Reference manual - version qle_version
Topics | |
| Cross Asset Model | |
Files | |
| file | brownianbridgepathinterpolator.hpp |
| brownian bridge path interpolator | |
| file | multipathvariategenerator.hpp |
| multi path generators returning the generating N(0,1) variates, this is very much in parallel to the MultiPathGeneratorBase interface and derived classes, including the make function | |
| file | carrmadanarbitragecheck.hpp |
| arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005) | |
| file | cdsoptionhelper.hpp |
| cds option calibration helper | |
| file | cirppconstantfellerparametrization.hpp |
| constant CIR ++ parametrization | |
| file | cirppconstantparametrization.hpp |
| constant CIR ++ parametrization | |
| file | cirppimplieddefaulttermstructure.hpp |
| default probability structure implied by a CIRPP model | |
| file | cirppparametrization.hpp |
| CIR ++ parametrisation. | |
| file | commoditymodel.hpp |
| Commodity model base class. | |
| file | commodityschwartzconstantparametrization.hpp |
| Schwartz commodity model constant parametrization. | |
| file | commodityschwartzmodel.hpp |
| Schwartz (1997) one-factor model of the commodity price termstructure. | |
| file | commodityschwartzparametrization.hpp |
| Schwartz commodity model parametrization. | |
| file | commodityschwartzpiecewiseconstantparametrization.hpp |
| Schwartz commodity model parametrization. | |
| file | cpicapfloorhelper.hpp |
| CPI Cap Floor calibration helper. | |
| file | crcirpp.hpp |
| CIR++ credit model class. | |
| file | crlgm1fparametrization.hpp |
| Credit Linear Gaussian Markov 1 factor parametrization. | |
| file | crstateparametrization.hpp |
| credit state parametrization | |
| file | dkimpliedyoyinflationtermstructure.hpp |
| year on year inflation term structure implied by a Dodgson Kainth (DK) model | |
| file | dkimpliedzeroinflationtermstructure.hpp |
| zero inflation term structure implied by a Dodgson Kainth (DK) model | |
| file | eqbsconstantparametrization.hpp |
| Constant equity model parametrization. | |
| file | eqbsparametrization.hpp |
| EQ Black Scholes parametrization. | |
| file | eqbspiecewiseconstantparametrization.hpp |
| piecewise constant model parametrization | |
| file | exactbachelierimpliedvolatility.hpp |
| implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017 | |
| file | futureoptionhelper.hpp |
| calibration helper for Black-Scholes options | |
| file | fxbsconstantparametrization.hpp |
| Constant FX model parametrization. | |
| file | fxbsmodel.hpp |
| fx black scholes model | |
| file | fxbsparametrization.hpp |
| FX Black Scholes parametrization. | |
| file | fxbspiecewiseconstantparametrization.hpp |
| piecewise constant model parametrization | |
| file | fxeqoptionhelper.hpp |
| calibration helper for Black-Scholes options | |
| file | fxmodel.hpp |
| fx model base class | |
| file | gaussian1dcrossassetadaptor.hpp |
| adaptor class that extracts one irlgm1f component | |
| file | hullwhitebucketing.hpp |
| probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Appdx. B | |
| file | hwconstantparametrization.hpp |
| Hull White n factor parametrization with constant reversion and vol. | |
| file | hwmodel.hpp |
| hull white n Factor model class | |
| file | hwparametrization.hpp |
| Hull White n factor parametrization. | |
| file | lgmvectorised.hpp |
| vectorised lgm model calculations | |
| file | irlgm1fconstantparametrization.hpp |
| constant model parametrization | |
| file | irlgm1fparametrization.hpp |
| Interest Rate Linear Gaussian Markov 1 factor parametrization. | |
| file | irlgm1fpiecewiseconstanthullwhiteadaptor.hpp |
| adaptor to emulate piecewise constant Hull White parameters | |
| file | irlgm1fpiecewiseconstantparametrization.hpp |
| piecewise constant model parametrization | |
| file | irlgm1fpiecewiselinearparametrization.hpp |
| piecewise linear model parametrization | |
| file | irmodel.hpp |
| ir model base class | |
| file | irmodelcalibrationinfo.hpp |
| info data on how a lgm or hw model was calibrated | |
| file | jyimpliedyoyinflationtermstructure.hpp |
| year on year inflation term structure implied by a Jarrow Yildrim (JY) model | |
| file | jyimpliedzeroinflationtermstructure.hpp |
| zero inflation term structure implied by a Jarrow Yildrim (JY) model | |
| file | lgm.hpp |
| lgm model class | |
| file | lgmfdsolver.hpp |
| numeric fd solver for LGM model | |
| file | lgmimplieddefaulttermstructure.hpp |
| default probability structure implied by a LGM model | |
| file | lgmimpliedyieldtermstructure.hpp |
| yield term structure implied by a LGM model | |
| file | linkablecalibratedmodel.hpp |
| calibrated model class with linkable parameters | |
| file | marketobserver.hpp |
| helper class for model builders that observes market ts | |
| file | modelbuilder.hpp |
| Model builder base class. | |
| file | modelimpliedpricetermstructure.hpp |
| price term structure implied by a COM model | |
| file | modelimpliedyieldtermstructure.hpp |
| yield term structure implied by an IR model | |
| file | parametrization.hpp |
| base class for model parametrizations | |
| file | piecewiseconstanthelper.hpp |
| helper classes for piecewise constant parametrizations | |
| file | pseudoparameter.hpp |
| parameter giving access to calibration machinery | |
| file | representativefxoption.hpp |
| representative fx option matcher | |
| file | representativeswaption.hpp |
| representative swaption matcher | |
| file | transitionmatrix.hpp |
| utility functions for transition matrices and generators | |
| file | yoycapfloorhelper.hpp |
| Year on year inflation cap floor calibration helper. | |
| file | yoyinflationmodeltermstructure.hpp |
| year-on-year inflation term structure implied by a cross asset model | |
| file | yoyswaphelper.hpp |
| Year on year inflation swap calibration helper. | |
| file | zeroinflationmodeltermstructure.hpp |
| zero inflation term structure implied by a cross asset model | |
| file | 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) | |
| file | implieddefaulttermstructure.hpp |
| implied default term structure | |
| file | weightedyieldtermstructure.hpp |
| yield term structure given as a weighted average of yield term structures | |
| file | yieldplusdefaultyieldtermstructure.hpp |
| yield term structure given as a yield ts plus weighted sum of default term structures | |
Grouping of all model related classes, functions and files