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| file | cmsspreadcoupon.hpp |
| | CMS spread coupon.
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| |
| file | digitalcmsspreadcoupon.hpp |
| | Cms-spread-rate coupon with digital call/put option.
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| |
| file | lognormalcmsspreadpricer.hpp |
| | cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998
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| |
| file | proxyibor.hpp |
| | IborIndex calculated as proxy of some other IborIndex.
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| |
| file | quantocouponpricer.hpp |
| | quanto-adjusted coupon
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| |
| file | strippedcapflooredcoupon.hpp |
| | strips the embedded option from cap floored coupons
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| |
| file | subperiodcoupons.hpp |
| | averaging coupons
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| |
| file | swapspreadindex.hpp |
| | swap-rate spread indexes
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| |