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pricingengines Directory Reference


Directories

directory  asian
directory  barrier
directory  basket
directory  bond
directory  capfloor
directory  cliquet
directory  credit
directory  forward
directory  inflation
directory  lookback
directory  quanto
directory  swap
directory  swaption
directory  vanilla

Files

file  all.hpp [code]
file  americanpayoffatexpiry.cpp [code]
file  americanpayoffatexpiry.hpp [code]
 Analytical formulae for american exercise with payoff at expiry.
file  americanpayoffathit.cpp [code]
file  americanpayoffathit.hpp [code]
 Analytical formulae for american exercise with payoff at hit.
file  blackcalculator.cpp [code]
file  blackcalculator.hpp [code]
 Black-formula calculator class.
file  blackformula.cpp [code]
file  blackformula.hpp [code]
 Black formula.
file  blackscholescalculator.cpp [code]
file  blackscholescalculator.hpp [code]
 Black-Scholes formula calculator class.
file  genericmodelengine.hpp [code]
 Generic option engine based on a model.
file  greeks.cpp [code]
file  greeks.hpp [code]
 default greek calculations
file  latticeshortratemodelengine.hpp [code]
 Engine for a short-rate model specialized on a lattice.
file  mclongstaffschwartzengine.hpp [code]
file  mcsimulation.hpp [code]
 framework for Monte Carlo engines


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