| Class | Description |
|---|---|
| aka_clean | |
| aka_cleanJNI | |
| AkaString | |
| Array2dDouble | |
| ArrayAkaString | |
| ArrayBondCashflow | |
| ArrayCashflow | |
| ArrayCouponParameters | |
| ArrayCurrencyForward | |
| ArrayDate | |
| ArrayDiscountFactor | |
| ArrayDouble | |
| ArrayForwardYield | |
| ArrayIndexValue | |
| ArrayPartialDuration | |
| ArrayPrepaymentSpeed | |
| ArrayPrincipalPayment | |
| ArrayStrikeScheduleItem | |
| ArrayTimeDifference | |
| ArrayYield | |
| BondCashflow | |
| BondType | |
| BondType.type | |
| BulletBond |
Terms of a bond without calls or puts
|
| BusinessCenter |
Which holidays are used
when counting business days |
| BusinessCenter.type | |
| BusinessDayConvention |
How to adjust a date when it falls on
a weekend or holiday |
| BusinessDayConvention.type | |
| CalendarFrequency |
Frequency of coupon payments
or option exercise opportunities |
| CalendarFrequency.type | |
| CalendarPeriod | |
| CalendarUnits | |
| CalendarUnits.type | |
| CapVolatilityMatrix | |
| Cashflow |
Cashflow broken down by cause
|
| CashflowReport |
All values are reported as a fraction of the principal remaining
as of the valuation date. |
| Cashflows | |
| CommonTerms | |
| ConstIteratorAkaString | |
| ConstIteratorBondCashflow | |
| ConstIteratorCashflow | |
| ConstIteratorCouponParameters | |
| ConstIteratorCurrencyForward | |
| ConstIteratorDate | |
| ConstIteratorDiscountFactor | |
| ConstIteratorDouble | |
| ConstIteratorForwardYield | |
| ConstIteratorIndexValue | |
| ConstIteratorPartialDuration | |
| ConstIteratorPrepaymentSpeed | |
| ConstIteratorPrincipalPayment | |
| ConstIteratorStrikeScheduleItem | |
| ConstIteratorTimeDifference | |
| ConstIteratorYield | |
| CouponParameters | |
| CouponParameters.type_type | |
| CouponTerms | |
| Cpr |
Constant prepayment rate
|
| CurrencyForward |
Forward currency rate
|
| CurrencyForwardCurve |
Used a a proxy for a benchmark curve
in a foreign currency if no par yield curve is available |
| Date | |
| Daycount |
For computing accrued interest
and interest payments |
| Daycount.type | |
| DiscountCurve |
Discount factor curve
|
| DiscountFactor |
Discount factor from the specified Date_
to settlement date (specified elsewhere) |
| ForwardYield |
Used to specify orward yield in a yield curve.
Typically used for Eurodollar futures or equivalent |
| Holidays | |
| IndexHistory | |
| IndexValue |
Date_ and value of a floating index
|
| InputMbs |
Terms of a pass-through MBS
|
| InputYield |
Used to specify a yield in a yield curve
|
| InterestRateModel |
Stochastic interest rate model, implemented as
a lognormal short rate model with constant volatility. Calibrated to par yield curve If specified (see below), bumped models will also be constructed and cached for computing risk measures. Copy constructor and operator= disabled |
| InterestRateModelParameters |
Parametesrs needed by InterestRateModel constructor
|
| InterestRateModelParameters.density_type |
Density of nodes in lattice.
Use sparse lattices only if high speed is essential |
| InterestRateModelParameters.model_type | |
| IteratorAkaString | |
| IteratorBondCashflow | |
| IteratorCashflow | |
| IteratorCouponParameters | |
| IteratorCurrencyForward | |
| IteratorDate | |
| IteratorDiscountFactor | |
| IteratorDouble | |
| IteratorForwardYield | |
| IteratorIndexValue | |
| IteratorPartialDuration | |
| IteratorPrepaymentSpeed | |
| IteratorPrincipalPayment | |
| IteratorStrikeScheduleItem | |
| IteratorTimeDifference | |
| IteratorYield | |
| Mbs |
Pass-through fixed rate mortgage-backed security
or whole loan pool |
| MbsScenarioAnalysis |
Scenario analysis
|
| MbsYield |
Class for computing yield and modified risks using
specified prepayment speed vectors. The CLEAN prepayment model is *not* used |
| Option |
Terms of a call or put option
|
| OptionalDouble | |
| OptionalRisk | |
| OutputYield |
YTM, YTW, or YTC report, including modified duration and convexity
|
| PartialDuration | |
| ParYieldCurve |
Three types of yields:
Simple yield: Uncompounded single period yield, such as a Treasury bill yield or LIBOR rate Forward yield: Simple yield with a forward settlement date Par yield: Yield (coupon) of a par fixed coupon bond (i.e., price = 100) |
| PrepaymentModelParameters | |
| PrepaymentSpeed |
Projected average prepayment speed during specified period
starting from settlement date |
| PrepaymentSpeeds |
Prepayment speed vector
|
| Price |
All values are reported as a fraction of the principal remaining
as of the valuation date.d |
| PrincipalPayment |
Used for sinking or amortizing bonds
|
| Psa |
PSA multiplier
|
| Quote |
Bond price quote
|
| Quote.type_type |
Enum of possible ways to quote a price
|
| Risk |
Duration and convexity
|
| ScenarioAnalysisReport |
All values are reported as a fraction of the principal remaining
as of the valuation date. |
| Setup | |
| SpotCurve | |
| SpreadCurve |
Spreads relative to a benchmark curve
|
| Status |
Output::Status
--------------- Reports status of output report Possible values of return code are values below or sums of them: - code == 0: OK - 2 <= code <= 255: WARNING - code & 4: WARNING: Invalid lattice model but valid curve model - code & 256: FATAL - code & 512: FATAL: Invalid license - code & 1024: FATAL: Invalid curve and lattice model - code & 2048: FATAL: Computation failed - code & 4096: FATAL: Invalid quote |
| Status.code_type |
Possible return code values
|
| StrikeScheduleItem |
Item in a call or put schedule, specifying a call or put price
|
| SwaptionVolatilityMatrix | |
| SWIGTYPE_p_double | |
| TimeDifference | |
| ValuationReport |
All values are reported as a fraction of the principal remaining
as of the valuation date. |
| ValuationSelection | |
| VolatilityCalibrator | |
| YieldParameters |
Specifications of a computed yield
Specification of initial guess when computing a yield from a price |
| YieldReport |
All values are reported as a fraction of the principal remaining
as of the valuation date. |