| 이름 |
설명 |
| AUCPI |
|
| AUDLibor |
|
| AffineModel |
|
| AmericanExercise |
|
| Australia |
|
| Australia.Impl |
|
| AverageBMACouponPricer |
|
| BMAIndex |
|
| BMASwapRateHelper |
Rate helper for bootstrapping over BMA swap rates |
| BermudanExercise |
|
| Bisection |
|
| BlackIborCouponPricer |
|
| BlackYoYInflationCouponPricer |
|
| BootstrapError |
Bootstrap error |
| BulletPricipalLeg |
|
| CHFLibor |
Swiss Franc LIBOR fixed by BBA. See . |
| CalibratedModel |
|
| CalibratedModel.CalibrationFunction |
|
| CalibratedModel.PrivateConstraint |
|
| CalibratedModel.PrivateConstraint.Impl |
|
| CapFloorTermVolatilityStructure |
|
| CapletVarianceCurve |
|
| CappedFlooredCoupon |
|
| CappedFlooredIborCoupon |
|
| CappedFlooredYoYInflationCoupon |
|
| CashOrNothingPayoff |
|
| Cdor |
Canadian Dollar Offered Rate fixed by IDA. |
| CmsCoupon |
|
| CmsCouponPricer |
|
| CmsLeg |
|
| CommercialPaper |
|
| ConstantCapFloorTermVolatility |
|
| ConstantDefaultIntensity |
|
| Coupon |
|
| CoxIngersollRoss |
|
| CoxIngersollRoss.Dynamics |
|
| CoxIngersollRoss.HelperProcess |
|
| CzechRepublic |
|
| CzechRepublic.Impl |
|
| DKKLibor |
|
| DZero |
|
| DailyTenorCHFLibor |
Base class for the one day deposit BBA CHF LIBOR indexes. |
| DailyTenorEURLibor |
Base class for the one day deposit BBA EUR Libor indexes Euro O/N LIBOR fixed by BBA. It can be also used for T/N and S/N indexes, even if such indexes do not have BBA fixing. See http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414. |
| DailyTenorLibor |
Base class for O/N-S/N BBA LIBOR indexes but the EUR ones. One day deposit LIBOR fixed by BBA. |
| DailyTenorUSDLibor |
|
| DefaultProbabilityTermStructure |
|
| Defaultable |
|
| DerivedQuote |
|
| DigitalCmsCoupon |
|
| DigitalCmsLeg |
|
| DigitalCoupon |
|
| DigitalIborCoupon |
|
| DigitalIborLeg |
|
| Discount |
|
| EUHICP |
|
| EURLibor1M |
1-month EUR Libor index |
| EURLibor6M |
6-months EUR Libor index |
| EURLibor9M |
|
| EURLiborON |
|
| EarlyExercise |
|
| Eonia |
Eonia (Euro Overnight Index Average) rate fixed by the ECB. |
| Error |
|
| EulerDiscretization |
|
| EurLiborSwapIfrFix |
|
| EurLiborSwapIsdaFixA |
|
| EurLiborSwapIsdaFixB |
|
| Euribor |
%Euribor index Euribor rate fixed by the ECB. This is the rate fixed by the ECB. Use EurLibor if you're interested in the London fixing by BBA. |
| Euribor1M |
|
| Euribor1Y |
|
| Euribor2M |
|
| Euribor2W |
|
| Euribor365 |
|
| Euribor3M |
|
| Euribor3W |
|
| Euribor4M |
|
| Euribor5M |
|
| Euribor6M |
|
| EuriborSW |
|
| EuriborSwapIfrFix |
|
| EuriborSwapIsdaFixA |
|
| EuriborSwapIsdaFixB |
|
| EuropeanExercise |
|
| EuropeanOption |
|
| Exercise |
|
| FRARateHelper |
Rate helper for bootstrapping over FRA rates |
| FRHICP |
|
| FixedLoan |
|
| FixedRateBond |
|
| FixedRateCoupon |
|
| FixedRateLeg |
|
| FloatingLoan |
|
| FloatingRateCouponPricer |
generic pricer for floating-rate coupons |
| Forward |
|
| ForwardFlat |
|
| ForwardFlatInterpolation |
|
| ForwardFlatInterpolationImpl |
|
| ForwardRate |
|
| ForwardRateStructure |
|
| FractionalDividend |
Predetermined cash flow This cash flow pays a predetermined amount at a given date. |
| GBPLibor |
GBP LIBOR rate Pound Sterling LIBOR fixed by BBA. |
| GBPLiborON |
Overnight GBP Libor index. |
| GbpLiborSwapIsdaFix |
|
| GeneralStatistics |
|
| GeometricBrownianMotionProcess |
|
| Germany |
|
| Germany.Eurex |
|
| Germany.Euwax |
|
| Germany.FrankfurtStockExchange |
|
| Germany.Settlement |
|
| Germany.Xetra |
|
| IMM |
|
| IborCouponPricer |
|
| IborIndex |
|
| ImpliedVolatilityHelper |
|
| Index |
|
| IndexManager |
|
| IndexedCashFlow |
Cash flow dependent on an index ratio. This cash flow is not a coupon, i.e., there's no accrual. The amount is either i(T)/i(0) or i(T)/i(0) - 1, depending on the growthOnly parameter. We expect this to be used inside an instrument that does all the date adjustment etc., so this takes just dates and does not change them. growthOnly = false means i(T)/i(0), which is a bond-type setting. growthOnly = true means i(T)/i(0) - 1, which is a swap-type setting. |
| India |
|
| India.Impl |
|
| InflationCouponPricer |
Base inflation-coupon pricer. The main reason we can't use FloatingRateCouponPricer as the base is that it takes a FloatingRateCoupon which takes an InterestRateIndex and we need an inflation index (these are lagged). The basic inflation-specific thing that the pricer has to do is deal with different lags in the index and the option e.g. the option could look 3 months back and the index 2. We add the requirement that pricers do inverseCap/Floor-lets. These are cap/floor-lets as usually defined, i.e. pay out if underlying is above/below a strike. The non-inverse (usual) versions are from a coupon point of view (a capped coupon has a maximum at the strike). We add the inverse prices so that conventional caps can be priced simply. |
| InterestRate |
|
| InterestRateIndex |
|
| InvestmentFund |
Simple investment fund. |
| IterativeBootstrap |
|
| Japan |
|
| Japan.Impl |
|
| JointCalendar |
|
| JointCalendar.Impl |
|
| JpyLiborSwapIsdaFixAm |
|
| JpyLiborSwapIsdaFixPm |
|
| LastFixingQuote |
|
| Lattice |
|
| LfmCovarianceProxy |
|
| Libor |
Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones LIBOR fixed by BBA. |
| Linear |
|
| LinearInterpolation |
|
| LinearInterpolationImpl |
|
| LmConstWrapperCorrelationModel |
|
| LmLinearExponentialVolatilityModel |
|
| LocalVolCurve |
|
| MakeBasisSwap |
|
| MakeSchedule |
|
| Matrix |
|
| MatrixUtilities |
|
| MultiplicativePriceSeasonality |
|
| NZDLibor |
|
| NegativePowerDefaultIntensity |
|
| NewZealand |
|
| NewZealand.Impl |
|
| Norway |
|
| Norway.Impl |
|
| OptimizationMethod |
|
| Option |
|
| Option.Arguments |
|
| OrnsteinUhlenbeckProcess |
|
| OvernightIndexedCoupon |
|
| OvernightIndexedCouponPricer |
|
| OvernightLeg |
|
| PercentageStrikePayoff |
Payoff with strike expressed as percentage |
| Period |
|
| PricerSetter |
|
| PricipalLeg |
|
| PrimeNumbers |
|
| PrincipalLegBase |
|
| Problem |
|
| Quote |
Base class for market observables. |
| Ridder |
|
| SEKLibor |
|
| SVD |
|
| Schedule |
|
| Seasonality |
|
| Secant |
|
| ShortRateModel |
|
| SimpleCashFlow |
|
| SimpleQuote |
|
| Simplex |
Multi-dimensional simplex class |
| Slovakia |
|
| Slovakia.Impl |
|
| SobolRsg |
|
| SquareRootProcess |
|
| StochasticProcessArray |
|
| StrikedTypePayoff |
|
| SwaptionHelper |
|
| SwaptionVolatilityDiscrete |
|
| SwaptionVolatilityMatrix |
|
| TARGET |
|
| TARGET.Impl |
|
| TRLibor |
|
| Taiwan |
|
| Taiwan.Impl |
|
| TermStructureConsistentModel |
|
| TimeGrid |
|
| TridiagonalOperator |
|
| TridiagonalOperator.TimeSetter |
|
| Turkey |
|
| Turkey.Impl |
|
| USDLibor |
|
| USDLiborON |
|
| UnitDisplacedBlackYoYInflationCouponPricer |
Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
| UnitedKingdom |
|
| UnitedKingdom.Exchange |
|
| UnitedKingdom.Metals |
|
| UnitedKingdom.Settlement |
|
| VanillaOption |
|
| VarProxy_Helper |
|
| Vasicek |
|
| Vasicek.Dynamics |
|
| VolatilityTermStructure |
|
| YYAUCPI |
|
| YYAUCPIr |
|
| YYEUHICP |
|
| YYEUHICPr |
|
| YYFRHICP |
|
| YYFRHICPr |
|
| YoYInflationCoupon |
Coupon paying a YoY-inflation type index |
| YoYInflationCouponPricer |
base pricer for capped/floored YoY inflation coupons |
| YoYInflationTermStructure |
Base class for year-on-year inflation term structures. |
| YoYOptionletVolatilitySurface |
|
| ZeroCouponBond |
Zero-coupon bond |
| ZeroYield |
|
| ZeroYieldStructure |
|
| Zibor |
|