| AAD / AD | Algorithmic (adjoint) differentiation. Dual<T> records a tape; one reverse sweep yields all sensitivities. |
| Aggregator | PfeAggregator implementor turning an NpvCube into a scalar measure (CVA, DVA, FVA, PFE quantile). |
| Annuity | \(\sum_i N\tau_i P(T_i)\) over fixed coupons; denominator of the fair swap rate. |
Claim (ContingentClaim) | Atomic future cashflow with an evaluation strategy; the unit of exposure simulation. |
| Collateral curve | MarketIndex::Collateral(ccy, coll_ccy): discount curve for ccy cashflows under coll_ccy collateral, bootstrapped from cross-currency basis quotes. |
CSA (CsaTerms) | Credit Support Annex parameters: collateral index/currency, credit spread or credit curve, recovery, funding spread or curve. |
| CVA / DVA / FVA | Credit, debit and funding valuation adjustments computed from EPE/ENE profiles. |
| Discount policy | DiscountPolicy trait selecting the discount curve per leg (SingleCurveCSADiscountPolicy, FixedIncomeDiscountPolicy). |
| DualFwd | Dual<Fwd2>: default AD scalar (reverse over second-order forward). |
| EE / EPE / ENE | Expected exposure, expected positive/negative exposure per date from an NpvCube. |
| Event / EventStream | Dated script code blocks (CodedEvent) and their parsed, validated sequence. |
| Evaluator | Type-erased dispatcher from TypeId to ErasedPricer. |
| Fixing | Historical index observation stored in FixingStore; used for coupons whose accrual already started. |
| FuzzyEvaluator | Script evaluator that smooths if conditions with call spreads so payoffs are differentiable. |
| Hull-White | One-factor Gaussian short-rate model \(dr=(\theta-\alpha r)dt+\sigma dW\); closed forms for ZCBs, caplets, swaptions. |
| IFT | Implicit function theorem; converts pillar sensitivities into quote sensitivities after bootstrapping. |
| LGM | Linear Gaussian Markov model; state \(z_t\), functions \(H(t)\), \(\zeta(t)\); basis of LgmMarketModel. |
| Level | Bid, Mid, Ask — which side of a quote to use. |
| MarketIndex | Curve identifier: SOFR, ICP, TermSOFR3m, Collateral(..), Credit(..), Equity(..). |
| Netting set | Claims valued together under one CSA; positive exposure is taken on the netted sum. |
| NpvCube | npvs[path][date] matrix per trade produced by the exposure evaluator. |
| Numeraire | Bank-account value along a path used to deflate cashflows in LGM. |
| Pillar | Curve node created by one quote; sensitivities are reported per pillar quote identifier. |
| PricingContext | Owner of quotes, configurations, bootstrapped elements and the AD tape; entry point for evaluation. |
| Quote identifier | Underscore-separated string such as OIS_USD_SOFR_5Y parsed into QuoteDetails. |
| Request | Value, FairRate, Cashflows, Sensitivities (plus unimplemented YieldToMaturity, ModifiedDuration). |
| Scenario | Quote shock (Absolute/Relative) applied before bootstrapping; segment-based target matching. |
| ScriptEngine | Compiles an EventStream into an evaluable product and prices it on a MarketModel. |
| Side | LongReceive / PayShort sign convention for trades and claims. |
| Strike | Absolute(K), Atm, Relative(spread) resolved against the forward. |
| Tape | Thread-local recorder of Dual operations; supports marks and rewinds between trades. |
| Vol surface / cube | Bilinear (expiry × strike) or trilinear (expiry × tenor × strike) interpolated implied volatilities. |