RAII class to encapsulate a string from QuantMath, and prevent leaks.

There are a few controversial design decisions here. The first is to do with the separation of products from indices, which is the case in pricing lib

Pricers are always constructed using a pricer factory. This means that the code to create the pricer is independent of what sort of pricer it is.

A report generator performs all the calculations needed to produce a report.

Edges in the graph must be contained in our own subclass of Rc, so we can implement our serialize/deserialize methods on it.

Our own box type, so we can implement serialization and deserialization.

Our own reference counted type, so we can implement serialization and deserialization.

This is a Visitor that forwards string types to T's `FromId` impl and forwards map types to T's `Deserialize` impl. The `PhantomData` is to keep the c

This is a Visitor that forwards string types to T's `FromId` impl and forwards map types to T's `Deserialize` impl. The `PhantomData` is to keep the c

This is a Visitor that forwards string types to T's `FromId` impl and forwards map types to T's `Deserialize` impl. The `PhantomData` is to keep the c

Are two objects approximately equal? The two objects could be floating point numbers, or risk reports. Returns true if the objects are sufficiently cl

Redefine ApproxEqReport because Rust complains about circular type references otherwise

The 1976 reformulation of the Black-Scholes formula, where the price of a European option is expressed in terms of the Forward and the Strike.

Enumeration spanning all bumps of market data

Bump that defines all the supported bumps and risk transformations of a vol surface.

Bump that defines all the supported bumps to the spot date

Bump that defines all the supported bumps and risk transformations of a rate curve such as a borrow curve or a yield curve.

Interface that defines all bumps of simple underlying market data. This defines most risks that the analytics outputs. Most methods take a save parame

An interface for applying bumps

Calendars define when business holidays are scheduled. They are used for business day volatility, settlement calculations, and the roll-out of schedul

Date rules are used for rolling out schedules of dates and for adjusting dates to move them onto business dates.

Some instruments such as equities or fx rates have no expiry date. You can trade in or out of them at any time. Similarly, you can trade into a consta

Some instruments such as vanilla options or futures have an expiry date. Others, such as CMS rates or equities, have an expiry date when you know what

Technology to deduplicate directed acyclic graphs based on Rc pointers during serialization and deserialization.

Collect the dependencies of an instrument

When an instrument reports its dependencies, it makes calls to a context. These calls should match the calls to the pricing context made during pricin

Low-level interfaces to market data Discount curve. Returns the log of the discount rather than the discount itself, as this is very often what we wan

In order to use a dividend stream, we bootstrap its data into a vector of more instantly useable data, one instance for each distinct ex date. Note th

Driftless forward, for example for a future, where the expectation on any date is the value today.

An equity forward has a spot, a discount rate which, together with a borrow, defines the rate of growth, plus a dividend stream.

Interpolation with date or number for the abscissa and number for the ordinal. In this implementation, the array of points is supplied in the call to

Flyweight linear interpolation. In this interpolator, the data is kept externally, and passed into the interpolate function. This avoids the cost of c

Forward curve

Forward curve. This represents the expectation value of some asset over time. It is implemented in different ways for futures (generally driftless) eq

Sometimes it is useful to treat a priceable as if it were a forward curve. The only issue is that a priceable takes a DateTime and a forward takes a d

[derive(Clone, SerializeState, DeserializeState, Debug)] [serde(serialize_state = "HashMap<String, RcInstrument>")] [serde(deserialize_state = "HashMa

Interface that fetches an instance of an object given its ID.

RAII class to encapsulate a handle from QuantMath, and prevent leaks.

Solves for implied volatility given a pricer. The pricer can be anything that gives a price with dependence on volatility, but analytic pricers work b

Objects that can be deduplicated have to have a unique instance id

To use interpolation, the types along the x axis must be Interpolable

Interpolation with date or number for the abscissa and number for the ordinal. In this implementation, the array of points is supplied in the construc

Forward as an interpolator. For example, this may be used for any asset including equities where we do not care about the dynamics. (Normally we repre

Context for Monte-Carlo pricing. The most important thing this gives is the observations, both historical (fixings) and future (paths).

Collects the dependencies needed for Monte-Carlo pricing

Interface that must be implemented by a model in order to support Monte-Carlo pricing.