Reference manual - version ored_version
Directories | |
| builders | |
Files | |
| accumulator.hpp | |
| accumulator wrapper for scripted trade | |
| additionalfieldgetter.hpp | |
| Class that can return additional fields and basic information for a given trade ID. | |
| ascot.hpp | |
| Ascot (or Convertible Bond Option) trade data model and serialization. | |
| asianoption.hpp | |
| Asian Option data model. | |
| autocallable_01.hpp | |
| autocallable_01 wrapper for scripted trade | |
| balanceguaranteedswap.hpp | |
| Balance Guaranteed Swap data model and serialization. | |
| barrieroption.hpp | |
| Barrier Option data model and serialization. | |
| barrieroptionwrapper.hpp | |
| Wrapper for option instruments, tracks whether option has been exercised or not. | |
| basketdata.hpp | |
| credit basket data model and serialization | |
| basketoption.hpp | |
| basket option wrapper for scripted trade | |
| bond.hpp | |
| Bond trade data model and serialization. | |
| bondbasket.hpp | |
| credit bond basket data model and serialization | |
| bondfuture.hpp | |
| Bond trade data model and serialization. | |
| bondoption.hpp | |
| bond option data model and serialization | |
| bondposition.hpp | |
| Bond Position trade data model and serialization. | |
| bondrepo.hpp | |
| Bond Repo trade data model and serialization. | |
| bondutils.hpp | |
| bond utilities | |
| callablebond.hpp | |
| callable bond trade data model and serialization | |
| callablebondreferencedata.hpp | |
| reference data | |
| callableswap.hpp | |
| Callable Swap data model and serialization. | |
| capfloor.hpp | |
| Ibor cap, floor or collar trade data model and serialization. | |
| cashposition.hpp | |
| Cash position data model and serialization. | |
| cbo.hpp | |
| collateralized bond obligation data model | |
| cliquetoption.hpp | |
| Equity Cliquet Option. | |
| collateralbalance.hpp | |
| Holder class for collateral balances. | |
| commodityapo.hpp | |
| Commodity Average Price Option data model and serialization. | |
| commoditydigitaloption.hpp | |
| Commodity digital option representation as call spread. | |
| commodityforward.hpp | |
| Commodity forward representation. | |
| commoditylegbuilder.hpp | |
| Commodity fixed and floating leg builders. | |
| commoditylegdata.hpp | |
| leg data for commodity leg types | |
| commodityoption.hpp | |
| Commodity option representation. | |
| commodityoptionstrip.hpp | |
| Commodity option strip data model and serialization. | |
| commodityposition.hpp | |
| Commodity Position trade data model and serialization. | |
| commodityswap.hpp | |
| Commodity Swap data model and serialization. | |
| commodityswaption.hpp | |
| Commodity swaption data model and serialization. | |
| compositeinstrumentwrapper.hpp | |
| used to store multiple trade wrappers | |
| compositetrade.hpp | |
| Composite trades operate as a mini portfolio. Their intended use is for strategies like straddles. | |
| convertiblebond.hpp | |
| Convertible Bond trade data model and serialization. | |
| convertiblebonddata.hpp | |
| convertible bond data model and serialization | |
| convertiblebondreferencedata.hpp | |
| reference data | |
| creditdefaultswap.hpp | |
| Ibor cap, floor or collar trade data model and serialization. | |
| creditdefaultswapdata.hpp | |
| A class to hold credit default swap data. | |
| creditdefaultswapoption.hpp | |
| credit default swap option trade data model and serialization | |
| creditlinkedswap.hpp | |
| credit linked swap data model | |
| crosscurrencyswap.hpp | |
| Cross Currency Swap data model and serialization. | |
| doubledigitaloption.hpp | |
| double digital option wrapper for scripted trade | |
| durationadjustedcmslegbuilder.hpp | |
| leg builder for duration adjusted cms coupon legs | |
| durationadjustedcmslegdata.hpp | |
| leg data for duration adjusted cms | |
| enginedata.hpp | |
| A class to hold pricing engine parameters. | |
| enginefactory.hpp | |
| Pricing Engine Factory. | |
| envelope.hpp | |
| trade envelope data model and serialization | |
| equitybarrieroption.hpp | |
| Equity Barrier Option data model and serialization. | |
| equityderivative.hpp | |
| EQ base trade classes. | |
| equitydigitaloption.hpp | |
| EQ Digital Option data model and serialization. | |
| equitydoublebarrieroption.hpp | |
| Equity Double Barrier Option data model and serialization. | |
| equitydoubletouchoption.hpp | |
| EQ Double One-Touch/No-Touch Option data model and serialization. | |
| equityeuropeanbarrieroption.hpp | |
| EQ European Barrier Option data model and serialization. | |
| equityforward.hpp | |
| Equity Forward data model and serialization. | |
| equityfuturesoption.hpp | |
| EQ Futures Option data model and serialization. | |
| equityfxlegbuilder.hpp | |
| Equity & FX leg builders. | |
| equityfxlegdata.hpp | |
| leg data for equityfx leg types | |
| equityoption.hpp | |
| Equity Option data model and serialization. | |
| equityoptionposition.hpp | |
| Equity Option Position trade data model and serialization. | |
| equityoutperformanceoption.hpp | |
| EQ Outperformance Option data model and serialization. | |
| equityposition.hpp | |
| Equity Position trade data model and serialization. | |
| equityswap.hpp | |
| Equity Swap data model and serialization. | |
| equitytouchoption.hpp | |
| EQ One-Touch/No-Touch Option data model and serialization. | |
| europeanoptionbarrier.hpp | |
| European option with barrier wrapper for scripted trade. | |
| failedtrade.hpp | |
| Skeleton trade generated when trade loading/building fails. | |
| fixingdates.hpp | |
| Logic for calculating required fixing dates on legs. | |
| flexiswap.hpp | |
| Flexi-Swap data model and serialization. | |
| formulabasedindexbuilder.hpp | |
| formula based index builder | |
| formulabasedlegbuilder.hpp | |
| Formula based leg builder. | |
| formulabasedlegdata.hpp | |
| leg data for formula based leg types | |
| forwardrateagreement.hpp | |
| ForwardRateAgreement data model and serialization. | |
| fxaverageforward.hpp | |
| Fx Average Forward data model and serialization. | |
| fxbarrieroption.hpp | |
| FX Barrier Option data model and serialization. | |
| fxderivative.hpp | |
| FX base trade classes. | |
| fxdigitaloption.hpp | |
| FX Digital Option data model and serialization. | |
| fxdoublebarrieroption.hpp | |
| FX Double Barrier Option data model and serialization. | |
| fxdoubletouchoption.hpp | |
| FX Double One-Touch/No-Touch Option data model and serialization. | |
| fxeuropeanbarrieroption.hpp | |
| FX European Barrier Option data model and serialization. | |
| fxforward.hpp | |
| FX Forward data model and serialization. | |
| fxoption.hpp | |
| FX Option data model and serialization. | |
| fxswap.hpp | |
| FX Swap data model and serialization. | |
| fxtouchoption.hpp | |
| FX One-Touch/No-Touch Option data model and serialization. | |
| genericbarrieroption.hpp | |
| generic barrier option wrapper for scripted trade | |
| indexing.hpp | |
| leg indexing data model and serialization | |
| inflationswap.hpp | |
| Cross Currency Swap data model and serialization. | |
| instrumentwrapper.hpp | |
| Base class for wrapper of QL instrument, used to store "state" of trade under each scenario. | |
| knockoutswap.hpp | |
| knock out swap wrapper for scripted trade | |
| legbuilders.hpp | |
| Leg Builders. | |
| legdata.hpp | |
| leg data model and serialization | |
| legdatafactory.hpp | |
| Leg data factory that can be used to build instances of leg data. | |
| makenonstandardlegs.hpp | |
| make functions for non-standard ibor and fixed legs | |
| multilegoption.hpp | |
| Multileg Option data model. | |
| nettingsetdefinition.hpp | |
| Netting Set Definition - including CSA information where available. | |
| nettingsetdetails.hpp | |
| netting set details data model and serialization | |
| nettingsetmanager.hpp | |
| Manager class for repository of netting set details. | |
| optiondata.hpp | |
| trade option data model and serialization | |
| optionexercisedata.hpp | |
| option exercise data model and serialization | |
| optionpaymentdata.hpp | |
| option payment data model and serialization | |
| optionwrapper.hpp | |
| Wrapper for option instruments, tracks whether option has been exercised or not. | |
| pairwisevarianceswap.hpp | |
| pairwise variance swap representation | |
| performanceoption_01.hpp | |
| performance option wrapper for scripted trade | |
| portfolio.hpp | |
| Portfolio class. | |
| premiumdata.hpp | |
| premium data | |
| rainbowoption.hpp | |
| rainbow option wrapper for scripted trade | |
| rangebound.hpp | |
| rangebound data model | |
| referencedata.hpp | |
| Reference data model and serialization. | |
| referencedatafactory.hpp | |
| Reference data model and serialization. | |
| riskparticipationagreement.hpp | |
| risk participation agreement data model and serialization | |
| schedule.hpp | |
| trade schedule data model and serialization | |
| scriptedtrade.hpp | |
| scripted trade data model | |
| simmcreditqualifiermapping.hpp | |
| mapping of SIMM credit qualifiers | |
| structuredconfigurationerror.hpp | |
| Class for structured configuration errors. | |
| structuredconfigurationwarning.hpp | |
| Class for structured configuration warnings. | |
| structuredtradeerror.hpp | |
| Structured Trade Error class. | |
| structuredtradewarning.hpp | |
| Classes for structured trade warnings. | |
| swap.hpp | |
| Swap trade data model and serialization. | |
| swaption.hpp | |
| Swaption data model and serialization. | |
| tarf.hpp | |
| tarf wrapper for scripted trade | |
| tlockdata.hpp | |
| A class to hold Treasury-Lock data. | |
| trade.hpp | |
| base trade data model and serialization | |
| tradefactory.hpp | |
| Trade Factory. | |
| tranche.hpp | |
| cbo tranche data model and serialization | |
| trs.hpp | |
| trs | |
| trswrapper.hpp | |
| generic wrapper for trs (bond, convertible bond, equity, ...) | |
| types.hpp | |
| payment lag | |
| underlying.hpp | |
| underlying data model | |
| vanillaoption.hpp | |
| Vanilla Option data model. | |
| varianceswap.hpp | |
| variance swap representation | |
| windowbarrieroption.hpp | |
| window barrier option - wrapper for scripted trade | |