Namespace otyca

Classes

• Struct CompositeStochasticProcessConfig

• Struct Event

• Struct Model::CalibrationConfig

• Struct Model::CalibrationInput

• Struct Model::CalibrationStatus

• Class AffineSVI

• Class AlphaStable

• Class AutoStochasticProcessPricer

• Class BimodalGaussian

• Template Class BoundedSchedule

• Class BrownianMotion

• Class BumpModel

• Class CGMY

• Class CIR

• Class ClaimFourierTransform

• Class CompositeLevyProcess

• Template Class CompositeModel

• Class CompositeStochasticProcess

• Class CompositeStochasticProcessFactory

• Class CubicSpline

• Class DirectIntegrationPricer

• Class Dividend

• Class DividendTable

• Class Estimate

• Class FFTPricer

• Class FLCIR

• Template Class FlexibleSchedule

• Class Forward

• Class FourierTransform

• Class FourierTransformPricer

• Class FRFTPricer

• Class Gamma

• Class GaussQuadrature

• Class GeneralizedNelsonSiegel

• Class Heston

• Class ImpliedVarianceTenorCalculator

• Class InterestRateCurve

• Class InterestRateFuture

• Class InterestRateSpot

• Class InterestRateSwap

• Class InverseGaussian

• Class Kou

• Class LCIR

• Class LevyProcess

• Class LevyProcessFactory

• Class Logger

• Class LogStable

• Class Merton

• Template Class Model

• Class ModelBase

• Class MultipleBimodalGaussian

• Class NelsonSiegel

• Class NelsonSiegelSvensson

• Class NumericalUtil

• Class Option

• Template Class OptionCalculator

• Class OptionExpiration

• Class OptionStrike

• Class PieceWiseTermStructure

• Class PieceWiseYieldCurve

• Class Poisson

• Class Polynomial

• Class QuadraticSVI

• Class RealizedVarianceTenorCalculator

• Class SABR

• Class SABR1

• Class SABR1E

• Template Class Scatter

• Template Class Schedule

• Class ScheduledJump

• Class Security

• Class ShiftedLognormal

• Class SimplifiedSVI

• Class StochasticProcess

• Class StochasticProcessPricer

• Template Class Susp

• Class SuspBase

• Class SVI

• Class TenorCalculator

• Class TermStructure

• Class TimeBoundedBimodalGaussian

• Class TimeBoundedJump

• Class TimeChangedLevyProcess

• Class TimeChangedLevyProcessFactory

• Class TimeChangeProcess

• Class TimeChangeProcessFactory

• Class TimeFixedBimodalGaussian

• Class TimeFixedJump

• Class TimeValueFourierTransform

• Class TradingCalendar

• Template Class TripleFusion

• Class UKF

• Class UnderlyingDataset

• Class VarianceGamma

• Class YieldCurve

Enums

• Enum LogLevel

• Enum OptionStyle

• Enum OptionType

• Enum TreeType

• Enum VolatilityType

Functions

• Template Function otyca::all_finite

• Template Function otyca::array1

• Template Function otyca::array2

• Template Function otyca::close_enough

• Template Function otyca::col

• Template Function otyca::col_to_row_major(const std::vector<T>&, std::vector<T>&, int, int)

• Template Function otyca::col_to_row_major(const T *, T *, int, int)

• Template Function otyca::concatenate

• Function otyca::continuous_to_365

• Template Function otyca::copy_to_raw(const std::vector<std::vector<T>>&, T *)

• Template Function otyca::copy_to_raw(const std::vector<std::vector<std::vector<T>>>&, T *)

• Template Function otyca::extend

• Template Function otyca::extract_by_indices

• Template Function otyca::filter_greater

• Template Function otyca::filter_less_or_equal

• Template Function otyca::flatten

• Template Function otyca::generate_combinations

• Template Function otyca::get_value_array

• Template Function otyca::get_value_map

• Template Function otyca::get_value_matrix

• Template Function otyca::has_same_size

• Template Function otyca::inverse_sigmoid

• Template Function otyca::inverse_sigmoid_clamp

• Template Function otyca::inverse_softplus

• Template Function otyca::inverse_tanh_clamp

• Template Function otyca::mat_to_mat(const arma::Mat<T>&, arma::Row<T>&, arma::Col<T>&, arma::Mat<T>&)

• Template Function otyca::mat_to_mat(const arma::Row<T>&, const arma::Col<T>&, const arma::Mat<T>&, arma::Mat<T>&)

• Template Function otyca::median

• Template Function otyca::multiply

• Template Function otyca::operator*=(std::vector<T>&, const T&)

• Template Function otyca::operator*=(std::vector<std::vector<T>>&, const T&)

• Template Function otyca::operator*=(std::vector<T>&, const std::vector<T>&)

• Template Function otyca::operator+=

• Template Function otyca::operator-=

• Template Function otyca::operator/=

• Function otyca::operator<<(std::ostream&, const CubicSpline&)

• Function otyca::operator<<(std::ostream&, const ModelBase&)

• Function otyca::operator<<(std::ostream&, const Dividend&)

• Template Function otyca::operator<<(std::ostream&, const Scatter<T>&)

• Template Function otyca::operator<<(std::ostream&, const Schedule<T>&)

• Function otyca::operator<<(std::ostream&, const CompositeLevyProcess&)

• Function otyca::operator<<(std::ostream&, const CompositeStochasticProcess&)

• Function otyca::operator<<(std::ostream&, const StochasticProcess&)

• Function otyca::operator<<(std::ostream&, const TimeChangedLevyProcess&)

• Template Function otyca::operator<<(std::ostream&, const BoundedSchedule<T>&)

• Function otyca::operator<<(std::ostream&, const Event&)

• Template Function otyca::prepend_value_to_array_vector

• Template Function otyca::raw_to_vector

• Template Function otyca::read_vector

• Template Function otyca::row_to_col_major(const std::vector<T>&, std::vector<T>&, int, int)

• Template Function otyca::row_to_col_major(const T *, T *, int, int)

• Template Function otyca::sigmoid

• Template Function otyca::sigmoid_clamp

• Template Function otyca::sigmoid_clamp_derivative

• Template Function otyca::sigmoid_derivative

• Template Function otyca::softplus

• Template Function otyca::softplus_derivative

• Template Function otyca::split_by_first

• Template Function otyca::sq

• Template Function otyca::sum

• Template Function otyca::sum_size

• Template Function otyca::tanh_clamp

• Function otyca::ternary_search_min

• Template Function otyca::to_csv

• Template Function otyca::top_n_by_value

• Template Function otyca::transform_vector

• Function otyca::tree_type_to_string

• Template Function otyca::unique_elements

• Template Function otyca::vector_to_colvec(const std::vector<std::vector<T>>&, arma::Col<T>&)

• Template Function otyca::vector_to_colvec(const std::vector<double>&, arma::Col<T>&)

• Template Function otyca::vector_to_colvec(const std::vector<std::vector<T>>&)

• Template Function otyca::vector_to_mat

• Template Function otyca::vector_to_raw

• Template Function otyca::vector_to_rowvec

• Function otyca::version

• Function otyca::volatility_type_to_string

• Template Function otyca::write_vector

Typedefs

• Typedef otyca::Calibrated

• Typedef otyca::ObjectGetter