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| file | bsmrndcalculator.hpp |
| | risk neutral terminal density calculator for the Black-Scholes-Merton model with constant volatility
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| file | cevrndcalculator.hpp |
| | risk neutral density calculator for the constant elasticity of variance (CEV) model
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| file | fdmaffinemodelswapinnervalue.hpp |
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| file | fdmaffinemodeltermstructure.hpp |
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| file | fdmboundaryconditionset.hpp |
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| file | fdmdirichletboundary.hpp |
| | Dirichlet boundary conditions for differential operators.
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| file | fdmdiscountdirichletboundary.hpp |
| | discounted value on Dirichlet boundary conditions
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| file | fdmdividendhandler.hpp |
| | dividend handler for fdm method for one equity direction
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| file | fdmindicesonboundary.hpp |
| | helper class to extract the indices on a boundary
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| file | fdminnervaluecalculator.hpp |
| | layer of abstraction to calculate the inner value
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| file | fdmmesherintegral.hpp |
| | mesher based integral over target function.
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| file | fdmquantohelper.hpp |
| | helper class storing market data needed for the quanto adjustment.
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| file | fdmtimedepdirichletboundary.hpp |
| | time dependent Dirichlet boundary conditions
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| file | gbsmrndcalculator.hpp |
| | risk neutral terminal density calculator for the Black-Scholes-Merton model with strike dependent volatility
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| file | hestonrndcalculator.hpp |
| | risk neutral terminal density calculator for the Heston stochastic volatility model
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| file | localvolrndcalculator.hpp |
| | local volatility risk neutral terminal density calculation
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| file | riskneutraldensitycalculator.hpp |
| | interface for a single asset risk neutral terminal density calculation
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