QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
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