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instruments Directory Reference

Directory dependency graph for QuantLib-1.1/ql/instruments/:
QuantLib-1.1/ql/instruments/

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  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  impliedvolatility.cpp [code]
file  impliedvolatility.hpp [code]
 

Utilities for implied-volatility calculation.


file  inflationcapfloor.cpp [code]
file  inflationcapfloor.hpp [code]
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  makeois.cpp [code]
file  makeois.hpp [code]
 

Helper class to instantiate overnight indexed swaps.


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  makeyoyinflationcapfloor.cpp [code]
file  makeyoyinflationcapfloor.hpp [code]
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  overnightindexedswap.cpp [code]
file  overnightindexedswap.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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