Fast and accurate exposures using American Monte Carlo (AMC), selected vanilla and complex products.
Official readme: readme.md
BermudanSwaption, Bond, CMS, CMSSpread, CMS_DEACTIVATED, CPICapFloor, CapFloor, CapFlooredIborLeg, CapFlooredYYLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommoditySwap, CommoditySwaption, CpiCapFloor, CreditDefaultSwap, CreditDefaultSwapOption, CrossCurrencySwap, EquityForward, EquityOption, EquityOptionAmerican, EuropeanSwaption, ForwardBond, FxForward, FxOption, FxOptionAmerican, ScriptedTrade, Swap, YYCapFloorBermudanSwaption, Bond, CMS, CapFlooredIborLeg, CrossCurrencySwap, ForwardBond, FxOption, MultiLegOption, ScriptedTrade, SwapBermudanSwaption, CrossCurrencySwap, FxForward, FxOption, MultiLegOption, ScriptedTrade, SwapBermudanSwaption, Bond, CMS, CMSSpread, CMS_DEACTIVATED, CPICapFloor, CapFloor, CapFlooredIborLeg, CapFlooredYYLeg, CappedFlooredCpiLegCashFlows, CappedFlooredCpiLegCoupons, CommodityAveragePriceOption, CommodityForward, CommodityOption, CommoditySwap, CommoditySwaption, CpiCapFloor, CreditDefaultSwap, CreditDefaultSwapOption, CrossCurrencySwap, EquityForward, EquityOption, EquityOptionAmerican, EuropeanSwaption, ForwardBond, FxBarrierOption, FxEuropeanBarrierOption, FxForward, FxOption, FxOptionAmerican, ScriptedTrade, Swap, YYCapFloorFxBarrierOption, FxEuropeanBarrierOption, FxOption, ScriptedTrade, Swap