A free/open-source library for quantitative finance
Reference manual - version 1.6
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ql
experimental
coupons
coupons Directory Reference
Files
file
cmsspreadcoupon.hpp
CMS spread coupon.
file
digitalcmsspreadcoupon.hpp
Cms-spread-rate coupon with digital call/put option.
file
lognormalcmsspreadpricer.hpp
cms spread coupon pricer as in Brigo, Mercurio, 13.34
file
proxyibor.hpp
IborIndex calculated as proxy of some other IborIndex.
file
quantocouponpricer.hpp
quanto-adjusted coupon
file
strippedcapflooredcoupon.hpp
strips the embedded option from cap floored coupons
file
subperiodcoupons.hpp
averaging coupons
file
swapspreadindex.hpp
swap-rate spread indexes
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