pricingengines Directory Reference

Files
file	amccalculator.hpp
	interface for amc calculator
file	analyticbarrierengine.hpp
	Analytic barrier option engines.
file	analyticcashsettledeuropeanengine.hpp
	pricing engine for cash settled European vanilla options.
file	analyticcclgmfxoptionengine.hpp
	analytic cc lgm fx option engine
file	analyticdigitalamericanengine.hpp
	Wrapper of QuantLib analytic digital American option engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
file	analyticdkcpicapfloorengine.hpp
	analytic dk cpi cap floor engine
file	analyticdoublebarrierbinaryengine.hpp
	Wrapper of QuantLib analytic double barrier binary engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
file	analyticdoublebarrierengine.hpp
	Analytic barrier option engines.
file	analyticeuropeanengine.hpp
	Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
file	analyticeuropeanforwardengine.hpp
	Analytic European Forward engine.
file	analyticjycpicapfloorengine.hpp
	Analytic Jarrow Yildrim (JY) CPI cap floor engine.
file	analyticjyyoycapfloorengine.hpp
	Analytic Jarrow Yildrim (JY) year on year cap floor engine.
file	analyticlgmcdsoptionengine.hpp
	analytic lgm cds option engine
file	analyticlgmswaptionengine.hpp
	analytic engine for european swaptions in the LGM model
file	analyticxassetlgmeqoptionengine.hpp
	analytic cross-asset lgm eq option engine
file	baroneadesiwhaleyengine.hpp
	Barone-Adesi and Whaley approximation engine.
file	binomialconvertibleengine.hpp
	binomial engine for convertible bonds
file	blackbondoptionengine.hpp
	Black bond option engine.
file	blackcdsoptionengine.hpp
	Black credit default swap option engine.
file	blackindexcdsoptionengine.hpp
	Black index credit default swap option engine.
file	cboengine.hpp
	collateralized bond obligation pricing engine
file	cbomcengine.hpp
	Monte Carlo pricing engine for the cashflow CDO instrument.
file	commodityapoengine.hpp
	commodity average price option engine
file	commodityschwartzfutureoptionengine.hpp
	commodity future options priced in the Schwartz model
file	commodityspreadoptionengine.hpp
	commodity spread option engine
file	commodityswaptionengine.hpp
	commodity swaption engine
file	cpibacheliercapfloorengine.hpp
	CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as normal vols.
file	cpiblackcapfloorengine.hpp
	CPI cap/floor engine using the Black pricing formula and interpreting the volatility data as lognormal vols.
file	cpicapfloorengines.hpp
	Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing.
file	crossccyswapengine.hpp
	Cross currency swap engine.
file	depositengine.hpp
	deposit engine
file	discountingbondtrsengine.hpp
	Engine to value a Bond TRS.
file	discountingcommodityforwardengine.hpp
	Engine to value a commodity forward contract.
file	discountingcreditlinkedswapengine.hpp
	credit linked swap pricing engine
file	discountingcurrencyswapengine.hpp
	discounting currency swap engine
file	discountingequityforwardengine.hpp
	Engine to value an Equity Forward contract.
file	discountingforwardbondengine.hpp
	Engine to value a Forward Bond contract.
file	discountingfxforwardengine.hpp
	Engine to value an FX Forward off two yield curves.
file	discountingriskybondengine.hpp
	Risky Bond Engine.
file	discountingriskybondenginemultistate.hpp
	Risky Bond Engine.
file	discountingswapenginemulticurve.hpp
	Swap engine employing assumptions to speed up calculation.
file	discretizedconvertible.hpp
	discretized convertible
file	fdconvertiblebondevents.hpp
file	fddefaultableequityjumpdiffusionconvertiblebondengine.hpp
file	indexcdsoptionbaseengine.hpp
	Base class for index cds option pricing engines.
file	indexcdstrancheengine.hpp
	Index CDS tranche pricing engine.
file	inflationcapfloorengines.hpp
	Inflation cap/floor engines from QuantLib, with optional external discount curve.
file	intrinsicascotengine.hpp
	intrinsic engine for Ascots
file	lgmconvolutionsolver.hpp
	numeric convolution solver for the LGM model
file	mccamcurrencyswapengine.hpp
	MC CAM engine for currency swaps.
file	mccamfxforwardengine.hpp
	MC CAM engine for FX Forward instrument.
file	mccamfxoptionengine.hpp
	MC CAM engine for FX Option instrument.
file	mclgmswapengine.hpp
	MC LGM swap engines.
file	mclgmswaptionengine.hpp
	MC LGM swaption engines.
file	mcmultilegbaseengine.hpp
	base MC engine for multileg (option) instruments
file	mcmultilegoptionengine.hpp
	MC engine for multi leg option instrument.
file	midpointcdsenginemultistate.hpp
	Risky Bond Engine.
file	midpointindexcdsengine.hpp
	Mid-point engine for credit default swaps.
file	numericalintegrationindexcdsoptionengine.hpp
	numerical integration index credit default swap option engine.
file	oiccbasisswapengine.hpp
	Cross Currency Overnight Indexed Basis Swap Engine.
file	paymentdiscountingengine.hpp
	Single payment discounting engine.
file	tflattice.hpp
	Binomial Tsiveriotis-Fernandes tree model.
file	varianceswapgeneralreplicationengine.hpp
	variance swap engine
file	volatilityfromvarianceswapengine.hpp
	volatility swap engine