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instruments Directory Reference


Directories

directory  bonds

Files

file  all.hpp [code]
file  asianoption.cpp [code]
file  asianoption.hpp [code]
 Asian option on a single asset.
file  assetswap.cpp [code]
file  assetswap.hpp [code]
file  averagetype.cpp [code]
file  averagetype.hpp [code]
 Averaging algorithm enumeration.
file  barrieroption.cpp [code]
file  barrieroption.hpp [code]
file  barriertype.cpp [code]
file  barriertype.hpp [code]
 Barrier type.
file  basketoption.cpp [code]
file  basketoption.hpp [code]
file  bmaswap.cpp [code]
file  bmaswap.hpp [code]
 swap paying Libor against BMA coupons
file  bond.cpp [code]
file  bond.hpp [code]
 concrete bond class
file  callabilityschedule.hpp [code]
 Schedule of put/call dates.
file  capfloor.cpp [code]
file  capfloor.hpp [code]
file  claim.cpp [code]
file  claim.hpp [code]
 Classes for default-event claims.
file  cliquetoption.cpp [code]
file  cliquetoption.hpp [code]
file  compositeinstrument.cpp [code]
file  compositeinstrument.hpp [code]
 Composite instrument class.
file  creditdefaultswap.cpp [code]
file  creditdefaultswap.hpp [code]
file  dividendschedule.hpp [code]
 Schedule of dividend dates.
file  dividendvanillaoption.cpp [code]
file  dividendvanillaoption.hpp [code]
 Vanilla option on a single asset with discrete dividends.
file  europeanoption.cpp [code]
file  europeanoption.hpp [code]
file  everestoption.cpp [code]
file  everestoption.hpp [code]
file  fixedratebondforward.cpp [code]
file  fixedratebondforward.hpp [code]
 forward contract on a fixed-rate bond
file  forward.cpp [code]
file  forward.hpp [code]
 Base forward class.
file  forwardrateagreement.cpp [code]
file  forwardrateagreement.hpp [code]
 forward rate agreement
file  forwardvanillaoption.cpp [code]
file  forwardvanillaoption.hpp [code]
 Forward version of a vanilla option.
file  himalayaoption.cpp [code]
file  himalayaoption.hpp [code]
file  impliedvolatility.cpp [code]
file  impliedvolatility.hpp [code]
 Utilities for implied-volatility calculation.
file  inflationswap.cpp [code]
file  inflationswap.hpp [code]
 Abstract base class for inflation swaps.
file  lookbackoption.cpp [code]
file  lookbackoption.hpp [code]
 Lookback option on a single asset.
file  makecapfloor.cpp [code]
file  makecapfloor.hpp [code]
 Helper class to instantiate standard market cap/floor.
file  makecms.cpp [code]
file  makecms.hpp [code]
 Helper class to instantiate standard market CMS.
file  makeswaption.cpp [code]
file  makeswaption.hpp [code]
 Helper class to instantiate standard market swaption.
file  makevanillaswap.cpp [code]
file  makevanillaswap.hpp [code]
 Helper class to instantiate standard market swaps.
file  multiassetoption.cpp [code]
file  multiassetoption.hpp [code]
 Option on multiple assets.
file  oneassetoption.cpp [code]
file  oneassetoption.hpp [code]
 Option on a single asset.
file  pagodaoption.cpp [code]
file  pagodaoption.hpp [code]
file  payoffs.cpp [code]
file  payoffs.hpp [code]
 Payoffs for various options.
file  quantobarrieroption.cpp [code]
file  quantobarrieroption.hpp [code]
 Quanto version of a barrier option.
file  quantoforwardvanillaoption.cpp [code]
file  quantoforwardvanillaoption.hpp [code]
 Quanto version of a forward vanilla option.
file  quantovanillaoption.cpp [code]
file  quantovanillaoption.hpp [code]
 Quanto version of a vanilla option.
file  stickyratchet.cpp [code]
file  stickyratchet.hpp [code]
 Payoffs for double nested options of sticky or ratchet type.
file  stock.cpp [code]
file  stock.hpp [code]
 concrete stock class
file  swap.cpp [code]
file  swap.hpp [code]
file  swaption.cpp [code]
file  swaption.hpp [code]
file  vanillaoption.cpp [code]
file  vanillaoption.hpp [code]
 Vanilla option on a single asset.
file  vanillaswap.cpp [code]
file  vanillaswap.hpp [code]
 Simple fixed-rate vs Libor swap.
file  varianceswap.cpp [code]
file  varianceswap.hpp [code]
 Variance swap.
file  yearonyearinflationswap.cpp [code]
file  yearonyearinflationswap.hpp [code]
 Year-on-year inflation-indexed swap.
file  zerocouponinflationswap.cpp [code]
file  zerocouponinflationswap.hpp [code]
 Zero-coupon inflation-indexed swap.


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