Class List

Here are the classes, structs, unions and interfaces with brief descriptions:

FlexibleTree
FlexibleTreeBinomial	Flexible binomial tree with proportional transaction costs
FlexibleTreeTrinomial	Flexible trinomial tree with proportional transaction costs
Line	Straight line in two dimensions
Parameter	Abstract parameter class
ParameterBridge	Wrapper class for Parameter
ParameterConstant	Parameter with fixed value
ParameterConstantZeroInitial	Parameter with value 0 at time 0, and fixed value at all other times
ParameterConstantZeroInitialFinal	Parameter with fixed value, except that it is equal to zero both at time 0 and at some other time in the future
ParameterIntegrable	Parameter that is integrable over time
ParameterIntegrableBridge	Wrapper class for ParameterIntegrable
ParameterIntegrableConstant	Parameter with fixed value (where integrability is used)
Payoff	Option payoff consisting of a portfolio of cash and shares
PayoffBasket	Basket option
PayoffBearSpread	Bear spread
PayoffBridge	Wrapper for Payoff
PayoffBullSpread	Bull spread
PayoffButterfly	Butterfly spread
PayoffCallCashAsk	Call option with cash delivery based on ask price
PayoffCallCashBid	Call option with cash delivery based on bid price
PayoffCallCashUnderlying	Call option with cash delivery based on underlying stock price
PayoffCallPhysical	Call option with physical delivery
PayoffCallPhysicalAsk	Call option with physical delivery based on ask price (deprecated)
PayoffCallPhysicalBid	Call option with physical delivery based on bid price (deprecated)
PayoffCallPhysicalUnderlying	Call option with physical delivery based on underlying stock price (deprecated)
PayoffConstant	Option with fixed payoff independent of spot
PayoffMulti	Scalar multiple of Payoff
PayoffNeg	Negates Payoff
PayoffPutCashAsk	Put option with cash delivery based on ask price
PayoffPutCashBid	Put option with cash delivery based on bid price
PayoffPutCashUnderlying	Put option with cash delivery based on underlying price
PayoffPutPhysical	Put option with physical delivery
PayoffPutPhysicalAsk	Put option with physical delivery based on ask price (deprecated)
PayoffPutPhysicalBid	Put option with physical delivery based on bid price (deprecated)
PayoffPutPhysicalUnderlying	Put option with physical delivery based on underlying price (deprecated)
PayoffSingleStrike	Payoff with one strike
PiecewiseLinear	Piecewise linear (affine) function
Portfolio	Holdings of cash and stock
ShortRate	Abstraction of short rate for purposes of discounting
ShortRateContinuous	ShortRate with continuous compounding
ShortRateDiscrete	ShortRate with discrete compounding
Spot	Asset price with proportional transaction costs
SpotMuLambda	Asset price with proportional transaction costs
StatisticsGatherer< T >	Collects statistics in the FlexibleTree class
StatisticsGathererAll< T >	Collects all objects of interest
StatisticsGathererFinal< T >	Collects all objects of interest at final time step only (not tested)
StatisticsGathererInitial< T >	Collects object of interest only at root node
StatisticsGathererPath< T >	Collects paths of objects of interest
StatisticsGathererSome< T >	Collects all objects of interest with paths moving through the specified nodes
TreeProduct	Virtual base class for path-independent European and American options
TreeProductAmerican	TreeProduct methods for American options
TreeProductAmericanBuyer	Prices TreeProductAmerican for the buyer (deprecated)
TreeProductAmericanBuyerOptional	Prices TreeProductAmerican for the buyer
TreeProductAmericanSeller	Prices TreeProductAmerican for the seller (deprecated)
TreeProductAmericanSellerOptional	Prices TreeProductAmerican for the seller
TreeProductEuropean	TreeProduct methods for European options
TreeProductEuropeanBuyer	Prices TreeProductEuropean for the buyer (deprecated)
TreeProductEuropeanBuyerOptional	Prices TreeProductEuropean for the buyer
TreeProductEuropeanSeller	Prices TreeProductEuropean for the seller (deprecated)
TreeProductEuropeanSellerOptional	Prices TreeProductEuropean for the seller
TreeProductExercisable	Encapsulates exercise decision at a particular time and spot
TreeProductRandomExercisable	Encapsulates randomised exercise decision