List of all items

Structs

• CalibrationError
• ConvergenceError
• CurveError
• HelixError
• MarketDataError
• MissingFixingError
• MissingFxRateError
• MissingMarketInputError
• NoLadderError
• PricingError
• PyBook
• PyCalibratedBaseCorrelation
• PyCalibratedInflation
• PyCalibratedSurvival
• PyCalibration
• PyCounterparty
• PyCurveRecipe
• PyDiscountCurve
• PyExplainReport
• PyHullWhiteFit
• PyInstrument
• PyInterpolation
• PyJointCalibration
• PyLens
• PyMarket
• PyMeasure
• PyPredictedPnl
• PyReconciliation
• PyResetPnl
• PyRiskFrame
• PyRung
• PyScenario
• PySmoothedCalibration
• PyTolerance
• RateSmileArg
• RiskError
• RolesArg
• SnapshotError
• SolveError
• SourceError
• calendars::PyCalendar
• calendars::PyDayCountFraction
• calendars::PyFrequency
• calendars::PyMeetingSchedule
• calendars::PyPeriod
• calendars::PyRollConvention
• calendars::PySchedule
• calendars::Tenor
• fpml::Options
• fpml::PyFpmlTrade
• fpml::PyStatedCashflow
• indices::PyIndex
• legs::PyAnyCoupon
• legs::PyLeg
• legs::SpreadCorrelationArg
• measures::PyPreset
• measures::PyScale
• measures::PyScales
• products::NoInflationCurve
• products::PyAnbimaQuote
• products::PyBondFitRow
• products::PyBondFuture
• products::PyBondFutureAnalysis
• products::PyBondFutureOptionDiagnostics
• products::PyBondOptionDiagnostics
• products::PyCdsDiagnostics
• products::PyCreditLinkedSwapDiagnostics
• products::PyDeliverableAnalysis
• products::PyFxOptionDiagnostics
• products::PyGapCharge
• products::PyHullWhite
• products::PyHullWhiteLattice
• products::PyIndexSettlement
• products::PyIndexSkew
• products::PyProductBuilder
• products::PySimulatedGap
• products::PyTemplate
• products::PyTrancheSettlement
• products::PyValuationTrigger
• products::RepoDraft
• products::TrancheMarkArg
• products::UnitPayoff
• records::PyRecords
• sabr::PySabrFit
• sabr::PySabrSpec
• sabr::PySabrVolSurface
• sources::PyCalendarSpec
• sources::PyDemand
• sources::PyMarketData
• sources::PyRecipeAsk
• sources::PyRecipeSpec
• sources::PySource
• stores::PyBaseCorrelation
• stores::PyCmsSpreadCorrelationCurve
• stores::PyCpiVolSurface
• stores::PyCreditVolSurface
• stores::PyFixedRateBond
• stores::PyFutureOptionVolSurface
• stores::PyFxVolSmile
• stores::PyFxVolSurface
• stores::PyInflationCurve
• stores::PyRateVolSurface
• stores::PyRepoSpreadCurve
• stores::PySpreadCurve
• stores::PySurvivalCurve
• stores::PyYieldMoments
• stores::PyYoyVolSurface
• vocab::Named

Enums

• InterpolationArg
• PyAggregation
• PyBasis
• PyHullWhitePin
• PyRiskAxis
• PyRungInput
• PyShiftType
• Trade
• calendars::CalendarTenor
• calendars::PyBusinessDayConvention
• calendars::PyJointCalendarRule
• legs::PyAccrualCompounding
• legs::PyDirection
• legs::PyResetCompounding
• legs::StripNotional
• legs::StubArg
• legs::WindowArg
• products::BondArg
• products::PyAccrualOnDefault
• products::PyAssetSwapKind
• products::PyBarrierKind
• products::PyBondOptionEngine
• products::PyBondStrikeKind
• products::PyCallEntry
• products::PyCallKind
• products::PyCapFloorKind
• products::PyCdsOptionStyle
• products::PyCdsStrikeType
• products::PyCmeMaturityRounding
• products::PyConstituentInput
• products::PyDefaultPaymentTime
• products::PyExDivDayType
• products::PyExerciseStyle
• products::PyLegRole
• products::PyOptionKind
• products::PyPremiumStyle
• products::PyPriceBasis
• products::PyRepackEngine
• products::PyRepackRole
• products::PySettlementIndex
• products::PySigmaInput
• products::PySigmaShape
• products::PyStripScheme
• products::PySwaptionEngine
• products::PySwaptionKind
• products::PySwaptionSettlement
• products::PyTermination
• sabr::PySabrFormula
• stores::PyCmsSpreadCorrelationInput
• stores::PyDeltaConvention
• stores::PyLevelInterpolation
• stores::PySmileInput
• stores::PyStrikeAxis
• stores::PyVolConvention
• stores::PyYieldConvention

Traits

• CoreError
• vocab::Crossing

Macros

• vocab::simple_vocabulary

Functions

• __pyfunction_bond_rung
• __pyfunction_calibrate
• __pyfunction_calibrate_base_correlation
• __pyfunction_calibrate_cross_currency
• __pyfunction_calibrate_inflation
• __pyfunction_calibrate_jointly
• __pyfunction_calibrate_smoothed
• __pyfunction_calibrate_survival
• __pyfunction_calibrate_survival_density
• __pyfunction_default_order
• __pyfunction_delta
• __pyfunction_explain
• __pyfunction_lagged_observation
• __pyfunction_predicted_pnl
• __pyfunction_reconcile
• __pyfunction_reset_pnl
• __pyfunction_vanilla_swap
• axis_name
• bond_rung
• book_pnl_err
• calendars::__pyfunction_add_period
• calendars::__pyfunction_cds_standard_maturity
• calendars::__pyfunction_cds_standard_maturity_months
• calendars::__pyfunction_forward_tenor
• calendars::__pyfunction_imm_code_of
• calendars::__pyfunction_imm_code_to_dates
• calendars::__pyfunction_imm_date
• calendars::__pyfunction_is_imm_date
• calendars::__pyfunction_last_day_of_month
• calendars::__pyfunction_meeting_dates
• calendars::__pyfunction_next_cds_imm_date
• calendars::__pyfunction_next_imm_date
• calendars::__pyfunction_next_weekday
• calendars::__pyfunction_nth_weekday
• calendars::__pyfunction_prior_cds_imm_date
• calendars::__pyfunction_prior_imm_date
• calendars::__pyfunction_roll
• calendars::__pyfunction_schedule
• calendars::__pyfunction_tenor
• calendars::__pyfunction_turn_dates
• calendars::add_period
• calendars::cds_standard_maturity
• calendars::cds_standard_maturity_months
• calendars::cds_tenor
• calendars::day_count_spelling
• calendars::forward_tenor
• calendars::frequency_spelling
• calendars::imm_code_of
• calendars::imm_code_to_dates
• calendars::imm_date
• calendars::is_imm_date
• calendars::last_day_of_month
• calendars::meeting_dates
• calendars::next_cds_imm_date
• calendars::next_imm_date
• calendars::next_weekday
• calendars::nth_weekday
• calendars::prior_cds_imm_date
• calendars::prior_imm_date
• calendars::representable
• calendars::roll
• calendars::schedule
• calendars::tenor
• calendars::turn_dates
• calendars::weekmask_of
• calendars::word
• calibrate
• calibrate_base_correlation
• calibrate_cross_currency
• calibrate_inflation
• calibrate_jointly
• calibrate_smoothed
• calibrate_survival
• calibrate_survival_density
• calibration_verb_err
• chained
• collateral
• collateral_key
• credit_bump_err
• credit_id
• credit_index_id
• currency
• default_order
• delta
• discount_key
• err
• explain
• finite_quantity
• fpml::__pyfunction_fpml_complete
• fpml::__pyfunction_fpml_read
• fpml::__pyfunction_fpml_read_all
• fpml::fpml_complete
• fpml::fpml_read
• fpml::fpml_read_all
• helixio_core
• indices::fixing_key
• indices::inflation_key
• indices::parse_business_day_convention
• indices::projection_key
• indices::rate_index
• indices::term_index
• indices::unknown
• indices::word
• lagged_observation
• legs::__pyfunction_accumulated_fixed_leg
• legs::__pyfunction_accumulated_float_leg
• legs::__pyfunction_cms_coupon
• legs::__pyfunction_cms_leg
• legs::__pyfunction_cms_spread_coupon
• legs::__pyfunction_cms_spread_leg
• legs::__pyfunction_cpi_coupon
• legs::__pyfunction_cpi_leg
• legs::__pyfunction_cpi_redemption
• legs::__pyfunction_fixed_rate_coupon
• legs::__pyfunction_fixed_rate_leg
• legs::__pyfunction_ibor_coupon
• legs::__pyfunction_ibor_leg
• legs::__pyfunction_multi_reset_coupon
• legs::__pyfunction_multi_reset_leg
• legs::__pyfunction_overnight_coupon
• legs::__pyfunction_overnight_leg
• legs::__pyfunction_range_accrual_coupon
• legs::__pyfunction_range_accrual_leg
• legs::__pyfunction_redemption
• legs::__pyfunction_yoy_inflation_coupon
• legs::__pyfunction_yoy_inflation_leg
• legs::accumulated_fixed_leg
• legs::accumulated_float_leg
• legs::cms_coupon
• legs::cms_leg
• legs::cms_spread_coupon
• legs::cms_spread_leg
• legs::cpi_coupon
• legs::cpi_leg
• legs::cpi_redemption
• legs::fixed_rate_coupon
• legs::fixed_rate_leg
• legs::ibor_coupon
• legs::ibor_leg
• legs::kind_of
• legs::multi_reset_coupon
• legs::multi_reset_leg
• legs::overnight_coupon
• legs::overnight_leg
• legs::payment_dates
• legs::projections_of
• legs::range_accrual_coupon
• legs::range_accrual_leg
• legs::redemption
• legs::register
• legs::registered_ibor
• legs::registered_price
• legs::wrap
• legs::wrap_unvalued
• legs::yoy_inflation_coupon
• legs::yoy_inflation_leg
• measures::__pyfunction_catalogue
• measures::catalogue
• measures::register
• measures::request_of
• parse_day_count
• parse_interpolation
• parse_period
• pnl_err
• predicted_pnl
• products::__pyfunction_accreted_face
• products::__pyfunction_accreted_redemption
• products::__pyfunction_after_credit_event
• products::__pyfunction_anbima_nominal_value
• products::__pyfunction_anbima_price
• products::__pyfunction_anbima_yield_from_price
• products::__pyfunction_asset_swap
• products::__pyfunction_atm_delta_neutral_strike
• products::__pyfunction_australian_coupon_factor
• products::__pyfunction_australian_indexation_factor
• products::__pyfunction_australian_price_from_real_yield
• products::__pyfunction_australian_real_yield_from_price
• products::__pyfunction_bachelier
• products::__pyfunction_basket_survival_probability
• products::__pyfunction_basket_total_return_swap
• products::__pyfunction_bermudan_swaption
• products::__pyfunction_black76
• products::__pyfunction_black76_implied_vol
• products::__pyfunction_bond_forward
• products::__pyfunction_bond_future
• products::__pyfunction_bond_future_analysis
• products::__pyfunction_bond_future_option
• products::__pyfunction_bond_future_option_from_template
• products::__pyfunction_bond_future_position
• products::__pyfunction_bond_option
• products::__pyfunction_bond_spread_over_curve
• products::__pyfunction_bond_total_return_swap
• products::__pyfunction_bond_z_spread
• products::__pyfunction_calibrate_and_pin
• products::__pyfunction_calibrate_hull_white
• products::__pyfunction_calibrate_hull_white_to_strip
• products::__pyfunction_callable_bond
• products::__pyfunction_callable_loan
• products::__pyfunction_callable_oas
• products::__pyfunction_callable_swap
• products::__pyfunction_capitalisations
• products::__pyfunction_cdo_tranche
• products::__pyfunction_cds_option
• products::__pyfunction_clean_price_at_oas
• products::__pyfunction_cme_conversion_factor
• products::__pyfunction_cms_coupon_rate
• products::__pyfunction_cms_option
• products::__pyfunction_cms_rate
• products::__pyfunction_cms_spread_coupon_rate
• products::__pyfunction_cms_spread_option
• products::__pyfunction_cms_swap
• products::__pyfunction_compounded_oas
• products::__pyfunction_coupon_bond_option
• products::__pyfunction_credit_default_swap
• products::__pyfunction_credit_default_swap_option
• products::__pyfunction_credit_linked_note
• products::__pyfunction_credit_linked_swap
• products::__pyfunction_cross_currency_rungs
• products::__pyfunction_cross_currency_template
• products::__pyfunction_curve_pin
• products::__pyfunction_curve_yield_at
• products::__pyfunction_deposit
• products::__pyfunction_discount_bond_affine
• products::__pyfunction_discount_margin
• products::__pyfunction_effective_risk
• products::__pyfunction_equity_basket_total_return_swap
• products::__pyfunction_equity_option
• products::__pyfunction_equity_total_return_swap
• products::__pyfunction_eurex_btp_conversion_factor
• products::__pyfunction_eurex_chf_conversion_factor
• products::__pyfunction_eurex_conversion_factor
• products::__pyfunction_european_swaption
• products::__pyfunction_expected_tranche_loss
• products::__pyfunction_fair_forward_rate
• products::__pyfunction_fair_margin
• products::__pyfunction_fee
• products::__pyfunction_fit_bond_curve
• products::__pyfunction_fixed_rate_bond
• products::__pyfunction_floating_rate_note
• products::__pyfunction_forward_price
• products::__pyfunction_fra
• products::__pyfunction_fra_settlement
• products::__pyfunction_future
• products::__pyfunction_futures_convexity
• products::__pyfunction_futures_price
• products::__pyfunction_fx_delta
• products::__pyfunction_fx_forward
• products::__pyfunction_fx_option
• products::__pyfunction_fx_swap
• products::__pyfunction_fx_swap_helper
• products::__pyfunction_hull_white_convexity_bias
• products::__pyfunction_ice_gilt_conversion_factor
• products::__pyfunction_index_credit_default_swap
• products::__pyfunction_index_intrinsic
• products::__pyfunction_index_ratio
• products::__pyfunction_index_skew
• products::__pyfunction_inflation_linked_bond
• products::__pyfunction_instantaneous_forward
• products::__pyfunction_interest_rate_cap_floor
• products::__pyfunction_inv_norm_cdf
• products::__pyfunction_linker_invoice
• products::__pyfunction_linker_real_price
• products::__pyfunction_linker_real_yield
• products::__pyfunction_loan
• products::__pyfunction_meeting
• products::__pyfunction_meeting_ois
• products::__pyfunction_norm_cdf
• products::__pyfunction_note_components
• products::__pyfunction_note_dirty_price
• products::__pyfunction_note_z_spread
• products::__pyfunction_nth_to_default_swap
• products::__pyfunction_on_the_run
• products::__pyfunction_package_value
• products::__pyfunction_par_rungs
• products::__pyfunction_payer_swaption
• products::__pyfunction_payment_in_kind_bond
• products::__pyfunction_premium_contract
• products::__pyfunction_pv_weighted_time
• products::__pyfunction_receiver_swaption
• products::__pyfunction_reference_index
• products::__pyfunction_repack_gap
• products::__pyfunction_repack_note
• products::__pyfunction_repo_margin
• products::__pyfunction_risky_value
• products::__pyfunction_series_maturity
• products::__pyfunction_series_roll
• products::__pyfunction_settlement_date
• products::__pyfunction_sigma_from_price
• products::__pyfunction_simple_margin
• products::__pyfunction_simulate_repack_gap
• products::__pyfunction_simulate_repack_gap_risk
• products::__pyfunction_spread_duration
• products::__pyfunction_straddle
• products::__pyfunction_street_index_ratio
• products::__pyfunction_strike_from_delta
• products::__pyfunction_strip_caplet_smile
• products::__pyfunction_strip_caplet_vols
• products::__pyfunction_strip_from_callable
• products::__pyfunction_structured_note
• products::__pyfunction_swap
• products::__pyfunction_swap_conventions
• products::__pyfunction_swap_from_legs
• products::__pyfunction_swap_template
• products::__pyfunction_template_by_code
• products::__pyfunction_templates
• products::__pyfunction_tenor_basis
• products::__pyfunction_turn
• products::__pyfunction_uk_money_accrued
• products::__pyfunction_uk_money_price
• products::__pyfunction_uk_money_yield
• products::__pyfunction_uk_real_yield_from_money
• products::__pyfunction_uk_real_yield_from_money_dirty
• products::__pyfunction_weekly_bond_future_option_from_template
• products::__pyfunction_xccy_basis
• products::__pyfunction_yield_convention_status
• products::__pyfunction_yield_to_call
• products::__pyfunction_yield_to_maturity_scenario
• products::__pyfunction_yield_to_worst
• products::__pyfunction_yoy_inflation_cap_floor
• products::__pyfunction_yoy_inflation_swap
• products::__pyfunction_zero_bond_option
• products::__pyfunction_zero_coupon_bond
• products::__pyfunction_zero_coupon_inflation_cap_floor
• products::__pyfunction_zero_coupon_inflation_swap
• products::__pyfunction_zero_coupon_quotes
• products::accreted_face
• products::accreted_redemption
• products::after_credit_event
• products::american_exercise
• products::anbima_nominal_value
• products::anbima_price
• products::anbima_vna_or
• products::anbima_yield_from_price
• products::arm
• products::asset_swap
• products::atm_delta_neutral_strike
• products::australian_coupon_factor
• products::australian_indexation_factor
• products::australian_kt_or
• products::australian_price_from_real_yield
• products::australian_real_yield_from_price
• products::bachelier
• products::basis_on
• products::basket_survival_probability
• products::basket_total_return_swap
• products::bermudan_swaption
• products::black76
• products::black76_implied_vol
• products::bond_forward
• products::bond_future
• products::bond_future_analysis
• products::bond_future_option
• products::bond_future_option_from_template
• products::bond_future_position
• products::bond_option
• products::bond_option_on
• products::bond_spread_over_curve
• products::bond_total_return_swap
• products::bond_z_spread
• products::calibrate_and_pin
• products::calibrate_hull_white
• products::calibrate_hull_white_to_strip
• products::call_entries
• products::callable_bond
• products::callable_loan
• products::callable_oas
• products::callable_swap
• products::capitalisations
• products::cash_terms
• products::cdo_tranche
• products::cds_option
• products::clean_price_at_oas
• products::cme_conversion_factor
• products::cms_coupon_rate
• products::cms_option
• products::cms_payoff
• products::cms_rate
• products::cms_spread_coupon_rate
• products::cms_spread_option
• products::cms_swap
• products::compounded_oas
• products::constituent_template
• products::constituents_on
• products::contract_on
• products::correlation_in_range
• products::coupon_bond_option
• products::credit_default_swap
• products::credit_default_swap_option
• products::credit_index
• products::credit_linked_note
• products::credit_linked_swap
• products::credit_on
• products::cross_currency_rungs
• products::cross_currency_template
• products::curve_pin
• products::curve_yield_at
• products::deposit
• products::deposit_on
• products::diagnostics
• products::discount_bond_affine
• products::discount_margin
• products::effective_risk
• products::equity_basket_total_return_swap
• products::equity_option
• products::equity_total_return_swap
• products::eurex_btp_conversion_factor
• products::eurex_chf_conversion_factor
• products::eurex_conversion_factor
• products::european_swaption
• products::expected_tranche_loss
• products::fair_forward_rate
• products::fair_margin
• products::family_of
• products::fee
• products::finish_future_option
• products::fit_bond_curve
• products::fixed_rate_bond
• products::floating_rate_note
• products::format_notional
• products::forward_of
• products::forward_price
• products::fra
• products::fra_between
• products::fra_on
• products::fra_settlement
• products::future
• products::future_between
• products::future_on
• products::futures_convexity
• products::futures_price
• products::fx_delta
• products::fx_forward
• products::fx_option
• products::fx_swap
• products::fx_swap_helper
• products::hull_white_convexity_bias
• products::ice_gilt_conversion_factor
• products::index_credit_default_swap
• products::index_family
• products::index_intrinsic
• products::index_ratio
• products::index_skew
• products::inert_convention
• products::inflation_linked_bond
• products::instantaneous_forward
• products::interest_rate_cap_floor
• products::inv_norm_cdf
• products::lag_days
• products::linker_invoice
• products::linker_real_price
• products::linker_real_yield
• products::loan
• products::locator_of
• products::meeting
• products::meeting_ois
• products::no_such_convention
• products::norm_cdf
• products::note_components
• products::note_dirty_price
• products::note_z_spread
• products::nth_to_default_swap
• products::on_linker_view
• products::on_the_run
• products::on_view
• products::ordered
• products::package_value
• products::par_rungs
• products::parse_fit_weights
• products::parse_fitted_form
• products::parse_linker_convention
• products::payer_swaption
• products::payment_in_kind_bond
• products::premium_contract
• products::pv_weighted_time
• products::receiver_swaption
• products::receives_fixed
• products::reference_index
• products::reference_on
• products::register
• products::register_analytics
• products::register_bond_option_readings
• products::register_curve_helpers
• products::register_repack
• products::register_structured_notes
• products::registered_code
• products::repack_arm
• products::repack_gap
• products::repack_note
• products::repo_margin
• products::repo_on
• products::risky_value
• products::rung_err
• products::series_maturity
• products::series_roll
• products::settlement_date
• products::sheet_locator_of
• products::sigma_from_price
• products::simple_margin
• products::simulate_repack_gap
• products::simulate_repack_gap_risk
• products::simulation_settings
• products::spread_duration
• products::stated_dates
• products::straddle
• products::street_index_ratio
• products::strike_from_delta
• products::strip_caplet_smile
• products::strip_caplet_vols
• products::strip_from_callable
• products::structured_note
• products::swap
• products::swap_conventions
• products::swap_from_legs
• products::swap_index_code
• products::swap_template
• products::swaption_underlying
• products::template
• products::template_by_code
• products::template_value
• products::templates
• products::tenor_basis
• products::tenor_quotes
• products::term_index
• products::turn
• products::uk_money_accrued
• products::uk_money_price
• products::uk_money_yield
• products::uk_real_yield_from_money
• products::uk_real_yield_from_money_dirty
• products::unreachable_convention
• products::weekly_bond_future_option_from_template
• products::with_equity_funding
• products::wrap
• products::wrong_family
• products::xccy_basis
• products::xccy_of
• products::xccy_on
• products::xccy_quote
• products::xccy_side
• products::yield_convention_status
• products::yield_to_call
• products::yield_to_maturity_scenario
• products::yield_to_worst
• products::yoy_inflation_cap_floor
• products::yoy_inflation_swap
• products::zcs_between
• products::zcs_on
• products::zero_bond_option
• products::zero_coupon_bond
• products::zero_coupon_inflation_cap_floor
• products::zero_coupon_inflation_swap
• products::zero_coupon_quotes
• quote_sheet
• reconcile
• records::cell_to_csv
• records::cell_to_py
• records::column_to_py
• records::dated_records
• records::escape_html
• records::import_or_extra
• records::kind_of
• records::labelled_records
• records::render_html
• records::strip_records
• register_exceptions
• register_vocabularies
• reset_pnl
• rungs_of
• sabr::__pyfunction_alpha_from_atm
• sabr::__pyfunction_calibrate_sabr
• sabr::__pyfunction_calibrate_sabr_with_atm
• sabr::__pyfunction_caplet_forwards
• sabr::__pyfunction_sabr_vol
• sabr::__pyfunction_swaption_forwards
• sabr::alpha_from_atm
• sabr::calibrate_sabr
• sabr::calibrate_sabr_with_atm
• sabr::caplet_forwards
• sabr::register
• sabr::sabr_vol
• sabr::swaption_forwards
• scenario_err
• selector
• sources::__pyfunction_ingest_calendars
• sources::__pyfunction_ingested_calendars
• sources::__pyfunction_set_data_source
• sources::data_source
• sources::ingest_calendars
• sources::ingested_calendars
• sources::locator
• sources::set_data_source
• sources::snapshot_err
• sources::source_err
• sources::source_object
• stores::on_strike_axis
• stores::parse_yield_basis
• stores_of
• swap_from_builder
• tolerance_of
• value_err
• vanilla_swap
• with_missing

Type Aliases

• calendars::DayCount
• sources::StripRow

Constants

• RESETTING_LEG
• sources::RAISED