├── .gitignore ├── README.rst ├── doc └── README.do.txt ├── jquantlib-contrib └── src │ └── main │ └── java │ └── org │ └── jquantlib │ └── math │ └── randomnumbers │ └── XorShiftRandom.java ├── jquantlib-helpers └── src │ ├── main │ └── java │ │ └── org │ │ └── jquantlib │ │ ├── helpers │ │ ├── CRRAmericanDividendOptionHelper.java │ │ ├── CRRDividendOptionHelper.java │ │ ├── CRREuropeanDividendOptionHelper.java │ │ ├── FDAmericanDividendOptionHelper.java │ │ ├── FDDividendOptionHelper.java │ │ └── FDEuropeanDividendOptionHelper.java │ │ ├── methods │ │ └── lattices │ │ │ └── BlackScholesDividendLattice.java │ │ └── pricingengines │ │ └── vanilla │ │ └── BinomialDividendVanillaEngine.java │ └── test │ └── java │ └── org │ └── jquantlib │ └── testsuite │ └── helpers │ ├── CRRDividendOptionTest.java │ └── FDDividendOptionTest.java ├── jquantlib-ooplugin ├── build.xml ├── nbproject │ ├── build-impl.xml │ ├── build-uno-impl.xml │ ├── genfiles.properties │ ├── private │ │ ├── config.properties │ │ ├── private.properties │ │ └── private.xml │ ├── project-uno.properties │ ├── project.properties │ └── project.xml ├── registry │ └── data │ │ └── org │ │ └── openoffice │ │ └── Office │ │ └── CalcAddins.xcu └── src │ ├── description.xml │ ├── org │ └── jquantlib │ │ ├── CentralRegistrationClass.java │ │ ├── Configuration.java │ │ ├── JQAddIn.idl │ │ ├── JQAddInImpl.java │ │ ├── Settings.java │ │ ├── XJQAddIn.idl │ │ └── ooimpl │ │ ├── MathHelper.java │ │ └── OptionHelper.java │ └── uno-extension-manifest.xml ├── jquantlib-samples └── src │ ├── main │ └── java │ │ └── org │ │ └── jquantlib │ │ └── samples │ │ ├── AllSamples.java │ │ ├── BermudanSwaption.java │ │ ├── Bonds.java │ │ ├── Calendars.java │ │ ├── ConvertibleBonds.java │ │ ├── CoxRossWithHullWhite.java │ │ ├── Dates.java │ │ ├── DiscreteHedging.java │ │ ├── EquityOptions.java │ │ ├── FRA.java │ │ ├── Processes.java │ │ ├── Replication.java │ │ ├── Repo.java │ │ ├── SobolChartSample.java │ │ ├── Swap.java │ │ ├── VolatilityTermStructures.java │ │ ├── YieldCurveTermStructures.java │ │ └── util │ │ ├── ReplicationError.java │ │ ├── ReplicationPathPricer.java │ │ └── StopClock.java │ └── test │ └── java │ └── org │ └── jquantlib │ └── samples │ └── TestSamples.java ├── jquantlib ├── .checkstyle ├── .fbprefs ├── LICENSE.TXT ├── README.txt └── src │ ├── main │ └── java │ │ └── org │ │ └── jquantlib │ │ ├── JQuantLib.java │ │ ├── QL.java │ │ ├── SavedSettings.java │ │ ├── Settings.java │ │ ├── cashflow │ │ ├── AverageBMACoupon.java │ │ ├── AverageBMACouponPricer.java │ │ ├── AverageBMALeg.java │ │ ├── BlackIborCouponPricer.java │ │ ├── Callability.java │ │ ├── CappedFlooredCmsCoupon.java │ │ ├── CappedFlooredCoupon.java │ │ ├── CappedFlooredIborCoupon.java │ │ ├── CashFlow.java │ │ ├── CashFlows.java │ │ ├── CmsCoupon.java │ │ ├── CmsCouponPricer.java │ │ ├── CmsLeg.java │ │ ├── Coupon.java │ │ ├── Dividend.java │ │ ├── Event.java │ │ ├── FixedDividend.java │ │ ├── FixedRateCoupon.java │ │ ├── FixedRateLeg.java │ │ ├── FloatingLeg.java │ │ ├── FloatingRateCoupon.java │ │ ├── FloatingRateCouponPricer.java │ │ ├── FractionalDividend.java │ │ ├── IborCoupon.java │ │ ├── IborCouponPricer.java │ │ ├── IborLeg.java │ │ ├── Leg.java │ │ ├── PricerSetter.java │ │ └── SimpleCashFlow.java │ │ ├── currencies │ │ ├── Africa.java │ │ ├── America.java │ │ ├── Asia.java │ │ ├── Currency.java │ │ ├── Europe.java │ │ ├── ExchangeRate.java │ │ ├── ExchangeRateManager.java │ │ ├── Money.java │ │ └── Oceania.java │ │ ├── daycounters │ │ ├── Actual360.java │ │ ├── Actual365Fixed.java │ │ ├── ActualActual.java │ │ ├── Business252.java │ │ ├── DayCounter.java │ │ ├── SimpleDayCounter.java │ │ └── Thirty360.java │ │ ├── exercise │ │ ├── AmericanExercise.java │ │ ├── BermudanExercise.java │ │ ├── EarlyExercise.java │ │ ├── EuropeanExercise.java │ │ └── Exercise.java │ │ ├── experimental │ │ └── lattices │ │ │ ├── ExtendedAdditiveEQPBinomialTree.java │ │ │ ├── ExtendedBinomialTree.java │ │ │ ├── ExtendedCoxRossRubinstein.java │ │ │ ├── ExtendedEqualJumpsBinomialTree.java │ │ │ ├── ExtendedEqualProbabilitiesBinomialTree.java │ │ │ ├── ExtendedJarrowRudd.java │ │ │ ├── ExtendedJoshi4.java │ │ │ ├── ExtendedLeisenReimer.java │ │ │ ├── ExtendedTian.java │ │ │ └── ExtendedTrigeorgis.java │ │ ├── indexes │ │ ├── AustraliaRegion.java │ │ ├── BMAIndex.java │ │ ├── ChfLiborSwapIsdaFix.java │ │ ├── DailyTenorEURLibor.java │ │ ├── DailyTenorEURLiborON.java │ │ ├── DailyTenorEuribor.java │ │ ├── DailyTenorEuribor365.java │ │ ├── EURLibor.java │ │ ├── EURLibor10M.java │ │ ├── EURLibor11M.java │ │ ├── EURLibor1M.java │ │ ├── EURLibor1Y.java │ │ ├── EURLibor2M.java │ │ ├── EURLibor2W.java │ │ ├── EURLibor3M.java │ │ ├── EURLibor4M.java │ │ ├── EURLibor5M.java │ │ ├── EURLibor6M.java │ │ ├── EURLibor7M.java │ │ ├── EURLibor8M.java │ │ ├── EURLibor9M.java │ │ ├── EURLiborSW.java │ │ ├── EURegion.java │ │ ├── EurLiborSwapIfrFix.java │ │ ├── EurLiborSwapIsdaFixA.java │ │ ├── EurLiborSwapIsdaFixB.java │ │ ├── Euribor.java │ │ ├── Euribor10M.java │ │ ├── Euribor11M.java │ │ ├── Euribor1M.java │ │ ├── Euribor1Y.java │ │ ├── Euribor2M.java │ │ ├── Euribor2W.java │ │ ├── Euribor365.java │ │ ├── Euribor365_10M.java │ │ ├── Euribor365_11M.java │ │ ├── Euribor365_1M.java │ │ ├── Euribor365_1Y.java │ │ ├── Euribor365_2M.java │ │ ├── Euribor365_2W.java │ │ ├── Euribor365_3M.java │ │ ├── Euribor365_3W.java │ │ ├── Euribor365_4M.java │ │ ├── Euribor365_5M.java │ │ ├── Euribor365_6M.java │ │ ├── Euribor365_7M.java │ │ ├── Euribor365_8M.java │ │ ├── Euribor365_9M.java │ │ ├── Euribor365_SW.java │ │ ├── Euribor3M.java │ │ ├── Euribor3W.java │ │ ├── Euribor4M.java │ │ ├── Euribor5M.java │ │ ├── Euribor6M.java │ │ ├── Euribor7M.java │ │ ├── Euribor8M.java │ │ ├── Euribor9M.java │ │ ├── EuriborSW.java │ │ ├── EuriborSwapIfrFix.java │ │ ├── EuriborSwapIsdaFixA.java │ │ ├── EuriborSwapIsdaFixB.java │ │ ├── FranceRegion.java │ │ ├── GbpLiborSwapIsdaFix.java │ │ ├── IborIndex.java │ │ ├── Index.java │ │ ├── IndexManager.java │ │ ├── InflationIndex.java │ │ ├── InterestRateIndex.java │ │ ├── JpyLiborSwapIsdaFixAm.java │ │ ├── JpyLiborSwapIsdaFixPm.java │ │ ├── Region.java │ │ ├── SwapIndex.java │ │ ├── UKRegion.java │ │ ├── UsdLiborSwapIsdaFixAm.java │ │ ├── UsdLiborSwapIsdaFixPm.java │ │ ├── YoYInflationIndex.java │ │ ├── ZeroInflationIndex.java │ │ ├── ibor │ │ │ ├── AUDLibor.java │ │ │ ├── CADLibor.java │ │ │ ├── CADLiborON.java │ │ │ ├── CHFLibor.java │ │ │ ├── Cdor.java │ │ │ ├── DKKLibor.java │ │ │ ├── DailyTenorCHFLibor.java │ │ │ ├── DailyTenorGBPLibor.java │ │ │ ├── DailyTenorJPYLibor.java │ │ │ ├── DailyTenorLibor.java │ │ │ ├── DailyTenorUSDLibor.java │ │ │ ├── GBPLibor.java │ │ │ ├── GBPLiborON.java │ │ │ ├── JPYLibor.java │ │ │ ├── Jibar.java │ │ │ ├── Libor.java │ │ │ ├── NZDLibor.java │ │ │ ├── SEKLibor.java │ │ │ ├── TRLibor.java │ │ │ ├── Tibor.java │ │ │ ├── USDLibor.java │ │ │ ├── USDLiborON.java │ │ │ └── Zibor.java │ │ └── inflation │ │ │ ├── EUHICP.java │ │ │ ├── UKRPI.java │ │ │ ├── YYEUHICP.java │ │ │ ├── YYEUHICPr.java │ │ │ ├── YYUKRPI.java │ │ │ └── YYUKRPIr.java │ │ ├── instruments │ │ ├── AssetOrNothingPayoff.java │ │ ├── AverageType.java │ │ ├── BMASwap.java │ │ ├── BarrierOption.java │ │ ├── BarrierType.java │ │ ├── Bond.java │ │ ├── CallabilitySchedule.java │ │ ├── CapFloor.java │ │ ├── CashOrNothingPayoff.java │ │ ├── ContinuousAveragingAsianOption.java │ │ ├── DiscreteAveragingAsianOption.java │ │ ├── DiscretizedAsset.java │ │ ├── DiscretizedDiscountBond.java │ │ ├── DiscretizedOption.java │ │ ├── DividendSchedule.java │ │ ├── DividendVanillaOption.java │ │ ├── EarlierThanCashFlowComparator.java │ │ ├── EuropeanOption.java │ │ ├── Forward.java │ │ ├── ForwardRateAgreement.java │ │ ├── ForwardTypePayoff.java │ │ ├── GapPayoff.java │ │ ├── ImpliedVolatilityHelper.java │ │ ├── Instrument.java │ │ ├── MakeVanillaSwap.java │ │ ├── NullPayoff.java │ │ ├── OneAssetOption.java │ │ ├── Option.java │ │ ├── Payoff.java │ │ ├── PlainVanillaPayoff.java │ │ ├── Position.java │ │ ├── PriceError.java │ │ ├── Settlement.java │ │ ├── Stock.java │ │ ├── StrikedTypePayoff.java │ │ ├── Swap.java │ │ ├── Swaption.java │ │ ├── TypePayoff.java │ │ ├── VanillaOption.java │ │ ├── VanillaSwap.java │ │ └── bonds │ │ │ ├── CmsRateBond.java │ │ │ ├── ConvertibleBond.java │ │ │ ├── ConvertibleBondOption.java │ │ │ ├── ConvertibleFixedCouponBond.java │ │ │ ├── ConvertibleFloatingRateBond.java │ │ │ ├── ConvertibleZeroCouponBond.java │ │ │ ├── FixedRateBond.java │ │ │ ├── FloatingRateBond.java │ │ │ ├── SoftCallability.java │ │ │ └── ZeroCouponBond.java │ │ ├── lang │ │ ├── annotation │ │ │ ├── CompoundFactor.java │ │ │ ├── Covariance.java │ │ │ ├── Diffusion.java │ │ │ ├── DiscountFactor.java │ │ │ ├── Drift.java │ │ │ ├── Expectation.java │ │ │ ├── Natural.java │ │ │ ├── NonNegative.java │ │ │ ├── PackagePrivate.java │ │ │ ├── QualityAssurance.java │ │ │ ├── Rate.java │ │ │ ├── Real.java │ │ │ ├── Spread.java │ │ │ ├── StdDev.java │ │ │ ├── Time.java │ │ │ ├── Typedef.java │ │ │ ├── Unsigned.java │ │ │ ├── Unused.java │ │ │ ├── Variance.java │ │ │ └── Volatility.java │ │ ├── exceptions │ │ │ └── LibraryException.java │ │ ├── iterators │ │ │ └── Iterables.java │ │ └── reflect │ │ │ ├── DynamicProxyInvocationHandler.java │ │ │ └── ReflectConstants.java │ │ ├── legacy │ │ └── libormarkets │ │ │ ├── LfmCovarianceProxy.java │ │ │ ├── LmCorrelationModel.java │ │ │ ├── LmFixedVolatilityModel.java │ │ │ ├── LmLinearExponentialCorrelationModel.java │ │ │ ├── LmLinearExponentialVolatilityModel.java │ │ │ └── LmVolatilityModel.java │ │ ├── math │ │ ├── AbstractSolver1D.java │ │ ├── Beta.java │ │ ├── Closeness.java │ │ ├── Constants.java │ │ ├── ErrorFunction.java │ │ ├── Factorial.java │ │ ├── Grid.java │ │ ├── IntervalPrice.java │ │ ├── LogGrid.java │ │ ├── Ops.java │ │ ├── PdeShortRate.java │ │ ├── PrimeNumbers.java │ │ ├── RegularisedIncompleteBeta.java │ │ ├── Rounding.java │ │ ├── SampledCurve.java │ │ ├── TransformedGrid.java │ │ ├── distributions │ │ │ ├── BinomialDistribution.java │ │ │ ├── BivariateNormalDistribution.java │ │ │ ├── CumulativeBinomialDistribution.java │ │ │ ├── CumulativeNormalDistribution.java │ │ │ ├── CumulativePoissonDistribution.java │ │ │ ├── Derivative.java │ │ │ ├── GammaDistribution.java │ │ │ ├── GammaFunction.java │ │ │ ├── IncompleteGamma.java │ │ │ ├── InverseCumulativeNormal.java │ │ │ ├── InverseCumulativePoisson.java │ │ │ ├── MoroInverseCumulativeNormal.java │ │ │ ├── NonCentralChiSquaredDistribution.java │ │ │ ├── NormalDistribution.java │ │ │ └── PoissonDistribution.java │ │ ├── functions │ │ │ ├── Abs.java │ │ │ ├── Bind1st.java │ │ │ ├── Bind1stPredicate.java │ │ │ ├── Bind2nd.java │ │ │ ├── Bind2ndPredicate.java │ │ │ ├── Clipped.java │ │ │ ├── CloseEnough.java │ │ │ ├── ComposedFunction.java │ │ │ ├── Constant.java │ │ │ ├── Cos.java │ │ │ ├── Cube.java │ │ │ ├── Everywhere.java │ │ │ ├── Exp.java │ │ │ ├── Expression.java │ │ │ ├── FalsePredicate.java │ │ │ ├── FindIf.java │ │ │ ├── Fourth.java │ │ │ ├── GreaterEqualPredicate.java │ │ │ ├── GreaterThanPredicate.java │ │ │ ├── Identity.java │ │ │ ├── LessEqualPredicate.java │ │ │ ├── LessThanPredicate.java │ │ │ ├── Log.java │ │ │ ├── Minus.java │ │ │ ├── Nowhere.java │ │ │ ├── Sin.java │ │ │ ├── Sqrt.java │ │ │ ├── Square.java │ │ │ └── TruePredicate.java │ │ ├── integrals │ │ │ ├── GaussKronrodAdaptive.java │ │ │ ├── GaussKronrodNonAdaptive.java │ │ │ ├── GaussKronrodPatterson.java │ │ │ ├── Integrator.java │ │ │ ├── KronrodIntegral.java │ │ │ ├── SegmentIntegral.java │ │ │ ├── SimpsonIntegral.java │ │ │ ├── TabulatedGaussLegendre.java │ │ │ └── TrapezoidIntegral.java │ │ ├── interpolations │ │ │ ├── AbstractInterpolation.java │ │ │ ├── AbstractInterpolation2D.java │ │ │ ├── BackwardFlatInterpolation.java │ │ │ ├── BicubicSplineInterpolation.java │ │ │ ├── BilinearInterpolation.java │ │ │ ├── CubicInterpolation.java │ │ │ ├── DefaultExtrapolator.java │ │ │ ├── Extrapolator.java │ │ │ ├── FlatExtrapolator2D.java │ │ │ ├── ForwardFlatInterpolation.java │ │ │ ├── Interpolation.java │ │ │ ├── Interpolation2D.java │ │ │ ├── LinearInterpolation.java │ │ │ ├── LogCubicInterpolation.java │ │ │ ├── LogLinearInterpolation.java │ │ │ ├── MonotonicNaturalCubicInterpolation.java │ │ │ ├── NaturalCubicInterpolation.java │ │ │ ├── SABRInterpolation.java │ │ │ └── factories │ │ │ │ ├── BackwardFlat.java │ │ │ │ ├── BicubicSpline.java │ │ │ │ ├── Bilinear.java │ │ │ │ ├── Cubic.java │ │ │ │ ├── ForwardFlat.java │ │ │ │ ├── Linear.java │ │ │ │ ├── LogCubic.java │ │ │ │ └── LogLinear.java │ │ ├── matrixutilities │ │ │ ├── Algebra.java │ │ │ ├── Array.java │ │ │ ├── BasisIncompleteOrdered.java │ │ │ ├── Cells.java │ │ │ ├── CholeskyDecomposition.java │ │ │ ├── EigenvalueDecomposition.java │ │ │ ├── HypersphereCostFunction.java │ │ │ ├── Identity.java │ │ │ ├── LUDecomposition.java │ │ │ ├── Matrix.java │ │ │ ├── PseudoSqrt.java │ │ │ ├── QRDecomposition.java │ │ │ ├── SVD.java │ │ │ ├── SymmetricSchurDecomposition.java │ │ │ └── internal │ │ │ │ ├── Address.java │ │ │ │ ├── DirectAddress.java │ │ │ │ ├── DirectArrayColAddress.java │ │ │ │ ├── DirectArrayRowAddress.java │ │ │ │ ├── DirectMatrixAddress.java │ │ │ │ ├── MappedAddress.java │ │ │ │ └── MappedMatrixAddress.java │ │ ├── optimization │ │ │ ├── ArmijoLineSearch.java │ │ │ ├── BoundaryConstraint.java │ │ │ ├── CompositeConstraint.java │ │ │ ├── ConjugateGradient.java │ │ │ ├── Constraint.java │ │ │ ├── CostFunction.java │ │ │ ├── EndCriteria.java │ │ │ ├── LeastSquareFunction.java │ │ │ ├── LeastSquareProblem.java │ │ │ ├── LevenbergMarquardt.java │ │ │ ├── LineSearch.java │ │ │ ├── LineSearchBasedMethod.java │ │ │ ├── Minpack.java │ │ │ ├── NoConstraint.java │ │ │ ├── NonLinearLeastSquare.java │ │ │ ├── OptimizationMethod.java │ │ │ ├── ParametersTransformation.java │ │ │ ├── PositiveConstraint.java │ │ │ ├── Problem.java │ │ │ ├── ProjectedCostFunction.java │ │ │ ├── Simplex.java │ │ │ ├── SphereCylinderOptimizer.java │ │ │ └── SteepestDescent.java │ │ ├── randomnumbers │ │ │ ├── GenericLowDiscrepancy.java │ │ │ ├── GenericPseudoRandom.java │ │ │ ├── InverseCumulative.java │ │ │ ├── InverseCumulativeRng.java │ │ │ ├── InverseCumulativeRsg.java │ │ │ ├── MersenneTwisterUniformRng.java │ │ │ ├── PrimitivePolynomials.java │ │ │ ├── PseudoRandom.java │ │ │ ├── RandomNumberGenerator.java │ │ │ ├── RandomSequenceGenerator.java │ │ │ ├── RandomSequenceGeneratorIntf.java │ │ │ ├── SeedGenerator.java │ │ │ ├── SobolRsg.java │ │ │ └── UniformRandomSequenceGenerator.java │ │ ├── solvers1D │ │ │ ├── Bisection.java │ │ │ ├── Brent.java │ │ │ ├── FalsePosition.java │ │ │ ├── Newton.java │ │ │ ├── NewtonSafe.java │ │ │ ├── Ridder.java │ │ │ └── Secant.java │ │ └── statistics │ │ │ ├── ConvergenceStatistics.java │ │ │ ├── DiscrepancyStatistics.java │ │ │ ├── GaussianStatistics.java │ │ │ ├── GeneralStatistics.java │ │ │ ├── GenericGaussianStatistics.java │ │ │ ├── GenericRiskStatistics.java │ │ │ ├── GenericSequenceStatistics.java │ │ │ ├── IncrementalStatistics.java │ │ │ ├── RiskStatistics.java │ │ │ ├── SequenceStatistics.java │ │ │ └── Statistics.java │ │ ├── methods │ │ ├── finitedifferences │ │ │ ├── AmericanCondition.java │ │ │ ├── BSMOperator.java │ │ │ ├── BSMTermOperator.java │ │ │ ├── BoundaryCondition.java │ │ │ ├── BoundaryConditionSet.java │ │ │ ├── CrankNicolson.java │ │ │ ├── CurveDependentStepCondition.java │ │ │ ├── DMinus.java │ │ │ ├── DPlus.java │ │ │ ├── DPlusMinus.java │ │ │ ├── DZero.java │ │ │ ├── DirichletBC.java │ │ │ ├── DynamicPdeSecondOrderParabolic.java │ │ │ ├── ExplicitEuler.java │ │ │ ├── FiniteDifferenceModel.java │ │ │ ├── GenericTimeSetter.java │ │ │ ├── MixedScheme.java │ │ │ ├── NeumannBC.java │ │ │ ├── NullCondition.java │ │ │ ├── Operator.java │ │ │ ├── OperatorFactory.java │ │ │ ├── ParallelEvolver.java │ │ │ ├── Pde.java │ │ │ ├── PdeBSM.java │ │ │ ├── PdeConstantCoeff.java │ │ │ ├── PdeOperator.java │ │ │ ├── PdeSecondOrderParabolic.java │ │ │ ├── PdeTypeUtil.java │ │ │ ├── ShoutCondition.java │ │ │ ├── StandardFiniteDifferenceModel.java │ │ │ ├── StandardSystemFiniteDifferenceModel.java │ │ │ ├── StepCondition.java │ │ │ ├── StepConditionSet.java │ │ │ ├── TridiagonalOperator.java │ │ │ └── ZeroCondition.java │ │ ├── lattices │ │ │ ├── AdditiveEQPBinomialTree.java │ │ │ ├── BinomialTree.java │ │ │ ├── BlackScholesLattice.java │ │ │ ├── CoxRossRubinstein.java │ │ │ ├── EqualJumpsBinomialTree.java │ │ │ ├── EqualProbabilitiesBinomialTree.java │ │ │ ├── JarrowRudd.java │ │ │ ├── Joshi4.java │ │ │ ├── Lattice.java │ │ │ ├── LeisenReimer.java │ │ │ ├── Tian.java │ │ │ ├── Tree.java │ │ │ ├── TreeLattice.java │ │ │ ├── TreeLattice1D.java │ │ │ ├── TreeLattice2D.java │ │ │ ├── Trigeorgis.java │ │ │ ├── TrinomialTree.java │ │ │ └── TsiveriotisFernandesLattice.java │ │ └── montecarlo │ │ │ ├── BrownianBridge.java │ │ │ ├── MonteCarloModel.java │ │ │ ├── MultiVariate.java │ │ │ ├── Path.java │ │ │ ├── PathGenerator.java │ │ │ ├── PathPricer.java │ │ │ ├── Sample.java │ │ │ ├── SingleVariate.java │ │ │ ├── Variate.java │ │ │ ├── monte-carlo.png │ │ │ └── monte-carlo.xmi │ │ ├── model │ │ ├── AffineModel.java │ │ ├── CalibratedModel.java │ │ ├── CalibrationHelper.java │ │ ├── ConstantParameter.java │ │ ├── NullParameter.java │ │ ├── Parameter.java │ │ ├── PiecewiseConstantParameter.java │ │ ├── TermStructureConsistentModel.java │ │ ├── TermStructureFittingParameter.java │ │ ├── equity │ │ │ ├── BatesDoubleExpModel.java │ │ │ ├── BatesModel.java │ │ │ └── HestonModel.java │ │ ├── marketmodels │ │ │ ├── AccountingEngine.java │ │ │ ├── BrownianGenerator.java │ │ │ ├── BrownianGeneratorFactory.java │ │ │ ├── CurveState.java │ │ │ └── MarketModelEvolver.java │ │ ├── shortrate │ │ │ ├── ShortRateModel.java │ │ │ ├── StochasticProcessArray.java │ │ │ ├── calibrationhelpers │ │ │ │ ├── CapHelper.java │ │ │ │ └── SwaptionHelper.java │ │ │ ├── onefactormodels │ │ │ │ ├── BlackKarasinski.java │ │ │ │ ├── CoxIngersollRoss.java │ │ │ │ ├── ExtendedCoxIngersollRoss.java │ │ │ │ ├── HullWhite.java │ │ │ │ ├── OneFactorAffineModel.java │ │ │ │ ├── OneFactorModel.java │ │ │ │ ├── TermStructureConsistentModel.java │ │ │ │ ├── TermStructureConsistentModelClass.java │ │ │ │ └── Vasicek.java │ │ │ └── twofactormodels │ │ │ │ ├── G2.java │ │ │ │ └── TwoFactorModel.java │ │ └── volatility │ │ │ ├── ConstantEstimator.java │ │ │ ├── Garch11.java │ │ │ ├── GarmanKlassAbstract.java │ │ │ ├── GarmanKlassOpenClose.java │ │ │ ├── GarmanKlassSigma1.java │ │ │ ├── GarmanKlassSigma3.java │ │ │ ├── GarmanKlassSigma4.java │ │ │ ├── GarmanKlassSigma5.java │ │ │ ├── GarmanKlassSigma6.java │ │ │ ├── GarmanKlassSimpleSigma.java │ │ │ ├── LocalVolatilityEstimator.java │ │ │ ├── ParkinsonSigma.java │ │ │ ├── SimpleLocalEstimator.java │ │ │ └── VolatilityCompositor.java │ │ ├── pricingengines │ │ ├── AmericanPayoffAtExpiry.java │ │ ├── AmericanPayoffAtHit.java │ │ ├── AnalyticEuropeanEngine.java │ │ ├── BinomialConvertibleEngine.java │ │ ├── BlackCalculator.java │ │ ├── BlackFormula.java │ │ ├── GenericEngine.java │ │ ├── GenericModelEngine.java │ │ ├── MCSimulation.java │ │ ├── PricingEngine.java │ │ ├── asian │ │ │ ├── AnalyticContinuousGeometricAveragePriceAsianEngine.java │ │ │ └── AnalyticDiscreteGeometricAveragePriceAsianEngine.java │ │ ├── barrier │ │ │ └── AnalyticBarrierEngine.java │ │ ├── bond │ │ │ └── DiscountingBondEngine.java │ │ ├── capfloor │ │ │ ├── AnalyticCapFloorEngine.java │ │ │ └── BlackCapFloorEngine.java │ │ ├── hybrid │ │ │ └── DiscretizedConvertible.java │ │ ├── swap │ │ │ └── DiscountingSwapEngine.java │ │ └── vanilla │ │ │ ├── AnalyticDividendEuropeanEngine.java │ │ │ ├── BaroneAdesiWhaleyApproximationEngine.java │ │ │ ├── BinomialVanillaEngine.java │ │ │ ├── BjerksundStenslandApproximationEngine.java │ │ │ ├── DiscretizedVanillaOption.java │ │ │ ├── IntegralEngine.java │ │ │ ├── JuQuadraticApproximationEngine.java │ │ │ ├── JumpDiffusionEngine.java │ │ │ ├── MCEuropeanEngine.java │ │ │ ├── MCVanillaEngine.java │ │ │ └── finitedifferences │ │ │ ├── FDAmericanCondition.java │ │ │ ├── FDAmericanEngine.java │ │ │ ├── FDBermudanEngine.java │ │ │ ├── FDDividendAmericanEngine.java │ │ │ ├── FDDividendEngine.java │ │ │ ├── FDDividendEngineBase.java │ │ │ ├── FDDividendEngineMerton73.java │ │ │ ├── FDDividendEuropeanEngine.java │ │ │ ├── FDEngineAdapter.java │ │ │ ├── FDEuropeanEngine.java │ │ │ ├── FDMultiPeriodEngine.java │ │ │ ├── FDShoutCondition.java │ │ │ ├── FDShoutEngine.java │ │ │ ├── FDStepConditionEngine.java │ │ │ ├── FDVanillaEngine.java │ │ │ └── PayoffFunction.java │ │ ├── processes │ │ ├── BlackScholesMertonProcess.java │ │ ├── EulerDiscretization.java │ │ ├── ForwardMeasureProcess.java │ │ ├── ForwardMeasureProcess1D.java │ │ ├── GeneralizedBlackScholesProcess.java │ │ ├── GeometricBrownianMotionProcess.java │ │ ├── HestonProcess.java │ │ ├── HullWhiteForwardProcess.java │ │ ├── HullWhiteProcess.java │ │ ├── LfmCovarianceParameterization.java │ │ ├── LiborForwardModelProcess.java │ │ ├── Merton76Process.java │ │ ├── OrnsteinUhlenbeckProcess.java │ │ ├── StochasticProcess.java │ │ └── StochasticProcess1D.java │ │ ├── quotes │ │ ├── Handle.java │ │ ├── Quote.java │ │ ├── RelinkableHandle.java │ │ └── SimpleQuote.java │ │ ├── termstructures │ │ ├── AbstractTermStructure.java │ │ ├── AbstractYieldTermStructure.java │ │ ├── BlackVarianceTermStructure.java │ │ ├── BlackVolTermStructure.java │ │ ├── BlackVolatilityTermStructure.java │ │ ├── Bootstrap.java │ │ ├── BootstrapError.java │ │ ├── BootstrapHelper.java │ │ ├── BootstrapHelperSorter.java │ │ ├── CapVolatilityStructure.java │ │ ├── CapletVarianceCurve.java │ │ ├── Compounding.java │ │ ├── InflationTermStructure.java │ │ ├── InterestRate.java │ │ ├── IterativeBootstrap.java │ │ ├── LocalBootstrap.java │ │ ├── LocalVolTermStructure.java │ │ ├── RateHelper.java │ │ ├── RateHelperSorter.java │ │ ├── SwaptionVolatilityStructure.java │ │ ├── TermStructure.java │ │ ├── YieldTermStructure.java │ │ ├── YoYInflationTermStructure.java │ │ ├── ZeroInflationTermStructure.java │ │ ├── volatilities │ │ │ ├── BlackConstantVol.java │ │ │ ├── BlackVarianceCurve.java │ │ │ ├── BlackVarianceSurface.java │ │ │ ├── FlatSmileSection.java │ │ │ ├── ImpliedVolTermStructure.java │ │ │ ├── LocalConstantVol.java │ │ │ ├── LocalVolCurve.java │ │ │ ├── LocalVolSurface.java │ │ │ ├── Sabr.java │ │ │ ├── SmileSection.java │ │ │ ├── VolatilityTermStructure.java │ │ │ └── optionlet │ │ │ │ ├── ConstantOptionletVolatility.java │ │ │ │ └── OptionletVolatilityStructure.java │ │ └── yieldcurves │ │ │ ├── BMASwapRateHelper.java │ │ │ ├── DepositRateHelper.java │ │ │ ├── Discount.java │ │ │ ├── FixedRateBondHelper.java │ │ │ ├── FlatForward.java │ │ │ ├── ForwardRate.java │ │ │ ├── ForwardRateStructure.java │ │ │ ├── ForwardSpreadedTermStructure.java │ │ │ ├── FraRateHelper.java │ │ │ ├── FuturesRateHelper.java │ │ │ ├── ImpliedTermStructure.java │ │ │ ├── InterpolatedDiscountCurve.java │ │ │ ├── InterpolatedForwardCurve.java │ │ │ ├── InterpolatedZeroCurve.java │ │ │ ├── PiecewiseCurve.java │ │ │ ├── PiecewiseYieldCurve.java │ │ │ ├── RelativeDateRateHelper.java │ │ │ ├── SwapRateHelper.java │ │ │ ├── Traits.java │ │ │ ├── ZeroSpreadedTermStructure.java │ │ │ ├── ZeroYield.java │ │ │ └── ZeroYieldStructure.java │ │ ├── time │ │ ├── BusinessDayConvention.java │ │ ├── Calendar.java │ │ ├── Date.java │ │ ├── DateGeneration.java │ │ ├── DateParser.java │ │ ├── Frequency.java │ │ ├── IMM.java │ │ ├── MakeSchedule.java │ │ ├── Month.java │ │ ├── Period.java │ │ ├── PeriodParser.java │ │ ├── Schedule.java │ │ ├── Series.java │ │ ├── TimeGrid.java │ │ ├── TimeSeries.java │ │ ├── TimeUnit.java │ │ ├── Weekday.java │ │ └── calendars │ │ │ ├── Argentina.java │ │ │ ├── Australia.java │ │ │ ├── Brazil.java │ │ │ ├── Canada.java │ │ │ ├── China.java │ │ │ ├── CzechRepublic.java │ │ │ ├── Denmark.java │ │ │ ├── Finland.java │ │ │ ├── Germany.java │ │ │ ├── HongKong.java │ │ │ ├── Hungary.java │ │ │ ├── Iceland.java │ │ │ ├── India.java │ │ │ ├── Indonesia.java │ │ │ ├── Italy.java │ │ │ ├── Japan.java │ │ │ ├── JointCalendar.java │ │ │ ├── Mexico.java │ │ │ ├── NewZealand.java │ │ │ ├── Norway.java │ │ │ ├── NullCalendar.java │ │ │ ├── Poland.java │ │ │ ├── SaudiArabia.java │ │ │ ├── Singapore.java │ │ │ ├── Slovakia.java │ │ │ ├── SouthAfrica.java │ │ │ ├── SouthKorea.java │ │ │ ├── Sweden.java │ │ │ ├── Switzerland.java │ │ │ ├── Taiwan.java │ │ │ ├── Target.java │ │ │ ├── Turkey.java │ │ │ ├── Ukraine.java │ │ │ ├── UnitedKingdom.java │ │ │ └── UnitedStates.java │ │ └── util │ │ ├── ComparablePair.java │ │ ├── DefaultObservable.java │ │ ├── LazyObject.java │ │ ├── Observable.java │ │ ├── ObservableValue.java │ │ ├── Observer.java │ │ ├── Pair.java │ │ ├── PolymorphicVisitable.java │ │ ├── PolymorphicVisitor.java │ │ ├── Std.java │ │ ├── Visitable.java │ │ ├── Visitor.java │ │ └── WeakReferenceObservable.java │ └── test │ ├── java │ └── org │ │ └── jquantlib │ │ └── testsuite │ │ ├── calendars │ │ ├── ArgentinaCalendarTest.java │ │ ├── AustraliaCalendarTest.java │ │ ├── BrazilCalendarTest.java │ │ ├── CalendarTest.java │ │ ├── CalendarUtil.java │ │ ├── CanadaCalendarTest.java │ │ ├── ChinaCalendarTest.java │ │ ├── CzechRepublicCalendarTest.java │ │ ├── DenmarkCalendarTest.java │ │ ├── FinlandCalendarTest.java │ │ ├── GermanyCalendarTest.java │ │ ├── HongKongCalendarTest.java │ │ ├── HungaryCalendarTest.java │ │ ├── IcelandCalendarTest.java │ │ ├── IndiaCalendarTest.java │ │ ├── IndonesiaCalendarTest.java │ │ ├── ItalyCalendarTest.java │ │ ├── JapanCalendarTest.java │ │ ├── MexicoCalendarTest.java │ │ ├── NewZealandCalendarTest.java │ │ ├── NorwayCalendarTest.java │ │ ├── PolandCalendarTest.java │ │ ├── SaudiArabiaCalendarTest.java │ │ ├── SingaporeCalendarTest.java │ │ ├── SlovakiaCalendarTest.java │ │ ├── SouthKoreaCalendarTest.java │ │ ├── SwedenCalendarTest.java │ │ ├── SwitzerlandCalendarTest.java │ │ ├── TaiwanCalendarTest.java │ │ ├── TestCalendarReferences.java │ │ ├── TurkeyCalendarTest.java │ │ ├── UkraineCalendarTest.java │ │ ├── UnitedKingdomCalendarTest.java │ │ └── UnitedStatesCalendarTest.java │ │ ├── currency │ │ └── CurrencyTest.java │ │ ├── daycounters │ │ └── DayCountersTest.java │ │ ├── instruments │ │ ├── AmericanOptionTest.java │ │ ├── AsianOptionTest.java │ │ ├── BarrierOptionTest.java │ │ ├── BondTest.java │ │ ├── ConvertibleBondTest.java │ │ ├── DividendOptionTest.java │ │ ├── EuropeanOptionTest.java │ │ ├── InstrumentsTest.java │ │ └── StocksTest.java │ │ ├── math │ │ ├── ArrayTest.java │ │ ├── MatrixTest.java │ │ ├── TransformedGridTest.java │ │ ├── distributions │ │ │ ├── BinomialDistributionTest.java │ │ │ ├── BivariateNormalDistributionTest.java │ │ │ ├── CumulativeBinomialDistributionTest.java │ │ │ ├── CumulativeNormalDistributionTest.java │ │ │ ├── CumulativePoissonDistributionTest.java │ │ │ ├── GammaDistributionTest.java │ │ │ ├── InverseCumulativeNormalTest.java │ │ │ ├── InverseCumulativePoissonTest.java │ │ │ ├── MoroInverseCumulativeNormalTest.java │ │ │ ├── NonCentralChiSquaredDistributionTest.java │ │ │ ├── NormalDistributionTest.java │ │ │ ├── PoissonNormalTest.java │ │ │ └── RegularisedIncompleteBetaTest.java │ │ ├── integrals │ │ │ ├── GammaFunctionTest.java │ │ │ ├── GaussKonrodPattersonIntegratorTest.java │ │ │ ├── IntegralsTest.java │ │ │ └── TabulatedGaussLegendreTest.java │ │ ├── interpolations │ │ │ ├── BackwardInterpolationTest.java │ │ │ ├── BilinearInterpolationTest.java │ │ │ ├── FlatForwardInterpolationTest.java │ │ │ ├── InterpolationTest.java │ │ │ ├── LinearInterpolationTest.java │ │ │ └── SABRInterpolationTest.java │ │ ├── optimization │ │ │ └── OptimizerTest.java │ │ ├── randomnumbers │ │ │ ├── MersenneTwisterTest.java │ │ │ └── RandomNumberTest.java │ │ ├── solvers1D │ │ │ ├── BisectionTest.java │ │ │ ├── BrentTest.java │ │ │ ├── FalsePositionTest.java │ │ │ ├── NewtonSafeTest.java │ │ │ ├── NewtonTest.java │ │ │ ├── RidderTest.java │ │ │ └── SecantTest.java │ │ └── statistics │ │ │ └── StatisticsTest.java │ │ ├── methods │ │ └── lattices │ │ │ └── ExtendedTrees.java │ │ ├── model │ │ └── volatility │ │ │ └── EstimatorsTest.java │ │ ├── money │ │ └── MoneyTest.java │ │ ├── operators │ │ ├── OperatorTest.java │ │ └── TridiagonalOperatorTest.java │ │ ├── patterns │ │ └── VisitorTest.java │ │ ├── pricers │ │ └── OldPricer.java │ │ ├── pricingengines │ │ └── JumpDiffusionEngineTest.java │ │ ├── quotes │ │ └── QuotesTest.java │ │ ├── termstructures │ │ ├── TermStructuresTest.java │ │ ├── volatilities │ │ │ └── SabrTest.java │ │ └── yieldcurves │ │ │ └── PiecewiseYieldCurveTest.java │ │ ├── time │ │ ├── DatesTest.java │ │ ├── PeriodTest.java │ │ └── ScheduleTest.java │ │ └── util │ │ ├── DateParserTest.java │ │ ├── Flag.java │ │ └── Utilities.java │ └── resources │ └── log4j.properties 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