DiscountedCashflows DiscountingBondTRSEngine 6M IR_Analytical DiscountedCashflows DiscountingForwardBondEngine 3M IR_Analytical DiscountedCashflows DiscountingSwapEngine IR_Analytical DiscountedCashflows DiscountingCrossCurrencySwapEngine FX_Analytical DiscountedCashflows DiscountingFxForwardEngine FX_Analytical GarmanKohlhagen AnalyticEuropeanEngine FX_Analytical GarmanKohlhagen FdBlackScholesVanillaEngine Douglas 100 100 0 true FX_Analytical BlackBachelier BlackBachelierSwaptionEngine IR_Analytical LGM Bootstrap CoterminalDealStrike 400,3M 0.0 HullWhite 0.01 Hagan 0.5 0.20 Grid 5.0 30 5.0 30 IR_FD LGM Bootstrap CoterminalATM 0.0 HullWhite 0.01 Hagan 0.5 0.10 Grid 3.0 10 3.0 10 LGM Bootstrap CoterminalDealStrike 0.0 HullWhite 0.01 Hagan 0.5 0.0001 400,3M 24 FD Douglas 64 24 1E-4 IborCapModel IborCapEngine IR_Analytical YYCapModel YYCapEngine IR_Analytical CpiCapModel CpiCapEngine true IR_Analytical BlackOrBachelier BlackIborCouponPricer Black76 1.0 IR_Analytical BlackOrBachelier BlackOvernightIndexedCouponPricer IR_Analytical BlackOrBachelier BlackAverageONIndexedCouponPricer IR_Analytical Black BlackAnalytic true IR_Analytical Black BlackAnalytic true IR_Analytical BlackOrBachelier BlackAverageBMACouponPricer IR_Analytical DiscountedCashflows DiscountingEquityForwardEngine EQ_Analytical BlackScholesMerton AnalyticEuropeanEngine EQ_Analytical BlackScholes GENERIC AnalyticEuropeanEngine EQ_Analytical BlackScholesMerton FdBlackScholesVanillaEngine Douglas 100 100 0 true EQ_FD BlackScholesMerton AnalyticOutperformanceOptionEngine 32 EQ_Analytical DiscountedCashflows 50Y DiscountingRiskyBondEngine 6M IR_Analytical DiscountedCashflows MidPointCdsEngine IR_Analytical DiscountedCashflows DiscountingCreditLinkedSwapEngine 24 IR_Analytical LinearTSR LinearTSRPricer 0.0 RateBound 0.0001 2.0000 -2.0000 2.0000 0.01 0.0000001 3.0 IR_Semianalytical LinearTSR LinearTSRPricer 0.0 0.0001 2.0000 -2.0000 2.0000 false IR_Semianalytical BrigoMercurio 0.8 0.75 0.72 0.7 Analytic 16 IR_Semianalytical DiscountedCashflows DiscountingCommodityForwardEngine COMM_Analytical DiscountedCashflows CommoditySwapEngine COMM_Analytical Black AnalyticalApproximation 2.05 COMM_Analytical BlackScholes AnalyticEuropeanEngine COMM_Analytical BlackScholes CommoditySpreadOptionEngine 2.05 COMM_Analytical BlackScholes AnalyticEuropeanForwardEngine COMM_Analytical Black AnalyticalApproximation 0 COMM_Analytical DiscountedCashflows MidPointIndexCdsEngine Index DeltaWeighted IR_Analytical LognormalAdjustedIndexSpread NumericalIntegrationEngine Index Index DeltaWeighted IR_Semianalytical LGM Bootstrap CoterminalDealStrike 400,3M 0.0 HullWhite 0.01 HullWhite 0.02 Grid Automatic 20.0 5.0 30 5.0 30 IR_Semianalytical LGM-FlexiSwap 0.0 2.0 Bootstrap CoterminalDealStrike 400,3M 0.0 HullWhite 0.01 HullWhite 0.02 Grid Automatic 20.0 5.0 30 5.0 30 IR_Semianalytical SensiTrade SensiTradeEngine 1Y,2Y 0.01 6M,1Y,2Y,3Y,5Y,10Y,15Y,20Y,30Y SensiTrade GaussCopula 0.0 -5.0 5.0 64 Y 0.7,0.4,0.1 0.35,0.3,0.35 Bucketing 372 DeltaWeighted N N N 3Y,5Y CR_Semianalytical BrigoMercurio GENERIC MC 10000 42 Y Y IR_MC BlackScholesMerton false ReplicatingVarianceSwapEngine Segment PriceThreshold 1E-5 1000 1000 1E-10 500 0.1 -5.0 5.0 FX_Semianalytical BlackScholesMerton ReplicatingVarianceSwapEngine Segment PriceThreshold 1E-5 1000 1000 1E-10 500 0.1 -5.0 5.0 EQ_Semianalytical BlackScholesMerton ReplicatingVarianceSwapEngine Segment PriceThreshold 1E-5 1000 1000 1E-10 500 0.1 -5.0 5.0 COMM_Semianalytical GarmanKohlhagen AnalyticEuropeanEngine FX_Analytical GarmanKohlhagen AnalyticCashSettledEuropeanEngine FX_Analytical GarmanKohlhagen AnalyticBarrierEngine FX_Analytical GarmanKohlhagen FdBlackScholesBarrierEngine Douglas 100 100 0 FX_Analytical GarmanKohlhagen AnalyticDoubleBarrierEngine FX_Analytical GarmanKohlhagen AnalyticDoubleBarrierBinaryEngine FX_Analytical GarmanKohlhagen AnalyticDigitalAmericanEngine FX_Analytical DiscountedCashflows DiscountingCommodityForwardEngine COMM_Analytical DefaultableEquityJumpDiffusion 0.0 1.0 true false false true true true FD true 6M,1Y,2Y,3Y,4Y,5Y,7Y,10Y,15Y,20Y,25Y,30Y,40Y,50Y 24 400 1E-5 1.5 Alternating 24 100 1E-4 1.5 0.5,0.55,0.6,0.65,0.7,0.75,0.8,0.85,0.9,0.95,1.0,1.05,1.1,1.15,1.2,1.25,1.5,1.75,2.0 EQ_FD Black 0.0 true Analytic false 400 20 IR_Semianalytical Black Analytic false 400 20 FX_Semianalytical LGM Bootstrap CoterminalDealStrike 400,3M 0.0 HullWhite 0.01 Hagan 0.5 0.02 Grid 5.0 30 5.0 30 400 20 IR_FD LGM Bootstrap CoterminalATM 400,3M 0.0 HullWhite 0.01 Hagan 0.5 0.02 3M Grid 5.0 30 5.0 30 24 IR_FD Generic USD false 3M(1W),1Y(1M),5Y(3M),10Y(1Y),50Y(5Y) 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 true true 400,3M Deal BlackScholes DK GaussianCam GaussianCam GaussianCam GaussianCam GaussianCam GaussianCam Generic MC 10000 200 1E-4 1.5 0.1 9999 true 2 24 false 999.9 6 6 6 FD FD FD true true true true true true true true true true true true true true EQ_MC FX_MC COMM_MC EQ_MC FX_MC COMM_MC EQ_FD FX_FD COMM_FD EQ_MC FX_MC COMM_MC EQ_MC FX_MC COMM_MC HYBRID_MC EQ_MC FX_MC COMM_MC HYBRID_MC EQ_MC FX_MC COMM_MC HYBRID_MC IR_MC IR_MC HYBRID_MC HYBRID_MC HYBRID_MC HYBRID_MC BlackScholesMerton AnalyticCashSettledEuropeanEngine EQ_Analytical BlackScholes AnalyticCashSettledEuropeanEngine COMM_Analytical BlackScholes FdBlackScholesVanillaEngine Douglas 100 100 0 true COMM_FD GarmanKohlhagen AnalyticCashSettledEuropeanEngine FX_Analytical Accrual true AccrualRepoEngine IR_Analytical BlackScholes MCScript MC 10000 6 24 false false EQ_MC Black BlackBondOptionEngine 6M IR_Analytical BlackScholesMerton AnalyticBarrierEngine EQ_Analytical BlackScholesMerton AnalyticDoubleBarrierEngine EQ_Analytical BlackScholesMerton AnalyticEuropeanEngine EQ_Analytical BlackScholesMerton AnalyticDigitalAmericanEngine EQ_Analytical BlackScholes Intrinsic 24 EQ_FD BlackScholes AnalyticEuropeanEngine EQ_Analytical ScriptedTrade ScriptedTrade EQ_MC ScriptedTrade ScriptedTrade EQ_MC ScriptedTrade ScriptedTrade FX_MC ScriptedTrade ScriptedTrade FX_MC OneFactorCopula MonteCarloCBOEngine 1000 20 42 0.2 CR_MC Black MonteCarlo 0 10000 42 COMM_MC GarmanKohlhagen AnalyticEuropeanForwardEngine FX_Analytical CrossAssetModel Bootstrap CoterminalATM 0.01 HullWhite 0.02 Hagan 0.5 0.1 400,3M IR_FD false 0.01 0.01 MC SobolBrownianBridge 42 10000 SobolBrownianBridge 17 10000 Monomial 3 Steps JoeKuoD7 true false USD GENERIC PM:XAUUSD PM:XAGUSD PM:XPTUSD PM:XPDUSD ^RED:[0-9A-Z]{9}$