Index
A
- algorithm
- asset value models
- about / Structural models
B
- Bank of International Settlements (BIS) / Discipline 1 – finance (financial derivatives)
- bankruptcy (CR1) example
- about / Basic example – bankruptcy (CR1)
- computing / Basic example – bankruptcy (CR1)
- Bento Box template
- about / The Bento Box template
- Boost library
- about / The Boost library
- Box Muller method
- about / Equity
- BT method
- about / The Binomial Trees method
- algorithm / Algorithm of the BT method
- example / Example of the BT method
C
- C#
- C++
- about / Discipline 3 – informatics (C++ programming)
- numerical recipes / Numerical recipes
- financial numerical recipes / Financial numerical recipes
- QuantLib project / The QuantLib project
- Boost library / The Boost library
- GSL library / The GSL library
- CDS (CR2) example
- about / Advanced example – CDS (CR2)
- computing / Advanced example – CDS (CR2)
- Code**Blocks
- CR1_main.cpp file
- code snippet / Basic example – bankruptcy (CR1)
- CR1_source.cpp file
- code snippet / Basic example – bankruptcy (CR1)
- CR2_main.cpp file
- code snippet / Advanced example – CDS (CR2)
- CR2_source.cpp file
- code snippet / Advanced example – CDS (CR2)
- credit rating
- about / Credit
- structural models / Structural models
- intensity models / Intensity models
D
- drift / Discipline 2 – mathematics
E
- EQ1_main.cpp file
- code snippet / Basic example – European Call
- EQ2_main.cpp file
- code snippet / Advanced example – equity basket
- equity asset class
- about / Equity
- equity basket example, equity derivatives
- about / Advanced example – equity basket
- equity derivatives
- European Call example / Basic example – European Call
- equity basket advanced example / Advanced example – equity basket
- equity model
- reviewing / Equity
- European Call contract / Discipline 1 – finance (financial derivatives)
- European Call example, equity derivatives
- about / Basic example – European Call
- European FX Call (FX1) example
- about / Basic example – European FX Call (FX1)
- plain vanilla European Call option pricing, demonstarting / Basic example – European FX Call (FX1)
- financial derivative premium, calculating / Basic example – European FX Call (FX1)
- computing / Basic example – European FX Call (FX1)
- exchange rate
- reviewing / Foreign exchange
- explicit FDM / Algorithm of FDM
F
- FD method
- about / The Finite Difference method
- algorithm / Algorithm of FDM
- example / Example of the FD method
- financial derivative
- about / Discipline 1 – finance (financial derivatives)
- features / Discipline 1 – finance (financial derivatives)
- futures / Discipline 1 – finance (financial derivatives)
- forwards / Discipline 1 – finance (financial derivatives)
- options / Discipline 1 – finance (financial derivatives)
- swaps / Discipline 1 – finance (financial derivatives)
- examples / Discipline 1 – finance (financial derivatives)
- financial numerical recipes
- about / Financial numerical recipes
- Finite Difference Methodology (FDM) / Advanced example – FX barrier option (FX2)
- fixed leg
- floating leg
- foreign exchange derivatives
- European FX Call (FX1) example / Basic example – European FX Call (FX1)
- FX barrier option (FX2) example / Advanced example – FX barrier option (FX2)
- forex asset class
- about / Foreign exchange
- forward FDM / Algorithm of FDM
- Future Value (FV)
- about / Intensity models
- FX1_main.cpp file
- code snippet / Basic example – European FX Call (FX1)
- FX1_source.cpp file
- code snippet / Basic example – European FX Call (FX1)
- FX2_main.cpp file
- code snippet / Advanced example – FX barrier option (FX2)
- FX2_source.cpp file
- code snippet / Advanced example – FX barrier option (FX2)
- FX barrier option (FX2) example
- about / Advanced example – FX barrier option (FX2)
- up-and-out barrier option pricing, demonstarting / Advanced example – FX barrier option (FX2)
- computing / Advanced example – FX barrier option (FX2)
G
- GBM / Equity
- Geometric Brownian Motion (GBM) / Discipline 2 – mathematics, Basic example – bankruptcy (CR1)
- GSL library
- about / The GSL library
I
- Initial Public Offer (IPO)
- about / Structural models
- interest rate derivatives
- plain vanilla IRS (IR1) example / Basic example – plain vanilla IRS (IR1)
- IRS with Cap (IR2) example / Advanced example – IRS with Cap (IR2)
- interest rates
- about / Interest rates
- short rate models / Short rate models
- market models / Market models
- Interest Rate Swap (IRS) / Market models
- IR1_main.cpp file
- code snippet / Basic example – plain vanilla IRS (IR1)
- IR1_source.cpp file
- code snippet / Basic example – plain vanilla IRS (IR1)
- IR2_main.cpp file
- code snippet / Advanced example – IRS with Cap (IR2)
- IR2_source.cpp file
- code snippet / Advanced example – IRS with Cap (IR2)
- IRS with Cap (IR2) example
- about / Advanced example – IRS with Cap (IR2)
- IRS with cap pricing, demonstrating / Advanced example – IRS with Cap (IR2)
- computing / Advanced example – IRS with Cap (IR2)
J
- Java
L
- Libor Market Model (LMM) / Interest rates, Market models
- London Stock Exchange
- URL / Equity
M
- mathematical models, financial markets
- equity / Equity
- exchange rate / Foreign exchange
- interest rates / Interest rates
- credit rating / Credit
- mathematics
- about / Discipline 2 – mathematics
- models / Discipline 2 – mathematics
- mathematics models
- about / Discipline 2 – mathematics
- Mathworks
- Matlab
- MC simulation method
- about / The Monte Carlo simulation method
- algorithm / Algorithm of the MC method
- example / Example of the MC method
- MinGW
- Monte Carlo (MC) / Advanced example – FX barrier option (FX2)
- Monte Carlo simulation
N
- numerical recipes
- about / Numerical recipes
O
- Over The Counter (OTC) / Discipline 1 – finance (financial derivatives)
P
- Partial Differential Equation (PDE) / The Finite Difference method, Basic example – European FX Call (FX1)
- plain vanilla IRS (IR1) example
- about / Basic example – plain vanilla IRS (IR1)
- plain vanilla IRS pricing, demonstrating / Basic example – plain vanilla IRS (IR1)
- computing / Basic example – plain vanilla IRS (IR1)
- Present Value (PV)
- about / Intensity models
Q
- Quantitative Finance
- financial derivative / Discipline 1 – finance (financial derivatives)
- mathematics / Discipline 2 – mathematics
- C++ programming / Discipline 3 – informatics (C++ programming)
- informatics / Discipline 3 – informatics (C++ programming)
- QuantLib project
- about / The QuantLib project
R
- random.cpp file
- code snippet / Basic example – European Call
- references / Chapter 3, Chapter 7
S
- slope / The Finite Difference method
- stencil / Algorithm of FDM
- Stochastic Differential Equations (SDEs)
- Geometric Brownian Motion (GBM) / Discipline 2 – mathematics
- swaptions / Short rate models
T
- the underlying / Discipline 1 – finance (financial derivatives)
V
- VBA
- volatility / Discipline 2 – mathematics
W
- Wolfram Mathematica