models Directory Reference

Files
file	annuitymapping.hpp
	base class for annuity mapping functions used in TSR models
file	basket.hpp
	basket of issuers and related notionals
file	blackscholesmodelwrapper.hpp
	wrapper around a vector of BS processes
file	carrmadanarbitragecheck.hpp
	arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005)
file	cdsoptionhelper.hpp
	cds option calibration helper
file	cirppconstantfellerparametrization.hpp
	constant CIR ++ parametrization
file	cirppconstantparametrization.hpp
	constant CIR ++ parametrization
file	cirppimplieddefaulttermstructure.hpp
	default probability structure implied by a CIRPP model
file	cirppparametrization.hpp
	CIR ++ parametrisation.
file	cmscaphelper.hpp
	Cms Option helper class.
file	commoditymodel.hpp
	Commodity model base class.
file	commodityschwartzmodel.hpp
	Schwartz (1997) one-factor model of the commodity price termstructure.
file	commodityschwartzparametrization.hpp
	Schwartz commodity model parametrization.
file	cpicapfloorhelper.hpp
	CPI Cap Floor calibration helper.
file	crcirpp.hpp
	CIR++ credit model class.
file	crlgm1fparametrization.hpp
	Credit Linear Gaussian Markov 1 factor parametrization.
file	crossassetanalytics.hpp
	analytics for the cross asset model
file	crossassetanalyticsbase.hpp
	basic functions for analytics in the cross asset model
file	crossassetmodel.hpp
	cross asset model
file	crossassetmodelimpliedeqvoltermstructure.hpp
	dynamic black volatility term structure
file	crossassetmodelimpliedfxvoltermstructure.hpp
	dynamic black volatility term structure
file	crstateparametrization.hpp
	credit state parametrization
file	defaultableequityjumpdiffusionmodel.hpp
file	dkimpliedyoyinflationtermstructure.hpp
	year on year inflation term structure implied by a Dodgson Kainth (DK) model
file	dkimpliedzeroinflationtermstructure.hpp
	zero inflation term structure implied by a Dodgson Kainth (DK) model
file	eqbsconstantparametrization.hpp
	Constant equity model parametrization.
file	eqbsparametrization.hpp
	EQ Black Scholes parametrization.
file	eqbspiecewiseconstantparametrization.hpp
	piecewise constant model parametrization
file	exactbachelierimpliedvolatility.hpp
	implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017
file	futureoptionhelper.hpp
	calibration helper for Black-Scholes options
file	fxbsconstantparametrization.hpp
	Constant FX model parametrization.
file	fxbsmodel.hpp
	fx black scholes model
file	fxbsparametrization.hpp
	FX Black Scholes parametrization.
file	fxbspiecewiseconstantparametrization.hpp
	piecewise constant model parametrization
file	fxeqoptionhelper.hpp
	calibration helper for Black-Scholes options
file	fxmodel.hpp
	fx model base class
file	gaussian1dcrossassetadaptor.hpp
	adaptor class that extracts one irlgm1f component
file	hullwhitebucketing.hpp
	probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Appdx. B
file	hwconstantparametrization.hpp
	Hull White n factor parametrization with constant reversion and vol.
file	hwmodel.hpp
	hull white n Factor model class
file	hwparametrization.hpp
	Hull White n factor parametrization.
file	infdkparametrization.hpp
	Inflation Dodgson Kainth parametrization.
file	infjyparameterization.hpp
	Jarrow Yildrim inflation parameterization.
file	irlgm1fconstantparametrization.hpp
	constant model parametrization
file	irlgm1fparametrization.hpp
	Interest Rate Linear Gaussian Markov 1 factor parametrization.
file	irlgm1fpiecewiseconstanthullwhiteadaptor.hpp
	adaptor to emulate piecewise constant Hull White parameters
file	irlgm1fpiecewiseconstantparametrization.hpp
	piecewise constant model parametrization
file	irlgm1fpiecewiselinearparametrization.hpp
	piecewise linear model parametrization
file	irmodel.hpp
	ir model base class
file	jyimpliedyoyinflationtermstructure.hpp
	year on year inflation term structure implied by a Jarrow Yildrim (JY) model
file	jyimpliedzeroinflationtermstructure.hpp
	zero inflation term structure implied by a Jarrow Yildrim (JY) model
file	lgm.hpp
	lgm model class
file	lgmcalibrationinfo.hpp
	info data on how a lgm model was calibrated
file	lgmconvolutionsolver2.hpp
	numeric convolution solver for the LGM model using RandoMVariable
file	lgmimplieddefaulttermstructure.hpp
	default probability structure implied by a LGM model
file	lgmimpliedyieldtermstructure.hpp
	yield term structure implied by a LGM model
file	lgmvectorised.hpp
	vectorised lgm model calculations
file	linearannuitymapping.hpp
	linear annuity mapping function f(S) = a*S+b
file	linkablecalibratedmodel.hpp
	calibrated model class with linkable parameters
file	marketobserver.hpp
	helper class for model builders that observes market ts
file	modelbuilder.hpp
	Model builder base class.
file	modelimpliedpricetermstructure.hpp
	price term structure implied by a COM model
file	modelimpliedyieldtermstructure.hpp
	yield term structure implied by an IR model
file	normalsabr.hpp
	normal SABR model implied volatility approximation
file	normalsabrinterpolation.hpp
	normal SABR interpolation interpolation between discrete points
file	normalsabrsmilesection.hpp
	normal sabr smile section class
file	parametrization.hpp
	base class for model parametrizations
file	piecewiseconstanthelper.hpp
	helper classes for piecewise constant parametrizations
file	projectedcrossassetmodel.hpp
	cross asset model projection utils
file	pseudoparameter.hpp
	parameter giving access to calibration machinery
file	representativefxoption.hpp
	representative fx option matcher
file	representativeswaption.hpp
	representative swaption matcher
file	transitionmatrix.hpp
	utility functions for transition matrices and generators
file	yoycapfloorhelper.hpp
	Year on year inflation cap floor calibration helper.
file	yoyinflationmodeltermstructure.hpp
	year-on-year inflation term structure implied by a cross asset model
file	yoyswaphelper.hpp
	Year on year inflation swap calibration helper.
file	zeroinflationmodeltermstructure.hpp
	zero inflation term structure implied by a cross asset model