QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
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 with extensions for shifted lognormal and normal dynamics as in (... add reference ...)
 
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