Files | |
file | averagebmacoupon.hpp |
coupon paying a weighted average of BMA-index fixings | |
file | capflooredcoupon.hpp |
Floating rate coupon with additional cap/floor. | |
file | capflooredinflationcoupon.hpp |
caplet and floorlet pricing for YoY inflation coupons | |
file | cashflows.hpp |
Cash-flow analysis functions. | |
file | cashflowvectors.hpp |
Cash flow vector builders. | |
file | cmscoupon.hpp |
CMS coupon. | |
file | conundrumpricer.hpp |
CMS-coupon pricer. | |
file | coupon.hpp |
Coupon accruing over a fixed period. | |
file | couponpricer.hpp |
Coupon pricers. | |
file | cpicoupon.hpp |
Coupon paying a zero-inflation index. | |
file | cpicouponpricer.hpp |
zero inflation-coupon pricer | |
file | digitalcmscoupon.hpp |
Cms-rate coupon with digital call/put option. | |
file | digitalcoupon.hpp |
Floating-rate coupon with digital call/put option. | |
file | digitaliborcoupon.hpp |
Ibor-rate coupon with digital call/put option. | |
file | dividend.hpp |
A stock dividend. | |
file | duration.hpp |
Duration type enumeration. | |
file | fixedratecoupon.hpp |
Coupon paying a fixed annual rate. | |
file | floatingratecoupon.hpp |
Coupon paying a variable index-based rate. | |
file | iborcoupon.hpp |
Coupon paying a Libor-type index. | |
file | indexedcashflow.hpp |
file | inflationcoupon.hpp |
file | inflationcouponpricer.hpp |
inflation-coupon pricers | |
file | overnightindexedcoupon.hpp |
coupon paying the compounded daily overnight rate | |
file | rangeaccrual.hpp |
range-accrual coupon | |
file | replication.hpp |
Sub, Central, or Super replication. | |
file | simplecashflow.hpp |
Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals) | |
file | timebasket.hpp |
distribution over a number of date ranges | |
file | yoyinflationcoupon.hpp |
Coupon paying a yoy inflation index. | |