Class List

### A free/open-source library for quantitative finance

Class List
Here are the classes, structs, unions and interfaces with brief descriptions:

AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve
AbcdFunction | Abcd functional form for instantaneous volatility
AbcdVol | Abcd-interpolated volatility structure
AccountingEngine | Engine collecting cash flows along a market-model simulation
Actual360 | Actual/360 day count convention
Actual365Fixed | Actual/365 (Fixed) day count convention
ActualActual | Actual/Actual day count
AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern
AdditiveEQPBinomialTree | Additive equal probabilities binomial tree
AffineModel | Affine model class
AliMikhailHaqCopula | Ali-Mikhail-Haq copula
AmericanCondition | American exercise condition
AmericanExercise | American exercise
AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options
AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options
AmortizingCmsRateBond | Amortizing CMS-rate bond
AmortizingFixedRateBond | Amortizing fixed-rate bond
AmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored)
AmortizingPayment | Amortizing payment
AnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option
AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae
AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates
AnalyticCapFloorEngine | Analytic engine for cap/floor
AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae
AnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae
AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback
AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback
AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian
AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff
AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian
AnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option
AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends
AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae
AnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option
AnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine
AnalyticHaganPricer | CMS-coupon pricer
AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform
AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates
AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae
AnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine
AnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option
AnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options
Argentina | Argentinian calendars
ArmijoLineSearch | Armijo line search
Array | 1-D array used in linear algebra
ARSCurrency | Argentinian peso
AssetOrNothingPayoff | Binary asset-or-nothing payoff
AssetSwap | Bullet bond vs Libor swap
AssetSwap::arguments | Arguments for asset swap calculation
AssetSwap::results | Results from simple swap calculation
AtomicDefault | Atomic (single contractual event) default events
ATSCurrency | Austrian shilling
AUCPI | AU CPI index (either quarterly or annual)
AUDCurrency | Australian dollar
AUDLibor | AUD LIBOR rate
Australia | Australian calendar
AustraliaRegion | Australia as geographical/economic region
Average | Placeholder for enumerated averaging types
AverageBMACoupon | Average BMA coupon
AverageBMALeg | Helper class building a sequence of average BMA coupons
BachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons
BackwardFlat | Backward-flat interpolation factory and traits
BackwardFlatInterpolation | Backward-flat interpolation between discrete points
BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987)
Barrier | Placeholder for enumerated barrier types
BarrierOption | Barrier option on a single asset
BarrierOption::arguments | Arguments for barrier option calculation
BarrierOption::engine | Barrier-option engine base class
Basket |
BasketOption | Basket option on a number of assets
BasketOption::engine | Basket-option engine base class
BatesEngine | Bates model engines based on Fourier transform
BatesModel | Bates stochastic-volatility model
BatesProcess | Square-root stochastic-volatility Bates process
BDTCurrency | Bangladesh taka
BEFCurrency | Belgian franc
BermudanExercise | Bermudan exercise
BernsteinPolynomial | Class of Bernstein polynomials
BespokeCalendar | Bespoke calendar
BFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm
BGLCurrency | Bulgarian lev
Bicubic | Bicubic-spline-interpolation factory
BicubicSpline | Bicubic-spline interpolation between discrete points
Bilinear | Bilinear-interpolation factory
BilinearInterpolation | bilinear interpolation between discrete points
BinomialConvertibleEngine< T > | Binomial Tsiveriotis-Fernandes engine for convertible bonds
BinomialDistribution | Binomial probability distribution function
BinomialProbabilityOfAtLeastNEvents | Probability of at least N events
BinomialTree< T > | Binomial tree base class
BinomialVanillaEngine< T > | Pricing engine for vanilla options using binomial trees
Bisection | Bisection 1-D solver
BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function
BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004)
BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993)
BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve
BlackCalculator | Black 1976 calculator class
BlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine
BlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine
BlackCapFloorEngine | Black-formula cap/floor engine
BlackCdsOptionEngine | Black-formula CDS-option engine
BlackConstantVol | Constant Black volatility, no time-strike dependence
BlackDeltaCalculator | Black delta calculator class
BlackIborCouponPricer | Black-formula pricer for capped/floored Ibor coupons
BlackKarasinski | Standard Black-Karasinski model class
BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model
BlackProcess | Black (1976) stochastic process
BlackScholesCalculator | Black-Scholes 1973 calculator class
BlackScholesLattice< T > | Simple binomial lattice approximating the Black-Scholes model
BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process
BlackScholesProcess | Black-Scholes (1973) stochastic process
BlackSwaptionEngine | Black-formula swaption engine
BlackVarianceCurve | Black volatility curve modelled as variance curve
BlackVarianceSurface | Black volatility surface modelled as variance surface
BlackVarianceTermStructure | Black variance term structure
BlackVolatilityTermStructure | Black-volatility term structure
BlackVolSurface | Black volatility (smile) surface
BlackVolTermStructure | Black-volatility term structure
BlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons
BMAIndex | Bond Market Association index
BMASwap | Swap paying Libor against BMA coupons
BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates
Bond | Base bond class
BondFunctions | Bond adapters of CashFlows functions
BondHelper | Fixed-coupon bond helper
BootstrapError< Curve > | Bootstrap error
BootstrapHelper< TS > | Base helper class for bootstrapping
BoundaryCondition< Operator > | Abstract boundary condition class for finite difference problems
BoundaryConstraint | Constraint imposing all arguments to be in [low,high]
BoxMullerGaussianRng< RNG > | Gaussian random number generator
Brazil | Brazilian calendar
Brent | Brent 1-D solver
BRLCurrency | Brazilian real
BrownianBridge | Builds Wiener process paths using Gaussian variates
BSMOperator | Black-Scholes-Merton differential operator
BSpline | B-spline basis functions
BTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond
Business252 | Business/252 day count convention
BYRCurrency | Belarussian ruble
CADCurrency | Canadian dollar
CADLibor | CAD LIBOR rate
CADLiborON | Overnight CAD Libor index
Calendar | calendar class
Calendar::Impl | Abstract base class for calendar implementations
Calendar::OrthodoxImpl | Partial calendar implementation
Calendar::WesternImpl | Partial calendar implementation
CalibratedModel | Calibrated model class
CalibrationHelper | Liquid market instrument used during calibration
Callability | instrument callability
Callability::Price | Amount to be paid upon callability
CallableBond | Callable bond base class
CallableBond::engine | Base class for callable fixed rate bond engine
CallableBond::results | Results for a callable bond calculation
CallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence
CallableBondVolatilityStructure | Callable-bond volatility structure
CallableFixedRateBond | Callable/puttable fixed rate bond
CallableZeroCouponBond | Callable/puttable zero coupon bond
Canada | Canadian calendar
Cap | Concrete cap class
CapFloor | Base class for cap-like instruments
CapFloor::arguments | Arguments for cap/floor calculation
CapFloor::engine | Base class for cap/floor engines
CapFloorTermVolatilityStructure | Cap/floor term-volatility structure
CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector
CapFloorTermVolSurface | Cap/floor smile volatility surface
CapHelper | Calibration helper for ATM cap
CapletVarianceCurve |
CappedFlooredCoupon | Capped and/or floored floating-rate coupon
CappedFlooredYoYInflationCoupon | Capped or floored inflation coupon
CapPseudoDerivative |
CashFlow | Base class for cash flows
CashFlows | cashflow-analysis functions
CashOrNothingPayoff | Binary cash-or-nothing payoff
CCTEU |
CDO | Collateralized debt obligation
Cdor | CDOR rate
CdsHelper |
CdsOption | CDS option
CdsOption::arguments | Arguments for CDS-option calculation
CdsOption::engine | Base class for swaption engines
CdsOption::results | Results from CDS-option calculation
CeilingTruncation | Ceiling truncation
CHFCurrency | Swiss franc
CHFLibor | CHF LIBOR rate
ChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class
China | Chinese calendar
Claim | Claim associated to a default event
ClaytonCopula | Clayton copula
ClaytonCopulaRng< RNG > | Clayton copula random-number generator
CLGaussianRng< RNG > | Gaussian random number generator
CliquetOption | Cliquet (Ratchet) option
CliquetOption::arguments | Arguments for cliquet option calculation
CliquetOption::engine | Cliquet engine base class
Clone< T > | Cloning proxy to an underlying object
ClosestRounding | Closest rounding
CLPCurrency | Chilean peso
CmsCoupon | CMS coupon class
CmsCouponPricer | Base pricer for vanilla CMS coupons
CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons
CmsMarket | Set of CMS quotes
CMSMMDriftCalculator | Drift computation for CMS market models
CmsRateBond | CMS-rate bond
CMSwapCurveState | Curve state for constant-maturity-swap market models
CNYCurrency | Chinese yuan
Collar | Concrete collar class
Commodity | Commodity base class
CommodityCurve | Commodity term structure
CommodityIndex | Base class for commodity indexes
CommodityPricingHelper | Commodity index helper
CommoditySettings | Global repository for run-time library settings
CommodityType | Commodity type
Composite< T > | Composite pattern
CompositeConstraint | Constraint enforcing both given sub-constraints
CompositeInstrument | Composite instrument
CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element
CompoundOption | Compound option on a single asset
CompoundOption::engine | Compound-option engine base class
ConjugateGradient | Multi-dimensional Conjugate Gradient class
ConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence
ConstantCPIVolatility | Constant surface, no K or T dependence
ConstantEstimator | Constant-estimator volatility model
ConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence
ConstantParameter | Standard constant parameter
ConstantRecoveryModel |
ConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence
ConstantYoYOptionletVolatility | Constant surface, no K or T dependence
ConstrainedEvolver | Constrained market-model evolver
Constraint | Base constraint class
Constraint::Impl | Base class for constraint implementations
ContinuousAveragingAsianOption | Continuous-averaging Asian option
ContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option
ContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class
ContinuousFixedLookbackOption | Continuous-fixed lookback option
ContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation
ContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class
ContinuousFloatingLookbackOption | Continuous-floating lookback option
ContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation
ContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class
ConvergenceStatistics< T, U > | Statistics class with convergence table
ConvertibleBond | Base class for convertible bonds
ConvertibleFixedCouponBond | Convertible fixed-coupon bond
ConvertibleFloatingRateBond | Convertible floating-rate bond
ConvertibleZeroCouponBond | Convertible zero-coupon bond
ConvexMonotone | Convex-monotone interpolation factory and traits
ConvexMonotoneInterpolation< I1, I2 > | Convex monotone yield-curve interpolation method
COPCurrency | Colombian peso
CostFunction | Cost function abstract class for optimization problem
CoterminalSwapCurveState | Curve state for coterminal-swap market models
Coupon | coupon accruing over a fixed period
CovarianceDecomposition | Covariance decomposition into correlation and variances
CoxIngersollRoss | Cox-Ingersoll-Ross model class
CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model
CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
CPIBond |
CPICapFloor | CPI cap or floor
CPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity)
CPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index
CPICoupon | Coupon paying the performance of a CPI (zero inflation) index
CPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
CPILeg | Helper class building a sequence of capped/floored CPI coupons
CPISwap | Zero-inflation-indexed swap,
CPISwap::arguments | Arguments for swap calculation
CPISwap::results | Results from swap calculation
CPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
CrankNicolson< Operator > | Crank-Nicolson scheme for finite difference methods
CreditDefaultSwap | Credit default swap
Cubic | Cubic interpolation factory and traits
CubicBSplinesFitting | CubicSpline B-splines fitting method
CubicInterpolation | Cubic interpolation between discrete points
CumulativeBinomialDistribution | Cumulative binomial distribution function
CumulativeNormalDistribution | Cumulative normal distribution function
CumulativePoissonDistribution | Cumulative Poisson distribution function
CumulativeStudentDistribution | Cumulative Student t-distribution
CuriouslyRecurringTemplate< Impl > | Support for the curiously recurring template pattern
Currency | Currency specification
Curve | Abstract curve class
CurveState | Curve state for market-model simulations
CYPCurrency | Cyprus pound
CzechRepublic | Czech calendars
CZKCurrency | Czech koruna
DailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes
DailyTenorEURLibor | Base class for the one day deposit BBA EUR LIBOR indexes
DailyTenorGBPLibor | Base class for the one day deposit BBA GBP LIBOR indexes
DailyTenorJPYLibor | Base class for the one day deposit BBA JPY LIBOR indexes
DailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
DailyTenorUSDLibor | Base class for the one day deposit BBA USD LIBOR indexes
Date | Concrete date class
DatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
DateGeneration | Date-generation rule
DateInterval | Date interval described by a number of a given time unit
DayCounter | Day counter class
DayCounter::Impl | Abstract base class for day counter implementations
DefaultDensity | Default-density-curve traits
DefaultDensityStructure | Default-density term structure
DefaultEvent | Credit event on a bond of a certain seniority(ies)/currency
DefaultProbabilityTermStructure | Default probability term structure
DefaultProbKey |
DefaultType | Atomic credit-event type
DeltaVolQuote | Class for the quotation of delta vs vol
DEMCurrency | Deutsche mark
Denmark | Danish calendar
DepositRateHelper | Rate helper for bootstrapping over deposit rates
DerivedQuote< UnaryFunction > | Market quote whose value depends on another quote
ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation
DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option
DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons
DigitalCoupon | Digital-payoff coupon
DigitalIborCoupon | Ibor rate coupon with digital digital call/put option
DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons
DirichletBC | Neumann boundary condition (i.e., constant value)
Discount | Discount-curve traits
DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation
DiscreteAveragingAsianOption | Discrete-averaging Asian option
DiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option
DiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class
DiscretizedAsset | Discretized asset class used by numerical methods
DiscretizedDiscountBond | Useful discretized discount bond asset
DiscretizedOption | Discretized option on a given asset
Disposable< T > | Generic disposable object with move semantics
Dividend | Predetermined cash flow
DividendBarrierOption | Single-asset barrier option with discrete dividends
DividendBarrierOption::arguments | Arguments for dividend barrier option calculation
DividendBarrierOption::engine | Dividend-barrier-option engine base class
DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends
DividendVanillaOption::arguments | Arguments for dividend vanilla option calculation
DividendVanillaOption::engine | Dividend-vanilla-option engine base class
DKKCurrency | Danish krone
DKKLibor | DKK LIBOR rate
DMinus | matricial representation
Domain | domain abstract lcass
DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs
DownRounding | Down-rounding
DPlus | matricial representation
DPlusDMinus | matricial representation
DriftTermStructure | Drift term structure
Duration | duration type
DZero | matricial representation
EarlyExercise | Early-exercise base class
EarlyExercisePathPricer< PathType, TimeType, ValueType > | Base class for early exercise path pricers
ECB | European Central Bank reserve maintenance dates
EEKCurrency | Estonian kroon
EndCriteria | Criteria to end optimization process:
EndEulerDiscretization | Euler end-point discretization for stochastic processes
EnergyBasisSwap | Energy basis swap
EnergyCommodity | Energy commodity class
EnergyFuture | Energy future
EnergyVanillaSwap | Vanilla energy swap
Eonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB
EqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree
EqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree
EquityFXVolSurface | Equity/FX volatility (smile) surface
Error | Base error class
ErrorFunction | Error function
ESPCurrency | Spanish peseta
EUHICP | EU HICP index
EUHICPXT | EU HICPXT index
EulerDiscretization | Euler discretization for stochastic processes
EURCurrency | European Euro
EURegion | European Union as geographical/economic region
Euribor | Euribor index
Euribor10M | 10-months Euribor index
Euribor11M | 11-months Euribor index
Euribor1M | 1-month Euribor index
Euribor1Y | 1-year Euribor index
Euribor2M | 2-months Euribor index
Euribor2W | 2-weeks Euribor index
Euribor365 | Actual/365 Euribor index
Euribor365_10M | 10-months Euribor365 index
Euribor365_11M | 11-months Euribor365 index
Euribor365_1M | 1-month Euribor365 index
Euribor365_1Y | 1-year Euribor365 index
Euribor365_2M | 2-months Euribor365 index
Euribor365_2W | 2-weeks Euribor365 index
Euribor365_3M | 3-months Euribor365 index
Euribor365_3W | 3-weeks Euribor365 index
Euribor365_4M | 4-months Euribor365 index
Euribor365_5M | 5-months Euribor365 index
Euribor365_6M | 6-months Euribor365 index
Euribor365_7M | 7-months Euribor365 index
Euribor365_8M | 8-months Euribor365 index
Euribor365_9M | 9-months Euribor365 index
Euribor365_SW | 1-week Euribor365 index
Euribor3M | 3-months Euribor index
Euribor3W | 3-weeks Euribor index
Euribor4M | 4-months Euribor index
Euribor5M | 5-months Euribor index
Euribor6M | 6-months Euribor index
Euribor7M | 7-months Euribor index
Euribor8M | 8-months Euribor index
Euribor9M | 9-months Euribor index
EuriborSW | 1-week Euribor index
EuriborSwapIfrFix | EuriborSwapIfrFix index base class
EuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class
EuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class
EURLibor | Base class for all BBA EUR LIBOR indexes but the O/N
EURLibor10M | 10-months EUR Libor index
EURLibor11M | 11-months EUR Libor index
EURLibor1M | 1-month EUR Libor index
EURLibor1Y | 1-year EUR Libor index
EURLibor2M | 2-months EUR Libor index
EURLibor2W | 2-weeks EUR Libor index
EURLibor3M | 3-months EUR Libor index
EURLibor4M | 4-months EUR Libor index
EURLibor5M | 5-months EUR Libor index
EURLibor6M | 6-months EUR Libor index
EURLibor7M | 7-months EUR Libor index
EURLibor8M | 8-months EUR Libor index
EURLibor9M | 9-months EUR Libor index
EURLiborON | Overnight EUR Libor index
EURLiborSW | 1-week EUR Libor index
EurLiborSwapIfrFix | EurLiborSwapIfrFix index base class
EurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class
EurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class
EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation
EuropeanExercise | European exercise
EuropeanOption | European option on a single asset
Event | Base class for event
EvolutionDescription | Market-model evolution description
ExchangeRate | Exchange rate between two currencies
ExchangeRateManager | Exchange-rate repository
Exercise | Base exercise class
ExplicitEuler< Operator > | Forward Euler scheme for finite difference methods
ExponentialJump1dMesher |
ExponentialSplinesFitting | Exponential-splines fitting method
ExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree
ExtendedBinomialTree< T > | Binomial tree base class
ExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process
ExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve
ExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface
ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class
ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model
ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter
ExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
ExtendedEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree
ExtendedEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree
ExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
ExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach
ExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class
ExtendedTian | Tian tree: third moment matching, multiplicative approach
ExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree
ExtOUWithJumpsProcess |
Extrapolator | Base class for classes possibly allowing extrapolation
FaceValueAccrualClaim | Claim on the notional of a reference security, including accrual
FaceValueClaim | Claim on a notional
Factorial | Factorial numbers calculator
FactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates
FailureToPay | Failure to Pay atomic event type
FalsePosition | False position 1-D solver
FarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula
FarlieGumbelMorgensternCopulaRng< RNG > | Farlie-Gumbel-Morgenstern copula random-number generator
FastFourierTransform | FFT implementation
FaureRsg | Faure low-discrepancy sequence generator
Fd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine
FDAmericanEngine< Scheme > | Finite-differences pricing engine for American one asset options
FdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine
FDBermudanEngine< Scheme > | Finite-differences Bermudan engine
FdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine
FdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine
FDDividendAmericanEngine< Scheme > | Finite-differences pricing engine for dividend American options
FDDividendEngineBase< Scheme > | Abstract base class for dividend engines
FDDividendEngineMerton73< Scheme > | Finite-differences pricing engine for dividend options using escowed dividends model
FDDividendEngineShiftScale< Scheme > | Finite-differences engine for dividend options using shifted dividends
FDDividendEuropeanEngine< Scheme > | Finite-differences pricing engine for dividend European options
FDDividendShoutEngine< Scheme > | Finite-differences shout engine with dividends
FDEuropeanEngine< Scheme > | Pricing engine for European options using finite-differences
FdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine
FdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine
FdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine
FdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine
FdmExtOUJumpOp |
FdmKlugeExtOUOp |
FDShoutEngine< Scheme > | Finite-differences pricing engine for shout vanilla options
FDStepConditionEngine< Scheme > | Finite-differences pricing engine for American-style vanilla options
FDVanillaEngine | Finite-differences pricing engine for BSM one asset options
FFTEngine | Base class for FFT pricing engines for European vanilla options
FFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process
FFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process
FIMCurrency | Finnish markka
FiniteDifferenceModel< Evolver > | Generic finite difference model
FiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives
Finland | Finnish calendar
FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds
FittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve
FixedDividend | Predetermined cash flow
FixedRateBond | Fixed-rate bond
FixedRateBondForward | Forward contract on a fixed-rate bond
FixedRateCoupon | Coupon paying a fixed interest rate
FixedRateLeg | Helper class building a sequence of fixed rate coupons
FlatForward | Flat interest-rate curve
FlatHazardRate | Flat hazard-rate curve
FloatingRateBond | Floating-rate bond (possibly capped and/or floored)
FloatingRateCoupon | Base floating-rate coupon class
FloatingRateCouponPricer | Generic pricer for floating-rate coupons
FloatingTypePayoff | Payoff based on a floating strike
Floor | Concrete floor class
FloorTruncation | Floor truncation
Forward | Abstract base forward class
ForwardFlat | Forward-flat interpolation factory and traits
ForwardFlatInterpolation | Forward-flat interpolation between discrete points
ForwardMeasureProcess | Forward-measure stochastic process
ForwardMeasureProcess1D | Forward-measure 1-D stochastic process
ForwardOptionArguments< ArgumentsType > | Arguments for forward (strike-resetting) option calculation
ForwardPerformanceVanillaEngine< Engine > | Forward performance engine for vanilla options
ForwardRate | Forward-curve traits
ForwardRateStructure | Forward-rate term structure
ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate
ForwardSwapQuote | Quote for a forward starting swap
ForwardTypePayoff | Class for forward type payoffs
ForwardValueQuote | quote for the forward value of an index
ForwardVanillaEngine< Engine > | Forward engine for vanilla options
ForwardVanillaOption | Forward version of a vanilla option
FractionalDividend | Predetermined cash flow
FranceRegion | France as geographical/economic region
FrankCopula | Frank copula
FrankCopulaRng< RNG > | Frank copula random-number generator
FraRateHelper | Rate helper for bootstrapping over FRA rates
FRFCurrency | French franc
FRHICP | FR HICP index
FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index
FuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices
G2 | Two-additive-factor gaussian model class
G2::FittingParameter | Analytical term-structure fitting parameter
G2ForwardProcess | Forward G2 stochastic process
G2Process | G2 stochastic process
G2SwaptionEngine | Swaption priced by means of the Black formula
GalambosCopula | Galambos copula
GammaFunction | Gamma function class
GapPayoff | Binary gap payoff
Garch11 | GARCH volatility model
GarmanKlassAbstract | Garman-Klass volatility model
GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process
GaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind)
GaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind)
GaussChebyshevIntegration | Gauss-Chebyshev integration
GaussChebyshevPolynomial | Gauss-Chebyshev polynomial
GaussGegenbauerIntegration | Gauss-Gegenbauer integration
GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial
GaussHermiteIntegration | Generalized Gauss-Hermite integration
GaussHermitePolynomial | Gauss-Hermite polynomial
GaussHyperbolicIntegration | Gauss-Hyperbolic integration
GaussHyperbolicPolynomial | Gauss hyperbolic polynomial
GaussianCopula | Gaussian copula
GaussianKernel | Gaussian kernel function
GaussianLHPCDOEngine< CDOEngine > |
GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures
GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method
GaussianRandomDefaultModel |
GaussianRecursiveCdoEngine< CDOEngine > | Specialization for Gaussian copula, the integration still remains
GaussJacobiIntegration | Gauss-Jacobi integration
GaussJacobiPolynomial | Gauss-Jacobi polynomial
GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
GaussLaguerreIntegration | Generalized Gauss-Laguerre integration
GaussLaguerrePolynomial | Gauss-Laguerre polynomial
GaussLegendreIntegration | Gauss-Legendre integration
GaussLegendrePolynomial | Gauss-Legendre polynomial
GaussLobattoIntegral | Integral of a one-dimensional function
GBPCurrency | British pound sterling
GBPLibor | GBP LIBOR rate
GBPLiborON | Overnight GBP Libor index
GbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class
GemanRoncoroniProcess | Geman-Roncoroni process class
GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process
GeneralizedHullWhite | Generalized Hull-White model class
GeneralizedHullWhite::Dynamics | Short-rate dynamics in the generalized Hull-White model
GeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class
GeneralLinearLeastSquares | General linear least squares regression
GeneralStatistics | Statistics tool
GenericCPI | Generic CPI index
GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines
GenericGaussianStatistics< Stat > | Statistics tool for gaussian-assumption risk measures
GenericModelEngine< ModelType, ArgumentsType, ResultsType > | Base class for some pricing engine on a particular model
GenericRegion | Generic geographical/economic region
GenericRiskStatistics< S > | Empirical-distribution risk measures
GenericSequenceStatistics< StatisticsType > | Statistics analysis of N-dimensional (sequence) data
GeometricBrownianMotionProcess | Geometric brownian-motion process
Germany | German calendars
GJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset
GJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process
GRDCurrency | Greek drachma
Greeks | Additional option results
GumbelCopula | Gumbel copula
HaganPricer | CMS-coupon pricer
HaltonRsg | Halton low-discrepancy sequence generator
Handle< T > | Shared handle to an observable
HazardRate | Hazard-rate-curve traits
HazardRateStructure | Hazard-rate term structure
HestonModel | Heston model for the stochastic volatility of an asset
HestonModelHelper | Calibration helper for Heston model
HestonProcess | Square-root stochastic-volatility Heston process
HimalayaOption | Himalaya option
Histogram | Histogram class
HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > | Historical correlation class
HistoricalRatesAnalysis | Historical rate analysis class
HKDCurrency | Honk Kong dollar
HomogeneousPoolCDOEngine< CDOEngine > | CDO engine, loss distribution convolution for finite homogeneous pool
HongKong | Hong Kong calendars
HUFCurrency | Hungarian forint
HullWhite | Single-factor Hull-White (extended Vasicek) model class
HullWhite::Dynamics | Short-rate dynamics in the Hull-White model
HullWhite::FittingParameter | Analytical term-structure fitting parameter
HullWhiteForwardProcess | Forward Hull-White stochastic process
HullWhiteProcess | Hull-White stochastic process
Hungary | Hungarian calendar
HuslerReissCopula | Husler-Reiss copula
HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process
IborCoupon | Coupon paying a Libor-type index
IborCouponPricer | Base pricer for capped/floored Ibor coupons
IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons
Iceland | Icelandic calendars
IEPCurrency | Irish punt
ILSCurrency | Israeli shekel
IMM | Main cycle of the International Money Market (a.k.a. IMM) months
ImplicitEuler< Operator > | Backward Euler scheme for finite difference methods
ImpliedStdDevQuote | quote for the implied standard deviation of an underlying
ImpliedTermStructure | Implied term structure at a given date in the future
ImpliedVolTermStructure | Implied vol term structure at a given date in the future
IncrementalStatistics | Statistics tool based on incremental accumulation
IndependentCopula | Independent copula
Index | Purely virtual base class for indexes
IndexedCashFlow | Cash flow dependent on an index ratio
IndexManager | Global repository for past index fixings
India | Indian calendars
Indonesia | Indonesian calendars
InflationCoupon | Base inflation-coupon class
InflationCouponPricer | Base inflation-coupon pricer
InflationIndex | Base class for inflation-rate indexes,
InflationTermStructure | Interface for inflation term structures
InhomogeneousPoolCDOEngine< CDOEngine > | CDO engine, loss disctribution bucketing for finite inhomogeneous pool
INRCurrency | Indian rupee
Instrument | Abstract instrument class
IntegralCDOEngine | CDO base engine taking (possibly) small time steps
IntegralEngine | Pricing engine for European vanilla options using integral approach
IntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine
InterestRate | Concrete interest rate class
InterestRateIndex | Base class for interest rate indexes
InterestRateVolSurface | Interest rate volatility (smile) surface
InterpolatedCurve< Interpolator > | Helper class to build interpolated term structures
InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities
InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors
InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates
InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates
InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities
InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates
InterpolatedYoYOptionletStripper< Interpolator1D > |
InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface
InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates
InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates
InterpolatingCPICapFloorEngine |
Interpolation | Base class for 1-D interpolations
Interpolation2D | Base class for 2-D interpolations
Interpolation2D::Impl | Abstract base class for 2-D interpolation implementations
Interpolation2D::templateImpl< I1, I2, M > | Basic template implementation
Interpolation::Impl | Abstract base class for interpolation implementations
Interpolation::templateImpl< I1, I2 > | Basic template implementation
IntervalPrice | Interval price
InverseCumulativeNormal | Inverse cumulative normal distribution function
InverseCumulativePoisson | Inverse cumulative Poisson distribution function
InverseCumulativeRng< RNG, IC > | Inverse cumulative random number generator
InverseCumulativeRsg< USG, IC > | Inverse cumulative random sequence generator
InverseCumulativeStudent | Inverse cumulative Student t-distribution
IQDCurrency | Iraqi dinar
IRRCurrency | Iranian rial
ISKCurrency | Icelandic krona
Italy | Italian calendars
IterativeBootstrap< Curve > | Universal piecewise-term-structure boostrapper
ITLCurrency | Italian lira
JamshidianSwaptionEngine | Jamshidian swaption engine
Japan | Japanese calendar
JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
Jibar | JIBAR rate
JointCalendar | Joint calendar
JPYCurrency | Japanese yen
JPYLibor | JPY LIBOR rate
JpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class
JpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class
JumpDiffusionEngine | Jump-diffusion engine for vanilla options
JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation
KernelFunction |
KernelInterpolation | Kernel interpolation between discrete points
KernelInterpolation2D |
KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > | K-interpolated YoY optionlet volatility
KirkEngine | Pricing engine for spread option on two futures
KirkSpreadOptionEngine | Kirk approximation for European spread option on futures
KlugeExtOUProcess |
KnuthUniformRng | Uniform random number generator
KRWCurrency | South-Korean won
KWDCurrency | Kuwaiti dinar
LastFixingQuote | Quote adapter for the last fixing available of a given Index
Lattice | Lattice (tree, finite-differences) base class
LatticeShortRateModelEngine< Arguments, Results > | Engine for a short-rate model specialized on a lattice
LazyObject | Framework for calculation on demand and result caching
LeastSquareFunction | Cost function for least-square problems
LeastSquareProblem | Base class for least square problem
LecuyerUniformRng | Uniform random number generator
LeisenReimer | Leisen & Reimer tree: multiplicative approach
LevenbergMarquardt | Levenberg-Marquardt optimization method
LexicographicalView< RandomAccessIterator > | Lexicographical 2-D view of a contiguous set of data
LfmCovarianceParameterization | Libor market model parameterization
LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization
LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper
LfmSwaptionEngine | Libor forward model swaption engine based on Black formula
Libor | Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones
LiborForwardModel | Libor forward model
LiborForwardModelProcess | Libor-forward-model process
Linear | Linear-interpolation factory and traits
LinearInterpolation | Linear interpolation between discrete points
LineSearch | Base class for line search
LmConstWrapperVolatilityModel | Caplet const volatility model
LmCorrelationModel | libor forward correlation model
LmExponentialCorrelationModel | Exponential correlation model
LmExtLinearExponentialVolModel | Extended linear exponential volatility model
LmLinearExponentialCorrelationModel | linear exponential correlation model
LmLinearExponentialVolatilityModel | linear exponential volatility model
LMMCurveState | Curve state for Libor market models
LMMDriftCalculator | Drift computation for log-normal Libor market models
LMMNormalDriftCalculator | Drift computation for normal Libor market models
LmVolatilityModel | Caplet volatility model
LocalBootstrap< Curve > | Localised-term-structure bootstrapper for most curve types
LocalConstantVol | Constant local volatility, no time-strike dependence
LocalVolCurve | Local volatility curve derived from a Black curve
LocalVolSurface | Local volatility surface derived from a Black vol surface
LocalVolTermStructure |
LogCubic | Log-cubic interpolation factory and traits
LogCubicInterpolation | log-cubic interpolation between discrete points
LogLinear | Log-linear interpolation factory and traits
LogLinearInterpolation | log-linear interpolation between discrete points
LogNormalCmSwapRatePc | Predictor-Corrector
LogNormalCotSwapRatePc | Predictor-Corrector
LogNormalFwdRateBalland | Iterative Predictor-Corrector
LogNormalFwdRateEuler | Euler
LogNormalFwdRateEulerConstrained | Euler stepping
LogNormalFwdRateiBalland | Iterative Predictor-Corrector
LogNormalFwdRateIpc | Iterative Predictor-Corrector
LogNormalFwdRatePc | Predictor-Corrector
LongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options
LongstaffSchwartzPathPricer< PathType > | Longstaff-Schwarz path pricer for early exercise options
LossDist | Probability formulas and algorithms
LossDistBinomial | Binomial loss distribution
LossDistBucketing | Loss distribution with Hull-White bucketing
LossDistHomogeneous | Loss Distribution for Homogeneous Pool
LossDistMonteCarlo | Loss distribution with Monte Carlo simulation
LTLCurrency | Lithuanian litas
LUFCurrency | Luxembourg franc
LVLCurrency | Latvian lat
MakeCapFloor | Helper class
MakeCms | Helper class for instantiating CMS
MakeMCAmericanBasketEngine< RNG > | Monte Carlo American basket-option engine factory
MakeMCAmericanEngine< RNG, S > | Monte Carlo American engine factory
MakeMCAmericanPathEngine< RNG > | Monte Carlo American basket-option engine factory
MakeMCBarrierEngine< RNG, S > | Monte Carlo barrier-option engine factory
MakeMCDigitalEngine< RNG, S > | Monte Carlo digital engine factory
MakeMCEuropeanBasketEngine< RNG, S > | Monte Carlo basket-option engine factory
MakeMCEuropeanEngine< RNG, S > | Monte Carlo European engine factory
MakeMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH European engine factory
MakeMCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston European engine factory
MakeMCEverestEngine< RNG, S > | Monte Carlo Everest-option engine factory
MakeMCHestonHullWhiteEngine< RNG, S > | Monte Carlo Heston/Hull-White engine factory
MakeMCHimalayaEngine< RNG, S > | Monte Carlo Himalaya-option engine factory
MakeMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White cap-floor engine factory
MakeMCPagodaEngine< RNG, S > | Monte Carlo pagoda-option engine factory
MakeMCPathBasketEngine< RNG, S > | Monte Carlo Path Basket engine factory
MakeMCPerformanceEngine< RNG, S > | Monte Carlo performance-option engine factory
MakeMCVarianceSwapEngine< RNG, S > | Monte Carlo variance-swap engine factory
MakeOIS | Helper class
MakeSchedule | Helper class
MakeSwaption | Helper class
MakeVanillaSwap | Helper class
MakeYoYInflationCapFloor | Helper class
MargrabeOption | Margrabe option on two assets
MargrabeOption::arguments | Extra arguments for Margrabe option
MargrabeOption::engine | Margrabe option engine base class
MargrabeOption::results | Extra results for Margrabe option
MarketModel | Base class for market models
MarketModelCashRebate |
MarketModelComposite | Composition of two or more market-model products
MarketModelEvolver | Market-model evolver
MarketModelFactory | Base class for market-model factories
MarketModelMultiProduct | Market-model product
MarketModelPathwiseCashRebate |
MarketModelPathwiseCoterminalSwaptionsDeflated |
MarketModelPathwiseCoterminalSwaptionsNumericalDeflated |
MarketModelPathwiseDiscounter |
MarketModelPathwiseInverseFloater |
MarketModelPathwiseMultiCaplet | Market-model pathwise caplet
MarketModelPathwiseMultiDeflatedCap |
MarketModelPathwiseMultiProduct | Market-model pathwise product
MarketModelPathwiseSwap |
MarketModelVolProcess |
MarshallOlkinCopula | Marshall-Olkin copula
Matrix | Matrix used in linear algebra
MaxCopula | Max copula
MCAmericanBasketEngine< RNG > | Least-square Monte Carlo engine
MCAmericanEngine< RNG, S > | American Monte Carlo engine
MCAmericanPathEngine< RNG > | Least-square Monte Carlo engine
MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation
MCDigitalEngine< RNG, S > | Pricing engine for digital options using Monte Carlo simulation
MCDiscreteArithmeticAPEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average price Asian
MCDiscreteArithmeticASEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average-strike Asian
MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation
MCDiscreteGeometricAPEngine< RNG, S > | Monte Carlo pricing engine for discrete geometric average price Asian
MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation
MCEuropeanEngine< RNG, S > | European option pricing engine using Monte Carlo simulation
MCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH-model engine for European options
MCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston-model engine for European options
MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors
MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation
MCPathBasketEngine< RNG, S > | Pricing engine for path dependent basket options using
MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation
McSimulation< MC, RNG, S > | Base class for Monte Carlo engines
MCVanillaEngine< MC, RNG, S, Inst > | Pricing engine for vanilla options using Monte Carlo simulation
MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation,
MersenneTwisterUniformRng | Uniform random number generator
Merton76Process | Merton-76 jump-diffusion process
Mexico | Mexican calendars
MidPointCDOEngine | CDO base engine taking schedule steps
MinCopula | Min copula
MixedLinearCubic | Mixed linear/cubic interpolation factory and traits
MixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points
MixedScheme< Operator > | Mixed (explicit/implicit) scheme for finite difference methods
ModifiedCraigSneydScheme | Modified Craig-Sneyd scheme
Money | Amount of cash
MonteCarloCDOEngine1 | CDO engine, Monte Carlo for the exptected tranche loss distribution
MonteCarloCDOEngine2 | CDO engine, Monte Carlo for the sample payoff
MonteCarloModel< MC, RNG, S > | General-purpose Monte Carlo model for path samples
MoreGreeks | More additional option results
MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class
MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations
MTLCurrency | Maltese lira
MultiAssetOption | Base class for options on multiple assets
MultiAssetOption::results | Results from multi-asset option calculation
MultiCubicSpline< i > | N-dimensional cubic spline interpolation between discrete points
MultiPath | Correlated multiple asset paths
MultiPathGenerator< GSG > | Generates a multipath from a random number generator
MultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc)
MultiProductComposite | Composition of one or more market-model products
MultiProductMultiStep | Multiple-step market-model product
MultiProductOneStep | Single-step market-model product
MultiProductPathwiseWrapper |
MultiStepSwaption |
MultiVariate< RNG > | Default Monte Carlo traits for multi-variate models
MXNCurrency | Mexican peso
NelsonSiegelFitting | Nelson-Siegel fitting method
NeumannBC | Neumann boundary condition (i.e., constant derivative)
Newton | Newton 1-D solver
NewtonSafe | Safe Newton 1-D solver
NewZealand | New Zealand calendar
NLGCurrency | Dutch guilder
NoConstraint | No constraint
NOKCurrency | Norwegian krone
NonLinearLeastSquare | Non-linear least-square method
NormalDistribution | Normal distribution function
NormalFwdRatePc | Predictor-Corrector
NorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt
Norway | Norwegian calendar
NPRCurrency | Nepal rupee
NthToDefault | N-th to default swap
Null< Array > | Specialization of null template for this class
Null< Date > | Specialization of Null template for the Date class
NullCalendar | Calendar for reproducing theoretical calculations
NullCondition< array_type > | null step condition
NullParameter | Parameter which is always zero
NullPayoff | Dummy payoff class
NumericHaganPricer | CMS-coupon pricer
NZDCurrency | New Zealand dollar
NZDLibor | NZD LIBOR rate
Observable | Object that notifies its changes to a set of observers
ObservableValue< T > | observable and assignable proxy to concrete value
Observer | Object that gets notified when a given observable changes
OISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
OneAssetOption | Base class for options on a single asset
OneAssetOption::results | Results from single-asset option calculation
OneDayCounter | 1/1 day count convention
OneFactorAffineModel | Single-factor affine base class
OneFactorCopula | Abstract base class for one-factor copula models
OneFactorGaussianCopula | One-factor Gaussian Copula
OneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula
OneFactorModel | Single-factor short-rate model abstract class
OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics
OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable
OneFactorStudentCopula | One-factor Double Student t-Copula
OneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula
OperatorFactory | Black-Scholes-Merton differential operator
OptimizationMethod | Abstract class for constrained optimization method
Option | Base option class
Option::arguments | Basic option arguments
OptionletStripper |
OptionletStripper1 |
OptionletStripper2 |
OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure
OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class
OrthogonalizedBumpFinder |
OrthogonalProjections |
OvernightIndexedCoupon | Overnight coupon
OvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate
OvernightIndexedSwapIndex | Base class for overnight indexed swap indexes
OvernightLeg | Helper class building a sequence of overnight coupons
PagodaOption | Roofed Asian option on a number of assets
PagodaOption::engine | Pagoda-option engine base class
Parameter | Base class for model arguments
Parameter::Impl | Base class for model parameter implementation
Path | Single-factor random walk
PathGenerator< GSG > | Generates random paths using a sequence generator
PathMultiAssetOption | Base class for path-dependent options on multiple assets
PathMultiAssetOption::arguments | Arguments for multi-asset option calculation
PathMultiAssetOption::results | Results from multi-asset option calculation
PathPayoff | Abstract base class for path-dependent option payoffs
PathPricer< PathType, ValueType > | Base class for path pricers
PathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas
PathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
PathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
Payoff | Abstract base class for option payoffs
PEHCurrency | Peruvian sol
PEICurrency | Peruvian inti
PENCurrency | Peruvian nuevo sol
PercentageStrikePayoff | Payoff with strike expressed as percentage
Period |
PerturbativeBarrierOptionEngine | Perturbative barrier-option engine
PiecewiseConstantParameter | Piecewise-constant parameter
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > | Piecewise default-probability term structure
PiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model
PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > | Piecewise yield term structure
PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure
PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure
PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure
PiecewiseZeroSpreadedTermStructure | Term structure with an added vector of spreads on the zero-yield rate
PKRCurrency | Pakistani rupee
PlackettCopula | Plackett copula
PlainVanillaPayoff | Plain-vanilla payoff
PLNCurrency | Polish zloty
PoissonDistribution | Poisson distribution function
Poland | Polish calendar
Polynomial | Polynomial2D-spline-interpolation factory
Polynomial2DSpline | Polynomial2D-spline interpolation between discrete points
PositiveConstraint | Constraint imposing positivity to all arguments
PricingEngine | Interface for pricing engines
PricingPeriod | Time pricingperiod described by a number of a given time unit
PrimeNumbers | Prime numbers calculator
ProbabilityOfAtLeastNEvents | Probability of at least N events
ProbabilityOfNEvents | Probability of N events
Problem | Constrained optimization problem
ProjectedCostFunction | Parameterized cost function
Protection | Information on a default-protection contract
ProxyIbor | IborIndex calculated as proxy of some other IborIndex
PTECurrency | Portuguese escudo
Quantity | Amount of a commodity
QuantoBarrierOption | Quanto version of a barrier option
QuantoEngine< Instr, Engine > | Quanto engine
QuantoForwardVanillaOption | Quanto version of a forward vanilla option
QuantoOptionResults< ResultsType > | Results from quanto option calculation
QuantoTermStructure | Quanto term structure
QuantoVanillaOption | Quanto version of a vanilla option
Quote | Purely virtual base class for market observables
RandomDefaultModel | Base class for random default models
RandomizedLDS< LDS, PRS > | Randomized (random shift) low-discrepancy sequence
RandomSequenceGenerator< RNG > | Random sequence generator based on a pseudo-random number generator
RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons
Ranlux3UniformRng | Uniform random number generator
RatchetMaxPayoff | RatchetMax payoff (double option)
RatchetMinPayoff | RatchetMin payoff (double option)
RatchetPayoff | Ratchet payoff (single option)
RecoveryRateModel |
RecoveryRateQuote | Stores a recovery rate market quote and the associated seniority
RecursiveCdoEngine< CDOEngine, copulaT > |
Redemption | Bond redemption
Region | Region class, used for inflation applicability
RelativeDateBootstrapHelper< TS > | Bootstrap helper with date schedule relative to global evaluation date
RelinkableHandle< T > | Relinkable handle to an observable
RendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter
RendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter
ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost,
Replication | Digital option replication strategy
Restructuring | Restructuring type
Ridder | Ridder 1-D solver
RiskyAssetSwap | Risky asset-swap instrument
RiskyAssetSwapOption | Option on risky asset swap
RiskyBond |
RiskyFixedBond |
RiskyFloatingBond |
ROLCurrency | Romanian leu
RONCurrency | Romanian new leu
Rounding | Basic rounding class
Russia | Russian calendar
SABR | SABR interpolation factory and traits
SABRInterpolation | SABR smile interpolation between discrete volatility points
SabrVolSurface | SABR volatility (smile) surface
SalvagingAlgorithm | Algorithm used for matricial pseudo square root
Sample< T > | Weighted sample
SampledCurve | This class contains a sampled curve
SARCurrency | Saudi riyal
SaudiArabia | Saudi Arabian calendar
Schedule | Payment schedule
Seasonality | A transformation of an existing inflation swap rate
Secant | Secant 1-D solver
SeedGenerator | Random seed generator
SegmentIntegral | Integral of a one-dimensional function
SEKCurrency | Swedish krona
SEKLibor | SEK LIBOR rate
Settings | Global repository for run-time library settings
Settlement | settlement information
SGDCurrency | Singapore dollar
ShortRateModel | Abstract short-rate model class
ShoutCondition | Shout option condition
SimpleCashFlow | Predetermined cash flow
SimpleChooserOption | Simple chooser option
SimpleChooserOption::arguments | Extra arguments for single chooser option
SimpleChooserOption::engine | Simple chooser option engine base class
SimpleDayCounter | Simple day counter for reproducing theoretical calculations
SimpleLocalEstimator | Local-estimator volatility model
SimplePolynomialFitting | Simple polynomial fitting method
SimpleQuote | Market element returning a stored value
Simplex | Multi-dimensional simplex class
SimpsonIntegral | Integral of a one-dimensional function
Singapore | Singapore calendars
SingleProductComposite | Composition of one or more market-model products
Singleton< T > | Basic support for the singleton pattern
SingleVariate< RNG > | Default Monte Carlo traits for single-variate models
SITCurrency | Slovenian tolar
SKKCurrency | Slovak koruna
Slovakia | Slovak calendars
SmileSection | Interest rate volatility smile section
SMMDriftCalculator | Drift computation for coterminal swap market models
SobolBrownianGenerator | Sobol Brownian generator for market-model simulations
SobolRsg | Sobol low-discrepancy sequence generator
SoftCallability | callability leaving to the holder the possibility to convert
Solver1D< Impl > | Base class for 1-D solvers
Sonia | Sonia (Sterling Overnight Index Average) rate
SouthAfrica | South-African calendar
SouthKorea | South Korean calendars
SparseILUPreconditioner |
SphereCylinderOptimizer |
SpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper
SpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates
SpreadOption | Spread option on two assets
SpreadOption::engine | Spread option engine base class
SquareRootAndersen |
SquareRootProcess | Square-root process class
StatsHolder | Helper class for precomputed distributions
SteepestDescent | Multi-dimensional steepest-descent class
step_iterator< Iterator > | Iterator advancing in constant steps
StepCondition< array_type > | Condition to be applied at every time step
StepConditionSet< array_type > | Parallel evolver for multiple arrays
StickyMaxPayoff | StickyMax payoff (double option)
StickyMinPayoff | StickyMin payoff (double option)
StickyPayoff | Sticky payoff (single option)
StochasticProcess | Multi-dimensional stochastic process class
StochasticProcess1D | 1-dimensional stochastic process
StochasticProcess1D::discretization | Discretization of a 1-D stochastic process
StochasticProcess::discretization | Discretization of a stochastic process over a given time interval
StochasticProcessArray | Array of correlated 1-D stochastic processes
Stock | Simple stock class
StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike
StrippedOptionlet |
StrippedOptionletAdapter |
StrippedOptionletBase |
StudentDistribution | Student t-distribution
StulzEngine | Pricing engine for 2D European Baskets
SuperFundPayoff | Binary supershare and superfund payoffs
SuperSharePayoff | Binary supershare payoff
Surface | Surface abstract class
SurvivalProbability | Survival-Probability-curve traits
SurvivalProbabilityStructure | Hazard-rate term structure
SVD | Singular value decomposition
SVDDFwdRatePc |
SvenssonFitting | Svensson Fitting method
Swap | Interest rate swap
SwapIndex | Base class for swap-rate indexes
SwapRateHelper | Rate helper for bootstrapping over swap rates
Swaption | Swaption class
Swaption::arguments | Arguments for swaption calculation
Swaption::engine | Base class for swaption engines
SwaptionHelper | Calibration helper for ATM swaption
SwaptionVolatilityCube | Swaption-volatility cube
SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix
SwaptionVolatilityStructure | Swaption-volatility structure
Sweden | Swedish calendar
SwingExercise | Swing exercise
Switzerland | Swiss calendar
SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm
SyntheticCDO | Synthetic Collateralized Debt Obligation
SyntheticCDO::engine | CDO base engine
TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures
Taiwan | Taiwanese calendars
TARGET | TARGET calendar
TermStructure | Basic term-structure functionality
TermStructureConsistentModel | Term-structure consistent model class
TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting
THBCurrency | Thai baht
Thirty360 | 30/360 day count convention
Tian | Tian tree: third moment matching, multiplicative approach
Tibor | JPY TIBOR index
TimeBasket | Distribution over a number of dates
TimeGrid | Time grid class
TimeSeries< T, Container > | Container for historical data
TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson
TransformedGrid | Transformed grid
TrapezoidIntegral< IntegrationPolicy > | Integral of a one-dimensional function
TRBDF2< Operator > | TR-BDF2 scheme for finite difference methods
Tree< T > | Tree approximating a single-factor diffusion
TreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds
TreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds
TreeCapFloorEngine | Numerical lattice engine for cap/floors
TreeLattice< Impl > | Tree-based lattice-method base class
TreeLattice1D< Impl > | One-dimensional tree-based lattice
TreeLattice2D< Impl, T > | Two-dimensional tree-based lattice
TreeSwaptionEngine | Numerical lattice engine for swaptions
TreeVanillaSwapEngine | Numerical lattice engine for simple swaps
TridiagonalOperator | Base implementation for tridiagonal operator
TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic
Trigeorgis | Trigeorgis (additive equal jumps) binomial tree
TrinomialTree | Recombining trinomial tree class
TRLCurrency | Turkish lira
TRLibor | TRY LIBOR rate
TRYCurrency | New Turkish lira
TsiveriotisFernandesLattice< T > | Binomial lattice approximating the Tsiveriotis-Fernandes model
TTDCurrency | Trinidad & Tobago dollar
Turkey | Turkish calendar
TWDCurrency | Taiwan dollar
TwoFactorModel | Abstract base-class for two-factor models
TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables
TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable
TypePayoff | Intermediate class for put/call payoffs
Ukraine | Ukrainian calendars
UKRegion | United Kingdom as geographical/economic region
UKRPI | UK Retail Price Inflation Index
UnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
UnitedKingdom | United Kingdom calendars
UnitedStates | United States calendars
UnitOfMeasure | Unit of measure specification
UnitOfMeasureConversionManager | Repository of conversion factors between units of measure
UpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper
UpperBoundEngine | Market-model engine for upper-bound estimation
UpRounding | Up-rounding
USCPI | US CPI index
USDCurrency | U.S. dollar
USDLibor | USD LIBOR rate
USDLiborON | Overnight USD Libor index
UsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class
UsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class
USRegion | USA as geographical/economic region
VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset
VanillaStorageOption | Base option class
VanillaSwap | Plain-vanilla swap: fix vs floating leg
VanillaSwap::arguments | Arguments for simple swap calculation
VanillaSwap::results | Results from simple swap calculation
VanillaSwingOption | Base option class
VarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach
VarianceGammaModel | Variance Gamma model
VarianceGammaProcess | Variance gamma process
VarianceOption | Variance option
VarianceOption::arguments | Arguments for forward fair-variance calculation
VarianceOption::engine | Base class for variance-option engines
VarianceOption::results | Results from variance-option calculation
VarianceSwap | Variance swap
VarianceSwap::arguments | Arguments for forward fair-variance calculation
VarianceSwap::engine | Base class for variance-swap engines
VarianceSwap::results | Results from variance-swap calculation
Vasicek | Vasicek model class
Vasicek::Dynamics | Short-rate dynamics in the Vasicek model
VEBCurrency | Venezuelan bolivar
VegaBumpCollection |
VegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests
Visitor< T > | Visitor for a specific class
VolatilityTermStructure | Volatility term structure
WeekendsOnly | Weekends-only calendar
WriterExtensibleOption | Writer-extensible option
WriterExtensibleOption::arguments | Additional arguments for writer-extensible option
WriterExtensibleOption::engine | Base engine
YearOnYearInflationSwap | Year-on-year inflation-indexed swap
YearOnYearInflationSwap::arguments | Arguments for YoY swap calculation
YearOnYearInflationSwap::results | Results from YoY swap calculation
YearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper
YieldTermStructure | Interest-rate term structure
YoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure
YoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationCap | Concrete YoY Inflation cap class
YoYInflationCapFloor | Base class for yoy inflation cap-like instruments
YoYInflationCapFloor::arguments | Arguments for YoY Inflation cap/floor calculation
YoYInflationCapFloor::engine | Base class for cap/floor engines
YoYInflationCapFloorEngine | Base YoY inflation cap/floor engine
YoYInflationCollar | Concrete YoY Inflation collar class
YoYInflationCoupon | Coupon paying a YoY-inflation type index
YoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons
YoYInflationFloor | Concrete YoY Inflation floor class
YoYInflationIndex | Base class for year-on-year inflation indices
yoyInflationLeg |
YoYInflationTermStructure | Base class for year-on-year inflation term structures
YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
YoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap
YoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper
YoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces
YoYOptionletVolatilitySurface |
YYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio)
YYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio)
YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP)
YYEUHICPXT | Genuine year-on-year EU HICPXT
YYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio)
YYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio)
YYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio)
YYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio)
YYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
YYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI)
YYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI)
YYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI)
ZARCurrency | South-African rand
ZeroCondition< array_type > | Zero exercise condition
ZeroCouponBond | Zero-coupon bond
ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap
ZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper
ZeroInflationIndex | Base class for zero inflation indices
ZeroInflationTermStructure | Interface for zero inflation term structures
ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate
ZeroYield | Zero-curve traits
ZeroYieldStructure | Zero-yield term structure
Zibor | CHF ZIBOR rate
ZigguratRng | Ziggurat random-number generator