QuantLib: Class List

A free/open-source library for quantitative finance Reference manual - version 1.12

Class List
Here are the classes, structs, unions and interfaces with brief descriptions:
[detail level 123]

▶N QuantLib |
▶N detail |
C BlackStyleSwaptionEngine |
C ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation
C Root | Utility for the numerical time solver
C Abcd | Abcd interpolation factory and traits
C AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve
C AbcdFunction | Abcd functional form for instantaneous volatility
C AbcdInterpolation | Abcd interpolation between discrete points
C AbcdMathFunction | Abcd functional form
C AbcdVol | Abcd-interpolated volatility structure
C AccountingEngine | Engine collecting cash flows along a market-model simulation
C Actual360 | Actual/360 day count convention
C Actual365Fixed | Actual/365 (Fixed) day count convention
C Actual365NoLeap | Actual/365 (No Leap) day count convention
C ActualActual | Actual/Actual day count
C AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern
C AdditiveEQPBinomialTree | Additive equal probabilities binomial tree
C AffineHazardRate |
C AffineModel | Affine model class
C AliMikhailHaqCopula | Ali-Mikhail-Haq copula
C AmericanCondition | American exercise condition
C AmericanExercise | American exercise
C AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options
C AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options
C AmortizingCmsRateBond | Amortizing CMS-rate bond
C AmortizingFixedRateBond | Amortizing fixed-rate bond
C AmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored)
C AmortizingPayment | Amortizing payment
C AnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option
C AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae
C AnalyticBinaryBarrierEngine | Analytic pricing engine for American binary barriers options
C AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates
C AnalyticCapFloorEngine | Analytic engine for cap/floor
C AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae
C AnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae
C AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback
C AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback
C AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian
C AnalyticContinuousPartialFixedLookbackEngine | Pricing engine for European continuous partial-time fixed-strike lookback options
C AnalyticContinuousPartialFloatingLookbackEngine | Pricing engine for European continuous partial-time floating-strike lookback option
C AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff
C AnalyticDigitalAmericanKOEngine | Analytic pricing engine for American Knock-out options with digital payoff
C AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian
C AnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option
C AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends
C AnalyticDoubleBarrierBinaryEngine | Analytic pricing engine for double barrier binary options
C AnalyticDoubleBarrierEngine | Pricing engine for double barrier european options using analytical formulae
C AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae
C AnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option
C AnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine
C AnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation
C AnalyticHaganPricer | CMS-coupon pricer
C AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform
C AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates
C AnalyticPDFHestonEngine | Analytic engine for arbitrary European payoffs under the Heston model
C AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae
C AnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine
C AnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option
C AnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets
C AnalyticTwoAssetCorrelationEngine | Analytic two-asset correlation option engine
C AnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options
C AndreasenHugeVolatilityInterpl | Calibration of a local volatility surface to a sparse grid of options
C Aonia | Aonia index
C Argentina | Argentinian calendars
C ArithmeticAveragedOvernightIndexedCouponPricer |
C ArithmeticAverageOIS | Arithemtic Average OIS: fix vs arithmetic average of overnight rate
C ArithmeticOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
C ArmijoLineSearch | Armijo line search
C Array | 1-D array used in linear algebra
C ARSCurrency | Argentinian peso
C AssetOrNothingPayoff | Binary asset-or-nothing payoff
▶C AssetSwap | Bullet bond vs Libor swap
C arguments | Arguments for asset swap calculation
C results | Results from simple swap calculation
C ASX | Main cycle of the Australian Securities Exchange (a.k.a. ASX) months
C AtomicDefault | Atomic (single contractual event) default events
C ATSCurrency | Austrian shilling
C AUCPI | AU CPI index (either quarterly or annual)
C AUDCurrency | Australian dollar
C AUDLibor | AUD LIBOR rate
C Australia | Australian calendar
C AustraliaRegion | Australia as geographical/economic region
C Average | Placeholder for enumerated averaging types
C AverageBMACoupon | Average BMA coupon
C AverageBMALeg | Helper class building a sequence of average BMA coupons
C BachelierCapFloorEngine | Bachelier-Black-formula cap/floor engine
C BachelierSwaptionEngine | Normal Bachelier-formula swaption engine
C BachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons
C BackwardFlat | Backward-flat interpolation factory and traits
C BackwardFlatInterpolation | Backward-flat interpolation between discrete points
C BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987)
C Barrier | Placeholder for enumerated barrier types
▶C BarrierOption | Barrier option on a single asset
C arguments | Arguments for barrier option calculation
C engine | Barrier-option engine base class
C BaseCorrelationLossModel |
C BaseCorrelationTermStructure |
C Basket |
▶C BasketOption | Basket option on a number of assets
C engine | Basket-option engine base class
C BatesEngine | Bates model engines based on Fourier transform
C BatesModel | Bates stochastic-volatility model
C BatesProcess | Square-root stochastic-volatility Bates process
C Bbsw | Bbsw index
C Bbsw1M | 1-month Bbsw index
C Bbsw2M | 2-months Bbsw index
C Bbsw3M | 3-months Bbsw index
C Bbsw4M | 4-months Bbsw index
C Bbsw5M | 5-months Bbsw index
C Bbsw6M | 6-months Bbsw index
C BCHCurrency | Bitcoin Cash
C BDTCurrency | Bangladesh taka
C BEFCurrency | Belgian franc
C BermudanExercise | Bermudan exercise
C BernsteinPolynomial | Class of Bernstein polynomials
C BespokeCalendar | Bespoke calendar
C BFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm
C BGLCurrency | Bulgarian lev
C Bicubic | Bicubic-spline-interpolation factory
C BicubicSpline | Bicubic-spline interpolation between discrete points
C Bilinear | Bilinear-interpolation factory
C BilinearInterpolation | bilinear interpolation between discrete points
C BinomialBarrierEngine | Pricing engine for barrier options using binomial trees
C BinomialConvertibleEngine | Binomial Tsiveriotis-Fernandes engine for convertible bonds
C BinomialDistribution | Binomial probability distribution function
C BinomialDoubleBarrierEngine | Pricing engine for double barrier options using binomial trees
C BinomialLossModel |
C BinomialProbabilityOfAtLeastNEvents | Probability of at least N events
C BinomialTree | Binomial tree base class
C BinomialVanillaEngine | Pricing engine for vanilla options using binomial trees
C Bisection | Bisection 1-D solver
C BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function
C BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004)
C BivariateCumulativeStudentDistribution | Cumulative Student t-distribution
C BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993)
C Bkbm | Bkbm index
C Bkbm1M | 1-month Bkbm index
C Bkbm2M | 2-months Bkbm index
C Bkbm3M | 3-months Bkbm index
C Bkbm4M | 4-months Bkbm index
C Bkbm5M | 5-months Bkbm index
C Bkbm6M | 6-months Bkbm index
C BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve
C BlackCalculator | Black 1976 calculator class
C BlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine
C BlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine
C BlackCapFloorEngine | Black-formula cap/floor engine
C BlackCdsOptionEngine | Black-formula CDS-option engine
C BlackConstantVol | Constant Black volatility, no time-strike dependence
C BlackDeltaCalculator | Black delta calculator class
C BlackIborCouponPricer |
▶C BlackKarasinski | Standard Black-Karasinski model class
C Dynamics | Short-rate dynamics in the Black-Karasinski model
C BlackProcess | Black (1976) stochastic process
C BlackScholesCalculator | Black-Scholes 1973 calculator class
C BlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model
C BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process
C BlackScholesProcess | Black-Scholes (1973) stochastic process
C BlackSwaptionEngine | Shifted Lognormal Black-formula swaption engine
C BlackVarianceCurve | Black volatility curve modelled as variance curve
C BlackVarianceSurface | Black volatility surface modelled as variance surface
C BlackVarianceTermStructure | Black variance term structure
C BlackVolatilityTermStructure | Black-volatility term structure
C BlackVolSurface | Black volatility (smile) surface
C BlackVolTermStructure | Black-volatility term structure
C BlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons
C BMAIndex | Bond Market Association index
C BMASwap | Swap paying Libor against BMA coupons
C BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates
C Bond | Base bond class
C BondFunctions | Bond adapters of CashFlows functions
C BondHelper | Bond helper for curve bootstrap
C BootstrapError | Bootstrap error
C BootstrapHelper | Base helper class for bootstrapping
C Botswana | Botswana calendar
C BoundaryCondition | Abstract boundary condition class for finite difference problems
C BoundaryConstraint | Constraint imposing all arguments to be in [low,high]
C BoxMullerGaussianRng | Gaussian random number generator
C Brazil | Brazilian calendar
C Brent | Brent 1-D solver
C BRLCurrency | Brazilian real
C BrownianBridge | Builds Wiener process paths using Gaussian variates
C BSMOperator | Black-Scholes-Merton differential operator
C BSpline | B-spline basis functions
C BTCCurrency | Bitcoin
C BTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond
C Business252 | Business/252 day count convention
C BYRCurrency | Belarussian ruble
C CADCurrency | Canadian dollar
C CADLibor | CAD LIBOR rate
C CADLiborON | Overnight CAD Libor index
▶C Calendar | calendar class
C Impl | Abstract base class for calendar implementations
C OrthodoxImpl | Partial calendar implementation
C WesternImpl | Partial calendar implementation
C CalibratedModel | Calibrated model class
C CalibrationHelper | Liquid market instrument used during calibration
▶C Callability | instrument callability
C Price | Amount to be paid upon callability
▶C CallableBond | Callable bond base class
C engine | Base class for callable fixed rate bond engine
C results | Results for a callable bond calculation
C CallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence
C CallableBondVolatilityStructure | Callable-bond volatility structure
C CallableFixedRateBond | Callable/puttable fixed rate bond
C CallableZeroCouponBond | Callable/puttable zero coupon bond
C Canada | Canadian calendar
C Cap | Concrete cap class
▶C CapFloor | Base class for cap-like instruments
C arguments | Arguments for cap/floor calculation
C engine | Base class for cap/floor engines
C CapFloorTermVolatilityStructure | Cap/floor term-volatility structure
C CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector
C CapFloorTermVolSurface | Cap/floor smile volatility surface
C CapHelper | Calibration helper for ATM cap
C CappedFlooredCoupon | Capped and/or floored floating-rate coupon
C CappedFlooredYoYInflationCoupon | Capped or floored inflation coupon
C CapPseudoDerivative |
C CashFlow | Base class for cash flows
C CashFlows | cashflow-analysis functions
C CashOrNothingPayoff | Binary cash-or-nothing payoff
C CCTEU |
C CDO | Collateralized debt obligation
C Cdor | CDOR rate
C CdsHelper |
▶C CdsOption | CDS option
C arguments | Arguments for CDS-option calculation
C engine | Base class for swaption engines
C results | Results from CDS-option calculation
C CeilingTruncation | Ceiling truncation
C CHFCurrency | Swiss franc
C CHFLibor | CHF LIBOR rate
C ChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class
C China | Chinese calendar
C Claim | Claim associated to a default event
C ClaytonCopula | Clayton copula
C ClaytonCopulaRng | Clayton copula random-number generator
C CLGaussianRng | Gaussian random number generator
▶C CliquetOption | Cliquet (Ratchet) option
C arguments | Arguments for cliquet option calculation
C engine | Cliquet engine base class
C Clone | Cloning proxy to an underlying object
C ClosestRounding | Closest rounding
C CLPCurrency | Chilean peso
C CmsCoupon | CMS coupon class
C CmsCouponPricer | Base pricer for vanilla CMS coupons
C CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons
C CmsMarket | Set of CMS quotes
C CMSMMDriftCalculator | Drift computation for CMS market models
C CmsRateBond | CMS-rate bond
C CmsSpreadCoupon | CMS spread coupon class
C CmsSpreadCouponPricer | Base pricer for vanilla CMS spread coupons
C CmsSpreadLeg | Helper class building a sequence of capped/floored cms-spread-rate coupons
C CMSwapCurveState | Curve state for constant-maturity-swap market models
C CNYCurrency | Chinese yuan
C Collar | Concrete collar class
C Commodity | Commodity base class
C CommodityCurve | Commodity term structure
C CommodityIndex | Base class for commodity indexes
C CommodityPricingHelper | Commodity index helper
C CommoditySettings | Global repository for run-time library settings
C CommodityType | Commodity type
C Composite | Composite pattern
C CompositeConstraint | Constraint enforcing both given sub-constraints
C CompositeInstrument | Composite instrument
C CompositeQuote | Market element whose value depends on two other market element
▶C CompoundOption | Compound option on a single asset
C engine | Compound-option engine base class
C ConjugateGradient | Multi-dimensional Conjugate Gradient class
C ConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence
C ConstantCPIVolatility | Constant surface, no K or T dependence
C ConstantEstimator | Constant-estimator volatility model
C ConstantLossLatentmodel |
C ConstantLossModel |
C ConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence
C ConstantParameter | Standard constant parameter \( a(t) = a \)
C ConstantRecoveryModel |
C ConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence
C ConstantYoYOptionletVolatility | Constant surface, no K or T dependence
C ConstrainedEvolver | Constrained market-model evolver
▶C Constraint | Base constraint class
C Impl | Base class for constraint implementations
C ContinuousArithmeticAsianVecerEngine | Vecer engine for continuous-avaeraging Asian options
▶C ContinuousAveragingAsianOption | Continuous-averaging Asian option
C arguments | Extra arguments for single-asset continuous-average Asian option
C engine | Continuous-averaging Asian engine base class
▶C ContinuousFixedLookbackOption | Continuous-fixed lookback option
C arguments | Arguments for continuous fixed lookback option calculation
C engine | Continuous fixed lookback engine base class
▶C ContinuousFloatingLookbackOption | Continuous-floating lookback option
C arguments | Arguments for continuous floating lookback option calculation
C engine | Continuous floating lookback engine base class
▶C ContinuousPartialFixedLookbackOption | Continuous-partial-fixed lookback option
C arguments | Arguments for continuous partial fixed lookback option calculation
C engine | Continuous partial fixed lookback engine base class
▶C ContinuousPartialFloatingLookbackOption | Continuous-partial-floating lookback option
C arguments | Arguments for continuous partial floating lookback option calculation
C engine | Continuous partial floating lookback engine base class
C ConvergenceStatistics | Statistics class with convergence table
C ConvertibleBond | Base class for convertible bonds
C ConvertibleFixedCouponBond | Convertible fixed-coupon bond
C ConvertibleFloatingRateBond | Convertible floating-rate bond
C ConvertibleZeroCouponBond | Convertible zero-coupon bond
C ConvexMonotone | Convex-monotone interpolation factory and traits
C ConvexMonotoneInterpolation | Convex monotone yield-curve interpolation method
C COPCurrency | Colombian peso
C CorrelationTermStructure |
C COSHestonEngine | COS-method Heston engine based on efficient Fourier series expansions
C CostFunction | Cost function abstract class for optimization problem
C CoterminalSwapCurveState | Curve state for coterminal-swap market models
C CounterpartyAdjSwapEngine |
C Coupon | coupon accruing over a fixed period
C CovarianceDecomposition | Covariance decomposition into correlation and variances
▶C CoxIngersollRoss | Cox-Ingersoll-Ross model class
C Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model
C CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
C CPIBond |
C CPIBondHelper | CPI bond helper for curve bootstrap
C CPICapFloor | CPI cap or floor
C CPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity)
C CPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index
C CPICoupon | Coupon paying the performance of a CPI (zero inflation) index
C CPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
C CPILeg | Helper class building a sequence of capped/floored CPI coupons
▶C CPISwap | Zero-inflation-indexed swap,
C arguments | Arguments for swap calculation
C results | Results from swap calculation
C CPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
C CrankNicolson | Crank-Nicolson scheme for finite difference methods
C CreditDefaultSwap | Credit default swap
C CreditRiskPlus |
C Cubic | Cubic interpolation factory and traits
C CubicBSplinesFitting | CubicSpline B-splines fitting method
C CubicInterpolation | Cubic interpolation between discrete points
C CumulativeBehrensFisher | Cumulative (generalized) BehrensFisher distribution
C CumulativeBinomialDistribution | Cumulative binomial distribution function
C CumulativeNormalDistribution | Cumulative normal distribution function
C CumulativePoissonDistribution | Cumulative Poisson distribution function
C CumulativeStudentDistribution | Cumulative Student t-distribution
C CuriouslyRecurringTemplate | Support for the curiously recurring template pattern
C Currency | Currency specification
C Curve | Abstract curve class
C CurveState | Curve state for market-model simulations
C CustomRegion | Custom geographical/economic region
C CYPCurrency | Cyprus pound
C CzechRepublic | Czech calendars
C CZKCurrency | Czech koruna
C DailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes
C DailyTenorEURLibor | Base class for the one day deposit ICE EUR LIBOR indexes
C DailyTenorGBPLibor | Base class for the one day deposit ICE GBP LIBOR indexes
C DailyTenorJPYLibor | Base class for the one day deposit ICE JPY LIBOR indexes
C DailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
C DailyTenorUSDLibor | Base class for the one day deposit ICE USD LIBOR indexes
C DASHCurrency | Dash coin
C Date | Concrete date class
C DatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
C DateGeneration | Date-generation rule
C DateInterval | Date interval described by a number of a given time unit
▶C DayCounter | Day counter class
C Impl | Abstract base class for day counter implementations
C DefaultDensity | Default-density-curve traits
C DefaultDensityStructure | Default-density term structure
C DefaultEvent | Credit event on a bond of a certain seniority(ies)/currency
C DefaultLatentModel | Default event Latent Model
C DefaultLossModel |
C DefaultProbabilityTermStructure | Default probability term structure
C DefaultProbKey |
C DefaultType | Atomic credit-event type
C DeltaVolQuote | Class for the quotation of delta vs vol
C DEMCurrency | Deutsche mark
C Denmark | Danish calendar
C DepositRateHelper | Rate helper for bootstrapping over deposit rates
C DerivedQuote | Market quote whose value depends on another quote
C DifferentialEvolution | Differential Evolution configuration object
C DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option
C DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons
C DigitalCmsSpreadCoupon | Cms-spread-rate coupon with digital digital call/put option
C DigitalCmsSpreadLeg | Helper class building a sequence of digital ibor-rate coupons
C DigitalCoupon | Digital-payoff coupon
C DigitalIborCoupon | Ibor rate coupon with digital digital call/put option
C DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons
C DirichletBC | Neumann boundary condition (i.e., constant value)
C Discount | Discount-curve traits
C DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation
▶C DiscreteAveragingAsianOption | Discrete-averaging Asian option
C arguments | Extra arguments for single-asset discrete-average Asian option
C engine | Discrete-averaging Asian engine base class
C DiscreteTrapezoidIntegral |
C DiscretizedAsset | Discretized asset class used by numerical methods
C DiscretizedDermanKaniDoubleBarrierOption | Derman-Kani-Ergener-Bardhan discretized option helper class
C DiscretizedDiscountBond | Useful discretized discount bond asset
C DiscretizedDoubleBarrierOption | Standard discretized option helper class
C DiscretizedOption | Discretized option on a given asset
C Disposable | Generic disposable object with move semantics
C Dividend | Predetermined cash flow
▶C DividendBarrierOption | Single-asset barrier option with discrete dividends
C arguments | Arguments for dividend barrier option calculation
C engine | Dividend-barrier-option engine base class
▶C DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends
C arguments | Arguments for dividend vanilla option calculation
C engine | Dividend-vanilla-option engine base class
C DKKCurrency | Danish krone
C DKKLibor | DKK LIBOR rate
C DMinus | \( D_{-} \) matricial representation
C DoubleBarrier | Placeholder for enumerated barrier types
▶C DoubleBarrierOption | Double Barrier option on a single asset
C arguments | Arguments for double barrier option calculation
C engine | Double-Barrier-option engine base class
C DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs
C DownRounding | Down-rounding
C DPlus | \( D_{+} \) matricial representation
C DPlusDMinus | \( D_{+}D_{-} \) matricial representation
C DriftTermStructure | Drift term structure
C Duration | duration type
C DZero | \( D_{0} \) matricial representation
C earlier_than | Compare two objects by date
C EarlyExercise | Early-exercise base class
C EarlyExercisePathPricer | Base class for early exercise path pricers
C ECB | European Central Bank reserve maintenance dates
C EEKCurrency | Estonian kroon
C EndCriteria | Criteria to end optimization process:
C EndEulerDiscretization | Euler end-point discretization for stochastic processes
C EnergyBasisSwap | Energy basis swap
C EnergyCommodity | Energy commodity class
C EnergyFuture | Energy future
C EnergyVanillaSwap | Vanilla energy swap
C Eonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB
C EqualJumpsBinomialTree | Base class for equal jumps binomial tree
C EqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree
C EquityFXVolSurface | Equity/FX volatility (smile) surface
C Error | Base error class
C ErrorFunction | Error function
C ESPCurrency | Spanish peseta
C ETCCurrency | Ethereum Classic
C ETHCurrency | Ethereum
C EUHICP | EU HICP index
C EUHICPXT | EU HICPXT index
C EulerDiscretization | Euler discretization for stochastic processes
C EURCurrency | European Euro
C EURegion | European Union as geographical/economic region
C Euribor | Euribor index
C Euribor10M | 10-months Euribor index
C Euribor11M | 11-months Euribor index
C Euribor1M | 1-month Euribor index
C Euribor1Y | 1-year Euribor index
C Euribor2M | 2-months Euribor index
C Euribor2W | 2-weeks Euribor index
C Euribor365 | Actual/365 Euribor index
C Euribor365_10M | 10-months Euribor365 index
C Euribor365_11M | 11-months Euribor365 index
C Euribor365_1M | 1-month Euribor365 index
C Euribor365_1Y | 1-year Euribor365 index
C Euribor365_2M | 2-months Euribor365 index
C Euribor365_2W | 2-weeks Euribor365 index
C Euribor365_3M | 3-months Euribor365 index
C Euribor365_3W | 3-weeks Euribor365 index
C Euribor365_4M | 4-months Euribor365 index
C Euribor365_5M | 5-months Euribor365 index
C Euribor365_6M | 6-months Euribor365 index
C Euribor365_7M | 7-months Euribor365 index
C Euribor365_8M | 8-months Euribor365 index
C Euribor365_9M | 9-months Euribor365 index
C Euribor365_SW | 1-week Euribor365 index
C Euribor3M | 3-months Euribor index
C Euribor3W | 3-weeks Euribor index
C Euribor4M | 4-months Euribor index
C Euribor5M | 5-months Euribor index
C Euribor6M | 6-months Euribor index
C Euribor7M | 7-months Euribor index
C Euribor8M | 8-months Euribor index
C Euribor9M | 9-months Euribor index
C EuriborSW | 1-week Euribor index
C EuriborSwapIfrFix | EuriborSwapIfrFix index base class
C EuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class
C EuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class
C EURLibor | Base class for all ICE EUR LIBOR indexes but the O/N
C EURLibor10M | 10-months EUR Libor index
C EURLibor11M | 11-months EUR Libor index
C EURLibor1M | 1-month EUR Libor index
C EURLibor1Y | 1-year EUR Libor index
C EURLibor2M | 2-months EUR Libor index
C EURLibor2W | 2-weeks EUR Libor index
C EURLibor3M | 3-months EUR Libor index
C EURLibor4M | 4-months EUR Libor index
C EURLibor5M | 5-months EUR Libor index
C EURLibor6M | 6-months EUR Libor index
C EURLibor7M | 7-months EUR Libor index
C EURLibor8M | 8-months EUR Libor index
C EURLibor9M | 9-months EUR Libor index
C EURLiborON | Overnight EUR Libor index
C EURLiborSW | 1-week EUR Libor index
C EurLiborSwapIfrFix | EurLiborSwapIfrFix index base class
C EurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class
C EurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class
C EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation
C EuropeanExercise | European exercise
C EuropeanOption | European option on a single asset
C Event | Base class for event
C EvolutionDescription | Market-model evolution description
C ExchangeRate | Exchange rate between two currencies
C ExchangeRateManager | Exchange-rate repository
C Exercise | Base exercise class
C ExplicitEuler | Forward Euler scheme for finite difference methods
C ExponentialJump1dMesher |
C ExponentialSplinesFitting | Exponential-splines fitting method
C ExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree
C ExtendedBinomialTree | Binomial tree base class
C ExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process
C ExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve
C ExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface
▶C ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class
C Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model
C FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C ExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
C ExtendedEqualJumpsBinomialTree | Base class for equal jumps binomial tree
C ExtendedEqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree
C ExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
C ExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach
C ExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class
C ExtendedTian | Tian tree: third moment matching, multiplicative approach
C ExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree
C ExtOUWithJumpsProcess |
C Extrapolator | Base class for classes possibly allowing extrapolation
C FaceValueAccrualClaim | Claim on the notional of a reference security, including accrual
C FaceValueClaim | Claim on a notional
C Factorial | Factorial numbers calculator
C FactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates
C FailureToPay | Failure to Pay atomic event type
C FalsePosition | False position 1-D solver
C FarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula
C FarlieGumbelMorgensternCopulaRng | Farlie-Gumbel-Morgenstern copula random-number generator
C FastFourierTransform | FFT implementation
C FaureRsg | Faure low-discrepancy sequence generator
C Fd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine
C FDAmericanEngine | Finite-differences pricing engine for American one asset options
C FdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine
C FDBermudanEngine | Finite-differences Bermudan engine
C FdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine
C FdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine
C FDDividendAmericanEngine | Finite-differences pricing engine for dividend American options
C FDDividendEngineBase | Abstract base class for dividend engines
C FDDividendEngineMerton73 | Finite-differences pricing engine for dividend options using escowed dividends model
C FDDividendEngineShiftScale | Finite-differences engine for dividend options using shifted dividends
C FDDividendEuropeanEngine | Finite-differences pricing engine for dividend European options
C FDDividendShoutEngine | Finite-differences shout engine with dividends
C FDEuropeanEngine | Pricing engine for European options using finite-differences
C FdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine
C FdHestonDoubleBarrierEngine | Finite-Differences Heston Double Barrier Option engine
C FdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine
C FdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine
C FdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine
C FdmExtOUJumpOp |
C FdmKlugeExtOUOp |
C FDShoutEngine | Finite-differences pricing engine for shout vanilla options
C FDStepConditionEngine | Finite-differences pricing engine for American-style vanilla options
C FDVanillaEngine | Finite-differences pricing engine for BSM one asset options
C FedFunds | Fed Funds rate fixed by the FED
C FFTEngine | Base class for FFT pricing engines for European vanilla options
C FFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process
C FFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process
C FilonIntegral | Integral of a one-dimensional function
C FIMCurrency | Finnish markka
C FiniteDifferenceModel | Generic finite difference model
C FiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives
C Finland | Finnish calendar
▶C FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds
C FittingMethod | Base fitting method used to construct a fitted bond discount curve
C FixedDividend | Predetermined cash flow
C FixedRateBond | Fixed-rate bond
C FixedRateBondForward | Forward contract on a fixed-rate bond
C FixedRateBondHelper | Fixed-coupon bond helper for curve bootstrap
C FixedRateCoupon | Coupon paying a fixed interest rate
C FixedRateLeg | Helper class building a sequence of fixed rate coupons
C FlatForward | Flat interest-rate curve
C FlatHazardRate | Flat hazard-rate curve
▶C FloatFloatSwap | Float float swap
C arguments | Arguments for float float swap calculation
C results | Results from float float swap calculation
▶C FloatFloatSwaption | Floatfloat swaption class
C arguments | Arguments for cms swaption calculation
C engine | Base class for cms swaption engines
C FloatingCatBond | Floating-rate cat bond (possibly capped and/or floored)
C FloatingRateBond | Floating-rate bond (possibly capped and/or floored)
C FloatingRateCoupon | Base floating-rate coupon class
C FloatingRateCouponPricer | Generic pricer for floating-rate coupons
C FloatingTypePayoff | Payoff based on a floating strike
C Floor | Concrete floor class
C FloorTruncation | Floor truncation
C FordeHestonExpansion |
C Forward | Abstract base forward class
C ForwardFlat | Forward-flat interpolation factory and traits
C ForwardFlatInterpolation | Forward-flat interpolation between discrete points
C ForwardMeasureProcess | Forward-measure stochastic process
C ForwardMeasureProcess1D | Forward-measure 1-D stochastic process
C ForwardOptionArguments | Arguments for forward (strike-resetting) option calculation
C ForwardPerformanceVanillaEngine | Forward performance engine for vanilla options
C ForwardRate | Forward-curve traits
C ForwardRateStructure | Forward-rate term structure
C ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate
C ForwardSwapQuote | Quote for a forward starting swap
C ForwardTypePayoff | Class for forward type payoffs
C ForwardValueQuote | quote for the forward value of an index
C ForwardVanillaEngine | Forward engine for vanilla options
C ForwardVanillaOption | Forward version of a vanilla option
C FractionalDividend | Predetermined cash flow
C FranceRegion | France as geographical/economic region
C FrankCopula | Frank copula
C FrankCopulaRng | Frank copula random-number generator
C FraRateHelper | Rate helper for bootstrapping over FRA rates
C FRFCurrency | French franc
C FRHICP | FR HICP index
C FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index
C FuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices
C FxSwapRateHelper | Rate helper for bootstrapping over Fx Swap rates
▶C G2 | Two-additive-factor gaussian model class
C FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C G2ForwardProcess | Forward G2 stochastic process
C G2Process | G2 stochastic process
C G2SwaptionEngine | Swaption priced by means of the Black formula
C GalambosCopula | Galambos copula
C GammaFunction | Gamma function class
C GapPayoff | Binary gap payoff
C Garch11 | GARCH volatility model
C GarmanKlassAbstract | Garman-Klass volatility model
C GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process
C GaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind)
C GaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind)
C GaussChebyshevIntegration | Gauss-Chebyshev integration
C GaussChebyshevPolynomial | Gauss-Chebyshev polynomial
C GaussGegenbauerIntegration | Gauss-Gegenbauer integration
C GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial
C GaussHermiteIntegration | Generalized Gauss-Hermite integration
C GaussHermitePolynomial | Gauss-Hermite polynomial
C GaussHyperbolicIntegration | Gauss-Hyperbolic integration
C GaussHyperbolicPolynomial | Gauss hyperbolic polynomial
C Gaussian1dCapFloorEngine | Gaussian1d cap/floor engine
C Gaussian1dFloatFloatSwaptionEngine | One factor model float float swaption engine
C Gaussian1dJamshidianSwaptionEngine | Jamshidian swaption engine
C Gaussian1dModel |
C Gaussian1dNonstandardSwaptionEngine | One factor model non standard swaption engine
C Gaussian1dSmileSection |
C Gaussian1dSwaptionEngine | One factor model swaption engine
C GaussianCopula | Gaussian copula
C GaussianCopulaPolicy |
C GaussianKernel | Gaussian kernel function
C GaussianLHPLossModel |
C GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures
C GaussianQuadMultidimIntegrator | Integrates a vector or scalar function of vector domain
C GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method
C GaussianRandomDefaultModel |
C GaussJacobiIntegration | Gauss-Jacobi integration
C GaussJacobiPolynomial | Gauss-Jacobi polynomial
C GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
C GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
C GaussLaguerreIntegration | Generalized Gauss-Laguerre integration
C GaussLaguerrePolynomial | Gauss-Laguerre polynomial
C GaussLegendreIntegration | Gauss-Legendre integration
C GaussLegendrePolynomial | Gauss-Legendre polynomial
C GaussLobattoIntegral | Integral of a one-dimensional function
C GaussNonCentralChiSquaredPolynomial | Gauss polynomial for the non central chi squared distribution
C GBPCurrency | British pound sterling
C GBPLibor | GBP LIBOR rate
C GBPLiborON | Overnight GBP Libor index
C GbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class
C GemanRoncoroniProcess | Geman-Roncoroni process class
C GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process
▶C GeneralizedHullWhite | Generalized Hull-White model class
C Dynamics | Short-rate dynamics in the generalized Hull-White model
C FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C GeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class
C GeneralLinearLeastSquares | General linear least squares regression
C GeneralStatistics | Statistics tool
C GenericCPI | Generic CPI index
C GenericEngine | Template base class for option pricing engines
C GenericGaussianStatistics | Statistics tool for gaussian-assumption risk measures
C GenericModelEngine | Base class for some pricing engine on a particular model
C GenericRegion | Generic geographical/economic region
C GenericRiskStatistics | Empirical-distribution risk measures
C GenericSequenceStatistics | Statistics analysis of N-dimensional (sequence) data
C GeometricBrownianMotionProcess | Geometric brownian-motion process
C Germany | German calendars
C GJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset
C GJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process
C GMRESResult |
C GRDCurrency | Greek drachma
C Greeks | Additional option results
C Gsr | One factor gsr model, formulation is in forward measure
C GsrProcess | GSR stochastic process
C GumbelCopula | Gumbel copula
C HaganIrregularSwaptionEngine | Pricing engine for irregular swaptions
C HaganPricer | CMS-coupon pricer
C HaltonRsg | Halton low-discrepancy sequence generator
C Handle | Shared handle to an observable
C HazardRate | Hazard-rate-curve traits
C HazardRateStructure | Hazard-rate term structure
C HestonExpansion |
C HestonExpansionEngine | Heston-model engine for European options based on analytic expansions
C HestonModel | Heston model for the stochastic volatility of an asset
C HestonModelHelper | Calibration helper for Heston model
C HestonProcess | Square-root stochastic-volatility Heston process
C HestonRNDCalculator | Risk neutral terminal probability density for the Heston model
C HestonSLVMCModel |
C HimalayaOption | Himalaya option
C Histogram | Histogram class
C HistoricalForwardRatesAnalysisImpl | Historical correlation class
C HistoricalRatesAnalysis | Historical rate analysis class
C HKDCurrency | Hong Kong dollar
C HomogeneousPoolLossModel | Default loss distribution convolution for finite homogeneous pool
C HongKong | Hong Kong calendars
C HUFCurrency | Hungarian forint
▶C HullWhite | Single-factor Hull-White (extended Vasicek) model class
C Dynamics | Short-rate dynamics in the Hull-White model
C FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C HullWhiteForwardProcess | Forward Hull-White stochastic process
C HullWhiteProcess | Hull-White stochastic process
C Hungary | Hungarian calendar
C HuslerReissCopula | Husler-Reiss copula
C HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process
C HybridSimulatedAnnealing |
C IborCoupon | Coupon paying a Libor-type index
C IborCouponPricer | Base pricer for capped/floored Ibor coupons
C IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
C IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons
C Iceland | Icelandic calendars
C IDRCurrency | Indonesian Rupiah
C IEPCurrency | Irish punt
C ILSCurrency | Israeli shekel
C IMM | Main cycle of the International Money Market (a.k.a. IMM) months
C ImplicitEuler | Backward Euler scheme for finite difference methods
C ImpliedStdDevQuote | quote for the implied standard deviation of an underlying
C ImpliedTermStructure | Implied term structure at a given date in the future
C ImpliedVolTermStructure | Implied vol term structure at a given date in the future
C IncrementalStatistics | Statistics tool based on incremental accumulation
C IndependentCopula | Independent copula
C Index | Purely virtual base class for indexes
C IndexedCashFlow | Cash flow dependent on an index ratio
C IndexManager | Global repository for past index fixings
C India | Indian calendars
C Indonesia | Indonesian calendars
C InflationCoupon | Base inflation-coupon class
C InflationCouponPricer | Base inflation-coupon pricer
C InflationIndex | Base class for inflation-rate indexes,
C InflationTermStructure | Interface for inflation term structures
C InhomogeneousPoolLossModel | Default loss distribution convolution for finite non homogeneous pool
C INRCurrency | Indian rupee
C Instrument | Abstract instrument class
C IntegralEngine | Pricing engine for European vanilla options using integral approach
C IntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine
C InterestRate | Concrete interest rate class
C InterestRateIndex | Base class for interest rate indexes
C InterestRateVolSurface | Interest rate volatility (smile) surface
C InterpolatedAffineHazardRateCurve |
C InterpolatedCurve | Helper class to build interpolated term structures
C InterpolatedDefaultDensityCurve | DefaultProbabilityTermStructure based on interpolation of default densities
C InterpolatedDiscountCurve | YieldTermStructure based on interpolation of discount factors
C InterpolatedForwardCurve | YieldTermStructure based on interpolation of forward rates
C InterpolatedHazardRateCurve | DefaultProbabilityTermStructure based on interpolation of hazard rates
C InterpolatedPiecewiseZeroSpreadedTermStructure | Yield curve with an added vector of spreads on the zero-yield rate
C InterpolatedSurvivalProbabilityCurve | DefaultProbabilityTermStructure based on interpolation of survival probabilities
C InterpolatedYoYInflationCurve | Inflation term structure based on interpolated year-on-year rates
C InterpolatedYoYOptionletStripper |
C InterpolatedYoYOptionletVolatilityCurve | Interpolated flat smile surface
C InterpolatedZeroCurve | YieldTermStructure based on interpolation of zero rates
C InterpolatedZeroInflationCurve | Inflation term structure based on the interpolation of zero rates
C InterpolatingCPICapFloorEngine |
▶C Interpolation | Base class for 1-D interpolations
C Impl | Abstract base class for interpolation implementations
C templateImpl | Basic template implementation
▶C Interpolation2D | Base class for 2-D interpolations
C Impl | Abstract base class for 2-D interpolation implementations
C templateImpl | Basic template implementation
C IntervalPrice | Interval price
C InverseCumulativeBehrensFisher | Inverse of the cumulative of the convolution of odd-T distributions
C InverseCumulativeNormal | Inverse cumulative normal distribution function
C InverseCumulativePoisson | Inverse cumulative Poisson distribution function
C InverseCumulativeRng | Inverse cumulative random number generator
C InverseCumulativeRsg | Inverse cumulative random sequence generator
C InverseCumulativeStudent | Inverse cumulative Student t-distribution
C IQDCurrency | Iraqi dinar
C IRRCurrency | Iranian rial
C IrregularSettlement | settlement information
▶C IrregularSwap | Irregular swap: fixed vs floating leg
C arguments | Arguments for irregular-swap calculation
C results | Results from irregular-swap calculation
▶C IrregularSwaption | Irregular Swaption class
C arguments | Arguments for irregular-swaption calculation
C engine | Base class for irregular-swaption engines
C IsdaCdsEngine |
C ISKCurrency | Icelandic krona
C IsotropicRandomWalk | Isotropic random walk
C Israel | Israel calendar
C Italy | Italian calendars
C IterativeBootstrap | Universal piecewise-term-structure boostrapper
C ITLCurrency | Italian lira
C JamshidianSwaptionEngine | Jamshidian swaption engine
C Japan | Japanese calendar
C JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
C Jibar | JIBAR rate
C JointCalendar | Joint calendar
C JPYCurrency | Japanese yen
C JPYLibor | JPY LIBOR rate
C JpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class
C JpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class
C JumpDiffusionEngine | Jump-diffusion engine for vanilla options
C JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation
C KernelFunction |
C KernelInterpolation | Kernel interpolation between discrete points
C KernelInterpolation2D |
C KInterpolatedYoYOptionletVolatilitySurface | K-interpolated YoY optionlet volatility
C KirkEngine | Pricing engine for spread option on two futures
C KirkSpreadOptionEngine | Kirk approximation for European spread option on futures
C KlugeExtOUProcess |
C KnuthUniformRng | Uniform random number generator
C KRWCurrency | South-Korean won
C KWDCurrency | Kuwaiti dinar
C LastFixingQuote | Quote adapter for the last fixing available of a given Index
▶C LatentModel | Generic multifactor latent variable model
C FactorSampler |
C Lattice | Lattice (tree, finite-differences) base class
C LatticeShortRateModelEngine | Engine for a short-rate model specialized on a lattice
C LazyObject | Framework for calculation on demand and result caching
C LeastSquareFunction | Cost function for least-square problems
C LeastSquareProblem | Base class for least square problem
C LecuyerUniformRng | Uniform random number generator
C LeisenReimer | Leisen & Reimer tree: multiplicative approach
C LevenbergMarquardt | Levenberg-Marquardt optimization method
C LexicographicalView | Lexicographical 2-D view of a contiguous set of data
C LfmCovarianceParameterization | Libor market model parameterization
C LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization
C LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper
C LfmSwaptionEngine | Libor forward model swaption engine based on Black formula
C Libor | Base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
C LiborForwardModel | Libor forward model
C LiborForwardModelProcess | Libor-forward-model process
C Linear | Linear-interpolation factory and traits
C LinearInterpolation | Linear interpolation between discrete points
C LinearTsrPricer | CMS-coupon pricer
C LineSearch | Base class for line search
C LmConstWrapperVolatilityModel | Caplet const volatility model
C LmCorrelationModel | libor forward correlation model
C LmExponentialCorrelationModel | Exponential correlation model
C LmExtLinearExponentialVolModel | Extended linear exponential volatility model
C LmLinearExponentialCorrelationModel | linear exponential correlation model
C LmLinearExponentialVolatilityModel | linear exponential volatility model
C LMMCurveState | Curve state for Libor market models
C LMMDriftCalculator | Drift computation for log-normal Libor market models
C LMMNormalDriftCalculator | Drift computation for normal Libor market models
C LmVolatilityModel | Caplet volatility model
C LocalBootstrap | Localised-term-structure bootstrapper for most curve types
C LocalConstantVol | Constant local volatility, no time-strike dependence
C LocalVolCurve | Local volatility curve derived from a Black curve
C LocalVolSurface | Local volatility surface derived from a Black vol surface
C LocalVolTermStructure |
C LogCubic | Log-cubic interpolation factory and traits
C LogCubicInterpolation | log-cubic interpolation between discrete points
C LogLinear | Log-linear interpolation factory and traits
C LogLinearInterpolation | log-linear interpolation between discrete points
C LogMixedLinearCubic | Log-cubic interpolation factory and traits
C LogMixedLinearCubicInterpolation | log-mixedlinearcubic interpolation between discrete points
C LognormalCmsSpreadPricer | CMS spread - coupon pricer
C LogNormalCmSwapRatePc | Predictor-Corrector
C LogNormalCotSwapRatePc | Predictor-Corrector
C LogNormalFwdRateBalland | Iterative Predictor-Corrector
C LogNormalFwdRateEuler | Euler
C LogNormalFwdRateEulerConstrained | Euler stepping
C LogNormalFwdRateiBalland | Iterative Predictor-Corrector
C LogNormalFwdRateIpc | Iterative Predictor-Corrector
C LogNormalFwdRatePc | Predictor-Corrector
C LongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options
C LongstaffSchwartzPathPricer | Longstaff-Schwarz path pricer for early exercise options
C LossDist | Probability formulas and algorithms
C LossDistBinomial | Binomial loss distribution
C LossDistBucketing | Loss distribution with Hull-White bucketing
C LossDistHomogeneous | Loss Distribution for Homogeneous Pool
C LossDistMonteCarlo | Loss distribution with Monte Carlo simulation
C LPP2HestonExpansion |
C LPP3HestonExpansion |
C LTCCurrency | Litecoin
C LTLCurrency | Lithuanian litas
C LUFCurrency | Luxembourg franc
C LVLCurrency | Latvian lat
C MaddockCumulativeNormal | Maddock's cumulative normal distribution class
C MaddockInverseCumulativeNormal | Maddock's Inverse cumulative normal distribution class
C MakeArithmeticAverageOIS | Helper class
C MakeCapFloor | Helper class
C MakeCms | Helper class for instantiating CMS
C MakeCreditDefaultSwap | Helper class
C MakeMCAmericanBasketEngine | Monte Carlo American basket-option engine factory
C MakeMCAmericanEngine | Monte Carlo American engine factory
C MakeMCAmericanPathEngine | Monte Carlo American basket-option engine factory
C MakeMCBarrierEngine | Monte Carlo barrier-option engine factory
C MakeMCDigitalEngine | Monte Carlo digital engine factory
C MakeMCEuropeanBasketEngine | Monte Carlo basket-option engine factory
C MakeMCEuropeanEngine | Monte Carlo European engine factory
C MakeMCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH European engine factory
C MakeMCEuropeanHestonEngine | Monte Carlo Heston European engine factory
C MakeMCEverestEngine | Monte Carlo Everest-option engine factory
C MakeMCHestonHullWhiteEngine | Monte Carlo Heston/Hull-White engine factory
C MakeMCHimalayaEngine | Monte Carlo Himalaya-option engine factory
C MakeMCHullWhiteCapFloorEngine | Monte Carlo Hull-White cap-floor engine factory
C MakeMCPagodaEngine | Monte Carlo pagoda-option engine factory
C MakeMCPathBasketEngine | Monte Carlo Path Basket engine factory
C MakeMCPerformanceEngine | Monte Carlo performance-option engine factory
C MakeMCVarianceSwapEngine | Monte Carlo variance-swap engine factory
C MakeOIS | Helper class
C MakeSchedule | Helper class
C MakeSwaption | Helper class
C MakeVanillaSwap | Helper class
C MakeYoYInflationCapFloor | Helper class
▶C MargrabeOption | Margrabe option on two assets
C arguments | Extra arguments for Margrabe option
C engine | Margrabe option engine base class
C results | Extra results for Margrabe option
C MarketModel | Base class for market models
C MarketModelCashRebate |
C MarketModelComposite | Composition of two or more market-model products
C MarketModelEvolver | Market-model evolver
C MarketModelFactory | Base class for market-model factories
C MarketModelMultiProduct | Market-model product
C MarketModelPathwiseCashRebate |
C MarketModelPathwiseCoterminalSwaptionsDeflated |
C MarketModelPathwiseCoterminalSwaptionsNumericalDeflated |
C MarketModelPathwiseDiscounter |
C MarketModelPathwiseInverseFloater |
C MarketModelPathwiseMultiCaplet | Market-model pathwise caplet
C MarketModelPathwiseMultiDeflatedCap |
C MarketModelPathwiseMultiProduct | Market-model pathwise product
C MarketModelPathwiseSwap |
C MarketModelVolProcess |
C MarkovFunctional |
C MarshallOlkinCopula | Marshall-Olkin copula
C Matrix | Matrix used in linear algebra
C MaxCopula | Max copula
C MCAmericanBasketEngine | Least-square Monte Carlo engine
C MCAmericanEngine | American Monte Carlo engine
C MCAmericanPathEngine | Least-square Monte Carlo engine
C MCBarrierEngine | Pricing engine for barrier options using Monte Carlo simulation
C MCDigitalEngine | Pricing engine for digital options using Monte Carlo simulation
C MCDiscreteArithmeticAPEngine | Monte Carlo pricing engine for discrete arithmetic average price Asian
C MCDiscreteArithmeticASEngine | Monte Carlo pricing engine for discrete arithmetic average-strike Asian
C MCDiscreteAveragingAsianEngine | Pricing engine for discrete average Asians using Monte Carlo simulation
C MCDiscreteGeometricAPEngine | Monte Carlo pricing engine for discrete geometric average price Asian
C MCEuropeanBasketEngine | Pricing engine for European basket options using Monte Carlo simulation
C MCEuropeanEngine | European option pricing engine using Monte Carlo simulation
C MCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH-model engine for European options
C MCEuropeanHestonEngine | Monte Carlo Heston-model engine for European options
C MCHullWhiteCapFloorEngine | Monte Carlo Hull-White engine for cap/floors
C MCLongstaffSchwartzEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options
C MCLongstaffSchwartzPathEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options
C MCPagodaEngine | Pricing engine for pagoda options using Monte Carlo simulation
C MCPathBasketEngine | Pricing engine for path dependent basket options using
C MCPerformanceEngine | Pricing engine for performance options using Monte Carlo simulation
C McSimulation | Base class for Monte Carlo engines
C MCVanillaEngine | Pricing engine for vanilla options using Monte Carlo simulation
C MCVarianceSwapEngine | Variance-swap pricing engine using Monte Carlo simulation,
C MeanRevertingPricer |
C MersenneTwisterUniformRng | Uniform random number generator
C Merton76Process | Merton-76 jump-diffusion process
C Mexico | Mexican calendars
C MfStateProcess | Markov functional state process class
C MidPointCDOEngine | CDO base engine taking schedule steps
C MinCopula | Min copula
C MixedLinearCubic | Mixed linear/cubic interpolation factory and traits
C MixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points
C MixedScheme | Mixed (explicit/implicit) scheme for finite difference methods
C ModifiedCraigSneydScheme | Modified Craig-Sneyd scheme
C Money | Amount of cash
C MonteCarloModel | General-purpose Monte Carlo model for path samples
C MoreGreeks | More additional option results
C MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class
C MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations
C MTLCurrency | Maltese lira
▶C MultiAssetOption | Base class for options on multiple assets
C results | Results from multi-asset option calculation
C MultiCubicSpline | N-dimensional cubic spline interpolation between discrete points
C MultiCurveSensitivities | Multi curve sensitivities
C MultidimIntegral | Integrates a vector or scalar function of vector domain
C MultiPath | Correlated multiple asset paths
C MultiPathGenerator | Generates a multipath from a random number generator
C MultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc)
C MultiProductComposite | Composition of one or more market-model products
C MultiProductMultiStep | Multiple-step market-model product
C MultiProductOneStep | Single-step market-model product
C MultiProductPathwiseWrapper |
C MultiStepSwaption |
C MultiVariate | Default Monte Carlo traits for multi-variate models
C MXNCurrency | Mexican peso
C MYRCurrency | Malaysian Ringgit
C NelsonSiegelFitting | Nelson-Siegel fitting method
C NeumannBC | Neumann boundary condition (i.e., constant derivative)
C Newton | Newton 1-D solver
C NewtonSafe | Safe Newton 1-D solver
C NewZealand | New Zealand calendar
C NLGCurrency | Dutch guilder
C NoArbSabr | No arbtrage sabr interpolation factory and traits
C NoArbSabrInterpolation | No arbitrage sabr smile interpolation between discrete volatility points
C NoConstraint | No constraint
C NOKCurrency | Norwegian krone
C NonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i
C NonLinearLeastSquare | Non-linear least-square method
▶C NonstandardSwap | Nonstandard swap
C arguments | Arguments for nonstandard swap calculation
C results | Results from nonstandard swap calculation
▶C NonstandardSwaption | Nonstandard swaption class
C arguments | Arguments for nonstandard swaption calculation
C engine | Base class for nonstandard swaption engines
C NormalDistribution | Normal distribution function
C NormalFwdRatePc | Predictor-Corrector
C NorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt
C Norway | Norwegian calendar
C NPRCurrency | Nepal rupee
▶C NthToDefault | N-th to default swap
C engine | NTD base engine
C Null | Template class providing a null value for a given type
C Null< Array > | Specialization of null template for this class
C Null< Date > | Specialization of Null template for the Date class
C NullCalendar | Calendar for reproducing theoretical calculations
C NullCondition | null step condition
C NullParameter | Parameter which is always zero \( a(t) = 0 \)
C NullPayoff | Dummy payoff class
C NumericalDifferentiation | Numerical Differentiation on arbitrarily spaced grids
C NumericHaganPricer | CMS-coupon pricer
C NZDCurrency | New Zealand dollar
C NZDLibor | NZD LIBOR rate
C Nzocr | Nzocr index
C Observable | Object that notifies its changes to a set of observers
C ObservableSettings | Global repository for run-time library settings
C ObservableValue | observable and assignable proxy to concrete value
C Observer | Object that gets notified when a given observable changes
C OISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
▶C OneAssetOption | Base class for options on a single asset
C results | Results from single-asset option calculation
C OneDayCounter | 1/1 day count convention
C OneFactorAffineModel | Single-factor affine base class
C OneFactorAffineSurvivalStructure |
C OneFactorCopula | Abstract base class for one-factor copula models
C OneFactorGaussianCopula | One-factor Gaussian Copula
C OneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula
▶C OneFactorModel | Single-factor short-rate model abstract class
C ShortRateDynamics | Base class describing the short-rate dynamics
C ShortRateTree | Recombining trinomial tree discretizing the state variable
C OneFactorStudentCopula | One-factor Double Student t-Copula
C OneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula
C OperatorFactory | Black-Scholes-Merton differential operator
C OptimizationMethod | Abstract class for constrained optimization method
▶C Option | Base option class
C arguments | Basic option arguments
C OptionletStripper |
C OptionletStripper1 |
C OptionletStripper2 |
C OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure
C OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class
C OrthogonalizedBumpFinder |
C OrthogonalProjections |
C OvernightIndexedCoupon | Overnight coupon
C OvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate
C OvernightIndexedSwapIndex | Base class for overnight indexed swap indexes
C OvernightLeg | Helper class building a sequence of overnight coupons
▶C PagodaOption | Roofed Asian option on a number of assets
C engine | Pagoda-option engine base class
▶C Parameter | Base class for model arguments
C Impl | Base class for model parameter implementation
C PascalTriangle | Pascal triangle coefficients calculator
C Path | Single-factor random walk
C PathGenerator | Generates random paths using a sequence generator
▶C PathMultiAssetOption | Base class for path-dependent options on multiple assets
C arguments | Arguments for multi-asset option calculation
C results | Results from multi-asset option calculation
C PathPayoff | Abstract base class for path-dependent option payoffs
C PathPricer | Base class for path pricers
C PathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas
C PathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
C PathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
C Payoff | Abstract base class for option payoffs
C PEHCurrency | Peruvian sol
C PEICurrency | Peruvian inti
C PENCurrency | Peruvian nuevo sol
C PercentageStrikePayoff | Payoff with strike expressed as percentage
C Period |
C PerturbativeBarrierOptionEngine | Perturbative barrier-option engine
C PiecewiseConstantParameter | Piecewise-constant parameter
C PiecewiseDefaultCurve | Piecewise default-probability term structure
C PiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model
C PiecewiseYieldCurve | Piecewise yield term structure
C PiecewiseYoYInflationCurve | Piecewise year-on-year inflation term structure
C PiecewiseYoYOptionletVolatilityCurve | Piecewise year-on-year inflation volatility term structure
C PiecewiseZeroInflationCurve | Piecewise zero-inflation term structure
C PKRCurrency | Pakistani rupee
C PlackettCopula | Plackett copula
C PlainVanillaPayoff | Plain-vanilla payoff
C PLNCurrency | Polish zloty
C PoissonDistribution | Poisson distribution function
C Poland | Polish calendar
C PolarStudentTRng | Student t random number generator
C Polynomial | Polynomial2D-spline-interpolation factory
C Polynomial2DSpline | Polynomial2D-spline interpolation between discrete points
C PolynomialFunction | Cubic functional form
C PositiveConstraint | Constraint imposing positivity to all arguments
C PricingEngine | Interface for pricing engines
C PricingPeriod | Time pricingperiod described by a number of a given time unit
C PrimeNumbers | Prime numbers calculator
C ProbabilityAlwaysDownhill | Always Downhill Probability
C ProbabilityBoltzmann | Boltzmann Probability
C ProbabilityBoltzmannDownhill | Boltzmann Downhill Probability
C ProbabilityOfAtLeastNEvents | Probability of at least N events
C ProbabilityOfNEvents | Probability of N events
C Problem | Constrained optimization problem
C ProjectedCostFunction | Parameterized cost function
C Protection | Information on a default-protection contract
C ProxyIbor | IborIndex calculated as proxy of some other IborIndex
C PTECurrency | Portuguese escudo
C Quantity | Amount of a commodity
C QuantoBarrierOption | Quanto version of a barrier option
C QuantoDoubleBarrierOption | Quanto version of a double barrier option
C QuantoEngine | Quanto engine
C QuantoForwardVanillaOption | Quanto version of a forward vanilla option
C QuantoOptionResults | Results from quanto option calculation
C QuantoTermStructure | Quanto term structure
C QuantoVanillaOption | Quanto version of a vanilla option
C Quote | Purely virtual base class for market observables
C RandomDefaultLM |
C RandomDefaultModel | Base class for random default models
C RandomizedLDS | Randomized (random shift) low-discrepancy sequence
C RandomLM |
C RandomLossLM |
C RandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator
C RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons
C Ranlux3UniformRng | Uniform random number generator
C RatchetMaxPayoff | RatchetMax payoff (double option)
C RatchetMinPayoff | RatchetMin payoff (double option)
C RatchetPayoff | Ratchet payoff (single option)
C ReannealingFiniteDifferences | Reannealing Finite Difference
C ReannealingTrivial | Reannealing Trivial
C RebatedExercise | Rebated exercise
C RecoveryRateModel |
C RecoveryRateQuote | Stores a recovery rate market quote and the associated seniority
C RecursiveLossModel |
C Redemption | Bond redemption
C Region | Region class, used for inflation applicability
C RelativeDateBootstrapHelper | Bootstrap helper with date schedule relative to global evaluation date
C RelinkableHandle | Relinkable handle to an observable
C RendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter
C RendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter
C ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost,
C Replication | Digital option replication strategy
C Restructuring | Restructuring type
C RichardsonExtrapolation | Richardson Extrapolation
C Ridder | Ridder 1-D solver
C RiskyAssetSwap | Risky asset-swap instrument
C RiskyAssetSwapOption | Option on risky asset swap
C RiskyBond |
C RiskyFixedBond |
C RiskyFloatingBond |
C ROLCurrency | Romanian leu
C Romania | Romanian calendars
C RONCurrency | Romanian new leu
C Rounding | Basic rounding class
C RUBCurrency | Russian ruble
C Russia | Russian calendars
C SABR | SABR interpolation factory and traits
C SABRInterpolation | SABR smile interpolation between discrete volatility points
C SabrVolSurface | SABR volatility (smile) surface
C SaddlePointLossModel | Saddle point portfolio credit default loss model
C SalvagingAlgorithm | Algorithm used for matricial pseudo square root
C Sample | Weighted sample
C SampledCurve | This class contains a sampled curve
C SamplerCauchy | Cauchy Sampler
C SamplerGaussian | Gaussian Sampler
C SamplerLogNormal | Lognormal Sampler
C SamplerMirrorGaussian | Gaussian Mirror Sampler
C SamplerRingGaussian | Gaussian Ring Sampler
C SamplerVeryFastAnnealing | Very Fast Annealing Sampler
C SARCurrency | Saudi riyal
C SaudiArabia | Saudi Arabian calendar
C Schedule | Payment schedule
C Seasonality | A transformation of an existing inflation swap rate
C Secant | Secant 1-D solver
C SeedGenerator | Random seed generator
C SegmentIntegral | Integral of a one-dimensional function
C SEKCurrency | Swedish krona
C SEKLibor | SEK LIBOR rate
C Settings | Global repository for run-time library settings
C Settlement | settlement information
C SGDCurrency | Singapore dollar
C ShortRateModel | Abstract short-rate model class
C ShoutCondition | Shout option condition
C simEvent |
C SimpleCashFlow | Predetermined cash flow
▶C SimpleChooserOption | Simple chooser option
C arguments | Extra arguments for single chooser option
C engine | Simple chooser option engine base class
C SimpleDayCounter | Simple day counter for reproducing theoretical calculations
C SimpleLocalEstimator | Local-estimator volatility model
C SimplePolynomialFitting | Simple polynomial fitting method
C SimpleQuote | Market element returning a stored value
C Simplex | Multi-dimensional simplex class
C SimpsonIntegral | Integral of a one-dimensional function
C SimulatedAnnealing |
C Singapore | Singapore calendars
C SingleProductComposite | Composition of one or more market-model products
C Singleton | Basic support for the singleton pattern
C SingleVariate | Default Monte Carlo traits for single-variate models
C SITCurrency | Slovenian tolar
C SKKCurrency | Slovak koruna
C Slovakia | Slovak calendars
C SmileSection | Interest rate volatility smile section
C SmileSectionUtils | Smile-section utilities
C SMMDriftCalculator | Drift computation for coterminal swap market models
C SobolBrownianGenerator | Sobol Brownian generator for market-model simulations
C SobolRsg | Sobol low-discrepancy sequence generator
C SoftCallability | callability leaving to the holder the possibility to convert
C Solver1D | Base class for 1-D solvers
C Sonia | Sonia (Sterling Overnight Index Average) rate
C SouthAfrica | South-African calendar
C SouthKorea | South Korean calendars
C SparseILUPreconditioner |
C SphereCylinderOptimizer |
C SpotRecoveryLatentModel | Random spot recovery rate latent variable portfolio model
C SpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper
C SpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates
C SpreadFittingMethod | Spread fitting method helper
▶C SpreadOption | Spread option on two assets
C engine | Spread option engine base class
C SquareRootAndersen |
C SquareRootProcess | Square-root process class
C StatsHolder | Helper class for precomputed distributions
C SteepestDescent | Multi-dimensional steepest-descent class
C step_iterator | Iterator advancing in constant steps
C StepCondition | Condition to be applied at every time step
C StepConditionSet | Parallel evolver for multiple arrays
C StickyMaxPayoff | StickyMax payoff (double option)
C StickyMinPayoff | StickyMin payoff (double option)
C StickyPayoff | Sticky payoff (single option)
C StochasticCollocationInvCDF | Stochastic collocation inverse cumulative distribution function
▶C StochasticProcess | Multi-dimensional stochastic process class
C discretization | Discretization of a stochastic process over a given time interval
▶C StochasticProcess1D | 1-dimensional stochastic process
C discretization | Discretization of a 1-D stochastic process
C StochasticProcessArray | Array of correlated 1-D stochastic processes
C Stock | Simple stock class
C StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike
C StrippedOptionlet |
C StrippedOptionletAdapter |
C StrippedOptionletBase |
C StudentDistribution | Student t-distribution
C StulzEngine | Pricing engine for 2D European Baskets
C SuperFundPayoff | Binary supershare and superfund payoffs
C SuperSharePayoff | Binary supershare payoff
C SurvivalProbability | Survival-Probability-curve traits
C SurvivalProbabilityStructure | Hazard-rate term structure
C SVD | Singular value decomposition
C SVDDFwdRatePc |
C SvenssonFitting | Svensson Fitting method
C Svi | Svi interpolation factory and traits
C SviInterpolation | Svi smile interpolation between discrete volatility points
C Swap | Interest rate swap
C SwapIndex | Base class for swap-rate indexes
C SwapRateHelper | Rate helper for bootstrapping over swap rates
C SwapSpreadIndex | Class for swap-rate spread indexes
▶C Swaption | Swaption class
C arguments | Arguments for swaption calculation
C engine | Base class for swaption engines
C SwaptionHelper | Calibration helper for ATM swaption
C SwaptionVolatilityCube | Swaption-volatility cube
C SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix
C SwaptionVolatilityStructure | Swaption-volatility structure
C Sweden | Swedish calendar
C SwingExercise | Swing exercise
C Switzerland | Swiss calendar
C SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm
▶C SyntheticCDO | Synthetic Collateralized Debt Obligation
C engine | CDO base engine
C TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures
C Taiwan | Taiwanese calendars
C TARGET | TARGET calendar
▶C TCopulaPolicy | Student-T Latent Model's copula policy
C initTraits |
C TemperatureBoltzmann | Temperature Boltzmann
C TemperatureCauchy | Temperature Cauchy
C TemperatureVeryFastAnnealing | Temperature Very Fast Annealing
C TermStructure | Basic term-structure functionality
C TermStructureConsistentModel | Term-structure consistent model class
C TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting
C THBCurrency | Thai baht
C Thirty360 | 30/360 day count convention
C Tian | Tian tree: third moment matching, multiplicative approach
C Tibor | JPY TIBOR index
C TimeBasket | Distribution over a number of dates
C TimeGrid | Time grid class
C TimeSeries | Container for historical data
C TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson
C TransformedGrid | Transformed grid
C TrapezoidIntegral | Integral of a one-dimensional function
C TRBDF2 | TR-BDF2 scheme for finite difference methods
C Tree | Tree approximating a single-factor diffusion
C TreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds
C TreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds
C TreeCapFloorEngine | Numerical lattice engine for cap/floors
C TreeLattice | Tree-based lattice-method base class
C TreeLattice1D | One-dimensional tree-based lattice
C TreeLattice2D | Two-dimensional tree-based lattice
C TreeSwaptionEngine | Numerical lattice engine for swaptions
C TreeVanillaSwapEngine | Numerical lattice engine for simple swaps
▶C TridiagonalOperator | Base implementation for tridiagonal operator
C TimeSetter | Encapsulation of time-setting logic
C Trigeorgis | Trigeorgis (additive equal jumps) binomial tree
C TrinomialTree | Recombining trinomial tree class
C TRLCurrency | Turkish lira
C TRLibor | TRY LIBOR rate
C TRYCurrency | New Turkish lira
C TsiveriotisFernandesLattice | Binomial lattice approximating the Tsiveriotis-Fernandes model
C TTDCurrency | Trinidad & Tobago dollar
C Turkey | Turkish calendar
C TWDCurrency | Taiwan dollar
▶C TwoAssetBarrierOption | Barrier option on two assets
C arguments | Arguments for two-asset barrier option calculation
C engine | Two-asset barrier-option engine base class
C TwoDimensionalIntegral | Integral of a two-dimensional function
▶C TwoFactorModel | Abstract base-class for two-factor models
C ShortRateDynamics | Class describing the dynamics of the two state variables
C ShortRateTree | Recombining two-dimensional tree discretizing the state variable
C TypePayoff | Intermediate class for put/call payoffs
C UAHCurrency | Ukrainian hryvnia
C Ukraine | Ukrainian calendars
C UKRegion | United Kingdom as geographical/economic region
C UKRPI | UK Retail Price Inflation Index
C UnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
C UnitedKingdom | United Kingdom calendars
C UnitedStates | United States calendars
C UnitOfMeasure | Unit of measure specification
C UnitOfMeasureConversionManager | Repository of conversion factors between units of measure
C UpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper
C UpperBoundEngine | Market-model engine for upper-bound estimation
C UpRounding | Up-rounding
C USCPI | US CPI index
C USDCurrency | U.S. dollar
C USDLibor | USD LIBOR rate
C USDLiborON | Overnight USD Libor index
C UsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class
C UsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class
C USRegion | USA as geographical/economic region
C VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset
C VanillaStorageOption | Base option class
▶C VanillaSwap | Plain-vanilla swap: fix vs floating leg
C arguments | Arguments for simple swap calculation
C results | Results from simple swap calculation
C VanillaSwingOption | Base option class
C VannaVolga | VannaVolga-interpolation factory and traits
C VannaVolgaBarrierEngine | Vanna Volga barrier option engine
C VannaVolgaDoubleBarrierEngine | Vanna Volga double-barrier option engine
C VannaVolgaInterpolation | Vanna Volga interpolation between discrete points
C VarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach
C VarianceGammaModel | Variance Gamma model
C VarianceGammaProcess | Variance gamma process
▶C VarianceOption | Variance option
C arguments | Arguments for forward fair-variance calculation
C engine | Base class for variance-option engines
C results | Results from variance-option calculation
▶C VarianceSwap | Variance swap
C arguments | Arguments for forward fair-variance calculation
C engine | Base class for variance-swap engines
C results | Results from variance-swap calculation
▶C Vasicek | Vasicek model class
C Dynamics | Short-rate dynamics in the Vasicek model
C VEBCurrency | Venezuelan bolivar
C VegaBumpCollection |
C VegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests
C Visitor | Visitor for a specific class
C VNDCurrency | Vietnamese Dong
C VolatilityTermStructure | Volatility term structure
C WeekendsOnly | Weekends-only calendar
▶C WriterExtensibleOption | Writer-extensible option
C arguments | Additional arguments for writer-extensible option
C engine | Base engine
C WulinYongDoubleBarrierEngine | Pricing engine for barrier options using analytical formulae
C XRPCurrency | Ripple
▶C YearOnYearInflationSwap | Year-on-year inflation-indexed swap
C arguments | Arguments for YoY swap calculation
C results | Results from YoY swap calculation
C YearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper
C YieldTermStructure | Interest-rate term structure
C YoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure
C YoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
C YoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
C YoYInflationCap | Concrete YoY Inflation cap class
▶C YoYInflationCapFloor | Base class for yoy inflation cap-like instruments
C arguments | Arguments for YoY Inflation cap/floor calculation
C engine | Base class for cap/floor engines
C YoYInflationCapFloorEngine | Base YoY inflation cap/floor engine
C YoYInflationCollar | Concrete YoY Inflation collar class
C YoYInflationCoupon | Coupon paying a YoY-inflation type index
C YoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons
C YoYInflationFloor | Concrete YoY Inflation floor class
C YoYInflationIndex | Base class for year-on-year inflation indices
C yoyInflationLeg |
C YoYInflationTermStructure | Base class for year-on-year inflation term structures
C YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
C YoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
C YoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap
C YoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper
C YoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces
C YoYOptionletVolatilitySurface |
C YYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio)
C YYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio)
C YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
C YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP)
C YYEUHICPXT | Genuine year-on-year EU HICPXT
C YYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio)
C YYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio)
C YYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio)
C YYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio)
C YYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
C YYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI)
C YYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI)
C YYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI)
C YYZACPI | Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI)
C YYZACPIr | Fake year-on-year South African CPI (i.e. a ratio of ZA CPI)
C Zabr | No arbtrage sabr interpolation factory and traits
C ZabrInterpolation | Zabr smile interpolation between discrete volatility points
C ZACPI | South African Comsumer Price Inflation Index
C ZARCurrency | South-African rand
C ZARegion | South Africa as geographical/economic region
C ZECCurrency | Zcash
C ZeroCondition | Zero exercise condition
C ZeroCouponBond | Zero-coupon bond
C ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap
C ZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper
C ZeroInflationIndex | Base class for zero inflation indices
C ZeroInflationTermStructure | Interface for zero inflation term structures
C ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
C ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate
C ZeroYield | Zero-curve traits
C ZeroYieldStructure | Zero-yield term structure
C Zibor | CHF ZIBOR rate
C ZigguratRng | Ziggurat random-number generator