Internal Design of European Option Pricing Engine Overview Implementation Internal Design of MCEuropeanHestonEngine Overview Implementation Variations Internal Design of Asian Option Pricing Engine Overview MCAsianAPEngine MCAsianASEngine MCAsianGPEngine Profiling Internal Design of Digital Option Pricing Engines Overview Implementation Internal Design of Barrier Option Pricing Engine Overview Implementation MCBarrierEngine MCBarrierNoBiasEngine Internal Design of Cliquet Option Pricing Engine Overview Implementation Internal Design of American Option Pricing Engine Overview Theory Implementation Calibration Process Pricing Process MCAmericanEnginePricing MCAmericanEngine APIs Internal Design of MCMultiAssetEuropeanHestonEngine Overview Implementation Variations Internal Design of MCHullWhiteCapFloorEngine Overview Implementation Internal Design of MCEuropeanHestonGreeksEngine Overview Implementation Internal Design of Closed Form Black-Scholes-Merton Overview Design Structure cfBSMEngine (cf_bsm.hpp) bsm_kernel (bsm_kernel.cpp) Theoretical throughput Resource Utilization Throughput Internal Design of Closed Form Black-76 Overview Design Structure cfB76Engine (cf_b76.hpp) b76_kernel (b76_kernel.cpp) Theoretical throughput Resource Utilization Throughput Internal Design of Closed Form Heston Overview Design Structure The Engine (hcf_engine.hpp) IO Wrapper (hcf_kernel.cpp) Resource Utilization Throughput Internal Design of Closed Form Merton 76 Overview Design Structure The Engine (M76Engine.hpp) IO Wrapper (m76_kernel.cpp) Resource Utilization Throughput Internal Design of Garman Kohlhagen Overview Design Structure The Engine IO Wrapper (gk_kernel.cpp) Resource Utilization Throughput Internal Design of Quanto Overview Design Structure The Engine IO Wrapper (quanto_kernel.cpp) Resource Utilization Throughput Internal Design of Cox-Ross-Rubinstein Binomial Tree Overview Design Structure bt_engine (bt_engine.hpp) binomialtreekernel (binomialtreekernel.cpp) Resource Utilization Throughput Internal Design of Finite-Difference Hull-White Bermudan Swaption Pricing Engine Overview Implementation Mesher Differential operator Evolution scheme Profiling Internal Design of Finite-Difference G2 Bermudan Swaption Pricing Engine Overview Implementation Mesher Differential operator Profiling Internal Design of Tree Bermudan Swaption Engine Overview Implemention Profiling Internal Design of CPI CapFloor Engine Overview Implemention Profiling Internal Design of Inflation CapFloor Engine Overview Implemention Profiling Internal Design of Zero Coupon Bond Engine Overview Implemention Profiling limitations under the License. Overview Design Structure PCA HJM Kernel MC HJM Kernel Pricer Algorithms limitations under the License. Overview Design Structure Calibration of the Model Correlation calibration Volatility Calibration Pricing Algorithms Cap Pricing Ratchet Floater Pricing Ratchet Cap Pricing Internal Architecture Internal Design of HWA Engine Implementation Zero Coupon Bond Price Equity Option Pricing Cap/Floor Implemention Kernel Host Internal Design of CDS Engine Implementation Host Kernel Internal Design of Black Scholes Local Volatility Solver Overview Mathematical Background Design Details Test Methodology