Reference manual - version qle_version
Files | |
| file | averageonindexedcoupon.hpp |
| coupon paying the weighted average of the daily overnight rate | |
| file | averageonindexedcouponpricer.hpp |
| Pricer for average overnight indexed coupons. | |
| file | blackaveragebmacouponpricer.hpp |
| black average bma coupon pricer for capped / floored BMA coupons | |
| file | blackovernightindexedcouponpricer.hpp |
| black coupon pricer for capped / floored ON indexed coupons | |
| file | bondtrscashflow.hpp |
| cashflow paying the total return of a bond | |
| file | brlcdicouponpricer.hpp |
| Coupon pricer for a BRL CDI coupon. | |
| file | cappedflooredaveragebmacoupon.hpp |
| coupon paying a capped / floored average bma rate | |
| file | cashflows.hpp |
| additional cash-flow analysis functions | |
| file | cashflowtable.hpp |
| Cashflow table to store cashflow calculation results. | |
| file | cmbcoupon.hpp |
| Constant Maturity Bond yield coupon. | |
| file | commoditycashflow.hpp |
| Some data and logic shared among commodity cashflows. | |
| file | commodityindexedaveragecashflow.hpp |
| Cash flow dependent on the average commodity spot price or future's settlement price over a period. If settled in a foreign currency (domestic: currency on which the underlying curve is traded, foreing: settlement currency) the FX is applied day by day. This approach cannot be appied to averaged underlying curves. | |
| file | commodityindexedcashflow.hpp |
| Cash flow dependent on a single commodity spot price or future's settlement price. | |
| file | couponpricer.hpp |
| Utility functions for setting coupon pricers on legs. | |
| file | cpicoupon.hpp |
| CPI leg builder extending QuantLib's to handle caps and floors. | |
| file | cpicouponpricer.hpp |
| CPI cash flow and coupon pricers that handle caps/floors using a CpiCapFloorEngine. | |
| file | durationadjustedcmscoupon.hpp |
| cms coupon scaled by a duration number | |
| file | durationadjustedcmscoupontsrpricer.hpp |
| tsr coupon pricer for duration adjusted cms coupon | |
| file | equitycoupon.hpp |
| coupon paying the return on an equity | |
| file | equitycouponpricer.hpp |
| Pricer for equity coupons. | |
| file | equitymargincoupon.hpp |
| coupon paying the return on an equity | |
| file | equitymargincouponpricer.hpp |
| Pricer for equity margin coupons. | |
| file | fixedratefxlinkednotionalcoupon.hpp |
| Coupon paying a fixed rate but with an FX linked notional. | |
| file | floatingannuitycoupon.hpp |
| Coupon paying a Libor-type index. | |
| file | floatingannuitynominal.hpp |
| Nominal flow associated with a floating annuity coupon. | |
| file | floatingratefxlinkednotionalcoupon.hpp |
| Coupon paying a Libor-type index but with an FX linked notional. | |
| file | formulabasedcoupon.hpp |
| formula based coupon | |
| file | fxlinkedcashflow.hpp |
| An FX linked cashflow. | |
| file | iborfracoupon.hpp |
| coupon representing an forward rate agreement | |
| file | indexedcoupon.hpp |
| coupon with an indexed notional | |
| file | jyyoyinflationcouponpricer.hpp |
| Jarrow Yildrim (JY) pricer for capped or floored year on year (YoY) inflation coupons. | |
| file | lognormalcmsspreadpricer.hpp |
| cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998 | |
| file | mcgaussianformulabasedcouponpricer.hpp |
| formula based coupon pricer | |
| file | nonstandardinflationcouponpricer.hpp |
| pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon. | |
| file | nonstandardyoyinflationcoupon.hpp |
| capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset | |
| file | overnightindexedcoupon.hpp |
| coupon paying the compounded daily overnight rate, copy of QL class, added includeSpread flag | |
| file | quantocouponpricer.hpp |
| quanto-adjusted coupon | |
| file | scaledcoupon.hpp |
| Coupon / Cashflow paying scaled amounts. | |
| file | strippedcapflooredcpicoupon.hpp |
| strips the embedded option from cap floored cpi coupons | |
| file | strippedcapflooredyoyinflationcoupon.hpp |
| strips the embedded option from cap floored yoy inflation coupons | |
| file | subperiodscoupon.hpp |
| Coupon with a number of sub-periods. | |
| file | subperiodscouponpricer.hpp |
| Pricer for sub-period coupons. | |
| file | trscashflow.hpp |
| cashflow paying the total return of an asset | |
| file | zerofixedcoupon.hpp |
| Nominal flow associated with a floating annuity coupon. | |