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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, 13.34 with extensions for shifted lognormal and normal dynamics as in (... add reference ...)
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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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