pricingengines Directory Reference

Files
	amccalculator.hpp
	interface for amc calculator
	analyticbarrierengine.hpp
	Analytic barrier option engines.
	analyticcashsettledeuropeanengine.hpp
	pricing engine for cash settled European vanilla options.
	analyticcclgmfxoptionengine.hpp
	analytic cc lgm fx option engine
	analyticdigitalamericanengine.hpp
	Wrapper of QuantLib analytic digital American option engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
	analyticdkcpicapfloorengine.hpp
	analytic dk cpi cap floor engine
	analyticdoublebarrierbinaryengine.hpp
	Wrapper of QuantLib analytic double barrier binary engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
	analyticdoublebarrierengine.hpp
	Analytic barrier option engines.
	analyticeuropeanengine.hpp
	Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair.
	analyticeuropeanenginedeltagamma.hpp
	Analytic European engine providing sensitivities.
	analyticeuropeanforwardengine.hpp
	Analytic European Forward engine.
	analytichwswaptionengine.hpp
	Analytic hw swaption engine.
	analyticjycpicapfloorengine.hpp
	Analytic Jarrow Yildrim (JY) CPI cap floor engine.
	analyticjyyoycapfloorengine.hpp
	Analytic Jarrow Yildrim (JY) year on year cap floor engine.
	analyticlgmcdsoptionengine.hpp
	analytic lgm cds option engine
	analyticlgmswaptionengine.hpp
	analytic engine for european swaptions in the LGM model
	analyticoutperformanceoptionengine.hpp
	Analytic European engine for outperformance options.
	analyticxassetlgmeqoptionengine.hpp
	analytic cross-asset lgm eq option engine
	baroneadesiwhaleyengine.hpp
	Barone-Adesi and Whaley approximation engine.
	binomialconvertibleengine.hpp
	binomial engine for convertible bonds
	blackbondoptionengine.hpp
	Black bond option engine.
	blackcdsoptionengine.hpp
	Black credit default swap option engine.
	blackindexcdsoptionengine.hpp
	Black index credit default swap option engine.
	blackmultilegoptionengine.hpp
	Simple Black European swaption engine.
	blackswaptionenginedeltagamma.hpp
	Swaption engine providing analytical deltas for vanilla swaps.
	cashpositionengine.hpp
	Cash position discounting engine.
	cboengine.hpp
	collateralized bond obligation pricing engine
	cbomcengine.hpp
	Monte Carlo pricing engine for the cashflow CDO instrument.
	commodityapoengine.hpp
	commodity average price option engine
	commodityschwartzfutureoptionengine.hpp
	commodity future options priced in the Schwartz model
	commodityspreadoptionengine.hpp
	commodity spread option engine
	commodityswaptionengine.hpp
	commodity swaption engine
	cpibacheliercapfloorengine.hpp
	CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as normal vols.
	cpiblackcapfloorengine.hpp
	CPI cap/floor engine using the Black pricing formula and interpreting the volatility data as lognormal vols.
	cpicapfloorengines.hpp
	Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing.
	crossccyswapengine.hpp
	Cross currency swap engine.
	depositengine.hpp
	deposit engine
	discountingbondfutureengine.hpp
	Engine to value a Bond Future.
	discountingbondtrsengine.hpp
	Engine to value a Bond TRS.
	discountingcommodityforwardengine.hpp
	Engine to value a commodity forward contract.
	discountingcreditlinkedswapengine.hpp
	credit linked swap pricing engine
	discountingcurrencyswapengine.hpp
	discounting currency swap engine
	discountingcurrencyswapenginedeltagamma.hpp
	discounting currency swap engine providing analytical deltas and gammas for vanilla swaps
	discountingequityforwardengine.hpp
	Engine to value an Equity Forward contract.
	discountingforwardbondengine.hpp
	Engine to value a Forward Bond contract.
	discountingfxforwardengine.hpp
	Engine to value an FX Forward off two yield curves.
	discountingfxforwardenginedeltagamma.hpp
	Engine to value an FX Forward off two yield curves.
	discountingriskybondengine.hpp
	Risky Bond Engine.
	discountingriskybondenginemultistate.hpp
	Risky Bond Engine.
	discountingswapenginedeltagamma.hpp
	Swap engine providing analytical deltas and gammas for vanilla swaps.
	discretizedconvertible.hpp
	discretized convertible
	fdblackscholesvanillaengine.hpp
	Wrapper of QuantLib engine to allow cashflow results.
	fdcallablebondevents.hpp
	fdconvertiblebondevents.hpp
	fddefaultableequityjumpdiffusionconvertiblebondengine.hpp
	indexcdsoptionbaseengine.hpp
	Base class for index cds option pricing engines.
	indexcdstrancheengine.hpp
	Index CDS tranche pricing engine.
	inflationcapfloorengines.hpp
	Inflation cap/floor engines from QuantLib, with optional external discount curve.
	intrinsicascotengine.hpp
	intrinsic engine for Ascots
	lgmconvolutionsolver.hpp
	numeric convolution solver for the LGM model
	mccamcurrencyswapengine.hpp
	MC CAM engine for currency swaps.
	mccamequityforwardengine.hpp
	MC CAM engine for Equity forward instrument.
	mccamfxforwardengine.hpp
	MC CAM engine for FX Forward instrument.
	mccamfxoptionengine.hpp
	MC CAM engine for FX Option instrument.
	mclgmbondengine.hpp
	MC LGM bond engines.
	mclgmfwdbondengine.hpp
	MC LGM forward bond engines.
	mclgmswapengine.hpp
	MC LGM swap engines.
	mclgmswaptionengine.hpp
	MC LGM swaption engines.
	mcmultilegbaseengine.hpp
	base MC engine for multileg (option) instruments
	mcmultilegoptionengine.hpp
	MC engine for multi leg option instrument.
	midpointcdsenginemultistate.hpp
	Risky Bond Engine.
	midpointindexcdsengine.hpp
	Mid-point engine for credit default swaps.
	nullamccalculator.hpp
	amc calculator that returns zero results
	numericalintegrationindexcdsoptionengine.hpp
	numerical integration index credit default swap option engine.
	numericlgmbgsflexiswapengine.hpp
	numeric engine for balance guaranteed swaps using a flexi swap proxy in the LGM model
	numericlgmflexiswapengine.hpp
	numeric engine for flexi swaps in the LGM model
	oiccbasisswapengine.hpp
	Cross Currency Overnight Indexed Basis Swap Engine.
	pairwisevarianceswapengine.hpp
	pairwise variance swap engine
	paymentdiscountingengine.hpp
	Single payment discounting engine.
	tflattice.hpp
	Binomial Tsiveriotis-Fernandes tree model.
	varianceswapgeneralreplicationengine.hpp
	variance swap engine
	volatilityfromvarianceswapengine.hpp
	volatility swap engine