L2 Kernel User GuideΒΆ
- Pricing Engine Overview
- Pricing Engine Kernel Design
- Internal Design of European Option Pricing Engine
- Internal Design of MCEuropeanHestonEngine
- Internal Design of Asian Option Pricing Engine
- Internal Design of Digital Option Pricing Engines
- Internal Design of Barrier Option Pricing Engine
- Internal Design of Cliquet Option Pricing Engine
- Internal Design of American Option Pricing Engine
- Internal Design of MCMultiAssetEuropeanHestonEngine
- Internal Design of MCHullWhiteCapFloorEngine
- Internal Design of MCEuropeanHestonGreeksEngine
- Internal Design of Closed Form Black-Scholes-Merton
- Internal Design of Closed Form Black-76
- Internal Design of Closed Form Heston
- Internal Design of Closed Form Merton 76
- Internal Design of Garman Kohlhagen
- Internal Design of Quanto
- Internal Design of Cox-Ross-Rubinstein Binomial Tree
- Internal Design of Finite-Difference Hull-White Bermudan Swaption Pricing Engine
- Internal Design of Finite-Difference G2 Bermudan Swaption Pricing Engine
- Internal Design of Tree Bermudan Swaption Engine
- Internal Design of CPI CapFloor Engine
- Internal Design of Inflation CapFloor Engine
- Internal Design of Zero Coupon Bond Engine
- Internal Design of Heath-Jarrow-Morton Framework
- Internal Design of LIBOR Market Model
- Internal Design of HWA Engine
- Internal Design of CDS Engine
- Internal Design of Black Scholes Local Volatility Solver
- Pricing Engine Kernel APIs
- CPICapFloorEngine
- DiscountingBondEngine
- InflationCapFloorEngine
- FdHullWhiteEngine
- FdG2SwaptionEngine
- binomialTreeEngine
- cfB76Engine
- cfBSMEngine
- FdBsLvSolver
- FdDouglas
- hcfEngine
- hjmPcaEngine
- hjmMcEngine
- hjmEngine
- lmmEngine
- M76Engine
- MCEuropeanEngine
- MCEuropeanPriBypassEngine
- MCEuropeanHestonEngine
- MCMultiAssetEuropeanHestonEngine
- MCAmericanEnginePreSamples
- MCAmericanEngineCalibrate
- MCAmericanEnginePricing
- MCAmericanEngine
- MCAsianGeometricAPEngine
- MCAsianArithmeticAPEngine
- MCAsianArithmeticASEngine
- MCBarrierNoBiasEngine
- MCBarrierEngine
- MCCliquetEngine
- MCDigitalEngine
- MCEuropeanHestonGreeksEngine
- MCHullWhiteCapFloorEngine
- McmcCore
- treeSwaptionEngine
- treeSwapEngine
- treeCapFloorEngine
- treeCallableEngine
- Other Engine Kernel Design