termstructures Directory Reference

Directories

Files
file	adjusteddefaultcurve.hpp
	default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h(s)
file	aposurface.hpp
	Average future price option surface derived from future option surface.
file	averagefuturepricehelper.hpp
	Price helper for average of future settlement prices over a period.
file	averageoffpeakpowerhelper.hpp
	Price helper for average of off-peak electricity prices over a period.
file	averageoisratehelper.hpp
	Rate helpers to facilitate usage of AverageOIS in bootstrapping.
file	averagespotpricehelper.hpp
	Price helper for average of spot price over a period.
file	basistwoswaphelper.hpp
	Libor basis swap helper as two swaps.
file	blackdeltautilities.hpp
	utilities to calculate strikes from deltas and atm strikes on smiles
file	blackinvertedvoltermstructure.hpp
	Black volatility surface that inverts an existing surface.
file	blackmonotonevarvoltermstructure.hpp
	Black volatility surface that monotonises the variance in an existing surface.
file	blacktriangulationatmvol.hpp
	Black volatility surface that implies an ATM vol based on triangulation.
file	blackvariancecurve3.hpp
	Black volatility curve modeled as variance curve.
file	blackvariancesurfacemoneyness.hpp
	Black volatility surface based on forward moneyness.
file	blackvariancesurfacesparse.hpp
	Black volatility surface modeled as variance surface.
file	blackvariancesurfacestddevs.hpp
	Black volatility surface modeled as variance surface.
file	blackvolconstantspread.hpp
	surface that combines an ATM curve and vol spreads from a surface
file	blackvolsurfaceabsolute.hpp
	Black volatility surface based on absolute quotes.
file	blackvolsurfacebfrr.hpp
	Black volatility surface based on bf/rr quotes.
file	blackvolsurfacedelta.hpp
	Black volatility surface based on delta.
file	blackvolsurfaceproxy.hpp
	Wrapper class for a BlackVolTermStructure when using proxy vols.
file	blackvolsurfacewithatm.hpp
	Wrapper class for a BlackVolTermStructure that easily exposes ATM vols.
file	bondyieldshiftedcurvetermstructure.hpp
	term structure provided yield curve shifted by bond spread
file	brlcdiratehelper.hpp
	Rate helper based on standard BRL CDI swap.
file	capfloorhelper.hpp
	Helper for bootstrapping optionlet volatilities from cap floor volatilities.
file	capfloortermvolcurve.hpp
	Cap floor at-the-money term volatility curve.
file	capfloortermvolsurface.hpp
	Cap/floor smile volatility surface.
file	commodityaveragebasispricecurve.hpp
	A commodity price curve created from an averaged base curve and a collection of basis quotes.
file	commoditybasispricecurve.hpp
	A commodity price curve created from a base price curve and a collection of basis quotes.
file	commoditybasispricecurvewrapper.hpp
	A commodity price curve created from a generic price curve and a basis curve.
file	commoditybasispricetermstructure.hpp
	An interface for a commodity price curve created from a base price curve and a collection of basis quotes.
file	correlationtermstructure.hpp
	Term structure of correlations.
file	creditcurve.hpp
	wrapper for default curves, adding (index) reference data
file	creditvolcurve.hpp
	credit vol curve
file	crossccybasismtmresetswaphelper.hpp
	Cross currency basis swap helper with MTM reset.
file	crossccybasisswaphelper.hpp
	Cross currency basis swap helper.
file	crossccyfixfloatswaphelper.hpp
	Cross currency fixed vs. float swap helper.
file	crosscurrencypricetermstructure.hpp
	Price term structure in a given currency derived from a price term structure in another currency.
file	datedstrippedoptionlet.hpp
	Stripped optionlet surface with fixed reference date.
file	datedstrippedoptionletadapter.hpp
	StrippedOptionlet Adapter.
file	datedstrippedoptionletbase.hpp
	abstract class for optionlet surface with fixed reference date
file	discountratiomodifiedcurve.hpp
	discount curve modified by the ratio of two other discount curves
file	dynamicblackvoltermstructure.hpp
	dynamic black volatility term structure
file	dynamiccpivolatilitystructure.hpp
	dynamic zero inflation volatility structure
file	dynamicoptionletvolatilitystructure.hpp
	dynamic optionlet volatility structure
file	dynamicstype.hpp
	dynamics type definitions
file	dynamicswaptionvolmatrix.hpp
	dynamic swaption volatility matrix
file	dynamicyoyoptionletvolatilitystructure.hpp
	dynamic yoy inflation optionlet volatility structure
file	eqcommoptionsurfacestripper.hpp
	Imply equity or commodity volatility surface from put/call price surfaces.
file	equityforwardcurvestripper.hpp
	Imply equity forwards from option put/call parity.
file	flatcorrelation.hpp
	Term structure of flat correlations.
file	flatforwarddividendcurve.hpp
	Term structure for a forward dividend curve. If extrapolation is set we extrapolate with the forecast curve.
file	futurepricehelper.hpp
	Future price helper.
file	fxblackvolsurface.hpp
	FX Black volatility surface that incorporates an FxSmile.
file	fxsmilesection.hpp
	FX smile section assuming a strike/volatility space.
file	fxvannavolgasmilesection.hpp
	FX smile section assuming a strike/volatility space using vanna volga method.
file	generatordefaulttermstructure.hpp
	Default curve implied from a single generator matrix.
file	hazardspreadeddefaulttermstructure.hpp
	adds a constant hazard rate spread to a default term structure
file	iborfallbackcurve.hpp
	projection curve for ibor fallback indices
file	immfraratehelper.hpp
	IMM FRA rate helper.
file	implieddefaulttermstructure.hpp
	implied default term structure
file	interpolatedcorrelationcurve.hpp
	interpolated correlation term structure
file	interpolatedcpivolatilitysurface.hpp
	zero inflation volatility structure interpolated on a expiry/strike matrix of quotes
file	interpolateddiscountcurve.hpp
	interpolated discount term structure
file	interpolateddiscountcurve2.hpp
	interpolated discount term structure
file	interpolatedhazardratecurve.hpp
	interpolated hazard-rate term structure (with the option to disable the negative rates check)
file	interpolatedsurvivalprobabilitycurve.hpp
	interpolated survival-probability term structure (with the option to disable the check for negative hazard rates)
file	interpolatedyoycapfloortermpricesurface.hpp
	Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTermPriceSurface to allow choice of termstructure directly from YoY swap quotes or from atm swap quotes stripped from cap/floor price surface.
file	iterativebootstrap.hpp
	Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes.
file	kinterpolatedyoyoptionletvolatilitysurface.hpp
	fixed version of ql class (see patch 1,2,3 in the comments below)
file	multisectiondefaultcurve.hpp
	default curve with an instantaneous hazard rate given by a vector of underlying curves in specific date ranges
file	oiccbasisswaphelper.hpp
	Overnight Indexed Cross Currency Basis Swap helpers.
file	oiscapfloorhelper.hpp
	Helper for bootstrapping optionlet volatilties from ois cap floor volatilities.
file	oisratehelper.hpp
	Overnight Indexed Swap (aka OIS) rate helpers.
file	optionletcurve.hpp
	Interpolated one-dimensional curve of optionlet volatilities.
file	optionletstripper.hpp
	optionlet (caplet/floorlet) volatility stripper
file	optionletstripper1.hpp
	Optionlet (caplet/floorlet) volatility strippers.
file	optionletstripper2.hpp
	ATM optionlet (caplet/floorlet) volatility stripper.
file	optionletstripperwithatm.hpp
	Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities.
file	optionpricesurface.hpp
	Surface to store option prices.
file	parametricvolatility.hpp
	cross-asset, generic volatility structure
file	parametricvolatilitysmilesection.hpp
	smile section based on parametric volatility
file	piecewiseatmoptionletcurve.hpp
	Create optionlet volatility structure from at-the-money cap floor term volatility curve.
file	piecewiseoptionletcurve.hpp
	One-dimensional curve of bootstrapped optionlet volatilities.
file	piecewiseoptionletstripper.hpp
	Strip optionlet volatility surface from cap floor volatility term surface.
file	piecewisepricecurve.hpp
	Piecewise interpolated price term structure.
file	pricecurve.hpp
	Interpolated price curve.
file	pricetermstructure.hpp
	Term structure of prices.
file	pricetermstructureadapter.hpp
	PriceTermStructure adapter.
file	probabilitytraits.hpp
	default probability bootstrap traits for QuantExt
file	proxyoptionletvolatility.hpp
	moneyness-adjusted optionlet vol for normal vols
file	proxyswaptionvolatility.hpp
	moneyness-adjusted swaption vol for normal vols
file	sabrparametricvolatility.hpp
	sabr volatility structure
file	sabrstrippedoptionletadapter.hpp
	Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model.
file	spreadedblackvolatilitycurve.hpp
	Spreaded Black volatility curve.
file	spreadedblackvolatilitysurfacemoneyness.hpp
	Spreaded Black volatility surface based on moneyness.
file	spreadedcorrelationcurve.hpp
	Spreaded correlation curve.
file	spreadeddiscountcurve.hpp
	spreaded discount term structure
file	spreadedinflationcurve.hpp
	spreaded inflation term structure
file	spreadedoptionletvolatility.hpp
	Adds floor to QuantLib::SpreadedOptionletVolatility.
file	spreadedoptionletvolatility2.hpp
	Optionlet volatility with overlayed bilinearly interpolated spread surface.
file	spreadedpricetermstructure.hpp
	Spreaded Term structure of prices.
file	spreadedsmilesection.hpp
	Adds floor to QuantLib::SmileSection.
file	spreadedsmilesection2.hpp
	smile section with linear interpolated vol spreads
file	spreadedsurvivalprobabilitytermstructure.hpp
	spreaded default term structure
file	spreadedswaptionvolatility.hpp
	swaption cube defined via atm vol spreads over another cube
file	staticallycorrectedyieldtermstructure.hpp
	Statically corrected yield term structure.
file	strippedcpivolatilitystructure.hpp
	zero inflation volatility structure implied from a cpi cap/floor price surface
file	strippedoptionletadapter.hpp
	Convert a StrippedOptionletBase in to an OptionletVolatilityStructure.
file	strippedoptionletadapter2.hpp
	StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)
file	strippedyoyinflationoptionletvol.hpp
	Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat extrapolation)
file	subperiodsswaphelper.hpp
	Single currency sub periods swap helper.
file	survivalprobabilitycurve.hpp
	interpolated survival probability term structure
file	swaptionsabrcube.hpp
	SABR Swaption volatility cube.
file	swaptionvolatilityconverter.hpp
	Convert swaption volatilities from one type to another.
file	swaptionvolconstantspread.hpp
	swaption cube that combines an ATM matrix and vol spreads from a cube
file	swaptionvolcube2.hpp
	Swaption volatility cube, fit-later-interpolate-early approach.
file	swaptionvolcubewithatm.hpp
	Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols.
file	tenorbasisswaphelper.hpp
	Single currency tenor basis swap helper.
file	terminterpolateddefaultcurve.hpp
	default curve interpolating between two term curves
file	weightedyieldtermstructure.hpp
	yield term structure given as a weighted average of yield term structures
file	yieldplusdefaultyieldtermstructure.hpp
	yield term structure given as a yield ts plus weighted sum of default term structures
file	yoyinflationcurveobservermoving.hpp
	Observable inflation term structure with floating reference date based on the interpolation of zero rate quotes.
file	yoyinflationcurveobserverstatic.hpp
	Observable inflation term structure with fixed reference date based on the interpolation of yoy rate quotes.
file	yoyinflationoptionletvolstripper.hpp
	YoY Inflation Optionlet (caplet/floorlet) volatility strippers.
file	zeroinflationcurveobservermoving.hpp
	Observable inflation term structure based on the interpolation of zero rate quotes, but with floating reference date.
file	zeroinflationcurveobserverstatic.hpp
	Observable inflation term structure based on the interpolation of zero rate quotes.