▼Nore | Serializable Credit Default Swap |
►Nanalytics | |
CDummyMarket | DummyMarket |
►Ndata | |
Nos | |
CBaseCorrelationCurveConfig | Base Correlation term structure configuration |
CBootstrapConfig | |
CCapFloorVolatilityCurveConfig | |
CCDSVolatilityCurveConfig | |
►CPriceSegment | |
COffPeakDaily | Class to store quotes used in building daily off-peak power quotes |
CCommodityCurveConfig | Commodity curve configuration |
CCommodityVolatilityConfig | Commodity volatility configuration |
CConvention | Abstract base class for convention objects |
CConventions | Repository for currency dependent market conventions |
CInstrumentConventions | Singleton to hold conventions |
CZeroRateConvention | Container for storing Zero Rate conventions |
CDepositConvention | Container for storing Deposit conventions |
CFutureConvention | Container for storing Money Market Futures conventions |
CFraConvention | Container for storing Forward rate Agreement conventions |
COisConvention | Container for storing Overnight Index Swap conventions |
CIborIndexConvention | Container for storing Ibor Index conventions |
COvernightIndexConvention | Container for storing Overnight Index conventions |
CSwapIndexConvention | Container for storing Swap Index conventions |
CIRSwapConvention | Container for storing Interest Rate Swap conventions |
CAverageOisConvention | Container for storing Average OIS conventions |
CTenorBasisSwapConvention | Container for storing Tenor Basis Swap conventions |
CTenorBasisTwoSwapConvention | Container for storing conventions for Tenor Basis Swaps quoted as a spread of two interest rate swaps |
CBMABasisSwapConvention | Container for storing Libor-BMA Basis Swap conventions |
CFXConvention | Container for storing FX Spot quote conventions |
CCrossCcyBasisSwapConvention | Container for storing Cross Currency Basis Swap quote conventions |
CCrossCcyFixFloatSwapConvention | |
CCdsConvention | Container for storing Credit Default Swap quote conventions |
CInflationSwapConvention | |
CSecuritySpreadConvention | Container for storing Bond Spread Rate conventions |
CCmsSpreadOptionConvention | Container for storing CMS Spread Option conventions |
CCommodityForwardConvention | |
►CCommodityFutureConvention | |
CAveragingData | |
CBusinessDaysAfter | |
CCalendarDaysBefore | |
CDayOfMonth | Classes to differentiate constructors below |
COffPeakPowerIndexData | Class to store conventions for creating an off peak power index |
COptionExpiryAnchorDateRule | |
CProhibitedExpiry | Class to hold prohibited expiry information |
CWeeklyWeekday | |
CFxOptionConvention | Container for storing FX Option conventions |
CZeroInflationIndexConvention | |
CBondYieldConvention | |
CCorrelationCurveConfig | Correlation curve configuration |
CCurveConfig | Base curve configuration |
CCurveConfigurations | Container class for all Curve Configurations |
CCurveConfigurationsManager | |
►CDefaultCurveConfig | Default curve configuration |
CConfig | |
CEquityCurveConfig | Equity curve configuration |
CEquityVolatilityCurveConfig | Equity volatility structure configuration |
CFXSpotConfig | FXSpot configuration |
CFXVolatilityCurveConfig | FX volatility structure configuration |
CGenericYieldVolatilityCurveConfig | Generic yield volatility curve configuration class |
►CIborFallbackConfig | |
CFallbackData | |
CInflationCapFloorVolatilityCurveConfig | Inflation CapFloor volatility curve configuration class |
CInflationCurveConfig | |
COneDimSolverConfig | |
CReportConfig | |
CSecurityConfig | Security configuration |
CSwaptionVolatilityCurveConfig | Swaption volatility curve configuration class |
CVolatilityConfig | |
CProxyVolatilityConfig | |
CCDSProxyVolatilityConfig | |
CQuoteBasedVolatilityConfig | |
CConstantVolatilityConfig | |
CVolatilityCurveConfig | |
CVolatilitySurfaceConfig | |
CVolatilityStrikeSurfaceConfig | |
CVolatilityDeltaSurfaceConfig | |
CVolatilityMoneynessSurfaceConfig | |
CVolatilityApoFutureSurfaceConfig | |
CVolatilityConfigBuilder | |
CYieldCurveSegment | Base class for yield curve segments |
CDirectYieldCurveSegment | Direct yield curve segment |
CSimpleYieldCurveSegment | Simple yield curve segment |
CAverageOISYieldCurveSegment | Average OIS yield curve segment |
CTenorBasisYieldCurveSegment | Tenor Basis yield curve segment |
CCrossCcyYieldCurveSegment | Cross Currency yield curve segment |
CZeroSpreadedYieldCurveSegment | Zero Spreaded yield curve segment |
CWeightedAverageYieldCurveSegment | Weighted average yield curve segment |
CYieldPlusDefaultYieldCurveSegment | Yield plus default curves segment |
CDiscountRatioYieldCurveSegment | Discount ratio yield curve segment |
CFittedBondYieldCurveSegment | FittedBond yield curve segment |
CIborFallbackCurveSegment | Ibor Fallback yield curve segment |
CBondYieldShiftedYieldCurveSegment | Bond yield shifted yield curve segment |
CYieldCurveConfig | Yield Curve configuration |
CYieldVolatilityCurveConfig | Yield volatility curve configuration |
CAdjustmentFactors | Class to hold market data adjustment factors - for example equity stock splits |
CBaseCorrelationCurve | |
CCapFloorVolCurve | |
CCDSVolCurve | |
CClonedLoader | |
CCommodityCurve | |
CCommodityVolCurve | Wrapper class for building commodity volatility structures |
CCompositeLoader | |
CCorrelationCurve | Wrapper class for building correlation structures |
CCSVLoader | Utility class for loading market quotes and fixings from a file |
CCurveSpec | Curve Specification |
CYieldCurveSpec | Yield curve description |
CDefaultCurveSpec | Default curve description |
CCDSVolatilityCurveSpec | CDS Volatility curve description |
CBaseCorrelationCurveSpec | Base Correlation surface description |
CSwaptionVolatilityCurveSpec | Swaption Volatility curve description |
CYieldVolatilityCurveSpec | Yield volatility curve description |
CCapFloorVolatilityCurveSpec | Cap/Floor Volatility curve description |
CFXSpotSpec | FX Spot description |
CFXVolatilityCurveSpec | FX Volatility curve description |
CInflationCurveSpec | Inflation curve description |
CInflationCapFloorVolatilityCurveSpec | Inflation cap floor volatility description |
CEquityCurveSpec | Equity curve description |
CEquityVolatilityCurveSpec | Equity Volatility curve description |
CSecuritySpec | Security description |
CCommodityCurveSpec | Commodity curve description |
CCommodityVolatilityCurveSpec | Commodity volatility description |
CCorrelationCurveSpec | Correlation curve description |
CDefaultCurve | Wrapper class for building Swaption volatility structures |
►CDependencyGraph | |
CNode | |
CEquityCurve | Wrapper class for building Equity curves (spot quote, yield term structure, risk free IR term structure) |
CEquityVolCurve | Wrapper class for building Equity volatility structures |
CExpiry | |
CExpiryDate | |
CExpiryPeriod | |
CFutureContinuationExpiry | |
CFittedBondCurveHelperMarket | |
CFixing | Fixing data structure |
CFXTriangulation | |
CFXVolCurve | Wrapper class for building FX volatility structures |
CGenericYieldVolCurve | Wrapper class for building Generic yield volatility structures |
CInflationCapFloorVolCurve | |
CInflationCurve | Wrapper class for building inflation curves |
CInMemoryLoader | |
CLoader | Market data loader base class |
CPseudoCurrencyMarketParameters | Struct to store parameters for commodities to be treatred as pseudo currencies |
CGlobalPseudoCurrencyMarketParameters | Singleton to store Global parameters, this should be initialised at some point with PEGP |
CMarket | Market |
CMarketDatum | Base market data class |
CSharedPtrMarketDatumComparator | |
CMoneyMarketQuote | Money market data class |
CFRAQuote | FRA market data class |
CImmFraQuote | IMM FRA market data class |
CSwapQuote | Swap market data class |
CZeroQuote | |
CDiscountQuote | Discount market data class |
CMMFutureQuote | Money Market Future data class |
COIFutureQuote | Overnight index future data class |
CBasisSwapQuote | Basis Swap data class |
CBMASwapQuote | BMA Swap data class |
CCrossCcyBasisSwapQuote | Cross Currency Basis Swap data class |
CCrossCcyFixFloatSwapQuote | Cross Currency Fix Float Swap quote holder |
CCdsQuote | |
CHazardRateQuote | Hazard rate data class |
CRecoveryRateQuote | Recovery rate data class |
CSwaptionQuote | Swaption data class |
CSwaptionShiftQuote | Shift data class (for SLN swaption volatilities) |
CBondOptionQuote | Bond option data class |
CBondOptionShiftQuote | Shift data class (for SLN bond option volatilities) |
CCapFloorQuote | Cap/Floor data class |
CCapFloorShiftQuote | Shift data class (for SLN cap/floor volatilities) |
CFXSpotQuote | Foreign exchange rate data class |
CFXForwardQuote | Foreign exchange rate data class |
CFXOptionQuote | FX Option data class |
CZcInflationSwapQuote | ZC Inflation swap data class |
CInflationCapFloorQuote | Inflation Cap Floor data class |
CZcInflationCapFloorQuote | ZC Cap Floor data class |
CYoYInflationSwapQuote | YoY Inflation swap data class |
CYyInflationCapFloorQuote | YY Cap Floor data class |
CSeasonalityQuote | Inflation seasonality data class |
CEquitySpotQuote | Equity/Index spot price data class |
CEquityForwardQuote | Equity forward data class |
CEquityDividendYieldQuote | Equity/Index Dividend yield data class |
CEquityOptionQuote | Equity/Index Option data class |
CSecuritySpreadQuote | Bond spread data class |
CBaseCorrelationQuote | Base correlation data class |
CIndexCDSOptionQuote | CDS Index Option data class |
CCommoditySpotQuote | Commodity spot quote class |
CCommodityForwardQuote | Commodity forward quote class |
CCommodityOptionQuote | Commodity option data class |
CCorrelationQuote | Spread data class |
CCPRQuote | CPR data class |
CBondPriceQuote | Bond Price Quote |
CTransitionProbabilityQuote | Transition Probability data class |
CMarketImpl | Market Implementation |
CSecurity | Wrapper class for holding Bond Spread and recovery rate quotes |
CBaseStrike | |
CAbsoluteStrike | |
CDeltaStrike | |
CAtmStrike | |
CMoneynessStrike | |
CStructuredCurveErrorMessage | Utility class for Structured Curve errors, contains the curve ID |
CStructuredCurveWarningMessage | |
CSwaptionVolCurve | Wrapper class for building Swaption volatility structures |
CTodaysMarket | Today's Market |
CYieldCurveCalibrationInfo | |
CPiecewiseYieldCurveCalibrationInfo | |
CFittedBondCurveCalibrationInfo | |
CInflationCurveCalibrationInfo | |
CZeroInflationCurveCalibrationInfo | |
CYoYInflationCurveCalibrationInfo | |
CCommodityCurveCalibrationInfo | |
CFxEqCommVolCalibrationInfo | |
CIrVolCalibrationInfo | |
CTodaysMarketCalibrationInfo | |
CMarketConfiguration | |
CTodaysMarketParameters | Today's Market Parameters |
CWrappedMarket | Wrapped Market |
CYieldCurve | Wrapper class for building yield term structures |
CYieldVolCurve | Wrapper class for building Yield volatility structures |
CBlackScholesModelBuilder | |
CBlackScholesModelBuilderBase | |
CCalibrationInstrument | |
CCalibrationBasket | |
CCalibrationConfiguration | |
CCalibrationInstrumentFactory | |
CCpiCapFloor | |
CYoYCapFloor | |
CYoYSwap | |
CCalibrationPointCache | |
CCommoditySchwartzModelBuilder | Builder for a COM model component |
CCommoditySchwartzData | COM Schwartz Model Parameters |
CCrCirBuilder | Builder for a cir model component |
CCrCirData | |
CCrLgmBuilder | |
CCrLgmData | CR LGM Model Parameters |
CCrossAssetModelBuilder | Cross Asset Model Builder |
CInstantaneousCorrelations | InstantaneousCorrelations |
CCrossAssetModelData | Cross Asset Model Parameters |
CEqBsBuilder | Builder for a Lognormal EQ model component |
CEqBsData | EQ Model Parameters |
CFxBsBuilder | Builder for a Lognormal FX model component |
CFxBsData | FX Model Parameters |
CHwBuilder | Builder for a Hull White model or a HW component for the CAM |
CInfDkBuilder | |
CInfDkData | |
CInfJyBuilder | |
CInfJyData | |
CInflationModelData | |
CHwModelData | Hull White Model Parameters |
CIrLgmData | INF Model Parameters |
CIrModelData | Linear Gauss Markov Model Parameters |
CLgmBuilder | Builder for a Linear Gauss Markov model component |
CLgmData | Linear Gauss Markov Model Parameters |
CLgmReversionTransformation | |
CLocalVolModelBuilder | |
CModelData | |
CModelParameter | |
CVolatilityParameter | |
CReversionParameter | |
CStructuredModelErrorMessage | Utility class for Structured Model errors |
CAccumulator | |
CEquityAccumulator | |
CFxAccumulator | |
CCommodityAccumulator | |
CAscot | Serializable Convertible Bond |
CAsianOption | Serializable Asian Option |
CEquityAsianOption | |
CFxAsianOption | |
CCommodityAsianOption | |
CAutocallable_01 | |
CBarrierData | Serializable obejct holding barrier data |
CBarrierOption | Serializable FX Barrier Option |
CFxOptionWithBarrier | |
CEquityOptionWithBarrier | |
CBarrierOptionWrapper | Barrier Option Wrapper |
CSingleBarrierOptionWrapper | |
CDoubleBarrierOptionWrapper | |
CBasketConstituent | |
CBasketData | |
CBasketOption | |
CEquityBasketOption | |
CFxBasketOption | |
CCommodityBasketOption | |
CBasketVarianceSwap | |
CEquityBasketVarianceSwap | |
CFxBasketVarianceSwap | |
CCommodityBasketVarianceSwap | |
CBestEntryOption | |
CEquityBestEntryOption | |
CFxBestEntryOption | |
CCommodityBestEntryOption | |
CBondData | |
CBond | Serializable Bond |
►CBondBuilder | Bond Factory that builds bonds from reference data |
CResult | |
CBondFactory | |
CVanillaBondBuilder | |
CBondBasket | Serializable Bond-Basket Data |
CBondOption | Serializable Bond Option |
CBondPositionData | |
CBondPosition | |
CBondPositionInstrumentWrapper | Equity Position instrument wrapper |
CBondRepo | |
CBondTRS | |
CAscotEngineBuilder | |
CAscotIntrinsicEngineBuilder | |
CAsianOptionEngineBuilder | Abstract Engine Builder for Asian Options |
CEuropeanAsianOptionMCDAAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Arithmetic Average Price Options |
CEuropeanAsianOptionMCDAASEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Arithmetic Average Strike Options |
CEuropeanAsianOptionMCDGAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Geometric Average Price Options |
CEuropeanAsianOptionADGAPEngineBuilder | Discrete Analytic Engine Builder for European Asian Geometric Average Price Options |
CEuropeanAsianOptionADGASEngineBuilder | Discrete Analytic Engine Builder for European Asian Geometric Average Strike Options |
CEuropeanAsianOptionACGAPEngineBuilder | Continuous Analytic Engine Builder for European Asian Geometric Average Price Options |
CEuropeanAsianOptionTWEngineBuilder | Discrete Analytic TW Engine Builder for European Asian Arithmetic Average Price Options |
CAsianOptionScriptedEngineBuilder | |
CBondEngineBuilder | Engine Builder base class for Bonds |
CBondDiscountingEngineBuilder | Discounting Engine Builder class for Bonds |
CBondMultiStateDiscountingEngineBuilder | Multi State Engine Builder class for Bonds |
CBondOptionEngineBuilder | Engine builder for bond option |
CBondRepoEngineBuilderBase | Bond Repo engine builder base class |
CDiscountingBondRepoEngineBuilder | Discounting Bond Repo Engine Builder |
CAccrualBondRepoEngineBuilder | Accrual Bond Repo Engine Builder |
CBondTRSEngineBuilder | |
CDiscountingBondTRSEngineBuilder | |
CCachingEngineBuilder | Abstract template EngineBuilder class that can cache engines and coupon pricers |
CCapFloorEngineBuilder | Engine Builder for Caps, Floors and Collars on an IborIndex |
CCapFlooredAverageBMACouponLegEngineBuilder | CouponPricer Builder for CapFlooredAVerageBMACouponLeg |
CCapFlooredAverageONIndexedCouponLegEngineBuilder | CouponPricer Builder for CapFlooredOvernightIndexedCouponLeg |
CCapFlooredCpiLegCouponEngineBuilder | CouponPricer Builder for Capped/Floored CPI Inflation Leg |
CCapFlooredCpiLegCashFlowEngineBuilder | |
CCapFlooredIborLegEngineBuilder | CouponPricer Builder for CapFlooredIborLeg |
CCapFlooredNonStandardYoYLegEngineBuilder | CouponPricer Builder for Capped/Floored YoY Inflation Leg |
CCapFlooredOvernightIndexedCouponLegEngineBuilder | CouponPricer Builder for CapFlooredOvernightIndexedCouponLeg |
CCapFlooredYoYLegEngineBuilder | CouponPricer Builder for Capped/Floored YoY Inflation Leg |
CCboMCEngineBuilder | |
CCdoEngineBuilder | |
CGaussCopulaBucketingCdoEngineBuilder | |
CCliquetOptionEngineBuilder | Engine builder for Cliquet Options |
CEquityCliquetOptionEngineBuilder | Engine Builder for Equity Cliquet Options |
CEquityCliquetOptionMcScriptEngineBuilder | |
CCmsCouponPricerBuilder | CouponPricer Builder for CmsLeg |
CAnalyticHaganCmsCouponPricerBuilder | |
CNumericalHaganCmsCouponPricerBuilder | |
CLinearTSRCmsCouponPricerBuilder | |
CCmsSpreadCouponPricerBuilder | CouponPricer Builder for CmsSpreadLeg |
CCommodityApoBaseEngineBuilder | Engine builder base class for Commodity Average Price Options |
CCommodityApoAnalyticalEngineBuilder | Analytical Engine builder for Commodity Average Price Options |
CCommodityApoMonteCarloEngineBuilder | Monte Carlo Engine builder for Commodity Average Price Options |
CCommodityApoModelBuilder | |
CCommodityEuropeanAsianOptionMCDAAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Commodity Arithmetic Average Price Options |
CCommodityEuropeanAsianOptionMCDAASEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Commodity Arithmetic Average Strike Options |
CCommodityEuropeanAsianOptionMCDGAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Commodity Geometric Average Price Options |
CCommodityEuropeanAsianOptionADGAPEngineBuilder | Discrete Analytic Engine Builder for European Asian Commodity Geometric Average Price Options |
CCommodityEuropeanAsianOptionADGASEngineBuilder | Discrete Analytic Engine Builder for European Asian Commodity Geometric Average Strike Options |
CCommodityEuropeanAsianOptionACGAPEngineBuilder | Continuous Analytic Engine Builder for European Asian Commodity Geometric Average Price Options |
CCommodityEuropeanAsianOptionTWEngineBuilder | Discrete Analytic TW Engine Builder for European Asian Commodity Arithmetic Average Price Options |
CCommodityForwardEngineBuilder | Engine builder for commodity forward |
CCommodityEuropeanOptionEngineBuilder | |
CCommodityEuropeanForwardOptionEngineBuilder | |
CCommodityEuropeanCSOptionEngineBuilder | |
CCommodityAmericanOptionFDEngineBuilder | |
CCommodityAmericanOptionBAWEngineBuilder | |
CCommoditySpreadOptionBaseEngineBuilder | Base Engine builder for Commodity Spread Options |
CCommoditySpreadOptionEngineBuilder | Analytical Engine builder for Commodity Spread Options |
CCommoditySwapEngineBuilder | Engine builder for Commodity Swaps |
CCommoditySwaptionEngineBuilder | Engine builder for Commodity Swaptions |
CCommoditySwaptionAnalyticalEngineBuilder | Analytical Approximation Engine builder for Commodity Swaptions |
CCommoditySwaptionMonteCarloEngineBuilder | Monte Carlo Engine builder for Commodity Swaptions |
CConvertibleBondEngineBuilder | |
CConvertibleBondFDDefaultableEquityJumpDiffusionEngineBuilder | |
CCpiCapFloorEngineBuilder | Engine Builder for CPI Caps, Floors and Collars |
CCDSEngineKey | |
CCreditDefaultSwapEngineBuilder | Engine builder base class for credit default swaps |
CMidPointCdsEngineBuilder | Midpoint engine builder class for credit default swaps |
CMidPointCdsMultiStateEngineBuilder | Multi State Engine Builder class for CDS |
CCreditDefaultSwapOptionEngineBuilder | Engine Builder base class for Credit Default Swap Options |
CBlackCdsOptionEngineBuilder | Black CDS option engine builder for CDS options |
CCreditLinkedSwapEngineBuilder | |
CCamAmcCurrencySwapEngineBuilder | Multileg option engine builder for external cam, with additional simulation dates (AMC) |
CDurationAdjustedCmsCouponPricerBuilder | |
CLinearTsrDurationAdjustedCmsCouponPricerBuilder | |
CEquityEuropeanAsianOptionMCDAAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Equity Arithmetic Average Price Options |
CEquityEuropeanAsianOptionMCDAASEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Equity Arithmetic Average Strike Options |
CEquityEuropeanAsianOptionMCDGAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Equity Geometric Average Price Options |
CEquityEuropeanAsianOptionADGAPEngineBuilder | Discrete Analytic Engine Builder for European Asian Equity Geometric Average Price Options |
CEquityEuropeanAsianOptionADGASEngineBuilder | Discrete Analytic Engine Builder for European Asian Equity Geometric Average Strike Options |
CEquityEuropeanAsianOptionACGAPEngineBuilder | Continuous Analytic Engine Builder for European Asian Equity Geometric Average Price Options |
CEquityEuropeanAsianOptionTWEngineBuilder | Discrete Analytic TW Engine Builder for European Asian Equity Arithmetic Average Price Options |
CEquityBarrierOptionEngineBuilder | Engine Builder for Equity Barrier Options |
CEquityBarrierOptionAnalyticEngineBuilder | |
CEquityBarrierOptionFDEngineBuilder | |
CEquityEuropeanCompositeEngineBuilder | Engine Builder for Composite European Equity Options |
CEquityDigitalOptionEngineBuilder | Engine Builder for European EQ Digital Options |
CEquityDoubleBarrierOptionEngineBuilder | Engine Builder for Equity Double Barrier Options |
CEquityDoubleBarrierOptionAnalyticEngineBuilder | |
CEquityDoubleTouchOptionEngineBuilder | Abstract Engine Builder for EQ Double Touch Options |
CEquityDoubleTouchOptionAnalyticEngineBuilder | Analytical Engine Builder for EQ Double Touch Options |
CEquityForwardEngineBuilder | Engine Builder for European Equity Forwards |
CEquityFutureEuropeanOptionEngineBuilder | |
CEquityEuropeanOptionEngineBuilder | Engine Builder for European Equity Option Options |
CEquityEuropeanCSOptionEngineBuilder | |
CEquityAmericanOptionFDEngineBuilder | Engine Builder for American Equity Options using Finite Difference Method |
CEquityAmericanOptionBAWEngineBuilder | Engine Builder for American Equity Options using Barone Adesi Whaley Approximation |
CEquityTouchOptionEngineBuilder | Engine Builder for EQ Touch Options |
CfwdBondEngineBuilder | |
CDiscountingForwardBondEngineBuilder | |
CFxEuropeanAsianOptionMCDAAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Fx Arithmetic Average Price Options |
CFxEuropeanAsianOptionMCDAASEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Fx Arithmetic Average Strike Options |
CFxEuropeanAsianOptionMCDGAPEngineBuilder | Discrete Monte Carlo Engine Builder for European Asian Fx Geometric Average Price Options |
CFxEuropeanAsianOptionADGAPEngineBuilder | Discrete Analytic Engine Builder for European Asian Fx Geometric Average Price Options |
CFxEuropeanAsianOptionADGASEngineBuilder | Discrete Analytic Engine Builder for European Asian Fx Geometric Average Strike Options |
CFxEuropeanAsianOptionACGAPEngineBuilder | Continuous Analytic Engine Builder for European Asian Fx Geometric Average Price Options |
CFxEuropeanAsianOptionTWEngineBuilder | Discrete Analytic TW Engine Builder for European Asian Fx Arithmetic Average Price Options |
CFxBarrierOptionEngineBuilder | Engine Builder for European FX Barrier Options |
CFxBarrierOptionAnalyticEngineBuilder | |
CFxBarrierOptionFDEngineBuilder | |
CFxDigitalBarrierOptionEngineBuilder | Engine Builder for European FX Digital Barrier Options |
CFxDigitalOptionEngineBuilder | Engine Builder for European FX Digital Options |
CFxDigitalCSOptionEngineBuilder | Engine Builder for European cash-settled FX Digital Options |
CFxDoubleBarrierOptionEngineBuilder | Engine Builder for European FX Double Barrier Options |
CFxDoubleBarrierOptionAnalyticEngineBuilder | Analytical Engine Builder for FX Double Barrier Options |
CFxDoubleTouchOptionEngineBuilder | Abstract Engine Builder for FX Double Touch Options |
CFxDoubleTouchOptionAnalyticEngineBuilder | Analytical Engine Builder for FX Double Touch Options |
CFxForwardEngineBuilderBase | Engine Builder base class for FX Forwards |
CFxForwardEngineBuilder | Engine Builder for FX Forwards |
CCamAmcFxForwardEngineBuilder | FX forward engine builder for external cam, with additional simulation dates (AMC) |
CFxEuropeanOptionEngineBuilder | Engine Builder for European Fx Option Options |
CFxEuropeanCSOptionEngineBuilder | |
CFxAmericanOptionFDEngineBuilder | Engine Builder for American Fx Options using Finite Difference Method |
CFxAmericanOptionBAWEngineBuilder | Engine Builder for American Fx Options using Barone Adesi Whaley Approximation |
CCamAmcFxOptionEngineBuilder | FX option engine builder for external cam, with additional simulation dates (AMC) |
CFxTouchOptionEngineBuilder | Engine Builder for FX Touch Options |
CIndexCreditDefaultSwapEngineBuilder | Engine Builder base class for Index Credit Default Swaps |
CMidPointIndexCdsEngineBuilder | Midpoint Engine Builder class for IndexCreditDefaultSwaps |
CIndexCreditDefaultSwapOptionEngineBuilder | Engine Builder base class for Index Credit Default Swap Options |
CBlackIndexCdsOptionEngineBuilder | Black CDS option engine builder for index CDS options |
CNumericalIntegrationIndexCdsOptionEngineBuilder | Numerical Integration index CDS option engine |
CMultiLegOptionEngineBuilderBase | MultiLeg option engine builder base class |
CCamMcMultiLegOptionEngineBuilder | MultiLeg option engine builder for MC pricer |
CCamAmcMultiLegOptionEngineBuilder | Multileg option engine builder for external cam, with additional simulation dates (AMC) |
CQuantoEquityEuropeanOptionEngineBuilder | Engine Builder for Quanto European Equity Option Options |
CQuantoVanillaOptionEngineBuilder | Abstract Engine Builder for Quanto Vanilla Options |
CQuantoEuropeanOptionEngineBuilder | Abstract Engine Builder for Quanto European Vanilla Options |
CRiskParticipationAgreementEngineBuilderBase | RPA base engine builder |
CRiskParticipationAgreementBlackEngineBuilder | RPA Black engine builder |
CRiskParticipationAgreementXCcyBlackEngineBuilder | RPA XCcy Black engine builder |
CRiskParticipationAgreementLGMGridEngineBuilder | RPA Numeric LGM base builder |
CRiskParticipationAgreementSwapLGMGridEngineBuilder | RPA Numeric LGM engine builder for swap underlyings |
CRiskParticipationAgreementTLockLGMGridEngineBuilder | RPA Numeric LGM engine builder for tlock underlyings |
CScriptedTradeEngineBuilder | |
CSwapEngineBuilderBase | Engine Builder base class for Single Currency Swaps |
CSwapEngineBuilder | Engine Builder for Single Currency Swaps |
CSwapEngineBuilderOptimised | Engine Builder for Single Currency Swaps |
CCrossCurrencySwapEngineBuilderBase | Engine Builder base class for Cross Currency Swaps |
CCrossCurrencySwapEngineBuilder | Discounted Cashflows Engine Builder for Cross Currency Swaps |
CCamAmcSwapEngineBuilder | Implementation of SwapEngineBuilderBase using MC pricer for external cam / AMC |
CEuropeanSwaptionEngineBuilder | European Swaption Engine Builder |
CBermudanSwaptionEngineBuilder | Abstract BermudanSwaptionEngineBuilder class |
CLGMBermudanSwaptionEngineBuilder | Abstract LGMBermudanSwaptionEngineBuilder class |
CLGMGridBermudanSwaptionEngineBuilder | Implementation of BermudanSwaptionEngineBuilder using LGM Grid pricer |
CLgmMcBermudanSwaptionEngineBuilder | Implementation of LGMBermudanSwaptionEngineBuilder using MC pricer |
CLgmAmcBermudanSwaptionEngineBuilder | |
CCachingOptionEngineBuilder | |
CVanillaOptionEngineBuilder | Abstract Engine Builder for Vanilla Options |
CEuropeanOptionEngineBuilder | Abstract Engine Builder for European Vanilla Options |
CEuropeanForwardOptionEngineBuilder | Abstract Engine Builder for European Vanilla Forward Options |
CEuropeanCSOptionEngineBuilder | |
CAmericanOptionEngineBuilder | Abstract Engine Builder for American Vanilla Options |
CAmericanOptionFDEngineBuilder | Abstract Engine Builder for American Vanilla Options using Finite Difference Method |
CAmericanOptionBAWEngineBuilder | Abstract Engine Builder for American Vanilla Options using Barone Adesi Whaley Approximation |
CVarSwapEngineBuilder | Engine Builder for Variance Swaps |
CYoYCapFloorEngineBuilder | Engine Builder for Year on Year Caps, Floors and Collars on an IborIndex |
CCapFloor | Serializable cap, floor, collar |
►CCboReferenceDatum | |
CCboStructure | |
CCBO | |
CCBOTrsUnderlyingBuilder | |
CSyntheticCDO | Serializable CDS Index Tranche (Synthetic CDO) |
CCliquetOption | Serializable Equity Cliquet Option |
CEquityCliquetOption | |
CCommodityAveragePriceOption | |
CCommodityDigitalAveragePriceOption | |
CCommodityDigitalOption | Commodity digital option trade representation as call spread |
CCommodityForward | |
CCommodityFixedLegBuilder | |
CCommodityFloatingLegBuilder | |
CCommodityFixedLegData | |
CCommodityFloatingLegData | |
CCommodityOption | Commodity option trade representation |
CCommodityOptionStrip | |
CCommodityPositionData | Serializable Commodity Position Data |
CCommodityPosition | Serializable Commodity Position |
►CCommodityPositionInstrumentWrapper | Commodity Position instrument wrapper |
Carguments | |
Cengine | |
Cresults | |
CCommodityPositionInstrumentWrapperEngine | |
►CCommoditySpreadOptionData | |
COptionStripData | |
CCommoditySpreadOption | |
CCommoditySwap | |
CCommoditySwaption | |
CCompositeInstrumentWrapper | Composite Instrument Wrapper |
CCompositeTrade | Composite Trade class |
CConvertibleBond | Serializable Convertible Bond |
CConvertibleBondTrsUnderlyingBuilder | |
CConvertibleBondBuilder | |
►CConvertibleBondData | |
►CCallabilityData | |
►CMakeWholeData | |
CConversionRatioIncreaseData | |
►CConversionData | |
CContingentConversionData | |
CConversionResetData | |
CExchangeableData | |
CFixedAmountConversionData | |
►CMandatoryConversionData | |
CPepsData | |
CDividendProtectionData | |
CConvertibleBondReferenceDatum | Convertible Bond Reference data |
CCreditDefaultSwap | |
CCdsReferenceInformation | |
CCreditDefaultSwapData | |
►CCreditDefaultSwapOption | |
CAuctionSettlementInformation | |
CCreditLinkedSwap | |
CCrossCurrencySwap | Serializable Cross Currency Swap contract |
CDoubleDigitalOption | |
CDurationAdjustedCmsLegBuilder | |
CDurationAdjustedCmsLegData | |
CEngineData | Pricing engine description |
CEngineBuilder | Base PricingEngine Builder class for a specific model and engine |
CDelegatingEngineBuilder | Delegating Engine Builder |
CEngineBuilderFactory | Engine/ Leg Builder Factory - notice that both engine and leg builders are allowed to maintain a state |
CEngineFactory | Pricing Engine Factory class |
CLegBuilder | |
CEnvelope | Serializable object holding generic trade data, reporting dimensions |
CEquityBarrierOption | Serializable EQ Barrier Option |
CEquityDerivative | Base class for all Equity Derivaties |
CEquitySingleAssetDerivative | Base class for all single asset Equity Derivaties |
CEquityDigitalOption | Serializable EQ Digital Option |
CEquityDoubleBarrierOption | Serializable Equity Double Barrier Option |
CEquityDoubleTouchOption | SerializableEQ Double One-Touch/No-Touch Option |
CEquityEuropeanBarrierOption | Serializable EQ European Barrier Option |
CEquityForward | Serializable Equity Forward contract |
CEquityFutureOption | Serializable EQ Futures Option |
CEquityMarginLegBuilder | |
CEquityMarginLegData | Serializable Equity Margin Leg Data |
CEquityOption | Serializable Equity Option |
CEquityOptionUnderlyingData | Serializable Equity Option Underlying Data, this represents one underlying in EquityOptionPositionData |
CEquityOptionPositionData | Serializable Equity Option Position Data |
CEquityOptionPosition | Serializable Equity Option Position |
►CEquityOptionPositionInstrumentWrapper | Equity Option Position instrument wrapper |
Carguments | |
Cengine | |
Cresults | |
CEquityOptionPositionInstrumentWrapperEngine | |
CEquityPositionData | Serializable Equity Position Data |
CEquityPosition | Serializable Equity Position |
►CEquityPositionInstrumentWrapper | Equity Position instrument wrapper |
Carguments | |
Cengine | |
Cresults | |
CEquityPositionInstrumentWrapperEngine | |
CEquitySwap | Serializable Equity Swap contract |
CEquityTouchOption | Serializable EQ One-Touch/No-Touch Option |
CEuropeanOptionBarrier | |
CFailedTrade | |
CRequiredFixings | |
CFixingDateGetter | |
CForwardBond | |
CForwardRateAgreement | Serializable ForwardRateAgreement |
CFxAverageForward | Serializable Fx Average Forward |
CFxBarrierOption | Serializable FX Barrier Option |
CFxDerivative | Base class for all FX Derivaties |
CFxSingleAssetDerivative | Base class for all single asset FX Derivaties |
CFxDigitalBarrierOption | Serializable FX Digital Barrier Option |
CFxDigitalOption | Serializable FX Digital Option |
CFxDoubleBarrierOption | Serializable FX Double Barrier Option |
CFxDoubleTouchOption | Serializable FX Double One-Touch/No-Touch Option |
CFxEuropeanBarrierOption | Serializable FX European Barrier Option |
CFxForward | Serializable FX Forward |
CFxKIKOBarrierOption | Serializable FX KIKO Barrier Option |
CFxOption | Serializable FX Option |
CFxSwap | Serializable FX Swap |
CFxTouchOption | Serializable FX One-Touch/No-Touch Option |
CGenericBarrierOption | |
CEquityGenericBarrierOption | |
CFxGenericBarrierOption | |
CCommodityGenericBarrierOption | |
CIndexCreditDefaultSwap | |
CIndexCreditDefaultSwapData | |
CIndexCreditDefaultSwapOption | |
CIndexing | Serializable object holding indexing data |
CInflationSwap | Serializable Cross Currency Swap contract |
CInstrumentWrapper | Instrument Wrapper |
CVanillaInstrument | Vanilla Instrument Wrapper |
CKnockOutSwap | |
CFixedLegBuilder | |
CZeroCouponFixedLegBuilder | |
CFloatingLegBuilder | |
CCashflowLegBuilder | |
CCPILegBuilder | |
CYYLegBuilder | |
CCMSLegBuilder | |
CCMBLegBuilder | |
CDigitalCMSLegBuilder | |
CCMSSpreadLegBuilder | |
CDigitalCMSSpreadLegBuilder | |
CEquityLegBuilder | |
CLegAdditionalData | Serializable Additional Leg Data |
CCashflowData | Serializable Cashflow Leg Data |
CFixedLegData | Serializable Fixed Leg Data |
CZeroCouponFixedLegData | Serializable Fixed Leg Data |
CFloatingLegData | Serializable Floating Leg Data |
CCPILegData | Serializable CPI Leg Data |
CYoYLegData | Serializable YoY Leg Data |
CCMSLegData | Serializable CMS Leg Data |
CDigitalCMSLegData | Serializable Digital CMS Leg Data |
CCMSSpreadLegData | Serializable CMS Spread Leg Data |
CDigitalCMSSpreadLegData | Serializable Digital CMS Spread Leg Data |
CCMBLegData | Serializable Constant Maturity Bond Yield Leg Data |
CEquityLegData | Serializable Fixed Leg Data |
CAmortizationData | Serializable object holding amortization rules |
CLegData | Serializable object holding leg data |
CLegDataFactory | |
CMultiLegOption | |
CCSA | |
CNettingSetDefinition | Netting Set Definition |
CNettingSetDetails | Serializable object holding netting set identification data |
CNettingSetManager | Netting Set Manager |
COptionData | Serializable object holding option data |
CExerciseBuilder | |
COptionExerciseData | |
COptionPaymentData | |
COptionWrapper | Option Wrapper |
CEuropeanOptionWrapper | European Option Wrapper |
CAmericanOptionWrapper | American Option Wrapper |
CBermudanOptionWrapper | Bermudan Option Wrapper |
CPerformanceOption_01 | |
CPortfolio | Serializable portfolio |
►CPremiumData | Serializable object holding premium data |
CPremiumDatum | |
CRainbowOption | |
CEquityRainbowOption | |
CFxRainbowOption | |
CCommodityRainbowOption | |
CRangeBound | Serializable obejct holding range bound data |
CReferenceDatum | Base class for reference data |
►CBondReferenceDatum | |
CBondData | |
CCreditIndexConstituent | |
CCreditIndexReferenceDatum | Credit index reference data, contains a set of index constituents |
CIndexReferenceDatum | Base class for indices - lets see if we can keep this, they might diverge too much.. |
CEquityIndexReferenceDatum | EquityIndex Reference data, contains the names and weights of an equity index |
CCommodityIndexReferenceDatum | EquityIndex Reference data, contains the names and weights of an equity index |
►CCurrencyHedgedEquityIndexReferenceDatum | |
CHedgeAdjustment | |
CRebalancingDate | |
►CCreditReferenceDatum | CreditIndex Reference data, contains the names and weights of a credit index |
CCreditData | |
►CEquityReferenceDatum | Equity Reference data |
CEquityData | |
CBondBasketReferenceDatum | Bond Basket Reference Data |
CReferenceDataManager | Interface for Reference Data lookups |
CBasicReferenceDataManager | Basic Concrete impl that loads an big XML and keeps data in memory |
CAbstractReferenceDatumBuilder | |
CReferenceDatumBuilder | Template TradeBuilder class |
CReferenceDatumFactory | |
CRiskParticipationAgreement | Serializable risk participation agreement |
CScheduleRules | Serializable object holding schedule Rules data |
CScheduleDates | Serializable object holding schedule Dates data |
CScheduleDerived | Serializable object holding Derived schedule data |
CScheduleData | Serializable schedule data |
CScheduleBuilder | |
CScriptedTradeEventData | |
CScriptedTradeValueTypeData | |
►CScriptedTradeScriptData | |
CCalibrationData | |
CNewScheduleData | |
CScriptLibraryData | |
CScriptedTrade | |
CScriptLibraryStorage | |
CSimmCreditQualifierMapping | |
CStructuredConfigurationErrorMessage | Utility classes for Structured configuration errors, contains the configuration type and ID (NettingSetId, CounterParty, etc.) |
CStructuredConfigurationWarningMessage | Utility classes for Structured warnings, contains the configuration type and ID (NettingSetId, CounterParty, etc.) |
CStructuredTradeErrorMessage | Utility class for Structured Trade errors, contains the Trade ID and Type |
CStructuredTradeWarningMessage | Utility classes for Structured warnings, contains the Trade ID and Type |
CSwap | Serializable Swap, Single and Cross Currency |
CSwaption | Serializable Swaption |
CTaRF | |
CEquityTaRF | |
CFxTaRF | |
CCommodityTaRF | |
CTreasuryLockData | |
CTrade | Trade base class |
CTradeAction | Serializable object holding a trade action |
CTradeActions | Serializable object holding generic trade actions |
CTradeBarrier | |
CAbstractTradeBuilder | TradeBuilder base class |
CTradeBuilder | Template TradeBuilder class |
CTradeFactory | TradeFactory |
CTradeMonetary | |
►CTradeStrike | |
CStrikeYield | |
CTrancheData | Serializable Bond-Basket Data |
►CTRS | |
CAdditionalCashflowData | |
CFundingData | |
CReturnData | |
CCFD | |
CTrsUnderlyingBuilder | |
CTrsUnderlyingBuilderFactory | |
CBondTrsUnderlyingBuilder | |
CForwardBondTrsUnderlyingBuilder | |
CAssetPositionTrsUnderlyingBuilder | |
CEquityOptionPositionTrsUnderlyingBuilder | |
CBondPositionTrsUnderlyingBuilder | |
CDerivativeTrsUnderlyingBuilder | |
►CTRSWrapper | TRS Instrument Wrapper |
Carguments | |
Cengine | |
Cresults | |
CTRSWrapperAccrualEngine | |
CPaymentLagPeriod | |
CPaymentLagInteger | |
CUnderlying | Class to hold Underlyings |
CBasicUnderlying | |
CEquityUnderlying | |
CCommodityUnderlying | |
CFXUnderlying | |
CInterestRateUnderlying | |
CInflationUnderlying | |
CCreditUnderlying | |
CBondUnderlying | |
CUnderlyingBuilder | |
CVanillaOptionTrade | Serializable Vanilla Option |
CVarSwap | |
CEqVarSwap | |
CFxVarSwap | |
CComVarSwap | |
CWindowBarrierOption | |
CEquityWindowBarrierOption | |
CFxWindowBarrierOption | |
CCommodityWindowBarrierOption | |
CWorstOfBasketSwap | |
CEquityWorstOfBasketSwap | |
CFxWorstOfBasketSwap | |
CCommodityWorstOfBasketSwap | |
CCSVFileReport | |
CInMemoryReport | |
CPlainInMemoryReport | InMemoryReport with access to plain types instead of boost::variant<>, to facilitate language bindings |
CReport | |
CLocationInfo | |
CASTNode | |
COperatorPlusNode | |
COperatorMinusNode | |
COperatorMultiplyNode | |
COperatorDivideNode | |
CNegateNode | |
CFunctionAbsNode | |
CFunctionExpNode | |
CFunctionLogNode | |
CFunctionSqrtNode | |
CFunctionNormalCdfNode | |
CFunctionNormalPdfNode | |
CFunctionMaxNode | |
CFunctionMinNode | |
CFunctionPowNode | |
CFunctionBlackNode | |
CFunctionDcfNode | |
CFunctionDaysNode | |
CFunctionPayNode | |
CFunctionLogPayNode | |
CFunctionNpvNode | |
CFunctionNpvMemNode | |
CHistFixingNode | |
CFunctionDiscountNode | |
CFunctionFwdCompNode | |
CFunctionFwdAvgNode | |
CFunctionAboveProbNode | |
CFunctionBelowProbNode | |
CFunctionDateIndexNode | |
CSortNode | |
CPermuteNode | |
CConstantNumberNode | |
CVariableNode | |
CSizeOpNode | |
CVarEvaluationNode | |
CAssignmentNode | |
CRequireNode | |
CDeclarationNumberNode | |
CSequenceNode | |
CConditionEqNode | |
CConditionNeqNode | |
CConditionLtNode | |
CConditionLeqNode | |
CConditionGtNode | |
CConditionGeqNode | |
CConditionNotNode | |
CConditionAndNode | |
CConditionOrNode | |
CIfThenElseNode | |
CLoopNode | |
►CComputationGraphBuilder | |
CPayLogEntry | |
CContext | |
CAnalyticBlackRiskParticipationAgreementEngine | |
CAnalyticXCcyBlackRiskParticipationAgreementEngine | |
CCliquetOptionMcScriptEngine | |
CNumericLgmRiskParticipationAgreementEngine | |
CNumericLgmRiskParticipationAgreementEngineTLock | |
CRiskParticipationAgreementBaseEngine | |
CScriptedInstrumentAmcCalculator | |
CScriptedInstrumentPricingEngine | |
CScriptedInstrumentPricingEngineCG | |
CASTNodeAnnotation | |
CScriptGrammar | |
CAmcModel | |
CBlackScholes | |
CBlackScholesBase | |
CBlackScholesCG | |
CBlackScholesCGBase | |
CDummyModel | |
CFdBlackScholesBase | |
CGaussianCam | |
CLocalVol | |
►CModel | |
CMcParams | |
CModelCG | |
CModelCGImpl | |
CModelImpl | |
CPayLog | |
CSafeStack | |
CScriptEngine | |
CParserError | |
CScriptParser | |
CStaticAnalyser | |
CIndexInfo | |
CEventVec | |
CCurrencyVec | |
CIndexVec | |
CDaycounterVec | |
CValueTypeWhich | |
CBondIndexBuilder | |
CCalendarAdjustmentConfig | |
CCalendarParser | |
CConventionsBasedFutureExpiry | Perform date calculations for future contracts based on conventions |
CCorrelationFactor | |
CCorrelationMatrixBuilder | |
CCSVReader | |
CCSVFileReader | |
CCSVBufferReader | |
CCurrencyConfig | Currency configuration |
CCurrencyHedgedEquityIndexDecomposition | |
CCurrencyParser | |
CDateGrid | Simulation Date Grid |
CFileIO | |
CFilteredBufferedLogger | |
CFilteredBufferedLoggerGuard | Utility class to build a logger and remove it from the global logger when it goes out of scope |
CIndexNameTranslator | IndexNameTranslator |
CLogger | The Base Custom Log Handler class |
CStderrLogger | Stderr Logger |
CFileLogger | FileLogger |
CBufferLogger | BufferLogger |
CIndependentLogger | Base Log handler class that utilises Boost logging to create log sinks |
CProgressLogger | |
CStructuredLogger | |
CLog | Global static Log class |
CLoggerStream | LoggerStream class that is a std::ostream replacement that will log each line |
CJSONMessage | |
CStructuredMessage | |
CStructuredLoggingErrorMessage | |
CEventMessage | |
CProgressMessage | |
CConsoleLog | Singleton to control console logging |
CProgressIndicator | Abstract Base class for a Progress Indicator |
CProgressReporter | Base class for a Progress Reporter |
CSimpleProgressBar | Simple Progress Bar |
CProgressLog | Progress Logger that writes the progress using the LOG macro |
CNoProgressBar | |
CMultiThreadedProgressIndicator | |
CStrike | |
CDeltaString | Utility class for handling delta strings ATM, 10P, 25C, ... used e.g. for FX Surfaces |
CTimePeriod | Handles non-contiguous time period |
CWildcard | |
CXMLDocument | Small XML Document wrapper class |
CXMLSerializable | Base class for all serializable classes |
CXMLUtils | XML Utilities Class |
Nrapidxml | |
▼NQuantExt | |
NCrossAssetAnalytics | |
►CScriptedInstrument | |
Carguments | |
▼Nrapidxml | |
Cxml_node | XML Node |
Cxml_document | XML Document |