instruments Directory Reference

Files
	ascot.hpp
	Ascot class.
	averageois.hpp
	Swap of arithmetic average overnight index against fixed.
	balanceguaranteedswap.hpp
	Balance Guaranteed Swap instrument.
	bondbasket.hpp
	Basket of defaultable bonds.
	bondfuture.hpp
	Bond Future.
	bondoption.hpp
	bond option class
	bondrepo.hpp
	bond repo instrument
	brlcdiswap.hpp
	Standard BRL CDI swap.
	callablebond.hpp
	cashflowresults.hpp
	class holding cashflow-related results
	cashposition.hpp
	cash position instrument
	cashsettledeuropeanoption.hpp
	cash settled european vanilla option.
	cbo.hpp
	collateralized bond obligation instrument
	cdsoption.hpp
	CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines.
	cliquetoption.hpp
	Cliquet option.
	commodityapo.hpp
	Swaption class.
	commodityforward.hpp
	Instrument representing a commodity forward contract.
	commodityspreadoption.hpp
	Option class.
	convertiblebond.hpp
	convertible bond class
	convertiblebond2.hpp
	creditlinkedswap.hpp
	credit linked swap instrument
	crossccybasismtmresetswap.hpp
	Cross currency basis swap instrument with MTM reset.
	crossccybasisswap.hpp
	Cross currency basis swap instrument.
	crossccyfixfloatmtmresetswap.hpp
	Cross currency fix float swap instrument with MTM reset.
	crossccyfixfloatswap.hpp
	Cross currency fixed vs float swap instrument.
	crossccyswap.hpp
	Swap instrument with legs involving two currencies.
	currencyswap.hpp
	Interest rate swap with extended interface.
	deposit.hpp
	deposit instrument
	equityforward.hpp
	equityforward instrument
	fixedbmaswap.hpp
	fixed vs averaged bma swap
	flexiswap.hpp
	Flexi-Swap instrument with global notional bounds.
	forwardbond.hpp
	Forward bond class.
	fxforward.hpp
	defaultable fxforward instrument
	genericswaption.hpp
	Swaption class.
	impliedbondspread.hpp
	utilities for implied bond credit spread calculation
	indexcdsoption.hpp
	Index CDS option instrument.
	indexcreditdefaultswap.hpp
	Index Credit default swap.
	makeaverageois.hpp
	Helper class to instantiate standard average ON indexed swaps.
	makecds.hpp
	Helper class to instantiate standard market cds.
	makeoiscapfloor.hpp
	helper class to instantiate standard market OIS cap / floors
	multiccycompositeinstrument.hpp
	bond option class
	multilegoption.hpp
	multi leg option instrument
	nullinstrument.hpp
	A null instrument that always returns an NPV of 0.
	oiccbasisswap.hpp
	Cross currency overnight index swap paying compounded overnight vs. float.
	pairwisevarianceswap.hpp
	Pirwise Variance swap.
	payment.hpp
	payment instrument
	rebatedexercise.hpp
	more flexible version of ql class
	riskparticipationagreement.hpp
	RPA instrument.
	riskparticipationagreement_tlock.hpp
	RPA instrument for tlock underlyings.
	subperiodsswap.hpp
	Single currency sub periods swap instrument.
	syntheticcdo.hpp
	Synthetic Collateralized Debt Obligation and pricing engines.
	tenorbasisswap.hpp
	Single currency tenor basis swap instrument.
	vanillaforwardoption.hpp
	Vanilla forward option on a single asset.
	varianceswap.hpp
	Variance swap.