|
| | adjusteddefaultcurve.hpp |
| | default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h(s)
|
| | aposurface.hpp |
| | Average future price option surface derived from future option surface.
|
| | averagefuturepricehelper.hpp |
| | Price helper for average of future settlement prices over a period.
|
| | averageoffpeakpowerhelper.hpp |
| | Price helper for average of off-peak electricity prices over a period.
|
| | averageoisratehelper.hpp |
| | Rate helpers to facilitate usage of AverageOIS in bootstrapping.
|
| | averagespotpricehelper.hpp |
| | Price helper for average of spot price over a period.
|
| | basistwoswaphelper.hpp |
| | Libor basis swap helper as two swaps.
|
| | blackdeltautilities.hpp |
| | utilities to calculate strikes from deltas and atm strikes on smiles
|
| | blackinvertedvoltermstructure.hpp |
| | Black volatility surface that inverts an existing surface.
|
| | blackmonotonevarvoltermstructure.hpp |
| | Black volatility surface that monotonises the variance in an existing surface.
|
| | blacktriangulationatmvol.hpp |
| | Black volatility surface that implies an ATM vol based on triangulation.
|
| | blackvariancecurve3.hpp |
| | Black volatility curve modeled as variance curve.
|
| | blackvariancesurfacemoneyness.hpp |
| | Black volatility surface based on forward moneyness.
|
| | blackvariancesurfacesparse.hpp |
| | Black volatility surface modeled as variance surface.
|
| | blackvariancesurfacestddevs.hpp |
| | Black volatility surface modeled as variance surface.
|
| | blackvolconstantspread.hpp |
| | surface that combines an ATM curve and vol spreads from a surface
|
| | blackvolsurfaceabsolute.hpp |
| | Black volatility surface based on absolute quotes.
|
| | blackvolsurfacebfrr.hpp |
| | Black volatility surface based on bf/rr quotes.
|
| | blackvolsurfacedelta.hpp |
| | Black volatility surface based on delta.
|
| | blackvolsurfaceproxy.hpp |
| | Wrapper class for a BlackVolTermStructure when using proxy vols.
|
| | blackvolsurfacewithatm.hpp |
| | Wrapper class for a BlackVolTermStructure that easily exposes ATM vols.
|
| | bondyieldshiftedcurvetermstructure.hpp |
| | term structure provided yield curve shifted by bond spread
|
| | brlcdiratehelper.hpp |
| | Rate helper based on standard BRL CDI swap.
|
| | capfloorhelper.hpp |
| | Helper for bootstrapping optionlet volatilities from cap floor volatilities.
|
| | capfloortermvolcurve.hpp |
| | Cap floor at-the-money term volatility curve.
|
| | capfloortermvolsurface.hpp |
| | Cap/floor smile volatility surface.
|
| | commodityaveragebasispricecurve.hpp |
| | A commodity price curve created from an averaged base curve and a collection of basis quotes.
|
| | commoditybasispricecurve.hpp |
| | A commodity price curve created from a base price curve and a collection of basis quotes.
|
| | commoditybasispricecurvewrapper.hpp |
| | A commodity price curve created from a generic price curve and a basis curve.
|
| | commoditybasispricetermstructure.hpp |
| | An interface for a commodity price curve created from a base price curve and a collection of basis quotes.
|
| | correlationtermstructure.hpp |
| | Term structure of correlations.
|
| | creditcurve.hpp |
| | wrapper for default curves, adding (index) reference data
|
| | creditvolcurve.hpp |
| | credit vol curve
|
| | crossccybasismtmresetswaphelper.hpp |
| | Cross currency basis swap helper with MTM reset.
|
| | crossccybasisswaphelper.hpp |
| | Cross currency basis swap helper.
|
| | crossccyfixfloatswaphelper.hpp |
| | Cross currency fixed vs. float swap helper.
|
| | crosscurrencypricetermstructure.hpp |
| | Price term structure in a given currency derived from a price term structure in another currency.
|
| | datedstrippedoptionlet.hpp |
| | Stripped optionlet surface with fixed reference date.
|
| | datedstrippedoptionletadapter.hpp |
| | StrippedOptionlet Adapter.
|
| | datedstrippedoptionletbase.hpp |
| | abstract class for optionlet surface with fixed reference date
|
| | discountratiomodifiedcurve.hpp |
| | discount curve modified by the ratio of two other discount curves
|
| | dynamicblackvoltermstructure.hpp |
| | dynamic black volatility term structure
|
| | dynamiccpivolatilitystructure.hpp |
| | dynamic zero inflation volatility structure
|
| | dynamicoptionletvolatilitystructure.hpp |
| | dynamic optionlet volatility structure
|
| | dynamicstype.hpp |
| | dynamics type definitions
|
| | dynamicswaptionvolmatrix.hpp |
| | dynamic swaption volatility matrix
|
| | dynamicyoyoptionletvolatilitystructure.hpp |
| | dynamic yoy inflation optionlet volatility structure
|
| | effectivebonddiscountcurve.hpp |
| | eqcommoptionsurfacestripper.hpp |
| | Imply equity or commodity volatility surface from put/call price surfaces.
|
| | equityannounceddividendcurve.hpp |
| | holds future announced dividends
|
| | equityforwardcurvestripper.hpp |
| | Imply equity forwards from option put/call parity.
|
| | flatcorrelation.hpp |
| | Term structure of flat correlations.
|
| | flatforwarddividendcurve.hpp |
| | Term structure for a forward dividend curve. If extrapolation is set we extrapolate with the forecast curve.
|
| | futurepricehelper.hpp |
| | Future price helper.
|
| | fxblackvolsurface.hpp |
| | FX Black volatility surface that incorporates an FxSmile.
|
| | fxsmilesection.hpp |
| | FX smile section assuming a strike/volatility space.
|
| | fxvannavolgasmilesection.hpp |
| | FX smile section assuming a strike/volatility space using vanna volga method.
|
| | fxvoltimeweighting.hpp |
| | helper class to compute weights for fx vol time interpolation
|
| | generatordefaulttermstructure.hpp |
| | Default curve implied from a single generator matrix.
|
| | hazardspreadeddefaulttermstructure.hpp |
| | adds a constant hazard rate spread to a default term structure
|
| | iborfallbackcurve.hpp |
| | projection curve for ibor fallback indices
|
| | immfraratehelper.hpp |
| | IMM FRA rate helper.
|
| | implieddefaulttermstructure.hpp |
| | implied default term structure
|
| | interpolatedcorrelationcurve.hpp |
| | interpolated correlation term structure
|
| | interpolatedcpivolatilitysurface.hpp |
| | zero inflation volatility structure interpolated on a expiry/strike matrix of quotes
|
| | interpolateddiscountcurve.hpp |
| | interpolated discount term structure
|
| | interpolateddiscountcurve2.hpp |
| | interpolated discount term structure
|
| | interpolatedhazardratecurve.hpp |
| | interpolated hazard-rate term structure (with the option to disable the negative rates check)
|
| | interpolatedsurvivalprobabilitycurve.hpp |
| | interpolated survival-probability term structure (with the option to disable the check for negative hazard rates)
|
| | interpolatedyoycapfloortermpricesurface.hpp |
| | Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTermPriceSurface to allow choice of termstructure directly from YoY swap quotes or from atm swap quotes stripped from cap/floor price surface.
|
| | iterativebootstrap.hpp |
| | Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes.
|
| | kinterpolatedyoyoptionletvolatilitysurface.hpp |
| | fixed version of ql class (see patch 1,2,3 in the comments below)
|
| | multisectiondefaultcurve.hpp |
| | default curve with an instantaneous hazard rate given by a vector of underlying curves in specific date ranges
|
| | oiccbasisswaphelper.hpp |
| | Overnight Indexed Cross Currency Basis Swap helpers.
|
| | oiscapfloorhelper.hpp |
| | Helper for bootstrapping optionlet volatilties from ois cap floor volatilities.
|
| | oisratehelper.hpp |
| | Overnight Indexed Swap (aka OIS) rate helpers.
|
| | optionletcurve.hpp |
| | Interpolated one-dimensional curve of optionlet volatilities.
|
| | optionletstripper.hpp |
| | optionlet (caplet/floorlet) volatility stripper
|
| | optionletstripper1.hpp |
| | Optionlet (caplet/floorlet) volatility strippers.
|
| | optionletstripper2.hpp |
| | ATM optionlet (caplet/floorlet) volatility stripper.
|
| | optionletstripperwithatm.hpp |
| | Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities.
|
| | optionpricesurface.hpp |
| | Surface to store option prices.
|
| | parametricvolatility.hpp |
| | cross-asset, generic volatility structure
|
| | piecewiseatmoptionletcurve.hpp |
| | Create optionlet volatility structure from at-the-money cap floor term volatility curve.
|
| | piecewiseoptionletcurve.hpp |
| | One-dimensional curve of bootstrapped optionlet volatilities.
|
| | piecewiseoptionletstripper.hpp |
| | Strip optionlet volatility surface from cap floor volatility term surface.
|
| | piecewisepricecurve.hpp |
| | Piecewise interpolated price term structure.
|
| | pillaronlyyieldcurve.hpp |
| | Yield curves that interpolate only on actual pillar dates, excluding synthetic t=0.
|
| | pricecurve.hpp |
| | Interpolated price curve.
|
| | pricetermstructure.hpp |
| | Term structure of prices.
|
| | pricetermstructureadapter.hpp |
| | PriceTermStructure adapter.
|
| | probabilitytraits.hpp |
| | default probability bootstrap traits for QuantExt
|
| | proxyoptionletvolatility.hpp |
| | moneyness-adjusted optionlet vol for normal vols
|
| | proxyswaptionvolatility.hpp |
| | moneyness-adjusted swaption vol for normal vols
|
| | sabrparametricvolatility.hpp |
| | sabr volatility structure
|
| | sabrstrippedoptionletadapter.hpp |
| | Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model.
|
| | spreadedblackvolatilitycurve.hpp |
| | Spreaded Black volatility curve.
|
| | spreadedblackvolatilitysurfacemoneyness.hpp |
| | Spreaded Black volatility surface based on moneyness.
|
| | spreadedcorrelationcurve.hpp |
| | Spreaded correlation curve.
|
| | spreadeddiscountcurve.hpp |
| | spreaded discount term structure
|
| | spreadedinflationcurve.hpp |
| | spreaded inflation term structure
|
| | spreadedoptionletvolatility.hpp |
| | Adds floor to QuantLib::SpreadedOptionletVolatility.
|
| | spreadedoptionletvolatility2.hpp |
| | Optionlet volatility with overlayed bilinearly interpolated spread surface.
|
| | spreadedpricetermstructure.hpp |
| | Spreaded Term structure of prices.
|
| | spreadedsmilesection.hpp |
| | Adds floor to QuantLib::SmileSection.
|
| | spreadedsmilesection2.hpp |
| | smile section with linear interpolated vol spreads
|
| | spreadedsurvivalprobabilitytermstructure.hpp |
| | spreaded default term structure
|
| | spreadedswaptionvolatility.hpp |
| | swaption cube defined via atm vol spreads over another cube
|
| | staticallycorrectedyieldtermstructure.hpp |
| | Statically corrected yield term structure.
|
| | strippedcpivolatilitystructure.hpp |
| | zero inflation volatility structure implied from a cpi cap/floor price surface
|
| | strippedoptionletadapter.hpp |
| | Convert a StrippedOptionletBase in to an OptionletVolatilityStructure.
|
| | strippedoptionletadapter2.hpp |
| | StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation).
|
| | strippedyoyinflationoptionletvol.hpp |
| | Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat extrapolation).
|
| | subperiodsswaphelper.hpp |
| | Single currency sub periods swap helper.
|
| | survivalprobabilitycurve.hpp |
| | interpolated survival probability term structure
|
| | swaptionsabrcube.hpp |
| | SABR Swaption volatility cube.
|
| | swaptionvolatilityconverter.hpp |
| | Convert swaption volatilities from one type to another.
|
| | swaptionvolconstantspread.hpp |
| | swaption cube that combines an ATM matrix and vol spreads from a cube
|
| | swaptionvolcube2.hpp |
| | Swaption volatility cube, fit-later-interpolate-early approach.
|
| | swaptionvolcubewithatm.hpp |
| | Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols.
|
| | tenorbasisswaphelper.hpp |
| | Single currency tenor basis swap helper.
|
| | terminterpolateddefaultcurve.hpp |
| | default curve interpolating between two term curves
|
| | weightedyieldtermstructure.hpp |
| | yield term structure given as a weighted average of yield term structures
|
| | yieldplusdefaultyieldtermstructure.hpp |
| | yield term structure given as a yield ts plus weighted sum of default term structures
|
| | yoyinflationcurveobservermoving.hpp |
| | Observable inflation term structure with floating reference date based on the interpolation of zero rate quotes.
|
| | yoyinflationcurveobserverstatic.hpp |
| | Observable inflation term structure with fixed reference date based on the interpolation of yoy rate quotes.
|
| | zeroinflationcurveobservermoving.hpp |
| | Observable inflation term structure based on the interpolation of zero rate quotes, but with floating reference date.
|
| | zeroinflationcurveobserverstatic.hpp |
| | Observable inflation term structure based on the interpolation of zero rate quotes.
|
