L2 Kernel User Guide

• 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
  • Internal Design of Markov Chain Monte Carlo