models Directory Reference

Files
	annuitymapping.hpp
	base class for annuity mapping functions used in TSR models
	basket.hpp
	basket of issuers and related notionals
	blackscholesmodelwrapper.hpp
	wrapper around a vector of BS processes
	carrmadanarbitragecheck.hpp
	arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005)
	cdsoptionhelper.hpp
	cds option calibration helper
	cirppconstantfellerparametrization.hpp
	constant CIR ++ parametrization
	cirppconstantparametrization.hpp
	constant CIR ++ parametrization
	cirppimplieddefaulttermstructure.hpp
	default probability structure implied by a CIRPP model
	cirppparametrization.hpp
	CIR ++ parametrisation.
	cmscaphelper.hpp
	Cms Option helper class.
	commoditymodel.hpp
	Commodity model base class.
	commodityschwartzconstantparametrization.hpp
	Schwartz commodity model constant parametrization.
	commodityschwartzmodel.hpp
	Schwartz (1997) one-factor model of the commodity price termstructure.
	commodityschwartzparametrization.hpp
	Schwartz commodity model parametrization.
	commodityschwartzpiecewiseconstantparametrization.hpp
	Schwartz commodity model parametrization.
	cpicapfloorhelper.hpp
	CPI Cap Floor calibration helper.
	crcirpp.hpp
	CIR++ credit model class.
	crlgm1fparametrization.hpp
	Credit Linear Gaussian Markov 1 factor parametrization.
	crossassetanalytics.hpp
	analytics for the cross asset model
	crossassetanalyticsbase.hpp
	basic functions for analytics in the cross asset model
	crossassetmodel.hpp
	cross asset model
	crossassetmodelimpliedeqvoltermstructure.hpp
	dynamic black volatility term structure
	crossassetmodelimpliedfxvoltermstructure.hpp
	dynamic black volatility term structure
	crossassetmodelimpliedswaptionvoltermstructure.hpp
	dynamic Swpation volatility term structure
	crstateparametrization.hpp
	credit state parametrization
	defaultableequityjumpdiffusionmodel.hpp
	dkimpliedyoyinflationtermstructure.hpp
	year on year inflation term structure implied by a Dodgson Kainth (DK) model
	dkimpliedzeroinflationtermstructure.hpp
	zero inflation term structure implied by a Dodgson Kainth (DK) model
	eqbsconstantparametrization.hpp
	Constant equity model parametrization.
	eqbsparametrization.hpp
	EQ Black Scholes parametrization.
	eqbspiecewiseconstantparametrization.hpp
	piecewise constant model parametrization
	exactbachelierimpliedvolatility.hpp
	implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017
	futureoptionhelper.hpp
	calibration helper for Black-Scholes options
	fxbsconstantparametrization.hpp
	Constant FX model parametrization.
	fxbsmodel.hpp
	fx black scholes model
	fxbsparametrization.hpp
	FX Black Scholes parametrization.
	fxbspiecewiseconstantparametrization.hpp
	piecewise constant model parametrization
	fxeqoptionhelper.hpp
	calibration helper for Black-Scholes options
	fxmodel.hpp
	fx model base class
	gaussian1dcrossassetadaptor.hpp
	adaptor class that extracts one irlgm1f component
	hullwhitebucketing.hpp
	probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Appdx. B
	hwconstantparametrization.hpp
	Hull White n factor parametrization with constant reversion and vol.
	hwmodel.hpp
	hull white n Factor model class
	hwparametrization.hpp
	Hull White n factor parametrization.
	infdkparametrization.hpp
	Inflation Dodgson Kainth parametrization.
	infjyparameterization.hpp
	Jarrow Yildrim inflation parameterization.
	irlgm1fconstantparametrization.hpp
	constant model parametrization
	irlgm1fparametrization.hpp
	Interest Rate Linear Gaussian Markov 1 factor parametrization.
	irlgm1fpiecewiseconstanthullwhiteadaptor.hpp
	adaptor to emulate piecewise constant Hull White parameters
	irlgm1fpiecewiseconstantparametrization.hpp
	piecewise constant model parametrization
	irlgm1fpiecewiselinearparametrization.hpp
	piecewise linear model parametrization
	irmodel.hpp
	ir model base class
	irmodelcalibrationinfo.hpp
	info data on how a lgm or hw model was calibrated
	jyimpliedyoyinflationtermstructure.hpp
	year on year inflation term structure implied by a Jarrow Yildrim (JY) model
	jyimpliedzeroinflationtermstructure.hpp
	zero inflation term structure implied by a Jarrow Yildrim (JY) model
	kienitzlawsonswaynesabrpdedensity.hpp
	Adaption of VBA code by Jörg Kienitz, 2017, to create a SABR density with PDE methods.
	lgm.hpp
	lgm model class
	lgmbackwardsolver.hpp
	interface for LGM1F backward solver
	lgmconvolutionsolver2.hpp
	numeric convolution solver for the LGM model using RandoMVariable
	lgmfdsolver.hpp
	numeric fd solver for LGM model
	lgmimplieddefaulttermstructure.hpp
	default probability structure implied by a LGM model
	lgmimpliedyieldtermstructure.hpp
	yield term structure implied by a LGM model
	lgmvectorised.hpp
	vectorised lgm model calculations
	linearannuitymapping.hpp
	linear annuity mapping function f(S) = a*S+b
	linkablecalibratedmodel.hpp
	calibrated model class with linkable parameters
	marketobserver.hpp
	helper class for model builders that observes market ts
	modelbuilder.hpp
	Model builder base class.
	modelimpliedpricetermstructure.hpp
	price term structure implied by a COM model
	modelimpliedyieldtermstructure.hpp
	yield term structure implied by an IR model
	normalsabr.hpp
	normal SABR model implied volatility approximation
	normalsabrinterpolation.hpp
	normal SABR interpolation interpolation between discrete points
	normalsabrsmilesection.hpp
	normal sabr smile section class
	parametrization.hpp
	base class for model parametrizations
	piecewiseconstanthelper.hpp
	helper classes for piecewise constant parametrizations
	projectedcrossassetmodel.hpp
	cross asset model projection utils
	pseudoparameter.hpp
	parameter giving access to calibration machinery
	representativefxoption.hpp
	representative fx option matcher
	representativeswaption.hpp
	representative swaption matcher
	transitionmatrix.hpp
	utility functions for transition matrices and generators
	yoycapfloorhelper.hpp
	Year on year inflation cap floor calibration helper.
	yoyinflationmodeltermstructure.hpp
	year-on-year inflation term structure implied by a cross asset model
	yoyswaphelper.hpp
	Year on year inflation swap calibration helper.
	zeroinflationmodeltermstructure.hpp
	zero inflation term structure implied by a cross asset model