List of all items

Structs

• implied::DeAmericanizedQuote
• implied::heston::HestonCalibrationEvaluation
• implied::heston::HestonCalibrationQuote
• implied::heston::HestonCalibrationResidual
• implied::heston::HestonCalibrationSummary
• implied::jump_diffusion::DeAmericanizationSummary
• implied::jump_diffusion::DeAmericanizedInput
• implied::jump_diffusion::JumpDiffusionCalibrationBounds
• implied::jump_diffusion::JumpDiffusionCalibrationDiagnostics
• implied::jump_diffusion::JumpDiffusionCalibrationEvaluation
• implied::jump_diffusion::JumpDiffusionCalibrationOutcome
• implied::jump_diffusion::JumpDiffusionCalibrationPolicy
• implied::jump_diffusion::JumpDiffusionCalibrationQuote
• implied::jump_diffusion::JumpDiffusionCalibrationResidual
• implied::jump_diffusion::JumpDiffusionCalibrationSummary
• implied::jump_diffusion::JumpDiffusionExpiryFit
• implied::jump_diffusion::JumpPriorCrossCheck
• implied::jump_diffusion::JumpPriorCrossCheckPolicy
• implied::jump_diffusion::TiltIdentifiability
• implied::local_vol::LocalVolCalibrationEvaluation
• implied::local_vol::LocalVolCalibrationQuote
• implied::local_vol::LocalVolCalibrationResidual
• implied::local_vol::LocalVolCalibrationSummary
• integration::FerroWaveExposureAttributionRow
• integration::FerroWaveExposureScenarioReport
• integration::FerroWaveJumpSignal
• integration::FerroWaveRegimeSignal
• integration::FerroWaveScenarioAdapter
• integration::FerroWaveVolatilitySignal
• integration::jumps::JumpAssumption
• integration::jumps::JumpAssumptionAdapter
• integration::jumps::JumpEstimateUncertainty
• microstructure::QuoteCost
• microstructure::QuoteCostLeg
• microstructure::SpreadLegDegradation
• microstructure::SpreadLegUnavailability
• microstructure::SpreadQuoteCost
• models::jump_diffusion_pide::MertonAmericanPdeConfig
• models::local_vol::LocalVolForwardPdeConfig
• models::local_vol::LocalVolKernelPolicy
• models::local_vol::LocalVolMcConfig
• models::local_vol::LocalVolPdeConfig
• models::local_vol::LocalVolPricer
• models::local_vol_view::LocalVolSurfaceShift
• models::local_vol_view::LocalVolSurfaceView
• numerics::simd::SimdProfile
• portfolio::Book
• portfolio::BookId
• portfolio::Portfolio
• portfolio::Position
• portfolio::PositionId
• portfolio::PositionQuantity
• portfolio::Strategy
• portfolio::StrategyId
• reference::AmericanReferenceReport
• reference::escrowed_dividends::EscrowedDividendReferenceReport
• reference::jump_diffusion::MertonAmericanReferenceReport
• risk::aggregate::BookRiskReport
• risk::aggregate::ExpiryRiskBucket
• risk::aggregate::PortfolioRiskReport
• risk::aggregate::PositionRisk
• risk::aggregate::StrategyRiskReport
• risk::aggregate::StrikeRiskBucket
• risk::pnl::BookScenarioPnlReport
• risk::pnl::ExpiryScenarioPnlBucket
• risk::pnl::PortfolioScenarioPnlReport
• risk::pnl::PositionScenarioPnl
• risk::pnl::PositionScenarioPnlRow
• risk::pnl::StrategyScenarioPnl
• risk::pnl::StrategyScenarioPnlRow
• risk::pnl::StrikeScenarioPnlBucket
• risk::scenario::BookScenarioReport
• risk::scenario::LinearVolTermShock
• risk::scenario::PortfolioScenarioReport
• risk::scenario::PositionScenarioReport
• risk::scenario::ScenarioDefinition
• risk::scenario::StrategyScenarioReport
• risk::scenario_solve::BookScenarioSpotSolveReport
• risk::scenario_solve::PositionScenarioSpotSolveEntry
• risk::scenario_solve::ScenarioPnlRegion
• risk::scenario_solve::ScenarioSpotSolvePolicy
• risk::scenario_solve::ScenarioSpotSolveRequest
• risk::scenario_solve::ScenarioSpotSolveUnresolvedCell
• risk::scenario_solve::StrategyScenarioSpotSolveReport
• risk::scenario_solve_local_vol::LocalVolScenarioLeg
• risk::scenario_solve_local_vol::LocalVolScenarioSpotSolveReport
• streaming::AtmTermStructurePoint
• streaming::ButterflyPoint
• streaming::ChainContractId
• streaming::ChainContractMultiplier
• streaming::ChainContractSnapshot
• streaming::ChainDerivedMetrics
• streaming::ChainExpiryWall
• streaming::ChainExposureContract
• streaming::ChainExposureExpiryBucket
• streaming::ChainExposureFlipLevel
• streaming::ChainExposureInputs
• streaming::ChainExposurePolicy
• streaming::ChainExposureReport
• streaming::ChainExposureState
• streaming::ChainExposureStateRefresh
• streaming::ChainExposureStrikeBucket
• streaming::ChainExposureValues
• streaming::ChainFlowReport
• streaming::ChainFlowState
• streaming::ChainFlowStateRefresh
• streaming::ChainMetadata
• streaming::ChainMetricPolicy
• streaming::ChainQuote
• streaming::ChainRefreshReport
• streaming::ChainSnapshot
• streaming::ChainState
• streaming::ChainStrikeWall
• streaming::ChainUpdateBatch
• streaming::ExcludedChainExposureContract
• streaming::ImpliedMovePoint
• streaming::RiskReversalPoint
• streaming::SpotLadderPoint
• streaming::SpotLadderPolicy
• streaming::SpotLadderReport
• streaming::VolOfVolProxyPoint
• surface::BidAskInversionError
• surface::BidAskIvBounds
• surface::BidAskPenalty
• surface::BidAskPenaltyRecord
• surface::BidAskPrices
• surface::ButterflyArbitrageProjection
• surface::ButterflyArbitrageViolation
• surface::ButterflyViolation
• surface::CalendarArbitrageViolation
• surface::DupireExtractionDiagnostics
• surface::DupireExtractionGrid
• surface::DupireExtractionPolicy
• surface::DupireLocalVolPoint
• surface::FeasibilityDrop
• surface::ForwardVarianceInterval
• surface::ForwardVarianceViolation
• surface::HuberLoss
• surface::JointSsviCalibrationBounds
• surface::JointSsviCalibrationPolicy
• surface::JointSsviCalibrationPrior
• surface::JointSsviGlobals
• surface::LocalVolSurfaceGrid
• surface::NormalizedSurfaceQuote
• surface::ParityConsistencyReport
• surface::ParityForwardCurve
• surface::ParityForwardCurvePoint
• surface::ParityForwardCurveResidual
• surface::ParityForwardEstimate
• surface::ParityQuotePair
• surface::SabrCalibrationBounds
• surface::SabrCalibrationPolicy
• surface::SabrCalibrationPrior
• surface::SabrParameters
• surface::SabrSmile
• surface::SabrSurface
• surface::SsviCalibrationBounds
• surface::SsviCalibrationPolicy
• surface::SsviCalibrationPrior
• surface::SsviSlice
• surface::SsviSurface
• surface::StaticArbitrageCheckPolicy
• surface::StaticArbitrageDiagnostics
• surface::SurfaceButterflySelection
• surface::SurfaceCalibrationInput
• surface::SurfaceCalibrationOutcome
• surface::SurfaceCalibrationQualityThresholds
• surface::SurfaceCalibrationReport
• surface::SurfaceCalibrationResidual
• surface::SurfaceCalibrationSearchPolicy
• surface::SurfaceCalibrationSummary
• surface::SurfaceCarryInputs
• surface::SurfaceDeltaCoordinate
• surface::SurfaceDeltaStrike
• surface::SurfaceDeltaStrikeSelection
• surface::SurfaceDeltaStrikeSelectionRequest
• surface::SurfaceDeltaWingStrikeSelection
• surface::SurfaceLogMoneyness
• surface::SurfaceMarketContext
• surface::SurfaceNormalizationOutcome
• surface::SurfaceNormalizationPolicy
• surface::SurfaceNormalizationReport
• surface::SurfacePerTenorForwards
• surface::SurfaceQualityFilteredOutcome
• surface::SurfaceQuoteAdjustment
• surface::SurfaceQuoteCoordinate
• surface::SurfaceQuoteObservation
• surface::SurfaceQuoteProvenance
• surface::SurfaceQuoteQuality
• surface::SurfaceQuoteQualityPolicy
• surface::SurfaceQuoteQualityRejection
• surface::SurfaceQuoteQualityReport
• surface::SurfaceQuoteQualitySummary
• surface::SurfaceQuoteTreatment
• surface::SurfaceQuoteWeight
• surface::SurfaceRejectedQuote
• surface::SurfaceRepairAdjustment
• surface::SurfaceRepairInputOutcome
• surface::SurfaceRepairOutcome
• surface::SurfaceRepairPolicy
• surface::SurfaceRepairReport
• surface::SurfaceRepairSummary
• surface::SurfaceRiskReversalSelection
• surface::SurfaceSelectedSmilePoint
• surface::SurfaceSelectionQuotePolicy
• surface::SurfaceSliceCalibrationReport
• surface::SurfaceSmileAmericanDeltaStrikeSelectionRequest
• surface::SurfaceSmileDeltaSelectionPolicy
• surface::SurfaceSmileDeltaStrikeSelectionRequest
• surface::SurfaceSmileRiskMetrics
• surface::SurfaceSmileRiskReversal
• surface::SurfaceSmileRiskReversalWing
• surface::SurfaceStandardizedMoneynessWing
• surface::SurfaceStandardizedMoneynessWingSelection
• surface::SurfaceTenor
• surface::SurfaceWingSmileSelection
• surface::SviCalibrationPolicy
• surface::SviCalibrationPrior
• surface::SviNaturalCalibrationBounds
• surface::SviNaturalParameters
• surface::SviRawCalibrationBounds
• surface::SviRawParameters
• surface::SviSmile
• surface::SviSurface
• surface::TermVarianceCurve
• surface::TermVariancePoint
• surface::TrimmedMseLoss
• types::ArbFreeReport
• types::ContractAnalyticsResult
• types::DisplacedBlackShift
• types::DividendEvent
• types::DividendSchedule
• types::Greeks
• types::HestonModel
• types::HestonParameters
• types::IvResult
• types::IvSolveInputs
• types::JumpDiffusionModel
• types::JumpDiffusionParameters
• types::PricingInputs
• types::RiskNeutralJumpParameters
• volatility::BasketConstituent
• volatility::ConcentrationRead
• volatility::DispersionRead
• volatility::JumpDiffusionFit
• volatility::OhlcBar
• volatility::RealizedCovariance
• volatility::RealizedSemivariance
• volatility::RealizedVolRead
• volatility::RvJumpSplit
• volatility::VrpRead
• volatility::VrpSplit

Enums

• error::FerroRiskError
• implied::jump_diffusion::JumpDiffusionObjectiveSpace
• implied::jump_diffusion::TiltEnvelopeSource
• integration::FerroWaveExposureAttributionDriver
• integration::FerroWaveScenarioStep
• microstructure::QuoteCostDegradation
• microstructure::QuoteCostOutcome
• microstructure::QuoteCostUnavailability
• microstructure::SpreadQuoteCostOutcome
• models::local_vol::LocalVolEngine
• models::local_vol::LocalVolMcSeed
• risk::scenario::ScenarioShock
• risk::scenario::TermShockExtrapolation
• risk::scenario_solve::ScenarioPnlBoundary
• risk::scenario_solve::ScenarioPnlSign
• risk::scenario_solve::ScenarioSpotSolveCoverage
• risk::scenario_solve::ScenarioSpotSolveUnresolvedReason
• streaming::ChainContractUpdate
• streaming::ChainExposureExclusionReason
• streaming::ChainExposureMetric
• streaming::ChainExposureSignConvention
• streaming::ChainMissingImpliedVolatilityTreatment
• streaming::ChainMissingOpenInterestTreatment
• streaming::ChainZeroOpenInterestTreatment
• streaming::CharmExposureConvention
• streaming::DeltaExposureConvention
• streaming::GammaExposureConvention
• streaming::QuoteSource
• streaming::VannaExposureConvention
• streaming::VegaExposureConvention
• surface::AcceptableReason
• surface::BidOrAsk
• surface::DegeneracyReason
• surface::FailureReason
• surface::FeasibilityDropReason
• surface::FeasibilityPolicy
• surface::FeasibilityWarning
• surface::FitQuality
• surface::ForwardVarianceOutcome
• surface::LossFunction
• surface::MoneynessWindow
• surface::SurfaceCalibrationModel
• surface::SurfaceCalibrationObjectiveSpace
• surface::SurfaceDeltaConvention
• surface::SurfaceNormalizationAdjustmentReason
• surface::SurfaceNormalizationRejectReason
• surface::SurfacePriceSource
• surface::SurfaceQuoteQualityRejectReason
• surface::SurfaceQuoteTreatmentKind
• surface::SurfaceReferencePricePolicy
• surface::SurfaceRepairAdjustmentReason
• surface::SurfaceSliceCalibrationParameters
• surface::SurfaceSmileRiskReversalWingQuality
• surface::SurfaceStandardizedMoneynessWingQuality
• surface::SviCalibrationParameterization
• surface::TermVarianceCoordinate
• surface::ThetaTermStructure
• surface::ThetaTermStructureParams
• types::ExerciseStyle
• types::IvResidualUnit
• types::JumpMeasure
• types::OptionType
• types::PricingModel
• volatility::RvMethod

Traits

• surface::SurfaceSmile
• surface::VolSurface

Functions

• analytics::contract_analytics
• analytics::contract_analytics_batch
• formal_model::add_saturating
• formal_model::dealer_sign
• formal_model::law_dealer_sign_is_pm_one
• formal_model::law_offsetting_legs_net_to_zero
• formal_model::law_orient_long_is_identity
• formal_model::negate_saturating
• formal_model::net_exposure
• formal_model::oriented_exposure
• greeks::charm
• greeks::color
• greeks::delta
• greeks::gamma
• greeks::greeks_all
• greeks::greeks_batch
• greeks::greeks_batch_simd
• greeks::rho
• greeks::theta
• greeks::vanna
• greeks::vega
• greeks::veta
• greeks::volga
• implied::bisection_iv
• implied::de_americanize_quote
• implied::heston::evaluate_heston_calibration_quotes
• implied::heston::evaluate_heston_surface_calibration_input
• implied::implied_vol
• implied::implied_vol_batch
• implied::implied_vol_from_normalised_price
• implied::jump_diffusion::calibrate_jump_diffusion
• implied::jump_diffusion::calibrate_jump_diffusion_american
• implied::jump_diffusion::calibrate_jump_diffusion_any_exercise
• implied::jump_diffusion::de_americanize_surface_input
• implied::jump_diffusion::evaluate_jump_diffusion_calibration_quotes
• implied::jump_diffusion::evaluate_jump_diffusion_surface_calibration_input
• implied::jump_diffusion::jump_prior_cross_check
• implied::local_vol::evaluate_local_vol_calibration_quotes
• implied::local_vol::evaluate_local_vol_surface_calibration_input
• implied::normalised::normalised_black
• implied::normalised::normalised_vega
• integration::evaluate_ferro_wave_exposure_scenario
• microstructure::effective_spread
• microstructure::effective_spread_from_prices
• microstructure::spread_round_trip_cost
• models::bachelier::bachelier_price
• models::bjerksund::american_price
• models::black76::black76_price
• models::bsm::bsm_price
• models::bsm::bsm_price_batch
• models::displaced_black::displaced_black_price
• models::escrowed_dividends::american_price_with_dividends
• models::heston::heston_price
• models::jump_diffusion::merton_price
• models::jump_diffusion_pide::merton_american_price
• models::jump_diffusion_pide::merton_american_price_with_config
• models::local_vol::local_vol_greeks
• models::local_vol::local_vol_price
• models::local_vol::local_vol_strip_price
• models::price
• numerics::bivariate_normal::bivariate_norm_cdf
• numerics::erfcx::erfcx
• numerics::householder::householder_factor
• numerics::householder::householder_step
• numerics::normal::log_norm_cdf
• numerics::normal::log_norm_pdf
• numerics::normal::norm_cdf
• numerics::normal::norm_inv
• numerics::normal::norm_pdf
• numerics::simd::detected_simd
• numerics::simd::erfcx_slice
• numerics::simd::norm_cdf_slice
• numerics::simd::norm_pdf_slice
• reference::american_reference_price
• reference::american_reference_price_with_steps
• reference::american_reference_report
• reference::american_reference_report_with_steps
• reference::escrowed_dividends::escrowed_dividend_reference_price
• reference::escrowed_dividends::escrowed_dividend_reference_price_with_steps
• reference::escrowed_dividends::escrowed_dividend_reference_report
• reference::escrowed_dividends::escrowed_dividend_reference_report_with_steps
• reference::jump_diffusion::merton_american_reference_price
• reference::jump_diffusion::merton_american_reference_price_with_steps
• reference::jump_diffusion::merton_american_reference_report
• reference::jump_diffusion::merton_american_reference_report_with_steps
• risk::aggregate::aggregate_book_risk
• risk::aggregate::aggregate_portfolio_risk
• risk::aggregate::aggregate_strategy_risk
• risk::pnl::explain_book_scenario_pnl
• risk::pnl::explain_portfolio_scenario_pnl
• risk::scenario::evaluate_book_scenario
• risk::scenario::evaluate_portfolio_scenario
• risk::scenario::vol_term_shocked_term_variance_curve
• risk::scenario_local_vol::local_vol_scenario_price
• risk::scenario_local_vol::local_vol_scenario_strip_price
• risk::scenario_solve::solve_book_scenario_spot
• risk::scenario_solve::solve_strategy_scenario_spot
• risk::scenario_solve_local_vol::solve_local_vol_scenario_spot
• streaming::atm_term_structure
• streaming::butterfly_curve
• streaming::derive_chain_exposures
• streaming::derive_flow_analytics
• streaming::derive_market_metrics
• streaming::expiry_walls
• streaming::exposure_flip_levels
• streaming::implied_move_curve
• streaming::risk_reversal_curve
• streaming::spot_ladder
• streaming::strike_walls
• streaming::vol_of_vol_proxy_curve
• surface::calibrate_joint_ssvi_surface
• surface::calibrate_sabr_surface
• surface::calibrate_ssvi_surface
• surface::calibrate_svi_surface
• surface::check_forward_parity
• surface::diagnose_static_arbitrage
• surface::diagnose_static_arbitrage_with_policy
• surface::estimate_parity_forward
• surface::estimate_parity_forward_curve
• surface::extract_dupire_local_volatility
• surface::extract_dupire_local_volatility_grid
• surface::forward_variance_batch_simd
• surface::forward_variance_between
• surface::normalize_chain_for_surface
• surface::normalize_chain_for_surface_with_forward_overrides
• surface::prepare_calibration_input_with_quality_policy
• surface::prepare_calibration_input_with_quality_policy_and_forward_overrides
• surface::repair_sabr_surface
• surface::repair_ssvi_surface
• surface::repair_surface_input
• surface::repair_svi_surface
• surface::select_near_atm_parity_pairs
• surface::surface_butterfly_from_normalized_quotes
• surface::surface_butterfly_from_smile
• surface::surface_delta_from_strike
• surface::surface_delta_grid
• surface::surface_nearest_strike
• surface::surface_raw_interpolated_skew
• surface::surface_risk_reversal_from_normalized_quotes
• surface::surface_risk_reversal_from_smile
• surface::surface_select_delta_strike
• surface::surface_select_delta_wing_strikes
• surface::surface_select_smile_american_delta_strike
• surface::surface_select_smile_american_delta_wing_strikes
• surface::surface_select_smile_delta_strike
• surface::surface_select_smile_delta_wing_strikes
• surface::surface_select_standardized_moneyness_wing_strikes
• surface::surface_select_wing_normalized_quotes
• surface::surface_select_wing_smile_points
• surface::surface_signed_delta_from_strike
• surface::surface_smile_iv_at_delta
• surface::surface_smile_risk_metrics
• surface::surface_smile_risk_reversal
• surface::surface_strike_from_delta
• surface::surface_strike_from_standardized_moneyness
• surface::surface_strike_grid_from_deltas
• surface::term_variance_curve
• volatility::implied_correlation
• volatility::realized_concentration
• volatility::realized_correlation
• volatility::realized_jump_split
• volatility::realized_semivariance
• volatility::realized_semivariance_from_closes
• volatility::realized_vol
• volatility::realized_vol_from_closes
• volatility::variance_risk_premium
• volatility::vrp_decomposition
• volatility::vrp_zscore

Constants

• constants::CONVERGENCE_THRESHOLD
• constants::DAYS_PER_YEAR
• constants::MAX_BISECTION_ITER
• constants::MAX_IV
• constants::MIN_MEANINGFUL_TIME
• constants::TRADING_DAYS_PER_YEAR
• reference::DEFAULT_AMERICAN_REFERENCE_STEPS
• reference::jump_diffusion::DEFAULT_MERTON_AMERICAN_LATTICE_STEPS
• risk::scenario_solve::SCENARIO_SPOT_SOLVE_DEFAULT_MAX_REFINEMENTS
• risk::scenario_solve::SCENARIO_SPOT_SOLVE_DEFAULT_PNL_TOLERANCE
• risk::scenario_solve::SCENARIO_SPOT_SOLVE_DEFAULT_SCAN_INTERVALS
• risk::scenario_solve::SCENARIO_SPOT_SOLVE_DEFAULT_SPOT_TOLERANCE
• risk::scenario_solve::SCENARIO_SPOT_SOLVE_MAX_REFINEMENTS
• risk::scenario_solve::SCENARIO_SPOT_SOLVE_MAX_SCAN_INTERVALS
• surface::DEFAULT_FORWARD_PARITY_RELATIVE_TOLERANCE
• surface::DEFAULT_PARITY_MONEYNESS_WINDOW
• surface::SMILE_DELTA_DEFAULT_BRACKET_EXPANSIONS
• surface::SMILE_DELTA_DEFAULT_MAX_ITERATIONS
• surface::SMILE_DELTA_DEFAULT_OBJECTIVE_TOLERANCE
• surface::SMILE_DELTA_DEFAULT_RELATIVE_TOLERANCE
• volatility::CONCENTRATION_MAX_PERIODS
• volatility::CONCENTRATION_MAX_SERIES
• volatility::CONCENTRATION_MIN_PERIODS
• volatility::CONCENTRATION_MIN_SERIES
• volatility::DISPERSION_MAX_CONSTITUENTS
• volatility::DISPERSION_MIN_CONSTITUENTS
• volatility::REALIZED_VOL_MAX_PERIODS
• volatility::REALIZED_VOL_MIN_PERIODS