File List

Here is a list of all documented files with brief descriptions:

[detail level 123456]

▼ src
▼ dates
► calendars
_all_calendars.hpp	Calendar and holidays module
cadHoliday.hpp	File contains CADHoliday class
calendar.hpp	File contains the definition of calendar class
calendarBuilder.hpp	File contains the definition of calendar builder class
chfHoliday.hpp	File contains CHFHoliday class
corpusChristi.hpp	File contains CorpusChristi class
czkHoliday.hpp	File contains CZKHoliday class
easter.hpp	File contains function EasterForAGivenYear
easterMonday.hpp	File contains EasterMonday class
eurHoliday.hpp	File contains EURHoliday class
fixedHoliday.hpp	File contains definition of fixed holiday class
gbpHoliday.hpp	File contains GBPHoliday class
goodFriday.hpp	File contains GoodFriday class
holiday.hpp	File contains definition of Holiday class
hufHoliday.hpp	File contains HUFHoliday class
jpyHoliday.hpp	File contains JPYHoliday class
plnHoliday.hpp	File contains PLNHoliday class
settlementDateConvention.hpp	File contains interface of settlement convention
settlementFromExpiry.hpp	File contains implementation of settlement from expiry convention
settlementFromSpot.hpp	File contains definition of SettlementFromSpot class
usdHoliday.hpp	File contains USDHoliday class
whitMonday.hpp	File contains WhitMonday class
► timeGrids
_all_timeGrids.hpp	Time grids and time discretization patterns
discretizeWithNumberOfSteps.hpp	File contains definition of DiscretizeWithNumberOfSteps class
discretizeWithNumberOfStepsPerYear.hpp	File contains definition of DiscretizeWithNumberOfStepsPerYear class
discretizeWithTenor.hpp	File contains definition of DiscretizeWithTenor class
timeDiscretization.hpp	File contains definition of TimeDiscretization class
timeGrid.hpp	File contains definition of TimeGrid class
timeGridBuilder.hpp	File contains definition of BuildTimeGrid class
► yearFractions
_all_yearfraction.hpp	Year fraction module
ACT360.hpp	File contains definition of ACT360 year fraction
ACT360addOne.hpp	File contains definition of ACT360addOne year fraction
ACT365.hpp	File contains definition of ACT365 year fraction
ActActAFB.hpp	File contains definition of ACTACT AFB year fraction
ActActISDA.hpp	File contains definition of ACTACT ISDA year fraction
E30360.hpp	File contains definition of E30360 year fraction convention
OneYF.hpp	File contains definition of 1/1 year fraction
US30360.hpp	File contains definition of US30360 year fraction
yearFraction.hpp	File contains interface for year fractions
_all_dates.hpp	Contains headers of all files with definitions of classes gathered in dates calendar and holidays module
date.hpp	File contains definition of date class
tenor.hpp	File contains definition of tenor class
timeUnit.hpp	File contain time units and other useful enumerations
▼ instruments
► bonds
_all_bonds.hpp	File contains function EasterForAGivenYear
bond.hpp	File contains interface for all bond instruments
bondBuilder.hpp	File contains implementation of bond builder
fixedIncomeBond.hpp	File contains definition of FixedIncomeBond
floatingRateBond.hpp	File contains definition of FloatingRateBond
zeroCouponBond.hpp	File contains implementation of ZeroCouponBond
► linear
_all_linear.hpp	Linear instruments module
deposit.hpp	File contains definition of deposit
FRA.hpp	File contains definition of FRA contract
IRS.hpp	File contains definition of IRS contract
linearInstrument.hpp	File contains definition of linear instruments interface
linearInstrumentBuilder.hpp	File contains definition of linear instrument builder class
► options
_all_options.hpp	Options module
europeanOpt.hpp	File contains implementation of EuropeanOpt
option.hpp	File contains definition of financial option interface
_all_instruments.hpp	Financial instruments module
CashFlow.hpp	File contains definition of cash flow class
CashFlowBuilder.hpp	File contains implementation of CashFlowBuilder
CashFlowVector.hpp	File contains definition of cash flow vector
FixedCashFlow.hpp	File contains definition of fixed cash flow class
FloatingCashFlow.hpp	File contains definition of floating cash flow class
instrumentAuxiliaryTypes.hpp	File contains types common to all financial instruments
▼ interestRates
_all_interestRate.hpp	Contains headers of all files with definitions of classes gathered in interest rate module
compoundedRate.hpp	File contains definition of CompoundedRate class
compounding.hpp	File contains interface of interest rate compounding concept
exponentialRate.hpp	File contains definition of ExponentialRate class
fractionRate.hpp	File contains definition of FractionRate class
interestRate.hpp	File contains definition of InterestRate class
simpleRate.hpp	File contains definition of SimpleRate class
▼ marketData
► interestRateCurves
► estimators
► costFunctions
_all_costIrFunctions.hpp	Classes implementing cost function for interest rate curve estimators
CostFunctionDecorator.hpp	File contains implementation of abstract component of SmootherCostFunction decorator
FirstDerivativeCostFunction.hpp	File contains implementation of FirstDerivativeCostFunction
SecondDerivativeCostFunction.hpp	File contains implementation of SecondDerivativeCostFunction
SmootherCostFunction.hpp	File contains interface of cost function used by interest rate curve smoothers
SmoothForwardRates.hpp	File contains implementation of component of SmootherCostFunction decorator
SmoothZeroCouponRates.hpp	File contains implementation of component of SmootherCostFunction decorator
_all_irCurveEstimator.hpp	Interest rate curve estimators module
algebraicBootstrapper.hpp	File contains definition of AlgebraicBootstrapper
constrainedSmoother.hpp	File contains definition of constrained smoothing bootstrapper
irCurveEstimator.hpp	File contains interface of algorithms that performs interest rate curve estimations
rootFindingBootstrapper.hpp	File contains definition of RootFindingBootstrapper
unconstrainedSmoother.hpp	Implementation of UnconstrainedSmoother
► interpolators
_all_interpolators.hpp	Contains headers of all files with definitions of classes gathered in interpolator of interest curve module
extrapolateFlatZCR.hpp	File contains definition of extrapolate of interest rate curve
extrapolateLogOfDF.hpp	File contains definition of extrapolate of interest rate curve
interpolateDF.hpp	File contains definition of interpolate DF class
interpolateInverseDF.hpp	File contains definition of interpolate inverse DF class
interpolateLogOfDF.hpp	File contains definition of interpolate of log DF class
interpolateZCRate.hpp	File contains definition of interpolate zero-coupon rate class
interpolationInput.hpp	File contains interface of method that provides inputs to interpolation
irCurveCompoundedInterpolator.hpp	File contains implementation of CompoundedInterpolator
irCurveExtrapolator.hpp	File contains definition of interface of interest rate curve extrapolator
irCurveInterpolator.hpp	File contains definition of interface of interest rate curve interpolator
_all_Curves.hpp	Interest rate curves module
curveBuildingBlock.hpp	File containing definition of interest rates curve building block
curveSettings.hpp	File contains definition of structure holding settings of ir::InterpolatedCurve
flatCurve.hpp	File contains definition of flat interest rate curve
interpolatedCurve.hpp	File contains definition of swap interpolated curve class
irCurve.hpp	File contains interface of interest rate curves
irCurveBuilder.hpp	File contains interest rate curve builder
irCurveUtils.hpp	File contains small programming tools used to handle interest curve
► volatility
_all_volatilitySurface.hpp	Volatility Surface module
flatVolatility.hpp	File contains definition of flat volatility surface
volatility.hpp	File contains interface for volatility surface
_all_marketData.hpp	Market Data module
ForwardCurve.hpp	File contains definition of forward curve class
marketDataUtils.hpp	File contains simple functions helping to handle market data classes
▼ marketModels
_all_marketModels.hpp	Market Models Module
BlackScholesModel.hpp	File contains implementation of Black Scholes model
marketModel.hpp	File contains implementation of interface for market models
▼ mathematics
► distributions
_all_probabilityDistribution.hpp	Probability Distribution module
bivariateNormal.hpp	File contains implementation of bivariate normal random variable
customRandomVariable.hpp	File contains definition of CustomRandomVariable
gaussianRandomVariable.hpp	File contains definition of GaussianRandomVariable
normalDistribution.hpp	File contains implementation of normal distribution
probabilityDistribution.hpp	File contains interface of random variables
randomVariable.hpp	File contains definition of RandomVariable
scaleLocationDistribution.hpp	File contains implementation of scale-location family of random distributions
uniformDistribution.hpp	File contains implementation of uniform distribution
► interpolation
_all_interpolation.hpp	Interpolation module
akima.hpp	File contains implementation of AKIMA interpolant
cubicInterpolation.hpp	File contains class of cubic interpolant
flatBackward.hpp	File contains class of flat backward interpolant
flatForward.hpp	File contains class of flat forward interpolant
interpolation.hpp	File contains interface of interpolation methods
linearInterpolation.hpp	File contains class of linear interpolant
logarithmicInterpolation.hpp	File contains class of logarithmic interpolant
naturalCubicSpline.hpp	File contains implementation of natural cubic spline
polynomialInterpolation.hpp	File contains class implementing polynomial interpolation
quadraticInterpolation.hpp	File contains class of quadratic interpolant
steffenInterpolation.hpp	File contains class implementing Steffen interpolation
► numericalAlgorithms
_all_numericalAlgorithm.hpp	Numerical Algorithms module
bracketingRootFinder.hpp	File contains implementation of bracketing root finder algorithm
derivativeMinimizer.hpp	File contains implementation multi-dimension minimizers
derivativeRootFinder.hpp	File contains implementation of root finder algorithm using derivative
GslFunctionAdapter.hpp	File contains adapter of GSL Function
GslFunctionFdfAdapter.hpp	File contains adapter of GSL Function
GslMultiminFunctionAdapter.hpp	File contains adapter of GSL Function
GslMultiminFunctionFdfAdapter.hpp	File contains adapter of GSL Function
integrate.hpp	File contains implementation of integrating algorithm
minimizer1d.hpp	File contains implementation of one dimensional minimizer
nonDerivativeMinimizer.hpp	File contains implementation multi-dimension minimizers
QuadraticProgrammingSolver.hpp	File contains implementation of root finder algorithm using derivative
simulatedAnnealing.hpp	File contains definition of simulated annealing algorithm
► regressions
_all_regressions.hpp	Regressions module
polynomialRegression.hpp	File contains class implementing polynomial regression
regression.hpp	File contains interface of regressions
regressionWithoutIntercept.hpp	File contains class implementing linear regression without intercept
robustRegression.hpp	File contains class implementing robust regression
simpleLinearRegression.hpp	File contains class implementing simple linear regression
► RNGs
_all_RNGs.hpp	Random number generators module
mersenneTwister.hpp	File contains implementation of Mersenne Twister generator
RANLUX.hpp	File contains implementation of RANLUX generator
Tausworthe.hpp	File contains implementation of Tausworthe generator
uniformRNG.hpp	File contains implementation of RNG generating random variables from uniform distribution
► statistics
_all_statistics.hpp	Statistics module
descriptiveStatistics.hpp	File contains statistical tools
► stochasticProcesses
_all_stochasticProcesses.hpp	Stochastic processes module
arithmeticBrownianMotion.hpp	File contains implementation arithmeticBrownianMotion
cirProcess.hpp	File contains implementation of CIR Process
geometricBrownianMotion.hpp	File contains function EasterForAGivenYear
hestonProcess.hpp	Implementation of Heston stochastic process
path.hpp	File contains implementation of Path object
stochasticProcess.hpp	File contains interface for stochastic processes
_all_mathematics.hpp	Mathematics module
mathUtils.hpp	File contains small mathematical classes and functions
▼ pricingEngines
► analytical
_all_analyticalPricingEngines.hpp	File containing module of analytical engines
analyticalPricingEngine.hpp	File contains analytical pricing engine
► optionGreeks
_all_optionGreeks.hpp	Includes objects related to Greeks
optionDelta.hpp	File contains implementation of OptionDelta
optionGamma.hpp	File contains implementation of OptionGamma
optionGreeks.hpp	Interface of option's Greeks structure
optionGreeksBuilder.hpp	Class constructing PV and Greeks objects
optionGreeksDecorator.hpp	Interface of option Greeks decorating classes
optionPV.hpp	File contains implementation of OptionPV
optionTheta.hpp	File contains implementation of OptionTheta
optionVanna.hpp	File contains implementation of OptionVanna
optionVega.hpp	File contains implementation of OptionVega
optionVolga.hpp	File contains implementation of OptionVolga
_all_pricingEngines.hpp	Includes objects related to pricing engines
BlackScholesCalculator.hpp	File contains small functions used to calculate PV and Greeks using Black-Scholes model
pricingEngine.hpp	File contains definition of PricingEngine interface
▼ utils
_all_utils.hpp	Utils module
dataFrame.hpp	File contains definition of data frame
formatters.hpp	File contains definition of formatters
objectFactory.hpp	File contains definition of Factory pattern
RunTimeMeasurment.hpp	File contains definition of class that measures run time
serialization.hpp	File contains functions used in serialization process
serializationGUID.hpp	Definitions of GUID needed to serialize objects
smartPointer.hpp	File contains template of deep-coping smart pointer
utils.hpp	File contains small programming tools
valueFactory.hpp	File contains definition of Factory pattern
vectorOperations.hpp	File contains simple tools for std vectors
juliant.hpp