QuantLib: ql/instruments Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

instruments Directory Reference

## Directories

## Files
file | asianoption.hpp
| Asian option on a single asset.
file | assetswap.hpp
| Bullet bond vs Libor swap.
file | averagetype.hpp
| Averaging algorithm enumeration.
file | barrieroption.hpp
| Barrier option on a single asset.
file | barriertype.hpp
| Barrier type.
file | basketoption.hpp
| Basket option on a number of assets.
file | bmaswap.hpp
| swap paying Libor against BMA coupons
file | bond.hpp
| concrete bond class
file | callabilityschedule.hpp
| Schedule of put/call dates.
file | capfloor.hpp
| cap and floor class
file | claim.hpp
| Classes for default-event claims.
file | cliquetoption.hpp
| Cliquet option.
file | compositeinstrument.hpp
| Composite instrument class.
file | cpicapfloor.hpp
| zero-inflation-indexed-ratio-with-base option
file | cpiswap.hpp
| zero-inflation-indexed-ratio-with-base swap
file | creditdefaultswap.hpp
| Credit default swap.
file | dividendbarrieroption.hpp
| Barrier option on a single asset with discrete dividends.
file | dividendschedule.hpp
| Schedule of dividend dates.
file | dividendvanillaoption.hpp
| Vanilla option on a single asset with discrete dividends.
file | europeanoption.hpp
| European option on a single asset.
file | fixedratebondforward.hpp
| forward contract on a fixed-rate bond
file | floatfloatswap.hpp
| swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves
file | floatfloatswaption.hpp
| floatfloatswaption class
file | forward.hpp
| Base forward class.
file | forwardrateagreement.hpp
| forward rate agreement
file | forwardvanillaoption.hpp
| Forward version of a vanilla option.
file | futures.hpp
| Futures.
file | impliedvolatility.hpp
| Utilities for implied-volatility calculation.
file | lookbackoption.hpp
| Lookback option on a single asset.
file | makecapfloor.hpp
| Helper class to instantiate standard market cap/floor.
file | makecds.hpp
| Helper class to instantiate standard market cds.
file | makecms.hpp
| Helper class to instantiate standard market CMS.
file | makeois.hpp
| Helper class to instantiate overnight indexed swaps.
file | makeswaption.hpp
| Helper class to instantiate standard market swaption.
file | makevanillaswap.hpp
| Helper class to instantiate standard market swaps.
file | multiassetoption.hpp
| Option on multiple assets.
file | nonstandardswap.hpp
| vanilla swap but possibly with period dependent nominal and strike
file | nonstandardswaption.hpp
| nonstandard swap option class
file | oneassetoption.hpp
| Option on a single asset.
file | overnightindexedswap.hpp
| Overnight index swap paying compounded overnight vs. fixed.
file | payoffs.hpp
| Payoffs for various options.
file | quantobarrieroption.hpp
| Quanto version of a barrier option.
file | quantoforwardvanillaoption.hpp
| Quanto version of a forward vanilla option.
file | quantovanillaoption.hpp
| Quanto version of a vanilla option.
file | stickyratchet.hpp
| Payoffs for double nested options of sticky or ratchet type.
file | stock.hpp
| concrete stock class
file | swap.hpp
| Interest rate swap.
file | swaption.hpp
| Swaption class.
file | vanillaoption.hpp
| Vanilla option on a single asset.
file | vanillastorageoption.hpp
| vanilla storage option class
file | vanillaswap.hpp
| Simple fixed-rate vs Libor swap.
file | vanillaswingoption.hpp
| vanilla swing option class
file | varianceswap.hpp
| Variance swap.
file | yearonyearinflationswap.hpp
| Year-on-year inflation-indexed swap.
file | zerocouponinflationswap.hpp
| Zero-coupon inflation-indexed swap.