

class	LocalVol

class	Model

class	ModelCG

class	ModelCGImpl

class	ModelImpl

class	PayLog

class	SafeStack

class	ScriptEngine

struct	ParserError

class	ScriptParser

class	StaticAnalyser

class	IndexInfo

struct	EventVec

struct	CurrencyVec

struct	IndexVec

struct	DaycounterVec

struct	ValueTypeWhich

class	BondIndexBuilder

class	CalendarAdjustmentConfig

class	CalendarParser

class	ConventionsBasedFutureExpiry
	Perform date calculations for future contracts based on conventions. More...

struct	CorrelationFactor

class	CorrelationMatrixBuilder

class	CSVReader

class	CSVFileReader

class	CSVBufferReader

class	CurrencyConfig
	Currency configuration. More...

class	CurrencyHedgedEquityIndexDecomposition

class	CurrencyParser

class	DateGrid
	Simulation Date Grid. More...

class	FileIO

class	FilteredBufferedLogger

class	FilteredBufferedLoggerGuard
	Utility class to build a logger and remove it from the global logger when it goes out of scope. More...

class	IndexNameTranslator
	IndexNameTranslator. More...

class	Logger
	The Base Custom Log Handler class. More...

class	StderrLogger
	Stderr Logger. More...

class	FileLogger
	FileLogger. More...

class	BufferLogger
	BufferLogger. More...

class	IndependentLogger
	Base Log handler class that utilises Boost logging to create log sinks. More...

class	ProgressLogger

class	StructuredLogger

class	Log
	Global static Log class. More...

class	LoggerStream
	LoggerStream class that is a std::ostream replacement that will log each line. More...

class	JSONMessage

class	StructuredMessage

class	StructuredLoggingErrorMessage

class	EventMessage

class	ProgressMessage

class	ConsoleLog
	Singleton to control console logging. More...

class	ProgressIndicator
	Abstract Base class for a Progress Indicator. More...

class	ProgressReporter
	Base class for a Progress Reporter. More...

class	SimpleProgressBar
	Simple Progress Bar. More...

class	ProgressLog
	Progress Logger that writes the progress using the LOG macro. More...

class	NoProgressBar

class	MultiThreadedProgressIndicator

struct	Strike

class	DeltaString
	Utility class for handling delta strings ATM, 10P, 25C, ... used e.g. for FX Surfaces. More...

class	TimePeriod
	Handles non-contiguous time period. More...

class	Wildcard

class	XMLDocument
	Small XML Document wrapper class. More...

class	XMLSerializable
	Base class for all serializable classes. More...

class	XMLUtils
	XML Utilities Class. More...

Typedefs
using	YieldCurveConfigMap = std::map< string, boost::shared_ptr< YieldCurveConfig > >

template<class T , typename... Args>
using	CachingPricingEngineBuilder = CachingEngineBuilder< T, PricingEngine, Args... >

template<class T , typename... Args>
using	CachingCouponPricerBuilder = CachingEngineBuilder< T, FloatingRateCouponPricer, Args... >

template<class T , typename... Args>
using	CachingInflationCouponPricerBuilder = CachingEngineBuilder< T, InflationCouponPricer, Args... >

template<class T , typename... Args>
using	CachingInflationCashFlowPricerBuilder = CachingEngineBuilder< T, QuantExt::InflationCashFlowPricer, Args... >

typedef AssetPositionTrsUnderlyingBuilder< ore::data::EquityPosition >	EquityPositionTrsUnderlyingBuilder

typedef AssetPositionTrsUnderlyingBuilder< ore::data::CommodityPosition >	CommodityPositionTrsUnderlyingBuilder

typedef boost::variant< QuantLib::Period, QuantLib::Natural >	PaymentLag

using	ASTNodePtr = boost::shared_ptr< ASTNode >

using	ScriptGrammarIterator = boost::spirit::line_pos_iterator< std::string::const_iterator >

using	ValueType = boost::variant< RandomVariable, EventVec, CurrencyVec, IndexVec, DaycounterVec, Filter >

typedef boost::log::sinks::synchronous_sink< boost::log::sinks::text_file_backend >	file_sink

typedef boost::log::sinks::synchronous_sink< boost::log::sinks::text_ostream_backend >	cout_sink

typedef rapidxml::xml_node< char >	XMLNode

Enumerations
enum class	YieldCurveType { Discount = 0 , Yield = 1 , EquityDividend = 2 }

enum class	MarketObject { DiscountCurve = 0 , YieldCurve = 1 , IndexCurve = 2 , SwapIndexCurve = 3 , FXSpot = 4 , FXVol = 5 , SwaptionVol = 6 , DefaultCurve = 7 , CDSVol = 8 , BaseCorrelation = 9 , CapFloorVol = 10 , ZeroInflationCurve = 11 , YoYInflationCurve = 12 , ZeroInflationCapFloorVol = 13 , YoYInflationCapFloorVol = 14 , EquityCurve = 15 , EquityVol = 16 , Security = 17 , CommodityCurve = 18 , CommodityVolatility = 19 , Correlation = 20 , YieldVol = 21 }

enum class	ParamType { Constant , Piecewise }
	Supported calibration parameter type.

enum class	CalibrationType { Bootstrap , BestFit , None }
	Supported calibration types. More...

enum class	CalibrationStrategy { CoterminalATM , CoterminalDealStrike , UnderlyingATM , UnderlyingDealStrike , None }
	Supported calibration strategies.

enum class	CommodityPayRelativeTo { CalculationPeriodEndDate , CalculationPeriodStartDate , TerminationDate , FutureExpiryDate }

enum class	CommodityPriceType { Spot , FutureSettlement }

enum class	CommodityPricingDateRule { FutureExpiryDate , None }

enum class	CdsTier { SNRFOR , SUBLT2 , SNRLAC , SECDOM , JRSUBUT2 , PREFT1 , LIEN1 , LIEN2 , LIEN3 }
	CDS debt tier enumeration.

enum class	CdsDocClause { CR , MM , MR , XR , CR14 , MM14 , MR14 , XR14 }
	CDS documentation clause enumeration.

enum class	IsdaRulesDefinitions { y2003 = 2003 , y2014 = 2014 }
	ISDA CDS documentation rules set enumeration.

enum class	CreditEventType { BANKRUPTCY , FAILURE_TO_PAY , RESTRUCTURING , OBLIGATION_ACCELERATION , OBLIGATION_DEFAULT , REPUDIATION_MORATORIUM , GOVERNMENTAL_INTERVENTION }
	ISDA credit event types enumeration.

enum class	CreditEventTiers { SNR , SUB , SNRLAC , SNR_SUB , SNR_SNRLAC , SUB_SNRLAC , SNR_SUB_SNRLAC }
	ISDA credit event seniority sets enumeration.

enum class	MarketContext { irCalibration , fxCalibration , eqCalibration , pricing }

enum class	AmortizationType { None , FixedAmount , RelativeToInitialNotional , RelativeToPreviousNotional , Annuity , LinearToMaturity }

enum class	AssetClass { EQ , FX , COM , IR , INF , CR , BOND , BOND_INDEX }

enum class	Extrapolation { None , UseInterpolator , Flat }
	Enumeration for holding various extrapolation settings.

enum class	MomentType { Variance , Volatility }

enum class	CreditPortfolioSensitivityDecomposition { Underlying , NotionalWeighted , LossWeighted , DeltaWeighted }
	Enumeration CreditPortfolioSensitivityDecomposition.

Functions
QuantLib::VolatilityType	volatilityType (CapFloorVolatilityCurveConfig::VolatilityType type)
	Imply QuantLib::VolatilityType from CapFloorVolatilityCurveConfig::VolatilityType.

std::ostream &	operator<< (std::ostream &out, Convention::Type type)

bool	operator< (const CommodityFutureConvention::ProhibitedExpiry &lhs, const CommodityFutureConvention::ProhibitedExpiry &rhs)
	Compare two prohibited expiries.

bool	indexNameLessThan (const std::string &index1, const std::string &index2)

std::ostream &	operator<< (std::ostream &out, EquityCurveConfig::Type t)

std::ostream &	operator<< (std::ostream &out, QuantLib::Exercise::Type t)

EquityCurveConfig::Type	parseEquityCurveConfigType (const std::string &str)

std::ostream &	operator<< (std::ostream &out, GenericYieldVolatilityCurveConfig::VolatilityType t)

std::ostream &	operator<< (std::ostream &out, InflationCapFloorVolatilityCurveConfig::VolatilityType t)

std::ostream &	operator<< (std::ostream &out, InflationCapFloorVolatilityCurveConfig::QuoteType t)

ReportConfig	effectiveReportConfig (const ReportConfig &globalConfig, const ReportConfig &localConfig)

bool	operator< (const VolatilityConfig &vc1, const VolatilityConfig &vc2)

std::ostream &	operator<< (std::ostream &os, const CurveSpec &spec)
	Stream operator for CurveSpec.

std::ostream &	operator<< (std::ostream &os, const CurveSpec::CurveType &t)
	Stream operator for CurveType.

bool	operator< (const CurveSpec &lhs, const CurveSpec &rhs)
	Relational operators for CurveSpecs.

bool	operator== (const CurveSpec &lhs, const CurveSpec &rhs)

bool	operator< (const boost::shared_ptr< CurveSpec > &lhs, const boost::shared_ptr< CurveSpec > &rhs)

bool	operator== (const boost::shared_ptr< CurveSpec > &lhs, const boost::shared_ptr< CurveSpec > &rhs)

boost::shared_ptr< CurveSpec >	parseCurveSpec (const std::string &)
	function to convert a string into a curve spec

CurveSpec::CurveType	parseCurveConfigurationType (const std::string &)
	function to convert a curve configuration node string into a curve spec type

std::ostream &	operator<< (std::ostream &os, const Expiry &expiry)
	Write `strike` to stream.

boost::shared_ptr< Expiry >	parseExpiry (const std::string &strExpiry)
	Parse an Expiry from its string representation, `strExpiry`.

bool	operator< (const Fixing &f1, const Fixing &f2)
	Compare fixings.

void	applyFixings (const std::set< Fixing > &fixings)
	Utility to write a vector of fixings in the QuantLib index manager's fixing history.

QuantLib::Date	getInflationSwapStart (const Date &asof, const InflationSwapConvention &convention)

void	loadDataFromBuffers (InMemoryLoader &loader, const std::vector< std::string > &marketData, const std::vector< std::string > &fixingData, bool implyTodaysFixings=false)
	Utility function for loading market quotes and fixings from an in memory csv buffer. More...

std::ostream &	operator<< (std::ostream &, const struct PseudoCurrencyMarketParameters &)

struct PseudoCurrencyMarketParameters	buildPseudoCurrencyMarketParameters (const std::map< string, string > &pricingEngineGlobalParameters=std::map< string, string >())
	Function to build parameters from PricingEngine GlobalParametrs. More...

bool	operator< (const MarketDatum &a, const MarketDatum &b)

std::ostream &	operator<< (std::ostream &out, const MarketDatum::QuoteType &type)

std::ostream &	operator<< (std::ostream &out, const MarketDatum::InstrumentType &type)

boost::shared_ptr< MarketDatum >	parseMarketDatum (const Date &, const string &, const Real &)
	Function to parse a market datum.

Date	getDateFromDateOrPeriod (const string &token, Date asof, QuantLib::Calendar cal=QuantLib::WeekendsOnly(), QuantLib::BusinessDayConvention bdc=QuantLib::BusinessDayConvention::Following)
	Get a date from a date string or period.

boost::variant< QuantLib::Period, FXForwardQuote::FxFwdString >	parseFxPeriod (const string &s)
	Convert text to QuantLib::Period of Fx forward string.

QuantLib::Period	fxFwdQuoteTenor (const boost::variant< QuantLib::Period, FXForwardQuote::FxFwdString > &term)

QuantLib::Period	fxFwdQuoteStartTenor (const boost::variant< QuantLib::Period, FXForwardQuote::FxFwdString > &term, const boost::shared_ptr< FXConvention > &fxConvention=nullptr)

bool	matchFxFwdStringTerm (const boost::variant< QuantLib::Period, FXForwardQuote::FxFwdString > &term, const FXForwardQuote::FxFwdString &fxfwdString)

std::ostream &	operator<< (std::ostream &os, const BaseStrike &strike)
	Write `strike` to stream.

std::ostream &	operator<< (std::ostream &os, QuantLib::DeltaVolQuote::DeltaType type)
	Write `deltaType` to stream. Not provided in QuantLib so add it here.

std::ostream &	operator<< (std::ostream &os, QuantLib::DeltaVolQuote::AtmType type)
	Write `atmType` to stream. Not provided in QuantLib so add it here.

std::ostream &	operator<< (std::ostream &os, MoneynessStrike::Type type)
	Write MoneynessStrike::Type, `type`, to stream.

MoneynessStrike::Type	parseMoneynessType (const std::string &type)
	Parse MoneynessStrike::Type from `type`.

boost::shared_ptr< BaseStrike >	parseBaseStrike (const std::string &strStrike)
	Parse a Strike from its string representation, `strStrike`.

template<class Archive >
void	registerBaseStrike (Archive &ar)

std::ostream &	operator<< (std::ostream &o, const DependencyGraph::Node &n)

std::ostream &	operator<< (std::ostream &out, const MarketObject &o)
	Market Configuration structure. More...

std::set< MarketObject >	getMarketObjectTypes ()

YieldCurve::InterpolationMethod	parseYieldCurveInterpolationMethod (const string &s)
	Helper function for parsing interpolation method.

YieldCurve::InterpolationVariable	parseYieldCurveInterpolationVariable (const string &s)
	Helper function for parsing interpolation variable.

template<template< class > class CurveType>
boost::shared_ptr< YieldTermStructure >	buildYieldCurve (const vector< Date > &dates, const vector< QuantLib::Real > &rates, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
	Templated function to build a YieldTermStructure and apply interpolation methods to it.

boost::shared_ptr< YieldTermStructure >	zerocurve (const vector< Date > &dates, const vector< Rate > &yields, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
	Create a Interpolated Zero Curve and apply interpolators.

boost::shared_ptr< YieldTermStructure >	discountcurve (const vector< Date > &dates, const vector< DiscountFactor > &dfs, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
	Create a Interpolated Discount Curve and apply interpolators.

boost::shared_ptr< YieldTermStructure >	forwardcurve (const vector< Date > &dates, const vector< Rate > &forwards, const DayCounter &dayCounter, YieldCurve::InterpolationMethod interpolationMethod)
	Create a Interpolated Forward Curve and apply interpolators.

template<class T >
boost::shared_ptr< CalibrationInstrument >	createCalibrationInstrument ()

CrCirData::CalibrationStrategy	parseCirCalibrationStrategy (const string &s)

std::ostream &	operator<< (std::ostream &oss, const CrCirData::CalibrationStrategy &s)

CrossAssetModel::Discretization	parseDiscretization (const string &s)

ParamType	parseParamType (const string &s)
	Convert parameter type string into enumerated class value.

std::ostream &	operator<< (std::ostream &oss, const ParamType &type)
	Convert enumerated class value into a string.

CalibrationType	parseCalibrationType (const string &s)
	Convert calibration type string into enumerated class value.

std::ostream &	operator<< (std::ostream &oss, const CalibrationType &type)
	Convert enumerated class value into a string.

CalibrationStrategy	parseCalibrationStrategy (const string &s)
	Convert calibration strategy string into enumerated class value.

std::ostream &	operator<< (std::ostream &oss, const CalibrationStrategy &type)
	Convert enumerated class value into a string.

LgmData::ReversionType	parseReversionType (const string &s)
	Enum parsers used in CrossAssetModelBuilder's fromXML.

LgmData::VolatilityType	parseVolatilityType (const string &s)

std::ostream &	operator<< (std::ostream &oss, const LgmData::ReversionType &type)
	Enum to string used in CrossAssetModelBuilder's toXML.

std::ostream &	operator<< (std::ostream &oss, const LgmData::VolatilityType &type)

template<typename Helper >
Real	getCalibrationError (const std::vector< boost::shared_ptr< Helper >> &basket)

std::string	getCalibrationDetails (LgmCalibrationInfo &info, const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< IrLgm1fParametrization > &parametrization=boost::shared_ptr< IrLgm1fParametrization >())

std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< FxBsParametrization > &parametrization=boost::shared_ptr< FxBsParametrization >(), const boost::shared_ptr< Parametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())

std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< FxBsParametrization > &parametrization=boost::shared_ptr< FxBsParametrization >(), const boost::shared_ptr< IrLgm1fParametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())

std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< EqBsParametrization > &parametrization=boost::shared_ptr< EqBsParametrization >(), const boost::shared_ptr< Parametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())

std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< EqBsParametrization > &parametrization=boost::shared_ptr< EqBsParametrization >(), const boost::shared_ptr< IrLgm1fParametrization > &domesticLgm=boost::shared_ptr< IrLgm1fParametrization >())

std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< InfDkParametrization > &parametrization=boost::shared_ptr< InfDkParametrization >(), bool indexIsInterpolated=true)

std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< BlackCalibrationHelper >> &basket, const boost::shared_ptr< CommoditySchwartzParametrization > &parametrization=boost::shared_ptr< CommoditySchwartzParametrization >())

std::string	getCalibrationDetails (const std::vector< boost::shared_ptr< CalibrationHelper >> &realRateBasket, const std::vector< boost::shared_ptr< CalibrationHelper >> &indexBasket, const boost::shared_ptr< InfJyParameterization > &parameterization, bool calibrateRealRateVol=false)

std::string	getCalibrationDetails (const boost::shared_ptr< IrLgm1fParametrization > &parametrization)

QuantLib::Date	optionMaturity (const boost::variant< QuantLib::Date, QuantLib::Period > &maturity, const QuantLib::Calendar &calendar, const QuantLib::Date &referenceDate=Settings::instance().evaluationDate())
	Return an option's maturity date, given an explicit date or a period.

Real	cpiCapFloorStrikeValue (const boost::shared_ptr< BaseStrike > &strike, const boost::shared_ptr< ZeroInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
	Return a cpi cap/floor strike value, the input strike can be of type absolute or atm forward.

Real	yoyCapFloorStrikeValue (const boost::shared_ptr< BaseStrike > &strike, const boost::shared_ptr< YoYInflationTermStructure > &curve, const QuantLib::Date &optionMaturityDate)
	Return a yoy cap/floor strike value, the input strike can be of type absolute or atm forward.

Real	atmForward (const Real s0, const Handle< YieldTermStructure > &r, const Handle< YieldTermStructure > &q, const Real t)
	helper function that computes the atm forward

bool	operator< (const BasketConstituent &lhs, const BasketConstituent &rhs)

void	populateFromBondReferenceData (std::string &subType, std::string &issuerId, std::string &settlementDays, std::string &calendar, std::string &issueDate, std::string &priceQuoteMethod, std::string &priceQuoteBaseValue, std::string &creditCurveId, std::string &creditGroup, std::string &referenceCurveId, std::string &incomeCurveId, std::string &volatilityCurveId, std::vector< LegData > &coupons, const std::string &name, const boost::shared_ptr< BondReferenceDatum > &bondRefData, const std::string &startDate="", const std::string &endDate="")
	Populate bond data from name and ReferenceDataManager. More...

Date	getOpenEndDateReplacement (const std::string &replacementPeriodStr, const Calendar &calendar=NullCalendar())

std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure > >	buildPerformanceOptimizedDefaultCurves (const std::vector< QuantLib::Handle< QuantLib::DefaultProbabilityTermStructure >> &curves)
	Engine Builder base class for CDOs. More...

bool	operator== (const CDSEngineKey &lhs, const CDSEngineKey &rhs)

bool	operator< (const CDSEngineKey &lhs, const CDSEngineKey &rhs)

bool	operator!= (const CDSEngineKey &lhs, const CDSEngineKey &rhs)

bool	operator> (const CDSEngineKey &lhs, const CDSEngineKey &rhs)

bool	operator<= (const CDSEngineKey &lhs, const CDSEngineKey &rhs)

bool	operator>= (const CDSEngineKey &lhs, const CDSEngineKey &rhs)

CommodityPayRelativeTo	parseCommodityPayRelativeTo (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const CommodityPayRelativeTo &cprt)

CommodityPriceType	parseCommodityPriceType (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const CommodityPriceType &cpt)

CommodityPricingDateRule	parseCommodityPricingDateRule (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const CommodityPricingDateRule &cpdr)

CdsTier	parseCdsTier (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const CdsTier &cdsTier)

CdsDocClause	parseCdsDocClause (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const CdsDocClause &cdsDocClause)

IsdaRulesDefinitions	parseIsdaRulesDefinitions (const std::string &s)

IsdaRulesDefinitions	isdaRulesDefinitionsFromDocClause (const CdsDocClause &cdsDocClause)

CreditEventType	parseCreditEventType (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const CreditEventType &creditEventType)

bool	isTriggeredDocClause (CdsDocClause contractDocClause, CreditEventType creditEventType)

CreditEventTiers	parseCreditEventTiers (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const CreditEventTiers &creditEventTiers)

bool	isAuctionedSeniority (CdsTier contractTier, CreditEventTiers creditEventTiers)

bool	tryParseCdsInformation (std::string strInfo, CdsReferenceInformation &cdsInfo)

bool	operator== (const EngineData &lhs, const EngineData &rhs)

bool	operator!= (const EngineData &lhs, const EngineData &rhs)

std::ostream &	operator<< (std::ostream &out, const RequiredFixings &f)

void	addToRequiredFixings (const QuantLib::Leg &leg, const boost::shared_ptr< FixingDateGetter > &fixingDateGetter)

void	amendInflationFixingDates (std::map< std::string, std::set< QuantLib::Date >> &fixings)

void	addMarketFixingDates (const QuantLib::Date &asof, std::map< std::string, std::set< QuantLib::Date >> &fixings, const TodaysMarketParameters &mktParams, const QuantLib::Period &iborLookback=5 QuantLib::Days, const QuantLib::Period &oisLookback=4 QuantLib::Months, const QuantLib::Period &bmaLookback=2 QuantLib::Weeks, const QuantLib::Period &inflationLookback=1 QuantLib::Years)

template<class T >
boost::shared_ptr< LegAdditionalData >	createLegData ()

QuantLib::Leg	makeNonStandardIborLeg (const boost::shared_ptr< QuantLib::IborIndex > &index, const std::vector< QuantLib::Date > &calcDates, const std::vector< QuantLib::Date > &payDates, const std::vector< QuantLib::Date > &fixingDates, const std::vector< QuantLib::Date > &resetDates, const QuantLib::Size fixingDays, const std::vector< QuantLib::Real > &notionals, const std::vector< QuantLib::Date > &notionalDates, const std::vector< QuantLib::Real > &spreads, const std::vector< QuantLib::Date > &spreadDates, const std::vector< QuantLib::Real > &gearings, const std::vector< QuantLib::Date > &gearingDates, const bool strictNotionalDates, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &payCalendar, const QuantLib::BusinessDayConvention payConv, const QuantLib::Period &payLag, const bool isInArrears)

QuantLib::Leg	makeNonStandardFixedLeg (const std::vector< QuantLib::Date > &calcDates, const std::vector< QuantLib::Date > &payDates, const std::vector< QuantLib::Real > &notionals, const std::vector< QuantLib::Date > &notionalDates, const std::vector< QuantLib::Real > &rates, const std::vector< QuantLib::Date > &rateDates, const bool strictNotionalDates, const QuantLib::DayCounter &dayCounter, const QuantLib::Calendar &payCalendar, const QuantLib::BusinessDayConvention payConv, const QuantLib::Period &payLag)

CSA::Type	parseCsaType (const string &s)

std::ostream &	operator<< (std::ostream &out, CSA::Type t)

bool	operator< (const NettingSetDetails &lhs, const NettingSetDetails &rhs)
	Comparison operators.

bool	operator== (const NettingSetDetails &lhs, const NettingSetDetails &rhs)

bool	operator!= (const NettingSetDetails &lhs, const NettingSetDetails &rhs)

std::ostream &	operator<< (std::ostream &out, const NettingSetDetails &nettingSetDetails)
	Enable writing of netting set details.

std::ostream &	operator<< (std::ostream &out, const OptionPaymentData::RelativeTo &relativeTo)
	Print RelativeTo enum values.

std::pair< boost::shared_ptr< Trade >, bool >	buildTrade (boost::shared_ptr< Trade > &trade, const boost::shared_ptr< EngineFactory > &engineFactory, const std::string &context, const bool buildFailedTrades, const bool emitStructuredError)

bool	operator== (const RangeBound &a, const RangeBound &b)

std::ostream &	operator<< (std::ostream &out, const RangeBound &t)

std::ostream &	operator<< (std::ostream &out, const std::vector< RangeBound > &t)

bool	operator< (const CreditIndexConstituent &lhs, const CreditIndexConstituent &rhs)
	Compare CreditIndexConstituent instances using their name.

template<class T >
boost::shared_ptr< AbstractReferenceDatumBuilder >	createReferenceDatumBuilder ()

QuantLib::Schedule	makeSchedule (const ScheduleData &data, const QuantLib::Date &openEndDateReplacement=QuantLib::Null< QuantLib::Date >(), const map< string, QuantLib::Schedule > &baseSchedules=map< string, QuantLib::Schedule >())
	Functions.

QuantLib::Schedule	makeSchedule (const ScheduleDates &dates)

QuantLib::Schedule	makeSchedule (const ScheduleRules &rules, const QuantLib::Date &openEndDateReplacement=QuantLib::Null< QuantLib::Date >())

QuantLib::Schedule	makeSchedule (const ScheduleDerived &derived, const QuantLib::Schedule &baseSchedule)

std::string	isdaSubProductSwap (const std::string &tradeId, const vector< LegData > &legData)

TRS::FundingData::NotionalType	parseTrsFundingNotionalType (const std::string &s)

std::ostream &	operator<< (std::ostream &os, const TRS::FundingData::NotionalType t)

void	modifyBondTRSLeg (QuantLib::Leg &leg, QuantLib::Date issueDate)

Leg	makeBondTRSLeg (const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const BondIndexBuilder &bondIndexBuilder, QuantLib::Real initialPrice=QuantLib::Null< QuantLib::Real >(), QuantLib::ext::shared_ptr< QuantExt::FxIndex > fxIndex=nullptr)

std::string	to_string (const LocationInfo &l)

std::string	to_string (const ASTNodePtr root, const bool printLocationInfo=true)

void	reset (const ASTNodePtr root)

std::string	to_script (const ASTNodePtr root)

std::ostream &	operator<< (std::ostream &out, const Context &context)

ASTNodePtr	generateRandomAST (const Size maxSequenceLength=10, const Size maxDepth=5, const Size seed=42)

std::ostream &	operator<< (std::ostream &out, const ParserError &error)

std::string	printCodeContext (std::string script, const ASTNode *loc, bool compact=false)

std::vector< Date >	coarsenDateGrid (const std::vector< Date > &date, const std::string &rule, const Date &referenceDate=Null< Date >())

std::pair< std::string, ScriptedTradeScriptData >	getScript (const ScriptedTrade &scriptedTrade, const ScriptLibraryData &scriptLibrary, const std::string &purpose, const bool fallBackOnEmptyPurpose)

ASTNodePtr	parseScript (const std::string &code)

std::pair< std::string, Period >	convertIndexToCamCorrelationEntry (const std::string &i)

void	checkDuplicateName (const boost::shared_ptr< Context > context, const std::string &name)

boost::shared_ptr< Context >	makeContext (const Size nPaths, const std::string &gridCoarsening, const std::vector< std::string > &schedulesEligibleForCoarsening, const boost::shared_ptr< ReferenceDataManager > &referenceData, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters)

void	addNewSchedulesToContext (boost::shared_ptr< Context > context, const std::vector< ScriptedTradeScriptData::NewScheduleData > &newSchedules)

void	amendContextVariablesSizes (boost::shared_ptr< Context > context, const Size newSize)

std::ostream &	operator<< (std::ostream &o, const IndexInfo &i)

std::vector< std::function< RandomVariable(const std::vector< const RandomVariable * > &)> >	multiPathBasisSystem (Size dim, Size order, QuantLib::LsmBasisSystem::PolynomialType type, Size basisSystemSizeBound=Null< Size >())

boost::shared_ptr< QuantExt::CommodityIndex >	parseScriptedCommodityIndex (const std::string &indexName, const QuantLib::Date &obsDate=Date())

std::pair< boost::shared_ptr< QuantLib::ZeroInflationIndex >, std::string >	parseScriptedInflationIndex (const std::string &indexName)

std::string	scriptedIndexName (const boost::shared_ptr< Underlying > &underlying)

Size	getInflationSimulationLag (const boost::shared_ptr< ZeroInflationIndex > &index)

std::map< std::string, std::vector< Real > >	getCalibrationStrikes (const std::vector< ScriptedTradeScriptData::CalibrationData > &calibrationSpec, const boost::shared_ptr< Context > &context)

bool	deterministic (const ValueType &v)

Size	size (const ValueType &v)

bool	operator== (const EventVec &a, const EventVec &b)

bool	operator== (const CurrencyVec &a, const CurrencyVec &b)

bool	operator== (const IndexVec &a, const IndexVec &b)

bool	operator== (const DaycounterVec &a, const DaycounterVec &b)

std::ostream &	operator<< (std::ostream &out, const EventVec &a)

std::ostream &	operator<< (std::ostream &out, const CurrencyVec &a)

std::ostream &	operator<< (std::ostream &out, const IndexVec &a)

std::ostream &	operator<< (std::ostream &out, const DaycounterVec &a)

ValueType	operator+ (const ValueType &x, const ValueType &y)

ValueType	operator- (const ValueType &x, const ValueType &y)

ValueType	operator* (const ValueType &x, const ValueType &y)

ValueType	operator/ (const ValueType &x, const ValueType &y)

ValueType	min (const ValueType &x, const ValueType &y)

ValueType	max (const ValueType &x, const ValueType &y)

ValueType	pow (const ValueType &x, const ValueType &y)

ValueType	operator- (const ValueType &x)

ValueType	abs (const ValueType &x)

ValueType	exp (const ValueType &x)

ValueType	log (const ValueType &x)

ValueType	sqrt (const ValueType &x)

ValueType	normalCdf (const ValueType &x)

ValueType	normalPdf (const ValueType &x)

ValueType	typeSafeAssign (ValueType &x, const ValueType &y)

Filter	equal (const ValueType &x, const ValueType &y)

Filter	notequal (const ValueType &x, const ValueType &y)

Filter	lt (const ValueType &x, const ValueType &y)

Filter	leq (const ValueType &x, const ValueType &y)

Filter	gt (const ValueType &x, const ValueType &y)

Filter	geq (const ValueType &x, const ValueType &y)

Filter	logicalNot (const ValueType &x)

Filter	logicalAnd (const ValueType &x, const ValueType &y)

Filter	logicalOr (const ValueType &x, const ValueType &y)

boost::shared_ptr< CurrencyHedgedEquityIndexDecomposition >	loadCurrencyHedgedIndexDecomposition (const std::string &name, const boost::shared_ptr< ore::data::ReferenceDataManager > &refDataMgr, const boost::shared_ptr< ore::data::CurveConfigurations > &curveConfigs)

boost::shared_ptr< DateGrid >	generateShiftedDateGrid (const boost::shared_ptr< DateGrid > &dg, const QuantLib::Period &shift=QuantLib::Period(2, QuantLib::Weeks))

boost::shared_ptr< DateGrid >	combineDateGrids (const boost::shared_ptr< DateGrid > &dg1, const boost::shared_ptr< DateGrid > &dg2)

std::vector< std::vector< std::string > >	flowAnalysis (const QuantLib::Leg &)
	Flow Analysis.

boost::shared_ptr< QuantExt::FxIndex >	parseFxIndex (const string &s, const Handle< Quote > &fxSpot=Handle< Quote >(), const Handle< YieldTermStructure > &sourceYts=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &targetYts=Handle< YieldTermStructure >(), const bool useConventions=false)
	Convert std::string to QuantExt::FxIndex.

boost::shared_ptr< IborIndex >	parseIborIndex (const string &s, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >())
	Convert std::string to QuantLib::IborIndex.

boost::shared_ptr< IborIndex >	parseIborIndex (const std::string &strIndex, std::string &outTenor, const QuantLib::Handle< QuantLib::YieldTermStructure > &h=QuantLib::Handle< QuantLib::YieldTermStructure >())
	Convert std::string to QuantLib::IborIndex and return the tenor string component of the index. More...

bool	tryParseIborIndex (const string &s, boost::shared_ptr< IborIndex > &index)
	Try to convert std::string to QuantLib::IborIndex.

bool	isGenericIborIndex (const string &indexName)
	Return true if the `indexName` is that of a generic ibor index, otherwise false.

std::pair< bool, boost::shared_ptr< QuantLib::ZeroInflationIndex > >	isInflationIndex (const std::string &indexName)

bool	isEquityIndex (const std::string &indexName)
	Return true if the `indexName` is that of an EquityIndex, otherwise false.

bool	isCommodityIndex (const std::string &indexName)
	Return true if the `indexName` is that of an CommodityIndex, otherwise false.

bool	isGenericIndex (const std::string &indexName)

boost::shared_ptr< QuantExt::EquityIndex2 >	parseEquityIndex (const string &s)
	Convert std::string (e.g SP5) to QuantExt::EquityIndex.

boost::shared_ptr< SwapIndex >	parseSwapIndex (const string &s, const Handle< YieldTermStructure > &forwarding=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &discounting=Handle< YieldTermStructure >())
	Convert std::string to QuantLib::SwapIndex.

boost::shared_ptr< ZeroInflationIndex >	parseZeroInflationIndex (const string &s, const Handle< ZeroInflationTermStructure > &h=Handle< ZeroInflationTermStructure >())
	Convert std::string to QuantLib::ZeroInflationIndex.

QL_DEPRECATED boost::shared_ptr< ZeroInflationIndex >	parseZeroInflationIndex (const string &s, bool isInterpolated, const Handle< ZeroInflationTermStructure > &h=Handle< ZeroInflationTermStructure >())

boost::shared_ptr< QuantExt::BondIndex >	parseBondIndex (const string &s)
	Convert std::string to QuantExt::BondIndex.

boost::shared_ptr< QuantExt::ConstantMaturityBondIndex >	parseConstantMaturityBondIndex (const string &s)
	Convert std::string to QuantExt::ConstantMaturityBondIndex.

boost::shared_ptr< QuantExt::CommodityIndex >	parseCommodityIndex (const std::string &name, bool hasPrefix=true, const QuantLib::Handle< QuantExt::PriceTermStructure > &ts=QuantLib::Handle< QuantExt::PriceTermStructure >(), const QuantLib::Calendar &cal=QuantLib::NullCalendar(), const bool enforceFutureIndex=true)

boost::shared_ptr< QuantLib::Index >	parseGenericIndex (const string &s)
	Convert std::string (GENERIC-...) to QuantExt::Index.

boost::shared_ptr< Index >	parseIndex (const string &s)
	Convert std::string to QuantLib::Index.

bool	isOvernightIndex (const std::string &indexName)
	Return true if the `indexName` is that of an overnight index, otherwise false.

bool	isBmaIndex (const std::string &indexName)
	Return true if the `indexName` is that of an bma/sifma index, otherwise false.

std::string	internalIndexName (const std::string &indexName)

bool	isFxIndex (const std::string &indexName)

std::string	inverseFxIndex (const std::string &indexName)

std::pair< QuantLib::Date, QuantLib::Period >	getStartAndLag (const QuantLib::Date &asof, const InflationSwapConvention &conv)

QuantLib::Date	getInflationSwapStart (const QuantLib::Date &asof, const InflationSwapConvention &conv)

void	initBuilders ()

std::ostream &	operator<< (std::ostream &out, const StructuredMessage::Category &)

std::ostream &	operator<< (std::ostream &out, const StructuredMessage::Group &)

std::ostream &	operator<< (std::ostream &out, const StructuredMessage &sm)

std::ostream &	operator<< (std::ostream &out, const EventMessage &em)

std::ostream &	operator<< (std::ostream &out, const ProgressMessage &pm)

std::string	xccyCurveName (const std::string &ccyCode)

QuantLib::Handle< QuantLib::YieldTermStructure >	xccyYieldCurve (const boost::shared_ptr< Market > &market, const std::string &ccyCode, const std::string &configuration=Market::defaultConfiguration)

QuantLib::Handle< QuantLib::YieldTermStructure >	xccyYieldCurve (const boost::shared_ptr< Market > &market, const std::string &ccyCode, bool &outXccyExists, const std::string &configuration=Market::defaultConfiguration)

std::string	securitySpecificCreditCurveName (const std::string &securityId, const std::string &creditCurveId)

std::string	creditCurveNameFromSecuritySpecificCreditCurveName (const std::string &name)

QuantLib::Handle< QuantExt::CreditCurve >	securitySpecificCreditCurve (const boost::shared_ptr< Market > &market, const std::string &securityId, const std::string &creditCurveId, const std::string &configuration=Market::defaultConfiguration)

std::pair< std::string, QuantLib::Period >	splitCurveIdWithTenor (const std::string &curveId)

QuantLib::Handle< QuantExt::CreditCurve >	indexCdsDefaultCurve (const boost::shared_ptr< Market > &market, const std::string &creditCurveId, const std::string &config)

std::string	prettyPrintInternalCurveName (std::string name)

boost::shared_ptr< QuantExt::FxIndex >	buildFxIndex (const string &fxIndex, const string &domestic, const string &foreign, const boost::shared_ptr< Market > &market, const string &configuration, bool useXbsCurves=false)

std::tuple< Natural, Calendar, BusinessDayConvention >	getFxIndexConventions (const string &index)

QuantLib::Date	parseDate (const string &s)
	Convert std::string to QuantLib::Date.

QuantLib::Real	parseReal (const string &s)
	Convert text to Real.

bool	tryParseReal (const string &s, QuantLib::Real &result)
	Attempt to convert text to Real. More...

QuantLib::Integer	parseInteger (const string &s)
	Convert text to QuantLib::Integer.

bool	parseBool (const string &s)
	Convert text to bool.

QuantLib::Calendar	parseCalendar (const string &s)
	Convert text to QuantLib::Calendar. More...

bool	isOnePeriod (const string &s)
	return true if s represents a period of the form [0-9]D\|W\|M\|Y

QuantLib::Period	parsePeriod (const string &s)
	Convert text to QuantLib::Period.

QuantLib::BusinessDayConvention	parseBusinessDayConvention (const string &s)
	Convert text to QuantLib::BusinessDayConvention.

QuantLib::DayCounter	parseDayCounter (const string &s)
	Convert text to QuantLib::DayCounter.

QuantLib::Currency	parseCurrency (const string &s)
	Convert text to QuantLib::Currency.

QuantLib::Currency	parseMinorCurrency (const string &s)
	Convert text to QuantLib::Currency for minor currencies e.g GBp -> GBPCurrency()

QuantLib::Currency	parseCurrencyWithMinors (const string &s)
	Convert text to QuantLib::Currency.

std::pair< QuantLib::Currency, QuantLib::Currency >	parseCurrencyPair (const string &s, const string &delimiters)
	Convert text to std::pair<QuantLib::Currency, QuantLib::Currency>

bool	checkCurrency (const string &code)
	check for vaid currency code, including minors and pseudo currencies

bool	isPseudoCurrency (const string &code)
	check for pseudo currency = precious metal or crypto currency *‍/

bool	isPreciousMetal (const string &code)
	check for precious metal *‍/

bool	isCryptoCurrency (const string &code)
	check for crypto currency *‍/

QuantLib::Real	convertMinorToMajorCurrency (const std::string &s, QuantLib::Real value)
	Convert a value from a minor ccy to major. More...

QuantLib::DateGeneration::Rule	parseDateGenerationRule (const string &s)
	Convert text to QuantLib::DateGeneration::Rule.

QuantLib::Frequency	parseFrequency (const string &s)
	Convert text to QuantLib::Frequency.

QuantLib::Compounding	parseCompounding (const string &s)
	Convert text to QuantLib::Compounding;.

QuantLib::Position::Type	parsePositionType (const string &s)
	Convert text to QuantLib::Position::Type.

QuantLib::Protection::Side	parseProtectionSide (const string &s)
	Convert text to QuantLib::Protection::Side.

QuantLib::Settlement::Type	parseSettlementType (const string &s)
	Convert text to QuantLib::Settlement::Type.

QuantLib::Settlement::Method	parseSettlementMethod (const string &s)
	Convert text to QuantLib::Settlement::Method.

QuantLib::Exercise::Type	parseExerciseType (const string &s)
	Convert text to QuantLib::Exercise::Type.

QuantLib::Option::Type	parseOptionType (const string &s)
	Convert text to QuantLib::Option::Type.

QuantLib::Bond::Price::Type	parseBondPriceType (const string &s)
	Convert text to QuantLib::Bond::Price::Type.

boost::variant< QuantLib::Date, QuantLib::Period >	parseDateOrPeriod (const string &s)
	Convert text to QuantLib::Period or QuantLib::Date.

void	parseDateOrPeriod (const string &s, QuantLib::Date &d, QuantLib::Period &p, bool &isDate)
	Convert text to QuantLib::Period or QuantLib::Date (deprecated version)

QuantLib::LsmBasisSystem::PolynomialType	parsePolynomType (const std::string &s)
	Convert text to QuantLib::LsmBasisSystem::PolynomialType.

std::ostream &	operator<< (std::ostream &os, QuantLib::LsmBasisSystem::PolynomialType a)
	Write QuantLib::LsmBasisSystem::PolynomialType to stream.

QuantLib::SobolBrownianGenerator::Ordering	parseSobolBrownianGeneratorOrdering (const std::string &s)
	Convert text to QuantLib::SobolBrownianGenerator::Ordering.

QuantLib::SobolRsg::DirectionIntegers	parseSobolRsgDirectionIntegers (const std::string &s)
	Convert text to QuantLib::SobolRsg::DirectionIntegers.

QuantLib::Weekday	parseWeekday (const std::string &s)

QuantLib::Month	parseMonth (const std::string &s)

PaymentLag	parsePaymentLag (const string &s)
	Convert text to PaymentLag.

template<class T >
std::vector< T >	parseListOfValues (string s, std::function< T(string)> parser)
	Convert comma separated list of values to vector of values.

template<class T >
std::vector< T >	parseVectorOfValues (std::vector< std::string > str, std::function< T(string)> parser)

std::vector< string >	parseListOfValues (string s, const char escape='\\', const char delim=',', const char quote='\"')

AmortizationType	parseAmortizationType (const std::string &s)

QuantExt::SequenceType	parseSequenceType (const std::string &s)
	Convert string to sequence type.

QuantLib::CPI::InterpolationType	parseObservationInterpolation (const std::string &s)
	Convert string to observation interpolation.

QuantLib::FdmSchemeDesc	parseFdmSchemeDesc (const std::string &s)
	Convert string to fdm scheme desc.

AssetClass	parseAssetClass (const std::string &s)
	Convert text to ore::data::AssetClass.

std::ostream &	operator<< (std::ostream &os, AssetClass a)
	Write ore::data::AssetClass to stream.

QuantLib::DeltaVolQuote::AtmType	parseAtmType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::AtmType.

QuantLib::DeltaVolQuote::DeltaType	parseDeltaType (const std::string &s)
	Convert text to QuantLib::DeltaVolQuote::DeltaType.

QuantLib::Rounding::Type	parseRoundingType (const std::string &s)
	Convert text to QuantLib::Rounding.

QuantLib::Barrier::Type	parseBarrierType (const string &s)
	Convert std::string to QuantLib::BarrierType.

QuantLib::DoubleBarrier::Type	parseDoubleBarrierType (const string &s)
	Convert std::string to QuantLib::DoubleBarrierType.

template<class T >
bool	tryParse (const std::string &str, T &obj, std::function< T(std::string)> parser)

bool	tryParseCurrency (const std::string &str, Currency &obj)

Extrapolation	parseExtrapolation (const std::string &s)
	Parse Extrapolation from string.

std::ostream &	operator<< (std::ostream &os, Extrapolation extrap)
	Write Extrapolation, `extrap`, to stream.

QuantLib::VolatilityType	parseVolatilityQuoteType (const std::string &s)

QuantLib::CapFloor::Type	parseCapFloorType (const std::string &s)

QuantLib::YoYInflationCapFloor::Type	parseYoYInflationCapFloorType (const std::string &s)

QuantExt::CrossAssetModel::AssetType	parseCamAssetType (const std::string &s)

std::pair< string, string >	parseBoostAny (const boost::any &anyType, Size precision=8)

QuantLib::RateAveraging::Type	parseOvernightIndexFutureNettingType (const std::string &s)
	Convert text to QuantLib::RateAveraging::Type.

std::ostream &	operator<< (std::ostream &os, QuantLib::RateAveraging::Type t)
	Write QuantLib::RateAveraging::Type to stream.

FutureConvention::DateGenerationRule	parseFutureDateGenerationRule (const std::string &s)
	Convert text to FutureConvention::DateGeneration.

std::ostream &	operator<< (std::ostream &os, FutureConvention::DateGenerationRule t)
	Write QuantLib::RateAveraging::Type to stream.

InflationSwapConvention::PublicationRoll	parseInflationSwapPublicationRoll (const std::string &s)
	Convert text to InflationSwapConvention::PublicationRoll.

std::ostream &	operator<< (std::ostream &os, InflationSwapConvention::PublicationRoll pr)
	Write InflationSwapConvention::PublicationRoll to stream.

std::ostream &	operator<< (std::ostream &os, SobolBrownianGenerator::Ordering t)
	Write QuantLib::SobolBrownianGenerator::Ordering to stream.

std::ostream &	operator<< (std::ostream &os, SobolRsg::DirectionIntegers t)
	Write QuantLib::SobolRsg::DirectionIntegers to stream.

std::ostream &	operator<< (std::ostream &os, QuantExt::CrossAssetModel::Discretization type)
	Enum to string used in ScenarioGeneratorData's toXML.

CommodityFutureConvention::AveragingData::CalculationPeriod	parseAveragingDataPeriod (const std::string &s)
	Convert text to CommodityFutureConvention::AveragingData::CalculationPeriod.

std::ostream &	operator<< (std::ostream &os, CommodityFutureConvention::AveragingData::CalculationPeriod cp)
	Write CommodityFutureConvention::AveragingData::CalculationPeriod to stream.

PriceSegment::Type	parsePriceSegmentType (const std::string &s)
	Convert text to PriceSegment::Type.

std::ostream &	operator<< (std::ostream &os, PriceSegment::Type pst)
	Write PriceSegment::Type to stream.

QuantExt::CommodityQuantityFrequency	parseCommodityQuantityFrequency (const std::string &s)
	Convert text to QuantExt::CommodityQuantityFrequency.

std::ostream &	operator<< (std::ostream &os, QuantExt::CommodityQuantityFrequency cqf)
	Write QuantExt::CommodityQuantityFrequency to stream.

QuantExt::CdsOption::StrikeType	parseCdsOptionStrikeType (const std::string &s)

QuantLib::Average::Type	parseAverageType (const std::string &s)

QuantExt::BondIndex::PriceQuoteMethod	parsePriceQuoteMethod (const std::string &s)

std::ostream &	operator<< (std::ostream &os, QuantExt::BondIndex::PriceQuoteMethod)
	Write PriceQuoteMethod to stream.

std::vector< std::string >	getCorrelationTokens (const std::string &name)
	Helper function to get the two tokens in a correlation name Index2:Index1.

string	fxDominance (const string &s1, const string &s2)
	Convert FX pair to market standard dominance. More...

string	normaliseFxIndex (const std::string &indexName)
	Convert FX index name to market standard dominance.

MomentType	parseMomentType (const std::string &s)
	Convert text to ore::data::MomentType.

CreditPortfolioSensitivityDecomposition	parseCreditPortfolioSensitivityDecomposition (const std::string &s)
	Convert text to CreditPortfolioSensitivitiyDecomposition.

std::ostream &	operator<< (std::ostream &os, const CreditPortfolioSensitivityDecomposition d)
	Output operator for CreditPortfolioSensitivityDecomposition.

QuantLib::Pillar::Choice	parsePillarChoice (const std::string &s)
	Convert text to QuantLib::Pillar::Choice.

Strike	parseStrike (const std::string &s)
	Convert text to Strike.

std::ostream &	operator<< (std::ostream &out, const Strike &s)
	Convert Strike to text.

bool	operator== (const Strike &s1, const Strike &s2)
	Logical comparison of strikes.

QuantLib::Real	computeAbsoluteStrike (const Strike &s, const QuantLib::Real atm, const QuantLib::Real atmf)
	Convenience function that computes an absolute strike.

std::ostream &	operator<< (std::ostream &out, const TimePeriod &t)

std::string	to_string (const QuantLib::Date &date)
	Convert QuantLib::Date to std::string. More...

std::string	to_string (bool aBool)
	Convert bool to std::string. More...

std::string	to_string (const QuantLib::Period &period)
	Convert QuantLib::Period to std::string. More...

template<class T >
std::string	to_string (const std::vector< T > &vec, const std::string &sep=",")
	Convert vector to std::string. More...

template<class T >
std::string	to_string (const std::set< T > &set, const std::string &sep=",")
	Convert set to std::string.

template<class T >
std::string	to_string (const T &t)
	Convert type to std::string. More...

template<typename T , typename Compare >
std::vector< std::size_t >	sort_permutation (const std::vector< T > &vec, Compare &compare)

template<typename T >
std::vector< T >	apply_permutation (const std::vector< T > &vec, const std::vector< std::size_t > &p)

template<typename T >
void	apply_permutation_in_place (std::vector< T > &vec, const std::vector< std::size_t > &p)

template<class C >
boost::optional< Wildcard >	getUniqueWildcard (const C &c)
	checks if at most one element in C has a wild card and returns it in this case

void	partitionQuotes (const std::set< std::string > &quoteNames, std::set< std::string > &names, std::set< std::string > &regexes)

void	partitionQuotes (const std::set< std::string > &quoteNames, std::set< std::string > &names, std::set< std::string > &regexes, std::set< std::string > &prefixes, const bool aggressivePrefixes=false)

Utilities for building QuantLib Legs
QuantExt::Leg	makeEquityMarginLeg (const ore::data::LegData &data, const boost::shared_ptr< QuantExt::EquityIndex2 > &equityCurve, const boost::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, const QuantLib::Date &openEndDateReplacement=QuantLib::Null< QuantLib::Date >())

Leg	makeFixedLeg (const LegData &data, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeZCFixedLeg (const LegData &data, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeIborLeg (const LegData &data, const boost::shared_ptr< IborIndex > &index, const boost::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer=true, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeOISLeg (const LegData &data, const boost::shared_ptr< OvernightIndex > &index, const boost::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer=true, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeBMALeg (const LegData &data, const boost::shared_ptr< QuantExt::BMAIndexWrapper > &indexWrapper, const boost::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeSimpleLeg (const LegData &data)

Leg	makeNotionalLeg (const Leg &refLeg, const bool initNomFlow, const bool finalNomFlow, const bool amortNomFlow, const QuantLib::Natural paymentLag, const BusinessDayConvention paymentConvention, const Calendar paymentCalendar, const bool excludeIndexing=true)

Leg	makeCPILeg (const LegData &data, const boost::shared_ptr< ZeroInflationIndex > &index, const boost::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeYoYLeg (const LegData &data, const boost::shared_ptr< InflationIndex > &index, const boost::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeCMSLeg (const LegData &data, const boost::shared_ptr< QuantLib::SwapIndex > &swapindex, const boost::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer=true, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeCMBLeg (const LegData &data, const boost::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer=true, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeDigitalCMSLeg (const LegData &data, const boost::shared_ptr< QuantLib::SwapIndex > &swapIndex, const boost::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer=true, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeCMSSpreadLeg (const LegData &data, const boost::shared_ptr< QuantLib::SwapSpreadIndex > &swapSpreadIndex, const boost::shared_ptr< EngineFactory > &engineFactory, const bool attachPricer=true, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeDigitalCMSSpreadLeg (const LegData &data, const boost::shared_ptr< QuantLib::SwapSpreadIndex > &swapSpreadIndex, const boost::shared_ptr< EngineFactory > &engineFactory, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Leg	makeEquityLeg (const LegData &data, const boost::shared_ptr< QuantExt::EquityIndex2 > &equityCurve, const boost::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, const QuantLib::Date &openEndDateReplacement=Null< Date >())

Real	currentNotional (const Leg &leg)

Real	originalNotional (const Leg &leg)

std::string	getCmbLegCreditRiskCurrency (const CMBLegData &ld, const boost::shared_ptr< ReferenceDataManager > &refData)

std::pair< std::string, SimmCreditQualifierMapping >	getCmbLegCreditQualifierMapping (const CMBLegData &ld, const boost::shared_ptr< ReferenceDataManager > &refData, const std::string &tradeId, const std::string &tradeType)

template<typename T >
vector< T >	buildScheduledVector (const vector< T > &values, const vector< string > &dates, const Schedule &schedule, const bool checkAllValuesAppearInResult=false)

template<typename T >
vector< T >	normaliseToSchedule (const vector< T > &values, const Schedule &schedule, const T &defaultValue)

template<typename T >
vector< T >	buildScheduledVectorNormalised (const vector< T > &values, const vector< string > &dates, const Schedule &schedule, const T &defaultValue, const bool checkAllValuesAppearInResult=false)

template<typename T >
vector< T >::const_iterator	checkAllValuesAppearInScheduledVector (const vector< T > &scheduledVecotr, const vector< T > &inputValues)

vector< double >	buildAmortizationScheduleFixedAmount (const vector< double > &notionals, const Schedule &schedule, const AmortizationData &data)

vector< double >	buildAmortizationScheduleRelativeToInitialNotional (const vector< double > &notionals, const Schedule &schedule, const AmortizationData &data)

vector< double >	buildAmortizationScheduleRelativeToPreviousNotional (const vector< double > &notionals, const Schedule &schedule, const AmortizationData &data)

vector< double >	buildAmortizationScheduleFixedAnnuity (const vector< double > &notionals, const vector< double > &rates, const Schedule &schedule, const AmortizationData &data, const DayCounter &dc)

void	applyAmortization (std::vector< Real > &notionals, const LegData &data, const Schedule &schedule, const bool annuityAllowed=false, const std::vector< Real > &rates=std::vector< Real >())

void	applyIndexing (Leg &leg, const LegData &data, const boost::shared_ptr< EngineFactory > &engineFactory, RequiredFixings &requiredFixings, const QuantLib::Date &openEndDateReplacement=Null< Date >(), const bool useXbsCurves=false)

Leg	joinLegs (const std::vector< Leg > &legs)

Leg	buildNotionalLeg (const LegData &data, const Leg &leg, RequiredFixings &requiredFixings, const boost::shared_ptr< Market > &market, const std::string &configuration)

Variables
const std::string	xccyCurveNamePrefix

Compare <code>CorrelationFactor</code>s.
typedef std::pair< CorrelationFactor, CorrelationFactor >	CorrelationKey

bool	operator< (const CorrelationFactor &lhs, const CorrelationFactor &rhs)

bool	operator== (const CorrelationFactor &lhs, const CorrelationFactor &rhs)

bool	operator!= (const CorrelationFactor &lhs, const CorrelationFactor &rhs)

std::ostream &	operator<< (std::ostream &out, const CorrelationFactor &f)
	Allow `CorrelationFactor`s to be written.

CorrelationFactor	parseCorrelationFactor (const std::string &name)

Detailed Description

Data Checks namespace

Typedef Documentation

◆ CorrelationKey

typedef std::pair<CorrelationFactor, CorrelationFactor> CorrelationKey

The key for storing the correlation data is the pair of factors.

Enumeration Type Documentation

◆ CalibrationType

enum CalibrationType

strong

Supported calibration types.

Enumerator
Bootstrap	Choose this option if the component's calibration strategy is expected to yield a perfect match of model to market prices. For example, this can be achieved when calibrating an IR component to a series of co-terminal swaptions with given mean reversion speed and piecewise volatility function (alpha) where jump times coincide with expiry dates in the swaption basket. Similarly, when calibrating an FX component to a series of FX Options. The calibration routine will throw an exception if no perfect match is achieved.
BestFit	Choose this if no perfect match like above can be expected, for example when an IR component with constant parameters is calibrated to a basket of swaptions. The calibration routine will consequently not throw an exception when the match is imperfect.
None	No calibration

◆ MarketContext

enum MarketContext

strong

Market configuration contexts. Note that there is only one pricing context. If several are needed (for different trade types, different collateral currencies etc.), several engine factories should be set up for each such portfolio subset.

Function Documentation

◆ getInflationSwapStart()

QuantLib::Date ore::data::getInflationSwapStart	(	const Date &	asof,
		const InflationSwapConvention &	convention
	)

Given an asof and inflation swap convention, determine the start date of an inflation swap.

In general, this just returns the asof. If the convention has a publication roll and a publication schedule, the swap start date will be generated according to this schedule.

◆ loadDataFromBuffers()

void ore::data::loadDataFromBuffers	(	InMemoryLoader &	loader,
		const std::vector< std::string > &	marketData,
		const std::vector< std::string > &	fixingData,
		bool	implyTodaysFixings = `false`
	)

Utility function for loading market quotes and fixings from an in memory csv buffer.

Parameters

loader	The loader that will be populated
marketData	QuantLib::Date Key Value in a single std::string, separated by blanks, tabs, colons or commas
fixingData	QuantLib::Date Index Fixing in a single std::string, separated by blanks, tabs, colons or commas
implyTodaysFixings	Enable/disable implying today's fixings

◆ buildPseudoCurrencyMarketParameters()

struct PseudoCurrencyMarketParameters ore::data::buildPseudoCurrencyMarketParameters ( const std::map< string, string > & pricingEngineGlobalParameters = std::map< string, string >() )

Function to build parameters from PricingEngine GlobalParametrs.

If no PricingEngine Global Parameters (PEGP) are provided the default params are returned which have treatAsFX = true. If PEGP are present, we look for the following fields

name="PseudoCurrency.TreatAsFX" value = true or false name="PseudoCurrency.BaseCurrency" value = currency code name="PseudoCurrency.FXIndexTag" value = Tag name for FX indices, e.g. GENERIC means we request correlation for "FX-GENERIC-USD-EUR" name="PseudeoCurrency.Curves.XXX" value = curve name, here XXX should be a 3 letter Precious metal or Crypto currency code name="PseudoCurrency.DefaultCorrelation" value = correlation. This is optional, if present we use this when the market has no correlation

A typical configuration is <pre> <GlobalParameters> <Parameter name="PseudoCurrency.TreatAsFX">false</Parameter> <Parameter name="PseudoCurrency.BaseCurrency">USD</Parameter> <Parameter name="PseudoCurrency.FXIndexTag">GENERIC</Parameter> <Parameter name="PseudoCurrency.Curve.XAU">PM:XAUUSD</Parameter> <Parameter name="PseudoCurrency.Curve.XBT">CRYPTO:XBTUSD</Parameter> </GlobalParameters> </pre>

◆ operator<()

bool ore::data::operator<	(	const BasketConstituent &	lhs,
		const BasketConstituent &	rhs
	)

Compare BasketConstituent instances using their credit curve ID.

If credit curve ID is not enough here, we should construct a private key member variable in BasketConstituent and make this operator a friend that uses the key.

◆ populateFromBondReferenceData()

void ore::data::populateFromBondReferenceData	(	std::string &	subType,
		std::string &	issuerId,
		std::string &	settlementDays,
		std::string &	calendar,
		std::string &	issueDate,
		std::string &	priceQuoteMethod,
		std::string &	priceQuoteBaseValue,
		std::string &	creditCurveId,
		std::string &	creditGroup,
		std::string &	referenceCurveId,
		std::string &	incomeCurveId,
		std::string &	volatilityCurveId,
		std::vector< LegData > &	coupons,
		const std::string &	name,
		const boost::shared_ptr< BondReferenceDatum > &	bondRefData,
		const std::string &	startDate = `""`,
		const std::string &	endDate = `""`
	)

Populate bond data from name and ReferenceDataManager.

The following elements are references and updated, if empty: issuerId settlementDays calendar issueDate creditCurveId creditGroup referenceCurveId incomeCurveId volatilityCurveId coupons

◆ operator<<()

std::ostream& ore::data::operator<<	(	std::ostream &	out,
		const RequiredFixings &	f
	)

allow output of required fixings data via streams

◆ addToRequiredFixings()

void ore::data::addToRequiredFixings	(	const QuantLib::Leg &	leg,
		const boost::shared_ptr< FixingDateGetter > &	fixingDateGetter
	)

Populates a RequiredFixings instance based on a given QuantLib::Leg

◆ amendInflationFixingDates()

void ore::data::amendInflationFixingDates ( std::map< std::string, std::set< QuantLib::Date >> & fixings )

Inflation fixings are generally available on a monthly, or coarser, frequency. When a portfolio is asked for its fixings, and it contains inflation fixings, ORE will by convention put the fixing date as the 1st day of the applicable inflation period. Some market data providers by convention supply the inflation fixings with the date as the last date of the applicable inflation period. This function scans the fixings map, and moves any inflation fixing dates from the 1st day of the inflation period to the last day of the inflation period. The key in the fixings map is the index name and the value is the set of dates for which we require the fixings.

If inflation indices have been set up via ZeroInflationIndex entries in the Conventions, the conventions should be passed here. If not, the default nullptr parameter will be sufficient.

◆ addMarketFixingDates()

void ore::data::addMarketFixingDates	(	const QuantLib::Date &	asof,
		std::map< std::string, std::set< QuantLib::Date >> &	fixings,
		const TodaysMarketParameters &	mktParams,
		const QuantLib::Period &	iborLookback = `5 *QuantLib::Days`,
		const QuantLib::Period &	oisLookback = `4 *QuantLib::Months`,
		const QuantLib::Period &	bmaLookback = `2 *QuantLib::Weeks`,
		const QuantLib::Period &	inflationLookback = `1 *QuantLib::Years`
	)

Add index and fixing date pairs to fixings that will be potentially needed to build a TodaysMarket.

These additional index and fixing date pairs are found by scanning the mktParams and:

for MarketObject::IndexCurve, take the ibor index name and add the dates for each weekday between settlement date minus iborLookback period or oisLookback period and settlement date. The distinction between Ibor and OIS is made here to cover the fixings necessary for OIS futures. The default value of 4 months covers OIS futures with a contract period of up to 3 months. It would need to be configured differently if OIS futures with a longer contract period are possible.
for MarketObject::ZeroInflationCurve, take the inflation index and add the first of each month between settlement date minus inflationLookback period and settlement date
for MarketObject::YoYInflationCurve, take the inflation index and add the first of each month between settlement date minus inflationLookback period and settlement date
for MarketObject::CommodityCurve, add fixings for future contracts expiring 2 months either side of the settlement date. The fixing dates are added for each weekday going back to the first day of the month that precedes the settlement date by 2 months. The approach here will give rise to some spot commodities being given a future contract name and dates added against them - this should not be a problem as there will be no fixings found for them in any case.

The original fixings map may be empty.

◆ coarsenDateGrid()

std::vector<Date> ore::data::coarsenDateGrid	(	const std::vector< Date > &	date,
		const std::string &	rule,
		const Date &	referenceDate = `Null< Date >()`
	)

coarsens given date grid starting at eval date using the given rule, which is of the form 3M(1W),1Y(1M),5Y(3M),10Y(1Y),50Y(5Y) the rough idea is out to 3M at least a 1W spacing is used, output 1Y a 1M spacing etc. for the exact algorithm that generates the coarsened grid, see the code

◆ getScript()

std::pair<std::string, ScriptedTradeScriptData> ore::data::getScript	(	const ScriptedTrade &	scriptedTrade,
		const ScriptLibraryData &	scriptLibrary,
		const std::string &	purpose,
		const bool	fallBackOnEmptyPurpose
	)

get product tag + script, if a name is defined in the scriptTrade, get the script from the library, otherwise from the trade itself; use the give purpose and fall back on an empty purpose if specified

◆ parseScript()

ASTNodePtr ore::data::parseScript ( const std::string & code )

parse script and return ast

◆ convertIndexToCamCorrelationEntry()

std::pair<std::string, Period> ore::data::convertIndexToCamCorrelationEntry ( const std::string & i )

convert a IR / FX / EQ index name to a correlation label that is understood by the cam builder; return the tenor of the index too (or 0*Days if not applicable)

◆ checkDuplicateName()

void ore::data::checkDuplicateName	(	const boost::shared_ptr< Context >	context,
		const std::string &	name
	)

check whether variable name is already present in given context, if yes throw an exception

◆ makeContext()

boost::shared_ptr<Context> ore::data::makeContext	(	const Size	nPaths,
		const std::string &	gridCoarsening,
		const std::vector< std::string > &	schedulesEligibleForCoarsening,
		const boost::shared_ptr< ReferenceDataManager > &	referenceData,
		const std::vector< ScriptedTradeEventData > &	events,
		const std::vector< ScriptedTradeValueTypeData > &	numbers,
		const std::vector< ScriptedTradeValueTypeData > &	indices,
		const std::vector< ScriptedTradeValueTypeData > &	currencies,
		const std::vector< ScriptedTradeValueTypeData > &	daycounters
	)

build a context from the given data and apply the given gridCoarsening rule, if required

◆ addNewSchedulesToContext()

void ore::data::addNewSchedulesToContext	(	boost::shared_ptr< Context >	context,
		const std::vector< ScriptedTradeScriptData::NewScheduleData > &	newSchedules
	)

add new schedules (as specified in the script node) to schedules

◆ amendContextVariablesSizes()

void ore::data::amendContextVariablesSizes	(	boost::shared_ptr< Context >	context,
		const Size	newSize
	)

maend the variables sizes in a context to a new size, this is only possible for deterministic variables

◆ multiPathBasisSystem()

std::vector<std::function<RandomVariable(const std::vector<const RandomVariable*>&)> > ore::data::multiPathBasisSystem	(	Size	dim,
		Size	order,
		QuantLib::LsmBasisSystem::PolynomialType	type,
		Size	basisSystemSizeBound = `Null< Size >()`
	)

helper function that returns a LSM basis system with size restriction: the order is reduced until the size of the basis system is not greater than the given bound (if this is not null) or the order is 1

◆ parseScriptedCommodityIndex()

boost::shared_ptr<QuantExt::CommodityIndex> ore::data::parseScriptedCommodityIndex	(	const std::string &	indexName,
		const QuantLib::Date &	obsDate = `Date()`
	)

This method tries to parse an commodity index name used in the scripting context

0) COMM-name 1) COMM-name-YYYY-MM-DD

2) COMM-name-YYYY-MM

3) CMMM-name#N#D#Cal 4) COMM-name#N#D

5) COMM-name#N

6) COMM-name!N

Here 0) - 2) are corresponding to the usual ORE conventions while 3) - 6) are specific to the scripting module: Expressions of the form 3) - 5) are resolved to one of the forms 1) and 2) using a given commodity future expiry calculator as follows:

3) COMM-name#N#D#Cal is resolved to the (N+1)th future with expiry greater than the given obsDate advanced by D business days w.r.t. Calendar Cal, N >= 0 4) as 3), Cal is taken as the commodity index's fixing calendar 5) as 4), D is set to 0 if not given 6) COMM-name!N is resolved to the future with month / year equal to the obsDate and monthOffst = N, N >=0

Notice that the forms 1) and 2) can be parsed without an obsDate and a commodity future convention given. If no convention is given, the fixing calendar in the index is set to the NullCalendar. In case a commodity future convention is given for the name, the fixing calendar is set to the calendar from the convention.

TODO if the form is COMM-name-YYYY-MM, the day of month of the expiry date will be set to 01, consistently with the ORE index parser, even if a convention is present, that would allow us to determine the correct expiry date. Should we use that latter date in the returned index?

Forms 3) to 6) on the other hand require a commodity future convention in any case, and an obsDate.

◆ parseScriptedInflationIndex()

std::pair<boost::shared_ptr<QuantLib::ZeroInflationIndex>, std::string> ore::data::parseScriptedInflationIndex ( const std::string & indexName )

This method tries to parse an inflation index name used in the scripting context

1) EUHICPXT 2) EUHICPXT::F 3) EUHICPXT::L

Here 1) is the original form used in ORE. This represents a non-interpolated index. 2,3) is the extended form including a flag indicating the interpolation F (flat, =1) or L (linear)

The function returns a ql inflation index accounting for the interpolation (but without ts attached), and the ORE index name without the #F, #L suffix.

◆ scriptedIndexName()

std::string ore::data::scriptedIndexName ( const boost::shared_ptr< Underlying > & underlying )

Builds an index (EQ-SP5-EUR, FX-ECB-EUR-USD, ...) that can be used in scripted trades, from an underlying

◆ getInflationSimulationLag()

Size ore::data::getInflationSimulationLag ( const boost::shared_ptr< ZeroInflationIndex > & index )

Get inflation simulation lag in calendar days

◆ getCalibrationStrikes()

std::map<std::string, std::vector<Real> > ore::data::getCalibrationStrikes	(	const std::vector< ScriptedTradeScriptData::CalibrationData > &	calibrationSpec,
		const boost::shared_ptr< Context > &	context
	)

Get map index => calibration strikes as vector<Real> from calibration spec and context

◆ parseCorrelationFactor()

CorrelationFactor ore::data::parseCorrelationFactor ( const std::string & name )

Parse a correlation factor name. For example, a name like IR:EUR is parsed to a CorrelationFactor with type, name and index set to IR, EUR and 0 respectively. Note that the name is of the form type:name and the index is always set to 0 initially. The actual index is set separately.

◆ isFxIndex()

bool ore::data::isFxIndex ( const std::string & indexName )

Check if index is an fx index

◆ inverseFxIndex()

std::string ore::data::inverseFxIndex ( const std::string & indexName )

Invert an fx index

◆ xccyCurveName()

std::string ore::data::xccyCurveName ( const std::string & ccyCode )

For a given currency code, ccyCode, return the internal name for the cross currency based yield curve.

For a given currency code, ccyCode, this function returns __XCCY__-ccyCode. This curve, if available, is currently used in special cases to allow for separate discount curves when discounting the cashflows on cross currency interest rate swaps.

◆ xccyYieldCurve() [1/2]

Handle< YieldTermStructure > xccyYieldCurve	(	const boost::shared_ptr< Market > &	market,
		const std::string &	ccyCode,
		const std::string &	configuration = `Market::defaultConfiguration`
	)

Attempt to return a yield curve from the market using the name generated by xccyCurveName(ccyCode). If no yield curve is available, return the discount curve for the given currency code, ccyCode.

Get a Xccy curve from given a market

◆ xccyYieldCurve() [2/2]

QuantLib::Handle<QuantLib::YieldTermStructure> ore::data::xccyYieldCurve	(	const boost::shared_ptr< Market > &	market,
		const std::string &	ccyCode,
		bool &	outXccyExists,
		const std::string &	configuration = `Market::defaultConfiguration`
	)

Attempt to return a yield curve from the market using the name generated by xccyCurveName(ccyCode). If no yield curve is available, return the discount curve for the given currency code, ccyCode. The parameter outXccyExists is populated with true if a yield curve was found under xccyCurveName(ccyCode) and it is populated with false if there was no such yield curve.

◆ securitySpecificCreditCurveName()

std::string ore::data::securitySpecificCreditCurveName	(	const std::string &	securityId,
		const std::string &	creditCurveId
	)

For a given security id and credit curve id return the internal name for a security specific copy of the credit curve. This is used to separate sensitivities on credit curves by securities.

◆ creditCurveNameFromSecuritySpecificCreditCurveName()

std::string ore::data::creditCurveNameFromSecuritySpecificCreditCurveName ( const std::string & name )

Return the credit curve id for a name generated with securitySpecificCreditCurveName(). If the name was not generated with securitySpecificCreditCurveName(), return the input name unchanged.

◆ securitySpecificCreditCurve()

QuantLib::Handle<QuantExt::CreditCurve> ore::data::securitySpecificCreditCurve	(	const boost::shared_ptr< Market > &	market,
		const std::string &	securityId,
		const std::string &	creditCurveId,
		const std::string &	configuration = `Market::defaultConfiguration`
	)

Attempt to return a security specific default curve using the name generated by 'securitySpecificCreditCurveName()'. If no such curve is available return the credit curve for the given creditCurveId.

◆ splitCurveIdWithTenor()

std::pair<std::string, QuantLib::Period> ore::data::splitCurveIdWithTenor ( const std::string & curveId )

Split curve name NAME_5Y into (NAME, 5Y), the period can be empty if not given

◆ indexCdsDefaultCurve()

QuantLib::Handle<QuantExt::CreditCurve> ore::data::indexCdsDefaultCurve	(	const boost::shared_ptr< Market > &	market,
		const std::string &	creditCurveId,
		const std::string &	config
	)

Get default curve for index cds from market:

if creditCurveId ends on _5Y (or any other term), use that to get the curve from the market
if such a curve is not available, fall back to creditCurveId without that suffix

◆ prettyPrintInternalCurveName()

std::string ore::data::prettyPrintInternalCurveName ( std::string name )

Pretty print an internal curve name occuring (once or several times) in a string (e.g. in a risk factor name).

◆ buildFxIndex()

boost::shared_ptr<QuantExt::FxIndex> ore::data::buildFxIndex	(	const string &	fxIndex,
		const string &	domestic,
		const string &	foreign,
		const boost::shared_ptr< Market > &	market,
		const string &	configuration,
		bool	useXbsCurves = `false`
	)

Build an Fx Index given a market. Note: sold==domestic, bought==foreign

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Classes

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Variables

Compare <code>CorrelationFactor</code>s.