QuantLib: QuantLib Namespace Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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Classes | Typedefs | Enumerations | Functions
QuantLib Namespace Reference

## Classes
class | Abcd
| Abcd interpolation factory and traits More...
class | AbcdAtmVolCurve
| Abcd-interpolated at-the-money (no-smile) volatility curve. More...
class | AbcdFunction
| Abcd functional form for instantaneous volatility More...
class | AbcdInterpolation
| Abcd interpolation between discrete points. More...
class | AbcdVol
| Abcd-interpolated volatility structure More...
class | AccountingEngine
| Engine collecting cash flows along a market-model simulation. More...
class | Actual360
| Actual/360 day count convention. More...
class | Actual365Fixed
| Actual/365 (Fixed) day count convention. More...
class | Actual365NoLeap
| Actual/365 (No Leap) day count convention. More...
class | ActualActual
| Actual/Actual day count. More...
class | AcyclicVisitor
| degenerate base class for the Acyclic Visitor pattern More...
class | AdditiveEQPBinomialTree
| Additive equal probabilities binomial tree. More...
class | AffineModel
| Affine model class. More...
class | AliMikhailHaqCopula
| Ali-Mikhail-Haq copula. More...
class | AmericanCondition
| American exercise condition. More...
class | AmericanExercise
| American exercise. More...
class | AmericanPayoffAtExpiry
| Analytic formula for American exercise payoff at-expiry options. More...
class | AmericanPayoffAtHit
| Analytic formula for American exercise payoff at-hit options. More...
class | AmortizingCmsRateBond
| amortizing CMS-rate bond More...
class | AmortizingFixedRateBond
| amortizing fixed-rate bond More...
class | AmortizingFloatingRateBond
| amortizing floating-rate bond (possibly capped and/or floored) More...
class | AmortizingPayment
| Amortizing payment. More...
class | AnalyticAmericanMargrabeEngine
| Analytic engine for American Margrabe option. More...
class | AnalyticBarrierEngine
| Pricing engine for barrier options using analytical formulae. More...
class | AnalyticBinaryBarrierEngine
| Analytic pricing engine for American binary barriers options. More...
class | AnalyticBSMHullWhiteEngine
| analytic european option pricer including stochastic interest rates More...
class | AnalyticCapFloorEngine
| Analytic engine for cap/floor. More...
class | AnalyticCliquetEngine
| Pricing engine for Cliquet options using analytical formulae. More...
class | AnalyticCompoundOptionEngine
| Pricing engine for compound options using analytical formulae. More...
class | AnalyticContinuousFixedLookbackEngine
| Pricing engine for European continuous fixed-strike lookback. More...
class | AnalyticContinuousFloatingLookbackEngine
| Pricing engine for European continuous floating-strike lookback. More...
class | AnalyticContinuousGeometricAveragePriceAsianEngine
| Pricing engine for European continuous geometric average price Asian. More...
class | AnalyticContinuousPartialFixedLookbackEngine
| Pricing engine for European continuous partial-time fixed-strike lookback options. More...
class | AnalyticContinuousPartialFloatingLookbackEngine
| Pricing engine for European continuous partial-time floating-strike lookback option. More...
class | AnalyticDigitalAmericanEngine
| Analytic pricing engine for American vanilla options with digital payoff. More...
class | AnalyticDigitalAmericanKOEngine
| Analytic pricing engine for American Knock-out options with digital payoff. More...
class | AnalyticDiscreteGeometricAveragePriceAsianEngine
| Pricing engine for European discrete geometric average price Asian. More...
class | AnalyticDiscreteGeometricAverageStrikeAsianEngine
| Pricing engine for European discrete geometric average-strike Asian option. More...
class | AnalyticDividendEuropeanEngine
| Analytic pricing engine for European options with discrete dividends. More...
class | AnalyticDoubleBarrierBinaryEngine
| Analytic pricing engine for double barrier binary options. More...
class | AnalyticDoubleBarrierEngine
| Pricing engine for double barrier european options using analytical formulae. More...
class | AnalyticEuropeanEngine
| Pricing engine for European vanilla options using analytical formulae. More...
class | AnalyticEuropeanMargrabeEngine
| Analytic engine for European Margrabe option. More...
class | AnalyticGJRGARCHEngine
| GJR-GARCH(1,1) engine. More...
class | AnalyticH1HWEngine
| Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
class | AnalyticHaganPricer
| CMS-coupon pricer. More...
class | AnalyticHestonEngine
| analytic Heston-model engine based on Fourier transform More...
class | AnalyticHestonHullWhiteEngine
| Analytic Heston engine incl. stochastic interest rates. More...
class | AnalyticPDFHestonEngine
| Analytic engine for arbitrary European payoffs under the Heston model. More...
class | AnalyticPerformanceEngine
| Pricing engine for performance options using analytical formulae. More...
class | AnalyticPTDHestonEngine
| analytic piecewise constant time dependent Heston-model engine More...
class | AnalyticSimpleChooserEngine
| Pricing engine for European Simple Chooser option. More...
class | AnalyticTwoAssetBarrierEngine
| Analytic engine for barrier option on two assets. More...
class | AnalyticTwoAssetCorrelationEngine
| Analytic two-asset correlation option engine. More...
class | AnalyticWriterExtensibleOptionEngine
| Analytic engine for writer-extensible options. More...
class | Argentina
| Argentinian calendars. More...
class | ArmijoLineSearch
| Armijo line search. More...
class | Array
| 1-D array used in linear algebra. More...
class | ARSCurrency
| Argentinian peso. More...
class | AssetOrNothingPayoff
| Binary asset-or-nothing payoff. More...
class | AssetSwap
| Bullet bond vs Libor swap. More...
struct | ASX
| Main cycle of the Australian Securities Exchange (a.k.a. ASX) months. More...
struct | AtomicDefault
| Atomic (single contractual event) default events. More...
class | ATSCurrency
| Austrian shilling. More...
class | AUCPI
| AU CPI index (either quarterly or annual) More...
class | AUDCurrency
| Australian dollar. More...
class | AUDLibor
| AUD LIBOR rate More...
class | Australia
| Australian calendar. More...
class | AustraliaRegion
| Australia as geographical/economic region. More...
struct | Average
| Placeholder for enumerated averaging types. More...
class | AverageBMACoupon
| Average BMA coupon. More...
class | AverageBMALeg
| helper class building a sequence of average BMA coupons More...
class | BachelierCapFloorEngine
| Bachelier-Black-formula cap/floor engine. More...
class | BachelierYoYInflationCouponPricer
| Bachelier-formula pricer for capped/floored yoy inflation coupons. More...
class | BackwardFlat
| Backward-flat interpolation factory and traits. More...
class | BackwardFlatInterpolation
| Backward-flat interpolation between discrete points. More...
class | BaroneAdesiWhaleyApproximationEngine
| Barone-Adesi and Whaley pricing engine for American options (1987) More...
struct | Barrier
| Placeholder for enumerated barrier types. More...
class | BarrierOption
| Barrier option on a single asset. More...
class | BaseCorrelationLossModel
class | BaseCorrelationTermStructure
class | Basket
class | BasketOption
| Basket option on a number of assets. More...
class | BatesEngine
| Bates model engines based on Fourier transform. More...
class | BatesModel
| Bates stochastic-volatility model. More...
class | BatesProcess
| Square-root stochastic-volatility Bates process. More...
class | BDTCurrency
| Bangladesh taka. More...
class | BEFCurrency
| Belgian franc. More...
class | BermudanExercise
| Bermudan exercise. More...
class | BernsteinPolynomial
| class of Bernstein polynomials More...
class | BespokeCalendar
| Bespoke calendar. More...
class | BFGS
| Broyden-Fletcher-Goldfarb-Shanno algorithm. More...
class | BGLCurrency
| Bulgarian lev. More...
class | Bicubic
| bicubic-spline-interpolation factory More...
class | BicubicSpline
| bicubic-spline interpolation between discrete points More...
class | Bilinear
| bilinear-interpolation factory More...
class | BilinearInterpolation
| bilinear interpolation between discrete points More...
class | BinomialBarrierEngine
| Pricing engine for barrier options using binomial trees. More...
class | BinomialConvertibleEngine
| Binomial Tsiveriotis-Fernandes engine for convertible bonds. More...
class | BinomialDistribution
| Binomial probability distribution function. More...
class | BinomialDoubleBarrierEngine
| Pricing engine for double barrier options using binomial trees. More...
class | BinomialLossModel
class | BinomialProbabilityOfAtLeastNEvents
| Probability of at least N events. More...
class | BinomialTree
| Binomial tree base class. More...
class | BinomialVanillaEngine
| Pricing engine for vanilla options using binomial trees. More...
class | Bisection
| Bisection 1-D solver More...
class | BivariateCumulativeNormalDistributionDr78
| Cumulative bivariate normal distribution function. More...
class | BivariateCumulativeNormalDistributionWe04DP
| Cumulative bivariate normal distibution function (West 2004) More...
class | BivariateCumulativeStudentDistribution
| Cumulative Student t-distribution. More...
class | BjerksundStenslandApproximationEngine
| Bjerksund and Stensland pricing engine for American options (1993) More...
class | BlackAtmVolCurve
| Black at-the-money (no-smile) volatility curve. More...
class | BlackCalculator
| Black 1976 calculator class. More...
class | BlackCallableFixedRateBondEngine
| Black-formula callable fixed rate bond engine. More...
class | BlackCallableZeroCouponBondEngine
| Black-formula callable zero coupon bond engine. More...
class | BlackCapFloorEngine
| Black-formula cap/floor engine. More...
class | BlackCdsOptionEngine
| Black-formula CDS-option engine. More...
class | BlackConstantVol
| Constant Black volatility, no time-strike dependence. More...
class | BlackDeltaCalculator
| Black delta calculator class. More...
class | BlackIborCouponPricer
| Black-formula pricer for capped/floored Ibor coupons. More...
class | BlackKarasinski
| Standard Black-Karasinski model class. More...
class | BlackProcess
| Black (1976) stochastic process. More...
class | BlackScholesCalculator
| Black-Scholes 1973 calculator class. More...
class | BlackScholesLattice
| Simple binomial lattice approximating the Black-Scholes model. More...
class | BlackScholesMertonProcess
| Merton (1973) extension to the Black-Scholes stochastic process. More...
class | BlackScholesProcess
| Black-Scholes (1973) stochastic process. More...
class | BlackSwaptionEngine
| Black-formula swaption engine. More...
class | BlackVarianceCurve
| Black volatility curve modelled as variance curve. More...
class | BlackVarianceSurface
| Black volatility surface modelled as variance surface. More...
class | BlackVarianceTermStructure
| Black variance term structure. More...
class | BlackVolatilityTermStructure
| Black-volatility term structure. More...
class | BlackVolSurface
| Black volatility (smile) surface. More...
class | BlackVolTermStructure
| Black-volatility term structure. More...
class | BlackYoYInflationCouponPricer
| Black-formula pricer for capped/floored yoy inflation coupons. More...
class | BMAIndex
| Bond Market Association index. More...
class | BMASwap
| swap paying Libor against BMA coupons More...
class | BMASwapRateHelper
| Rate helper for bootstrapping over BMA swap rates. More...
class | Bond
| Base bond class. More...
struct | BondFunctions
| Bond adapters of CashFlows functions. More...
class | BondHelper
| Bond helper for curve bootstrap. More...
class | BootstrapError
| bootstrap error More...
class | BootstrapHelper
| Base helper class for bootstrapping. More...
class | BoundaryCondition
| Abstract boundary condition class for finite difference problems. More...
class | BoundaryConstraint
| Constraint imposing all arguments to be in [low,high] More...
class | BoxMullerGaussianRng
| Gaussian random number generator. More...
class | Brazil
| Brazilian calendar. More...
class | Brent
| Brent 1-D solver More...
class | BRLCurrency
| Brazilian real. More...
class | BrownianBridge
| Builds Wiener process paths using Gaussian variates. More...
class | BSMOperator
| Black-Scholes-Merton differential operator. More...
class | BSpline
| B-spline basis functions. More...
class | BTP
| Italian BTP (Buono Poliennali del Tesoro) fixed rate bond. More...
class | Business252
| Business/252 day count convention. More...
class | BYRCurrency
| Belarussian ruble. More...
class | CADCurrency
| Canadian dollar. More...
class | CADLibor
| CAD LIBOR rate More...
class | CADLiborON
| Overnight CAD Libor index. More...
class | Calendar
| calendar class More...
class | CalibratedModel
| Calibrated model class. More...
class | CalibrationHelper
| liquid market instrument used during calibration More...
class | Callability
| instrument callability More...
class | CallableBond
| Callable bond base class. More...
class | CallableBondConstantVolatility
| Constant callable-bond volatility, no time-strike dependence. More...
class | CallableBondVolatilityStructure
| Callable-bond volatility structure. More...
class | CallableFixedRateBond
| callable/puttable fixed rate bond More...
class | CallableZeroCouponBond
| callable/puttable zero coupon bond More...
class | Canada
| Canadian calendar. More...
class | Cap
| Concrete cap class. More...
class | CapFloor
| Base class for cap-like instruments. More...
class | CapFloorTermVolatilityStructure
| Cap/floor term-volatility structure. More...
class | CapFloorTermVolCurve
| Cap/floor at-the-money term-volatility vector. More...
class | CapFloorTermVolSurface
| Cap/floor smile volatility surface. More...
class | CapHelper
| calibration helper for ATM cap More...
class | CappedFlooredCoupon
| Capped and/or floored floating-rate coupon. More...
class | CappedFlooredYoYInflationCoupon
| Capped or floored inflation coupon. More...
class | CapPseudoDerivative
class | CashFlow
| Base class for cash flows. More...
class | CashFlows
| cashflow-analysis functions More...
class | CashOrNothingPayoff
| Binary cash-or-nothing payoff. More...
class | CCTEU
class | CDO
| collateralized debt obligation More...
class | Cdor
| CDOR rate More...
class | CdsHelper
class | CdsOption
| CDS option. More...
class | CeilingTruncation
| Ceiling truncation. More...
class | CHFCurrency
| Swiss franc. More...
class | CHFLibor
| CHF LIBOR rate More...
class | ChfLiborSwapIsdaFix
| ChfLiborSwapIsdaFix index base class More...
class | China
| Chinese calendar. More...
class | Claim
| Claim associated to a default event. More...
class | ClaytonCopula
| Clayton copula. More...
class | ClaytonCopulaRng
| Clayton copula random-number generator. More...
class | CLGaussianRng
| Gaussian random number generator. More...
class | CliquetOption
| cliquet (Ratchet) option More...
class | Clone
| cloning proxy to an underlying object More...
class | ClosestRounding
| Closest rounding. More...
class | CLPCurrency
| Chilean peso. More...
class | CmsCoupon
| CMS coupon class. More...
class | CmsCouponPricer
| base pricer for vanilla CMS coupons More...
class | CmsLeg
| helper class building a sequence of capped/floored cms-rate coupons More...
class | CmsMarket
| set of CMS quotes More...
class | CMSMMDriftCalculator
| Drift computation for CMS market models. More...
class | CmsRateBond
| CMS-rate bond. More...
class | CmsSpreadCoupon
| CMS spread coupon class. More...
class | CmsSpreadCouponPricer
| base pricer for vanilla CMS spread coupons More...
class | CmsSpreadLeg
| helper class building a sequence of capped/floored cms-spread-rate coupons More...
class | CMSwapCurveState
| Curve state for constant-maturity-swap market models More...
class | CNYCurrency
| Chinese yuan. More...
class | Collar
| Concrete collar class. More...
class | Commodity
| Commodity base class. More...
class | CommodityCurve
| Commodity term structure. More...
class | CommodityIndex
| base class for commodity indexes More...
class | CommodityPricingHelper
| commodity index helper More...
class | CommoditySettings
| global repository for run-time library settings More...
class | CommodityType
| commodity type More...
class | Composite
| Composite pattern. More...
class | CompositeConstraint
| Constraint enforcing both given sub-constraints More...
class | CompositeInstrument
| Composite instrument More...
class | CompositeQuote
| market element whose value depends on two other market element More...
class | CompoundOption
| Compound option on a single asset. More...
class | ConjugateGradient
| Multi-dimensional Conjugate Gradient class. More...
class | ConstantCapFloorTermVolatility
| Constant caplet volatility, no time-strike dependence. More...
class | ConstantCPIVolatility
| Constant surface, no K or T dependence. More...
class | ConstantEstimator
| Constant-estimator volatility model. More...
class | ConstantLossLatentmodel
class | ConstantLossModel
class | ConstantOptionletVolatility
| Constant caplet volatility, no time-strike dependence. More...
class | ConstantParameter
| Standard constant parameter \( a(t) = a \). More...
class | ConstantRecoveryModel
class | ConstantSwaptionVolatility
| Constant swaption volatility, no time-strike dependence. More...
class | ConstantYoYOptionletVolatility
| Constant surface, no K or T dependence. More...
class | ConstrainedEvolver
| Constrained market-model evolver. More...
class | Constraint
| Base constraint class. More...
class | ContinuousArithmeticAsianVecerEngine
| Vecer engine for continuous-avaeraging Asian options. More...
class | ContinuousAveragingAsianOption
| Continuous-averaging Asian option. More...
class | ContinuousFixedLookbackOption
| Continuous-fixed lookback option. More...
class | ContinuousFloatingLookbackOption
| Continuous-floating lookback option. More...
class | ContinuousPartialFixedLookbackOption
| Continuous-partial-fixed lookback option. More...
class | ContinuousPartialFloatingLookbackOption
| Continuous-partial-floating lookback option. More...
class | ConvergenceStatistics
| statistics class with convergence table More...
class | ConvertibleBond
| base class for convertible bonds More...
class | ConvertibleFixedCouponBond
| convertible fixed-coupon bond More...
class | ConvertibleFloatingRateBond
| convertible floating-rate bond More...
class | ConvertibleZeroCouponBond
| convertible zero-coupon bond More...
class | ConvexMonotone
| Convex-monotone interpolation factory and traits. More...
class | ConvexMonotoneInterpolation
| Convex monotone yield-curve interpolation method. More...
class | COPCurrency
| Colombian peso. More...
class | CorrelationTermStructure
class | CostFunction
| Cost function abstract class for optimization problem. More...
class | CoterminalSwapCurveState
| Curve state for coterminal-swap market models More...
class | Coupon
| coupon accruing over a fixed period More...
class | CovarianceDecomposition
| Covariance decomposition into correlation and variances. More...
class | CoxIngersollRoss
| Cox-Ingersoll-Ross model class. More...
class | CoxRossRubinstein
| Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
class | CPIBond
class | CPIBondHelper
| CPI bond helper for curve bootstrap. More...
class | CPICapFloor
| CPI cap or floor. More...
class | CPICapFloorTermPriceSurface
| Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More...
class | CPICashFlow
| Cash flow paying the performance of a CPI (zero inflation) index. More...
class | CPICoupon
| Coupon paying the performance of a CPI (zero inflation) index More...
class | CPICouponPricer
| base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More...
class | CPILeg
| Helper class building a sequence of capped/floored CPI coupons. More...
class | CPISwap
| zero-inflation-indexed swap, More...
class | CPIVolatilitySurface
| zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More...
class | CrankNicolson
| Crank-Nicolson scheme for finite difference methods. More...
class | CreditDefaultSwap
| Credit default swap. More...
class | CreditRiskPlus
class | Cubic
| Cubic interpolation factory and traits More...
class | CubicBSplinesFitting
| CubicSpline B-splines fitting method. More...
class | CubicInterpolation
| Cubic interpolation between discrete points. More...
class | CumulativeBehrensFisher
| Cumulative (generalized) BehrensFisher distribution. More...
class | CumulativeBinomialDistribution
| Cumulative binomial distribution function. More...
class | CumulativeNormalDistribution
| Cumulative normal distribution function. More...
class | CumulativePoissonDistribution
| Cumulative Poisson distribution function. More...
class | CumulativeStudentDistribution
| Cumulative Student t-distribution. More...
class | CuriouslyRecurringTemplate
| Support for the curiously recurring template pattern. More...
class | Currency
| Currency specification More...
class | Curve
| abstract curve class More...
class | CurveState
| Curve state for market-model simulations More...
class | CustomRegion
| Custom geographical/economic region. More...
class | CYPCurrency
| Cyprus pound. More...
class | CzechRepublic
| Czech calendars. More...
class | CZKCurrency
| Czech koruna. More...
class | DailyTenorCHFLibor
| base class for the one day deposit BBA CHF LIBOR indexes More...
class | DailyTenorEURLibor
| base class for the one day deposit BBA EUR LIBOR indexes More...
class | DailyTenorGBPLibor
| base class for the one day deposit BBA GBP LIBOR indexes More...
class | DailyTenorJPYLibor
| base class for the one day deposit BBA JPY LIBOR indexes More...
class | DailyTenorLibor
| base class for all O/N-S/N BBA LIBOR indexes but the EUR ones More...
class | DailyTenorUSDLibor
| base class for the one day deposit BBA USD LIBOR indexes More...
class | Date
| Concrete date class. More...
class | DatedOISRateHelper
| Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
struct | DateGeneration
| Date-generation rule. More...
class | DateInterval
| Date interval described by a number of a given time unit. More...
class | DayCounter
| day counter class More...
struct | DefaultDensity
| Default-density-curve traits. More...
class | DefaultDensityStructure
| Default-density term structure. More...
class | DefaultEvent
| Credit event on a bond of a certain seniority(ies)/currency. More...
class | DefaultLatentModel
| Default event Latent Model. More...
class | DefaultLossModel
class | DefaultProbabilityTermStructure
| Default probability term structure. More...
class | DefaultProbKey
class | DefaultType
| Atomic credit-event type. More...
class | DeltaVolQuote
| Class for the quotation of delta vs vol. More...
class | DEMCurrency
| Deutsche mark. More...
class | Denmark
| Danish calendar. More...
class | DepositRateHelper
| Rate helper for bootstrapping over deposit rates. More...
class | DerivedQuote
| market quote whose value depends on another quote More...
class | DifferentialEvolution
| Differential Evolution configuration object. More...
class | DigitalCmsCoupon
| Cms-rate coupon with digital digital call/put option. More...
class | DigitalCmsLeg
| helper class building a sequence of digital ibor-rate coupons More...
class | DigitalCmsSpreadCoupon
| Cms-spread-rate coupon with digital digital call/put option. More...
class | DigitalCmsSpreadLeg
| helper class building a sequence of digital ibor-rate coupons More...
class | DigitalCoupon
| Digital-payoff coupon. More...
class | DigitalIborCoupon
| Ibor rate coupon with digital digital call/put option. More...
class | DigitalIborLeg
| helper class building a sequence of digital ibor-rate coupons More...
class | DirichletBC
| Neumann boundary condition (i.e., constant value) More...
struct | Discount
| Discount-curve traits. More...
class | DiscrepancyStatistics
| Statistic tool for sequences with discrepancy calculation. More...
class | DiscreteAveragingAsianOption
| Discrete-averaging Asian option. More...
class | DiscreteTrapezoidIntegral
class | DiscretizedAsset
| Discretized asset class used by numerical methods. More...
class | DiscretizedDermanKaniDoubleBarrierOption
| Derman-Kani-Ergener-Bardhan discretized option helper class. More...
class | DiscretizedDiscountBond
| Useful discretized discount bond asset. More...
class | DiscretizedDoubleBarrierOption
| Standard discretized option helper class. More...
class | DiscretizedOption
| Discretized option on a given asset. More...
class | Disposable
| generic disposable object with move semantics More...
class | Dividend
| Predetermined cash flow. More...
class | DividendBarrierOption
| Single-asset barrier option with discrete dividends. More...
class | DividendVanillaOption
| Single-asset vanilla option (no barriers) with discrete dividends. More...
class | DKKCurrency
| Danish krone. More...
class | DKKLibor
| DKK LIBOR rate More...
class | DMinus
| \( D_{-} \) matricial representation More...
struct | DoubleBarrier
| Placeholder for enumerated barrier types. More...
class | DoubleBarrierOption
| Double Barrier option on a single asset. More...
class | DoubleStickyRatchetPayoff
| Intermediate class for single/double sticky/ratchet payoffs. More...
class | DownRounding
| Down-rounding. More...
class | DPlus
| \( D_{+} \) matricial representation More...
class | DPlusDMinus
| \( D_{+}D_{-} \) matricial representation More...
class | DriftTermStructure
| Drift term structure. More...
struct | Duration
| duration type More...
class | DZero
| \( D_{0} \) matricial representation More...
struct | earlier_than
| compare two objects by date More...
class | EarlyExercise
| Early-exercise base class. More...
class | EarlyExercisePathPricer
| base class for early exercise path pricers More...
struct | ECB
| European Central Bank reserve maintenance dates. More...
class | EEKCurrency
| Estonian kroon. More...
class | EndCriteria
| Criteria to end optimization process: More...
class | EndEulerDiscretization
| Euler end-point discretization for stochastic processes. More...
class | EnergyBasisSwap
| Energy basis swap. More...
class | EnergyCommodity
| Energy commodity class. More...
class | EnergyFuture
| Energy future. More...
class | EnergyVanillaSwap
| Vanilla energy swap. More...
class | Eonia
| Eonia (Euro Overnight Index Average) rate fixed by the ECB. More...
class | EqualJumpsBinomialTree
| Base class for equal jumps binomial tree. More...
class | EqualProbabilitiesBinomialTree
| Base class for equal probabilities binomial tree. More...
class | EquityFXVolSurface
| Equity/FX volatility (smile) surface. More...
class | Error
| Base error class. More...
class | ErrorFunction
| Error function More...
class | ESPCurrency
| Spanish peseta. More...
class | EUHICP
| EU HICP index. More...
class | EUHICPXT
| EU HICPXT index. More...
class | EulerDiscretization
| Euler discretization for stochastic processes. More...
class | EURCurrency
| European Euro. More...
class | EURegion
| European Union as geographical/economic region. More...
class | Euribor
| Euribor index More...
class | Euribor10M
| 10-months Euribor index More...
class | Euribor11M
| 11-months Euribor index More...
class | Euribor1M
| 1-month Euribor index More...
class | Euribor1Y
| 1-year Euribor index More...
class | Euribor2M
| 2-months Euribor index More...
class | Euribor2W
| 2-weeks Euribor index More...
class | Euribor365
| Actual/365 Euribor index. More...
class | Euribor365_10M
| 10-months Euribor365 index More...
class | Euribor365_11M
| 11-months Euribor365 index More...
class | Euribor365_1M
| 1-month Euribor365 index More...
class | Euribor365_1Y
| 1-year Euribor365 index More...
class | Euribor365_2M
| 2-months Euribor365 index More...
class | Euribor365_2W
| 2-weeks Euribor365 index More...
class | Euribor365_3M
| 3-months Euribor365 index More...
class | Euribor365_3W
| 3-weeks Euribor365 index More...
class | Euribor365_4M
| 4-months Euribor365 index More...
class | Euribor365_5M
| 5-months Euribor365 index More...
class | Euribor365_6M
| 6-months Euribor365 index More...
class | Euribor365_7M
| 7-months Euribor365 index More...
class | Euribor365_8M
| 8-months Euribor365 index More...
class | Euribor365_9M
| 9-months Euribor365 index More...
class | Euribor365_SW
| 1-week Euribor365 index More...
class | Euribor3M
| 3-months Euribor index More...
class | Euribor3W
| 3-weeks Euribor index More...
class | Euribor4M
| 4-months Euribor index More...
class | Euribor5M
| 5-months Euribor index More...
class | Euribor6M
| 6-months Euribor index More...
class | Euribor7M
| 7-months Euribor index More...
class | Euribor8M
| 8-months Euribor index More...
class | Euribor9M
| 9-months Euribor index More...
class | EuriborSW
| 1-week Euribor index More...
class | EuriborSwapIfrFix
| EuriborSwapIfrFix index base class More...
class | EuriborSwapIsdaFixA
| EuriborSwapIsdaFixA index base class More...
class | EuriborSwapIsdaFixB
| EuriborSwapIsdaFixB index base class More...
class | EURLibor
| base class for all BBA EUR LIBOR indexes but the O/N More...
class | EURLibor10M
| 10-months EUR Libor index More...
class | EURLibor11M
| 11-months EUR Libor index More...
class | EURLibor1M
| 1-month EUR Libor index More...
class | EURLibor1Y
| 1-year EUR Libor index More...
class | EURLibor2M
| 2-months EUR Libor index More...
class | EURLibor2W
| 2-weeks EUR Libor index More...
class | EURLibor3M
| 3-months EUR Libor index More...
class | EURLibor4M
| 4-months EUR Libor index More...
class | EURLibor5M
| 5-months EUR Libor index More...
class | EURLibor6M
| 6-months EUR Libor index More...
class | EURLibor7M
| 7-months EUR Libor index More...
class | EURLibor8M
| 8-months EUR Libor index More...
class | EURLibor9M
| 9-months EUR Libor index More...
class | EURLiborON
| Overnight EUR Libor index. More...
class | EURLiborSW
| 1-week EUR Libor index More...
class | EurLiborSwapIfrFix
| EurLiborSwapIfrFix index base class More...
class | EurLiborSwapIsdaFixA
| EurLiborSwapIsdaFixA index base class More...
class | EurLiborSwapIsdaFixB
| EurLiborSwapIsdaFixB index base class More...
class | EurodollarFuturesImpliedStdDevQuote
| quote for the Eurodollar-future implied standard deviation More...
class | EuropeanExercise
| European exercise. More...
class | EuropeanOption
| European option on a single asset. More...
class | Event
| Base class for event. More...
class | EvolutionDescription
| Market-model evolution description. More...
class | ExchangeRate
| exchange rate between two currencies More...
class | ExchangeRateManager
| exchange-rate repository More...
class | Exercise
| Base exercise class. More...
class | ExplicitEuler
| Forward Euler scheme for finite difference methods More...
class | ExponentialJump1dMesher
class | ExponentialSplinesFitting
| Exponential-splines fitting method. More...
class | ExtendedAdditiveEQPBinomialTree
| Additive equal probabilities binomial tree. More...
class | ExtendedBinomialTree
| Binomial tree base class. More...
class | ExtendedBlackScholesMertonProcess
| experimental Black-Scholes-Merton stochastic process More...
class | ExtendedBlackVarianceCurve
| Black volatility curve modelled as variance curve. More...
class | ExtendedBlackVarianceSurface
| Black volatility surface modelled as variance surface. More...
class | ExtendedCoxIngersollRoss
| Extended Cox-Ingersoll-Ross model class. More...
class | ExtendedCoxRossRubinstein
| Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
class | ExtendedEqualJumpsBinomialTree
| Base class for equal jumps binomial tree. More...
class | ExtendedEqualProbabilitiesBinomialTree
| Base class for equal probabilities binomial tree. More...
class | ExtendedJarrowRudd
| Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
class | ExtendedLeisenReimer
| Leisen & Reimer tree: multiplicative approach. More...
class | ExtendedOrnsteinUhlenbeckProcess
| Extended Ornstein-Uhlenbeck process class. More...
class | ExtendedTian
| Tian tree: third moment matching, multiplicative approach More...
class | ExtendedTrigeorgis
| Trigeorgis (additive equal jumps) binomial tree More...
class | ExtOUWithJumpsProcess
class | Extrapolator
| base class for classes possibly allowing extrapolation More...
class | FaceValueAccrualClaim
| Claim on the notional of a reference security, including accrual. More...
class | FaceValueClaim
| Claim on a notional. More...
class | Factorial
| Factorial numbers calculator More...
class | FactorSpreadedHazardRateCurve
| Default-probability structure with a multiplicative spread on hazard rates. More...
class | FailureToPay
| Failure to Pay atomic event type. More...
class | FalsePosition
| False position 1-D solver. More...
class | FarlieGumbelMorgensternCopula
| Farlie-Gumbel-Morgenstern copula. More...
class | FarlieGumbelMorgensternCopulaRng
| Farlie-Gumbel-Morgenstern copula random-number generator. More...
class | FastFourierTransform
| FFT implementation. More...
class | FaureRsg
| Faure low-discrepancy sequence generator. More...
class | Fd2dBlackScholesVanillaEngine
| Two dimensional finite-differences Black Scholes vanilla option engine. More...
class | FDAmericanEngine
| Finite-differences pricing engine for American one asset options. More...
class | FdBatesVanillaEngine
| Partial Integro FiniteDifferences Bates Vanilla Option engine. More...
class | FDBermudanEngine
| Finite-differences Bermudan engine. More...
class | FdBlackScholesBarrierEngine
| Finite-Differences Black Scholes barrier option engine. More...
class | FdBlackScholesRebateEngine
| Finite-Differences Black Scholes barrier option rebate helper engine. More...
class | FDDividendAmericanEngine
| Finite-differences pricing engine for dividend American options. More...
class | FDDividendEngineBase
| Abstract base class for dividend engines. More...
class | FDDividendEngineMerton73
| Finite-differences pricing engine for dividend options using escowed dividends model. More...
class | FDDividendEngineShiftScale
| Finite-differences engine for dividend options using shifted dividends. More...
class | FDDividendEuropeanEngine
| Finite-differences pricing engine for dividend European options. More...
class | FDDividendShoutEngine
| Finite-differences shout engine with dividends. More...
class | FDEuropeanEngine
| Pricing engine for European options using finite-differences. More...
class | FdHestonBarrierEngine
| Finite-Differences Heston Barrier Option engine. More...
class | FdHestonHullWhiteVanillaEngine
| Finite-Differences Heston Hull-White Vanilla Option engine. More...
class | FdHestonRebateEngine
| Finite-Differences Heston Barrier Option rebate helper engine. More...
class | FdHestonVanillaEngine
| Finite-Differences Heston Vanilla Option engine. More...
class | FdmExtOUJumpOp
class | FdmKlugeExtOUOp
class | FDShoutEngine
| Finite-differences pricing engine for shout vanilla options. More...
class | FDStepConditionEngine
| Finite-differences pricing engine for American-style vanilla options. More...
class | FDVanillaEngine
| Finite-differences pricing engine for BSM one asset options. More...
class | FedFunds
| Fed Funds rate fixed by the FED. More...
class | FFTEngine
| Base class for FFT pricing engines for European vanilla options. More...
class | FFTVanillaEngine
| FFT Pricing engine vanilla options under a Black Scholes process. More...
class | FFTVarianceGammaEngine
| FFT engine for vanilla options under a Variance Gamma process. More...
class | FilonIntegral
| Integral of a one-dimensional function. More...
class | FIMCurrency
| Finnish markka. More...
class | FiniteDifferenceModel
| Generic finite difference model. More...
class | FiniteDifferenceNewtonSafe
| safe Newton 1-D solver with finite difference derivatives More...
class | Finland
| Finnish calendar. More...
class | FittedBondDiscountCurve
| Discount curve fitted to a set of fixed-coupon bonds. More...
class | FixedDividend
| Predetermined cash flow. More...
class | FixedRateBond
| fixed-rate bond More...
class | FixedRateBondForward
| Forward contract on a fixed-rate bond More...
class | FixedRateBondHelper
| Fixed-coupon bond helper for curve bootstrap. More...
class | FixedRateCoupon
| Coupon paying a fixed interest rate More...
class | FixedRateLeg
| helper class building a sequence of fixed rate coupons More...
class | FlatForward
| Flat interest-rate curve. More...
class | FlatHazardRate
| Flat hazard-rate curve. More...
class | FloatFloatSwap
| float float swap More...
class | FloatFloatSwaption
| floatfloat swaption class More...
class | FloatingCatBond
| floating-rate cat bond (possibly capped and/or floored) More...
class | FloatingRateBond
| floating-rate bond (possibly capped and/or floored) More...
class | FloatingRateCoupon
| base floating-rate coupon class More...
class | FloatingRateCouponPricer
| generic pricer for floating-rate coupons More...
class | FloatingTypePayoff
| Payoff based on a floating strike More...
class | Floor
| Concrete floor class. More...
class | FloorTruncation
| Floor truncation. More...
class | FordeHestonExpansion
class | Forward
| Abstract base forward class. More...
class | ForwardFlat
| Forward-flat interpolation factory and traits. More...
class | ForwardFlatInterpolation
| Forward-flat interpolation between discrete points. More...
class | ForwardMeasureProcess
| forward-measure stochastic process More...
class | ForwardMeasureProcess1D
| forward-measure 1-D stochastic process More...
class | ForwardOptionArguments
| Arguments for forward (strike-resetting) option calculation More...
class | ForwardPerformanceVanillaEngine
| Forward performance engine for vanilla options More...
struct | ForwardRate
| Forward-curve traits. More...
class | ForwardRateStructure
| Forward-rate term structure More...
class | ForwardSpreadedTermStructure
| Term structure with added spread on the instantaneous forward rate. More...
class | ForwardSwapQuote
| Quote for a forward starting swap. More...
class | ForwardTypePayoff
| Class for forward type payoffs. More...
class | ForwardValueQuote
| quote for the forward value of an index More...
class | ForwardVanillaEngine
| Forward engine for vanilla options More...
class | ForwardVanillaOption
| Forward version of a vanilla option More...
class | FractionalDividend
| Predetermined cash flow. More...
class | FranceRegion
| France as geographical/economic region. More...
class | FrankCopula
| Frank copula. More...
class | FrankCopulaRng
| Frank copula random-number generator. More...
class | FraRateHelper
| Rate helper for bootstrapping over FRA rates. More...
class | FRFCurrency
| French franc. More...
class | FRHICP
| FR HICP index. More...
class | FuturesConvAdjustmentQuote
| quote for the futures-convexity adjustment of an index More...
class | FuturesRateHelper
| Rate helper for bootstrapping over IborIndex futures prices. More...
class | G2
| Two-additive-factor gaussian model class. More...
class | G2ForwardProcess
| Forward G2 stochastic process More...
class | G2Process
| G2 stochastic process More...
class | G2SwaptionEngine
| Swaption priced by means of the Black formula More...
class | GalambosCopula
| Galambos copula. More...
class | GammaFunction
| Gamma function class. More...
class | GapPayoff
| Binary gap payoff. More...
class | Garch11
| GARCH volatility model. More...
class | GarmanKlassAbstract
| Garman-Klass volatility model. More...
class | GarmanKohlagenProcess
| Garman-Kohlhagen (1983) stochastic process. More...
class | GaussChebyshev2ndIntegration
| Gauss-Chebyshev integration (second kind) More...
class | GaussChebyshev2ndPolynomial
| Gauss-Chebyshev polynomial (second kind) More...
class | GaussChebyshevIntegration
| Gauss-Chebyshev integration. More...
class | GaussChebyshevPolynomial
| Gauss-Chebyshev polynomial. More...
class | GaussGegenbauerIntegration
| Gauss-Gegenbauer integration. More...
class | GaussGegenbauerPolynomial
| Gauss-Gegenbauer polynomial. More...
class | GaussHermiteIntegration
| generalized Gauss-Hermite integration More...
class | GaussHermitePolynomial
| Gauss-Hermite polynomial. More...
class | GaussHyperbolicIntegration
| Gauss-Hyperbolic integration. More...
class | GaussHyperbolicPolynomial
| Gauss hyperbolic polynomial. More...
class | Gaussian1dCapFloorEngine
| Gaussian1d cap/floor engine. More...
class | Gaussian1dFloatFloatSwaptionEngine
| One factor model float float swaption engine. More...
class | Gaussian1dJamshidianSwaptionEngine
| Jamshidian swaption engine. More...
class | Gaussian1dModel
class | Gaussian1dNonstandardSwaptionEngine
| One factor model non standard swaption engine. More...
class | Gaussian1dSmileSection
class | Gaussian1dSwaptionEngine
| One factor model swaption engine. More...
class | GaussianCopula
| Gaussian copula. More...
struct | GaussianCopulaPolicy
class | GaussianKernel
| Gaussian kernel function. More...
class | GaussianLHPLossModel
class | GaussianOrthogonalPolynomial
| orthogonal polynomial for Gaussian quadratures More...
class | GaussianQuadMultidimIntegrator
| Integrates a vector or scalar function of vector domain. More...
class | GaussianQuadrature
| Integral of a 1-dimensional function using the Gauss quadratures method. More...
class | GaussianRandomDefaultModel
class | GaussJacobiIntegration
| Gauss-Jacobi integration. More...
class | GaussJacobiPolynomial
| Gauss-Jacobi polynomial. More...
class | GaussKronrodAdaptive
| Integral of a 1-dimensional function using the Gauss-Kronrod methods. More...
class | GaussKronrodNonAdaptive
| Integral of a 1-dimensional function using the Gauss-Kronrod methods. More...
class | GaussLaguerreIntegration
| generalized Gauss-Laguerre integration More...
class | GaussLaguerrePolynomial
| Gauss-Laguerre polynomial. More...
class | GaussLegendreIntegration
| Gauss-Legendre integration. More...
class | GaussLegendrePolynomial
| Gauss-Legendre polynomial. More...
class | GaussLobattoIntegral
| Integral of a one-dimensional function. More...
class | GBPCurrency
| British pound sterling. More...
class | GBPLibor
| GBP LIBOR rate More...
class | GBPLiborON
| Overnight GBP Libor index. More...
class | GbpLiborSwapIsdaFix
| GbpLiborSwapIsdaFix index base class More...
class | GemanRoncoroniProcess
| Geman-Roncoroni process class. More...
class | GeneralizedBlackScholesProcess
| Generalized Black-Scholes stochastic process. More...
class | GeneralizedHullWhite
| Generalized Hull-White model class. More...
class | GeneralizedOrnsteinUhlenbeckProcess
| Piecewise linear Ornstein-Uhlenbeck process class. More...
class | GeneralLinearLeastSquares
| general linear least squares regression More...
class | GeneralStatistics
| Statistics tool. More...
class | GenericCPI
| Generic CPI index. More...
class | GenericEngine
| template base class for option pricing engines More...
class | GenericGaussianStatistics
| Statistics tool for gaussian-assumption risk measures. More...
class | GenericModelEngine
| Base class for some pricing engine on a particular model. More...
class | GenericRegion
| Generic geographical/economic region. More...
class | GenericRiskStatistics
| empirical-distribution risk measures More...
class | GenericSequenceStatistics
| Statistics analysis of N-dimensional (sequence) data. More...
class | GeometricBrownianMotionProcess
| Geometric brownian-motion process. More...
class | Germany
| German calendars. More...
class | GJRGARCHModel
| GJR-GARCH model for the stochastic volatility of an asset. More...
class | GJRGARCHProcess
| Stochastic-volatility GJR-GARCH(1,1) process. More...
class | GRDCurrency
| Greek drachma. More...
class | Greeks
| additional option results More...
class | Gsr
| One factor gsr model, formulation is in forward measure. More...
class | GsrProcess
| GSR stochastic process. More...
class | GumbelCopula
| Gumbel copula. More...
class | HaganIrregularSwaptionEngine
| Pricing engine for irregular swaptions. More...
class | HaganPricer
| CMS-coupon pricer. More...
class | HaltonRsg
| Halton low-discrepancy sequence generator. More...
class | Handle
| Shared handle to an observable. More...
struct | HazardRate
| Hazard-rate-curve traits. More...
class | HazardRateStructure
| Hazard-rate term structure. More...
class | HestonExpansion
class | HestonExpansionEngine
| Heston-model engine for European options based on analytic expansions. More...
class | HestonModel
| Heston model for the stochastic volatility of an asset. More...
class | HestonModelHelper
| calibration helper for Heston model More...
class | HestonProcess
| Square-root stochastic-volatility Heston process. More...
class | HimalayaOption
| Himalaya option. More...
class | Histogram
| Histogram class. More...
class | HistoricalForwardRatesAnalysisImpl
| Historical correlation class More...
class | HistoricalRatesAnalysis
| Historical rate analysis class More...
class | HKDCurrency
| Hong Kong dollar. More...
class | HomogeneousPoolLossModel
| Default loss distribution convolution for finite homogeneous pool. More...
class | HongKong
| Hong Kong calendars. More...
class | HUFCurrency
| Hungarian forint. More...
class | HullWhite
| Single-factor Hull-White (extended Vasicek) model class. More...
class | HullWhiteForwardProcess
| Forward Hull-White stochastic process More...
class | HullWhiteProcess
| Hull-White stochastic process. More...
class | Hungary
| Hungarian calendar. More...
class | HuslerReissCopula
| Husler-Reiss copula. More...
class | HybridHestonHullWhiteProcess
| Hybrid Heston Hull-White stochastic process. More...
class | IborCoupon
| Coupon paying a Libor-type index More...
class | IborCouponPricer
| base pricer for capped/floored Ibor coupons More...
class | IborIndex
| base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More...
class | IborLeg
| helper class building a sequence of capped/floored ibor-rate coupons More...
class | Iceland
| Icelandic calendars. More...
class | IDRCurrency
| Indonesian Rupiah. More...
class | IEPCurrency
| Irish punt. More...
class | ILSCurrency
| Israeli shekel. More...
struct | IMM
| Main cycle of the International Money Market (a.k.a. IMM) months. More...
class | ImplicitEuler
| Backward Euler scheme for finite difference methods. More...
class | ImpliedStdDevQuote
| quote for the implied standard deviation of an underlying More...
class | ImpliedTermStructure
| Implied term structure at a given date in the future. More...
class | ImpliedVolTermStructure
| Implied vol term structure at a given date in the future. More...
class | IncrementalStatistics
| Statistics tool based on incremental accumulation. More...
class | IndependentCopula
| independent copula More...
class | Index
| purely virtual base class for indexes More...
class | IndexedCashFlow
| Cash flow dependent on an index ratio. More...
class | IndexManager
| global repository for past index fixings More...
class | India
| Indian calendars. More...
class | Indonesia
| Indonesian calendars More...
class | InflationCoupon
| Base inflation-coupon class. More...
class | InflationCouponPricer
| Base inflation-coupon pricer. More...
class | InflationIndex
| Base class for inflation-rate indexes,. More...
class | InflationTermStructure
| Interface for inflation term structures. More...
class | InhomogeneousPoolLossModel
| Default loss distribution convolution for finite non homogeneous pool. More...
class | INRCurrency
| Indian rupee. More...
class | Instrument
| Abstract instrument class. More...
class | IntegralEngine
| Pricing engine for European vanilla options using integral approach. More...
class | IntegralHestonVarianceOptionEngine
| integral Heston-model variance-option engine More...
class | InterestRate
| Concrete interest rate class. More...
class | InterestRateIndex
| base class for interest rate indexes More...
class | InterestRateVolSurface
| Interest rate volatility (smile) surface. More...
class | InterpolatedCurve
| Helper class to build interpolated term structures. More...
class | InterpolatedDefaultDensityCurve
| DefaultProbabilityTermStructure based on interpolation of default densities. More...
class | InterpolatedDiscountCurve
| YieldTermStructure based on interpolation of discount factors. More...
class | InterpolatedForwardCurve
| YieldTermStructure based on interpolation of forward rates. More...
class | InterpolatedHazardRateCurve
| DefaultProbabilityTermStructure based on interpolation of hazard rates. More...
class | InterpolatedPiecewiseZeroSpreadedTermStructure
| Yield curve with an added vector of spreads on the zero-yield rate. More...
class | InterpolatedSurvivalProbabilityCurve
| DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...
class | InterpolatedYoYInflationCurve
| Inflation term structure based on interpolated year-on-year rates. More...
class | InterpolatedYoYOptionletStripper
class | InterpolatedYoYOptionletVolatilityCurve
| Interpolated flat smile surface. More...
class | InterpolatedZeroCurve
| YieldTermStructure based on interpolation of zero rates. More...
class | InterpolatedZeroInflationCurve
| Inflation term structure based on the interpolation of zero rates. More...
class | InterpolatingCPICapFloorEngine
class | Interpolation
| base class for 1-D interpolations. More...
class | Interpolation2D
| base class for 2-D interpolations. More...
class | IntervalPrice
| interval price More...
class | InverseCumulativeBehrensFisher
| Inverse of the cumulative of the convolution of odd-T distributions. More...
class | InverseCumulativeNormal
| Inverse cumulative normal distribution function. More...
class | InverseCumulativePoisson
| Inverse cumulative Poisson distribution function. More...
class | InverseCumulativeRng
| Inverse cumulative random number generator. More...
class | InverseCumulativeRsg
| Inverse cumulative random sequence generator. More...
class | InverseCumulativeStudent
| Inverse cumulative Student t-distribution. More...
class | IQDCurrency
| Iraqi dinar. More...
class | IRRCurrency
| Iranian rial. More...
struct | IrregularSettlement
| settlement information More...
class | IrregularSwap
| Irregular swap: fixed vs floating leg. More...
class | IrregularSwaption
| Irregular Swaption class. More...
class | ISKCurrency
| Icelandic krona. More...
class | Italy
| Italian calendars. More...
class | IterativeBootstrap
| Universal piecewise-term-structure boostrapper. More...
class | ITLCurrency
| Italian lira. More...
class | JamshidianSwaptionEngine
| Jamshidian swaption engine. More...
class | Japan
| Japanese calendar. More...
class | JarrowRudd
| Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
class | Jibar
| JIBAR rate More...
class | JointCalendar
| Joint calendar. More...
class | JPYCurrency
| Japanese yen. More...
class | JPYLibor
| JPY LIBOR rate More...
class | JpyLiborSwapIsdaFixAm
| JpyLiborSwapIsdaFixAm index base class More...
class | JpyLiborSwapIsdaFixPm
| JpyLiborSwapIsdaFixPm index base class More...
class | JumpDiffusionEngine
| Jump-diffusion engine for vanilla options. More...
class | JuQuadraticApproximationEngine
| Pricing engine for American options with Ju quadratic approximation. More...
class | KernelFunction
class | KernelInterpolation
| Kernel interpolation between discrete points. More...
class | KernelInterpolation2D
class | KInterpolatedYoYOptionletVolatilitySurface
| K-interpolated YoY optionlet volatility. More...
class | KirkEngine
| Pricing engine for spread option on two futures. More...
class | KirkSpreadOptionEngine
| Kirk approximation for European spread option on futures. More...
class | KlugeExtOUProcess
class | KnuthUniformRng
| Uniform random number generator. More...
class | KRWCurrency
| South-Korean won. More...
class | KWDCurrency
| Kuwaiti dinar. More...
class | LastFixingQuote
| Quote adapter for the last fixing available of a given Index. More...
class | LatentModel
| Generic multifactor latent variable model. More...
class | Lattice
| Lattice (tree, finite-differences) base class More...
class | LatticeShortRateModelEngine
| Engine for a short-rate model specialized on a lattice. More...
class | LazyObject
| Framework for calculation on demand and result caching. More...
class | LeastSquareFunction
| Cost function for least-square problems. More...
class | LeastSquareProblem
| Base class for least square problem. More...
class | LecuyerUniformRng
| Uniform random number generator. More...
class | LeisenReimer
| Leisen & Reimer tree: multiplicative approach. More...
class | LevenbergMarquardt
| Levenberg-Marquardt optimization method. More...
class | LexicographicalView
| Lexicographical 2-D view of a contiguous set of data. More...
class | LfmCovarianceParameterization
| Libor market model parameterization More...
class | LfmCovarianceProxy
| proxy for a libor forward model covariance parameterization More...
class | LfmHullWhiteParameterization
| Libor market model parameterization based on Hull White paper More...
class | LfmSwaptionEngine
| Libor forward model swaption engine based on Black formula More...
class | Libor
| base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones More...
class | LiborForwardModel
| Libor forward model More...
class | LiborForwardModelProcess
| libor-forward-model process More...
class | Linear
| Linear-interpolation factory and traits More...
class | LinearInterpolation
| Linear interpolation between discrete points More...
class | LinearTsrPricer
| CMS-coupon pricer. More...
class | LineSearch
| Base class for line search. More...
class | LmConstWrapperVolatilityModel
| caplet const volatility model More...
class | LmCorrelationModel
| libor forward correlation model More...
class | LmExponentialCorrelationModel
| exponential correlation model More...
class | LmExtLinearExponentialVolModel
| extended linear exponential volatility model More...
class | LmLinearExponentialCorrelationModel
| linear exponential correlation model More...
class | LmLinearExponentialVolatilityModel
| linear exponential volatility model More...
class | LMMCurveState
| Curve state for Libor market models More...
class | LMMDriftCalculator
| Drift computation for log-normal Libor market models. More...
class | LMMNormalDriftCalculator
| Drift computation for normal Libor market models. More...
class | LmVolatilityModel
| caplet volatility model More...
class | LocalBootstrap
| Localised-term-structure bootstrapper for most curve types. More...
class | LocalConstantVol
| Constant local volatility, no time-strike dependence. More...
class | LocalVolCurve
| Local volatility curve derived from a Black curve. More...
class | LocalVolSurface
| Local volatility surface derived from a Black vol surface. More...
class | LocalVolTermStructure
class | LogCubic
| log-cubic interpolation factory and traits More...
class | LogCubicInterpolation
| log-cubic interpolation between discrete points More...
class | LogLinear
| log-linear interpolation factory and traits More...
class | LogLinearInterpolation
| log-linear interpolation between discrete points More...
class | LognormalCmsSpreadPricer
| CMS spread - coupon pricer. More...
class | LogNormalCmSwapRatePc
| Predictor-Corrector. More...
class | LogNormalCotSwapRatePc
| Predictor-Corrector. More...
class | LogNormalFwdRateBalland
| Iterative Predictor-Corrector. More...
class | LogNormalFwdRateEuler
| Euler. More...
class | LogNormalFwdRateEulerConstrained
| euler stepping More...
class | LogNormalFwdRateiBalland
| Iterative Predictor-Corrector. More...
class | LogNormalFwdRateIpc
| Iterative Predictor-Corrector. More...
class | LogNormalFwdRatePc
| Predictor-Corrector. More...
class | LongstaffSchwartzMultiPathPricer
| Longstaff-Schwarz path pricer for early exercise options. More...
class | LongstaffSchwartzPathPricer
| Longstaff-Schwarz path pricer for early exercise options. More...
class | LossDist
| Probability formulas and algorithms. More...
class | LossDistBinomial
| Binomial loss distribution. More...
class | LossDistBucketing
| Loss distribution with Hull-White bucketing. More...
class | LossDistHomogeneous
| Loss Distribution for Homogeneous Pool. More...
class | LossDistMonteCarlo
| Loss distribution with Monte Carlo simulation. More...
class | LPP2HestonExpansion
class | LPP3HestonExpansion
class | LTLCurrency
| Lithuanian litas. More...
class | LUFCurrency
| Luxembourg franc. More...
class | LVLCurrency
| Latvian lat. More...
class | MaddockCumulativeNormal
| Maddock's cumulative normal distribution class. More...
class | MaddockInverseCumulativeNormal
| Maddock's Inverse cumulative normal distribution class. More...
class | MakeCapFloor
| helper class More...
class | MakeCms
| helper class for instantiating CMS More...
class | MakeMCAmericanBasketEngine
| Monte Carlo American basket-option engine factory. More...
class | MakeMCAmericanEngine
| Monte Carlo American engine factory. More...
class | MakeMCAmericanPathEngine
| Monte Carlo American basket-option engine factory. More...
class | MakeMCBarrierEngine
| Monte Carlo barrier-option engine factory. More...
class | MakeMCDigitalEngine
| Monte Carlo digital engine factory. More...
class | MakeMCEuropeanBasketEngine
| Monte Carlo basket-option engine factory. More...
class | MakeMCEuropeanEngine
| Monte Carlo European engine factory. More...
class | MakeMCEuropeanGJRGARCHEngine
| Monte Carlo GJR-GARCH European engine factory. More...
class | MakeMCEuropeanHestonEngine
| Monte Carlo Heston European engine factory. More...
class | MakeMCEverestEngine
| Monte Carlo Everest-option engine factory. More...
class | MakeMCHestonHullWhiteEngine
| Monte Carlo Heston/Hull-White engine factory. More...
class | MakeMCHimalayaEngine
| Monte Carlo Himalaya-option engine factory. More...
class | MakeMCHullWhiteCapFloorEngine
| Monte Carlo Hull-White cap-floor engine factory. More...
class | MakeMCPagodaEngine
| Monte Carlo pagoda-option engine factory. More...
class | MakeMCPathBasketEngine
| Monte Carlo Path Basket engine factory. More...
class | MakeMCPerformanceEngine
| Monte Carlo performance-option engine factory. More...
class | MakeMCVarianceSwapEngine
| Monte Carlo variance-swap engine factory. More...
class | MakeOIS
| helper class More...
class | MakeSchedule
| helper class More...
class | MakeSwaption
| helper class More...
class | MakeVanillaSwap
| helper class More...
class | MakeYoYInflationCapFloor
| helper class More...
class | MargrabeOption
| Margrabe option on two assets. More...
class | MarketModel
| base class for market models More...
class | MarketModelCashRebate
class | MarketModelComposite
| Composition of two or more market-model products. More...
class | MarketModelEvolver
| Market-model evolver. More...
class | MarketModelFactory
| base class for market-model factories More...
class | MarketModelMultiProduct
| market-model product More...
class | MarketModelPathwiseCashRebate
class | MarketModelPathwiseCoterminalSwaptionsDeflated
class | MarketModelPathwiseCoterminalSwaptionsNumericalDeflated
class | MarketModelPathwiseDiscounter
class | MarketModelPathwiseInverseFloater
class | MarketModelPathwiseMultiCaplet
| market-model pathwise caplet More...
class | MarketModelPathwiseMultiDeflatedCap
class | MarketModelPathwiseMultiProduct
| market-model pathwise product More...
class | MarketModelPathwiseSwap
class | MarketModelVolProcess
class | MarkovFunctional
class | MarshallOlkinCopula
| Marshall-Olkin copula. More...
class | Matrix
| Matrix used in linear algebra. More...
class | MaxCopula
| max copula More...
class | MCAmericanBasketEngine
| least-square Monte Carlo engine More...
class | MCAmericanEngine
| American Monte Carlo engine. More...
class | MCAmericanPathEngine
| least-square Monte Carlo engine More...
class | MCBarrierEngine
| Pricing engine for barrier options using Monte Carlo simulation. More...
class | MCDigitalEngine
| Pricing engine for digital options using Monte Carlo simulation. More...
class | MCDiscreteArithmeticAPEngine
| Monte Carlo pricing engine for discrete arithmetic average price Asian. More...
class | MCDiscreteArithmeticASEngine
| Monte Carlo pricing engine for discrete arithmetic average-strike Asian. More...
class | MCDiscreteAveragingAsianEngine
| Pricing engine for discrete average Asians using Monte Carlo simulation. More...
class | MCDiscreteGeometricAPEngine
| Monte Carlo pricing engine for discrete geometric average price Asian. More...
class | MCEuropeanBasketEngine
| Pricing engine for European basket options using Monte Carlo simulation. More...
class | MCEuropeanEngine
| European option pricing engine using Monte Carlo simulation. More...
class | MCEuropeanGJRGARCHEngine
| Monte Carlo GJR-GARCH-model engine for European options. More...
class | MCEuropeanHestonEngine
| Monte Carlo Heston-model engine for European options. More...
class | MCHullWhiteCapFloorEngine
| Monte Carlo Hull-White engine for cap/floors. More...
class | MCLongstaffSchwartzEngine
| Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
class | MCLongstaffSchwartzPathEngine
| Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
class | MCPagodaEngine
| Pricing engine for pagoda options using Monte Carlo simulation. More...
class | MCPathBasketEngine
| Pricing engine for path dependent basket options using. More...
class | MCPerformanceEngine
| Pricing engine for performance options using Monte Carlo simulation. More...
class | McSimulation
| base class for Monte Carlo engines More...
class | MCVanillaEngine
| Pricing engine for vanilla options using Monte Carlo simulation. More...
class | MCVarianceSwapEngine
| Variance-swap pricing engine using Monte Carlo simulation,. More...
class | MeanRevertingPricer
class | MersenneTwisterUniformRng
| Uniform random number generator. More...
class | Merton76Process
| Merton-76 jump-diffusion process. More...
class | Mexico
| Mexican calendars More...
class | MfStateProcess
| Markov functional state process class. More...
class | MidPointCDOEngine
| CDO base engine taking schedule steps. More...
class | MinCopula
| min copula More...
class | MixedLinearCubic
| mixed linear/cubic interpolation factory and traits More...
class | MixedLinearCubicInterpolation
| mixed linear/cubic interpolation between discrete points More...
class | MixedScheme
| Mixed (explicit/implicit) scheme for finite difference methods. More...
class | ModifiedCraigSneydScheme
| modified Craig-Sneyd scheme More...
class | Money
| amount of cash More...
class | MonteCarloModel
| General-purpose Monte Carlo model for path samples. More...
class | MoreGreeks
| more additional option results More...
class | MoroInverseCumulativeNormal
| Moro Inverse cumulative normal distribution class. More...
class | MTBrownianGenerator
| Mersenne-twister Brownian generator for market-model simulations. More...
class | MTLCurrency
| Maltese lira. More...
class | MultiAssetOption
| Base class for options on multiple assets. More...
class | MultiCubicSpline
| N-dimensional cubic spline interpolation between discrete points. More...
class | MultidimIntegral
| Integrates a vector or scalar function of vector domain. More...
class | MultiPath
| Correlated multiple asset paths. More...
class | MultiPathGenerator
| Generates a multipath from a random number generator. More...
class | MultiplicativePriceSeasonality
| Multiplicative seasonality in the price index (CPI/RPI/HICP/etc). More...
class | MultiProductComposite
| Composition of one or more market-model products. More...
class | MultiProductMultiStep
| Multiple-step market-model product. More...
class | MultiProductOneStep
| Single-step market-model product. More...
class | MultiProductPathwiseWrapper
class | MultiStepSwaption
struct | MultiVariate
| default Monte Carlo traits for multi-variate models More...
class | MXNCurrency
| Mexican peso. More...
class | MYRCurrency
| Malaysian Ringgit. More...
class | NelsonSiegelFitting
| Nelson-Siegel fitting method. More...
class | NeumannBC
| Neumann boundary condition (i.e., constant derivative) More...
class | Newton
| Newton 1-D solver More...
class | NewtonSafe
| safe Newton 1-D solver More...
class | NewZealand
| New Zealand calendar. More...
class | NLGCurrency
| Dutch guilder. More...
class | NoArbSabr
| no arbtrage sabr interpolation factory and traits More...
class | NoArbSabrInterpolation
| no arbitrage sabr smile interpolation between discrete volatility points. More...
class | NoConstraint
| No constraint. More...
class | NOKCurrency
| Norwegian krone. More...
class | NonhomogeneousBoundaryConstraint
| Constraint imposing i-th argument to be in [low_i,high_i] for all i More...
class | NonLinearLeastSquare
| Non-linear least-square method. More...
class | NonstandardSwap
| nonstandard swap More...
class | NonstandardSwaption
| nonstandard swaption class More...
class | NormalDistribution
| Normal distribution function. More...
class | NormalFwdRatePc
| Predictor-Corrector. More...
class | NorthAmericaCorpDefaultKey
| ISDA standard default contractual key for corporate US debt. More...
class | Norway
| Norwegian calendar. More...
class | NPRCurrency
| Nepal rupee. More...
class | NthToDefault
| N-th to default swap. More...
class | Null
| template class providing a null value for a given type. More...
class | Null< Array >
| specialization of null template for this class More...
class | Null< Date >
| specialization of Null template for the Date class More...
class | NullCalendar
| Calendar for reproducing theoretical calculations. More...
class | NullCondition
| null step condition More...
class | NullParameter
| Parameter which is always zero \( a(t) = 0 \) More...
class | NullPayoff
| Dummy payoff class. More...
class | NumericalDifferentiation
| Numerical Differentiation on arbitrarily spaced grids. More...
class | NumericHaganPricer
| CMS-coupon pricer. More...
class | NZDCurrency
| New Zealand dollar. More...
class | NZDLibor
| NZD LIBOR rate More...
class | Observable
| Object that notifies its changes to a set of observers. More...
class | ObservableValue
| observable and assignable proxy to concrete value More...
class | Observer
| Object that gets notified when a given observable changes. More...
class | OISRateHelper
| Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
class | OneAssetOption
| Base class for options on a single asset. More...
class | OneDayCounter
| 1/1 day count convention More...
class | OneFactorAffineModel
| Single-factor affine base class. More...
class | OneFactorCopula
| Abstract base class for one-factor copula models. More...
class | OneFactorGaussianCopula
| One-factor Gaussian Copula. More...
class | OneFactorGaussianStudentCopula
| One-factor Gaussian-Student t-Copula. More...
class | OneFactorModel
| Single-factor short-rate model abstract class. More...
class | OneFactorStudentCopula
| One-factor Double Student t-Copula. More...
class | OneFactorStudentGaussianCopula
| One-factor Student t - Gaussian Copula. More...
class | OperatorFactory
| Black-Scholes-Merton differential operator. More...
class | OptimizationMethod
| Abstract class for constrained optimization method. More...
class | Option
| base option class More...
class | OptionletStripper
class | OptionletStripper1
class | OptionletStripper2
class | OptionletVolatilityStructure
| Optionlet (caplet/floorlet) volatility structure. More...
class | OrnsteinUhlenbeckProcess
| Ornstein-Uhlenbeck process class. More...
class | OrthogonalizedBumpFinder
class | OrthogonalProjections
class | OvernightIndexedCoupon
| overnight coupon More...
class | OvernightIndexedSwap
| Overnight indexed swap: fix vs compounded overnight rate. More...
class | OvernightIndexedSwapIndex
| base class for overnight indexed swap indexes More...
class | OvernightLeg
| helper class building a sequence of overnight coupons More...
class | PagodaOption
| Roofed Asian option on a number of assets. More...
class | Parameter
| Base class for model arguments. More...
class | Path
| single-factor random walk More...
class | PathGenerator
| Generates random paths using a sequence generator. More...
class | PathMultiAssetOption
| Base class for path-dependent options on multiple assets. More...
class | PathPayoff
| Abstract base class for path-dependent option payoffs. More...
class | PathPricer
| base class for path pricers More...
class | PathwiseAccountingEngine
| Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More...
class | PathwiseVegasAccountingEngine
| Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...
class | PathwiseVegasOuterAccountingEngine
| Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...
class | Payoff
| Abstract base class for option payoffs. More...
class | PEHCurrency
| Peruvian sol. More...
class | PEICurrency
| Peruvian inti. More...
class | PENCurrency
| Peruvian nuevo sol. More...
class | PercentageStrikePayoff
| Payoff with strike expressed as percentage More...
class | Period
class | PerturbativeBarrierOptionEngine
| perturbative barrier-option engine More...
class | PiecewiseConstantParameter
| Piecewise-constant parameter. More...
class | PiecewiseDefaultCurve
| Piecewise default-probability term structure. More...
class | PiecewiseTimeDependentHestonModel
| Piecewise time dependent Heston model. More...
class | PiecewiseYieldCurve
| Piecewise yield term structure. More...
class | PiecewiseYoYInflationCurve
| Piecewise year-on-year inflation term structure. More...
class | PiecewiseYoYOptionletVolatilityCurve
| Piecewise year-on-year inflation volatility term structure. More...
class | PiecewiseZeroInflationCurve
| Piecewise zero-inflation term structure. More...
class | PKRCurrency
| Pakistani rupee. More...
class | PlackettCopula
| Plackett copula. More...
class | PlainVanillaPayoff
| Plain-vanilla payoff. More...
class | PLNCurrency
| Polish zloty. More...
class | PoissonDistribution
| Poisson distribution function. More...
class | Poland
| Polish calendar. More...
class | PolarStudentTRng
| Student t random number generator. More...
class | Polynomial
| polynomial2D-spline-interpolation factory More...
class | Polynomial2DSpline
| polynomial2D-spline interpolation between discrete points More...
class | PositiveConstraint
| Constraint imposing positivity to all arguments More...
class | PricingEngine
| interface for pricing engines More...
class | PricingPeriod
| Time pricingperiod described by a number of a given time unit. More...
class | PrimeNumbers
| Prime numbers calculator. More...
class | ProbabilityOfAtLeastNEvents
| Probability of at least N events. More...
class | ProbabilityOfNEvents
| Probability of N events. More...
class | Problem
| Constrained optimization problem. More...
class | ProjectedCostFunction
| Parameterized cost function. More...
struct | Protection
| information on a default-protection contract More...
class | ProxyIbor
| IborIndex calculated as proxy of some other IborIndex. More...
class | PTECurrency
| Portuguese escudo. More...
class | Quantity
| Amount of a commodity. More...
class | QuantoBarrierOption
| Quanto version of a barrier option. More...
class | QuantoDoubleBarrierOption
| Quanto version of a double barrier option. More...
class | QuantoEngine
| Quanto engine. More...
class | QuantoForwardVanillaOption
| Quanto version of a forward vanilla option. More...
class | QuantoOptionResults
| Results from quanto option calculation More...
class | QuantoTermStructure
| Quanto term structure. More...
class | QuantoVanillaOption
| quanto version of a vanilla option More...
class | Quote
| purely virtual base class for market observables More...
class | RandomDefaultLM
class | RandomDefaultModel
| Base class for random default models. More...
class | RandomizedLDS
| Randomized (random shift) low-discrepancy sequence. More...
class | RandomLM
class | RandomLossLM
class | RandomSequenceGenerator
| Random sequence generator based on a pseudo-random number generator. More...
class | RangeAccrualLeg
| helper class building a sequence of range-accrual floating-rate coupons More...
class | Ranlux3UniformRng
| Uniform random number generator. More...
class | RatchetMaxPayoff
| RatchetMax payoff (double option) More...
class | RatchetMinPayoff
| RatchetMin payoff (double option) More...
class | RatchetPayoff
| Ratchet payoff (single option) More...
class | RebatedExercise
| Rebated exercise. More...
class | RecoveryRateModel
class | RecoveryRateQuote
| Stores a recovery rate market quote and the associated seniority. More...
class | RecursiveLossModel
class | Redemption
| Bond redemption. More...
class | Region
| Region class, used for inflation applicability. More...
class | RelativeDateBootstrapHelper
| Bootstrap helper with date schedule relative to global evaluation date. More...
class | RelinkableHandle
| Relinkable handle to an observable. More...
class | RendistatoEquivalentSwapLengthQuote
| RendistatoCalculator equivalent swap lenth Quote adapter. More...
class | RendistatoEquivalentSwapSpreadQuote
| RendistatoCalculator equivalent swap spread Quote adapter. More...
class | ReplicatingVarianceSwapEngine
| Variance-swap pricing engine using replicating cost,. More...
struct | Replication
| Digital option replication strategy. More...
struct | Restructuring
| Restructuring type. More...
class | RichardsonExtrapolation
| Richardson Extrapolation. More...
class | Ridder
| Ridder 1-D solver More...
class | RiskyAssetSwap
| Risky asset-swap instrument. More...
class | RiskyAssetSwapOption
| Option on risky asset swap More...
class | RiskyBond
class | RiskyFixedBond
class | RiskyFloatingBond
class | ROLCurrency
| Romanian leu. More...
class | RONCurrency
| Romanian new leu. More...
class | Rounding
| basic rounding class More...
class | RUBCurrency
| Russian ruble. More...
class | Russia
| Russian calendars. More...
class | SABR
| SABR interpolation factory and traits More...
class | SABRInterpolation
| SABR smile interpolation between discrete volatility points. More...
class | SabrVolSurface
| SABR volatility (smile) surface. More...
class | SaddlePointLossModel
| Saddle point portfolio credit default loss model. More...
struct | SalvagingAlgorithm
| algorithm used for matricial pseudo square root More...
struct | Sample
| weighted sample More...
class | SampledCurve
| This class contains a sampled curve. More...
class | SARCurrency
| Saudi riyal. More...
class | SaudiArabia
| Saudi Arabian calendar. More...
class | Schedule
| Payment schedule. More...
class | Seasonality
| A transformation of an existing inflation swap rate. More...
class | Secant
| Secant 1-D solver More...
class | SeedGenerator
| Random seed generator. More...
class | SegmentIntegral
| Integral of a one-dimensional function. More...
class | SEKCurrency
| Swedish krona. More...
class | SEKLibor
| SEK LIBOR rate More...
class | Settings
| global repository for run-time library settings More...
struct | Settlement
| settlement information More...
class | SGDCurrency
| Singapore dollar More...
class | ShortRateModel
| Abstract short-rate model class. More...
class | ShoutCondition
| Shout option condition. More...
struct | simEvent
class | SimpleCashFlow
| Predetermined cash flow. More...
class | SimpleChooserOption
| Simple chooser option. More...
class | SimpleDayCounter
| Simple day counter for reproducing theoretical calculations. More...
class | SimpleLocalEstimator
| Local-estimator volatility model. More...
class | SimplePolynomialFitting
| Simple polynomial fitting method. More...
class | SimpleQuote
| market element returning a stored value More...
class | Simplex
| Multi-dimensional simplex class. More...
class | SimpsonIntegral
| Integral of a one-dimensional function. More...
class | SimulatedAnnealing
class | Singapore
| Singapore calendars More...
class | SingleProductComposite
| Composition of one or more market-model products. More...
class | Singleton
| Basic support for the singleton pattern. More...
struct | SingleVariate
| default Monte Carlo traits for single-variate models More...
class | SITCurrency
| Slovenian tolar. More...
class | SKKCurrency
| Slovak koruna. More...
class | Slovakia
| Slovak calendars. More...
class | SmileSection
| interest rate volatility smile section More...
class | SmileSectionUtils
| smile-section utilities More...
class | SMMDriftCalculator
| Drift computation for coterminal swap market models. More...
class | SobolBrownianGenerator
| Sobol Brownian generator for market-model simulations. More...
class | SobolRsg
| Sobol low-discrepancy sequence generator. More...
class | SoftCallability
| callability leaving to the holder the possibility to convert More...
class | Solver1D
| Base class for 1-D solvers. More...
class | Sonia
| Sonia (Sterling Overnight Index Average) rate. More...
class | SouthAfrica
| South-African calendar. More...
class | SouthKorea
| South Korean calendars. More...
class | SparseILUPreconditioner
class | SphereCylinderOptimizer
class | SpotRecoveryLatentModel
| Random spot recovery rate latent variable portfolio model. More...
class | SpreadCdsHelper
| Spread-quoted CDS hazard rate bootstrap helper. More...
class | SpreadedHazardRateCurve
| Default-probability structure with an additive spread on hazard rates. More...
class | SpreadOption
| Spread option on two assets. More...
class | SquareRootAndersen
class | SquareRootProcess
| Square-root process class. More...
class | StatsHolder
| Helper class for precomputed distributions. More...
class | SteepestDescent
| Multi-dimensional steepest-descent class. More...
class | step_iterator
| Iterator advancing in constant steps. More...
class | StepCondition
| condition to be applied at every time step More...
class | StepConditionSet
| Parallel evolver for multiple arrays. More...
class | StickyMaxPayoff
| StickyMax payoff (double option) More...
class | StickyMinPayoff
| StickyMin payoff (double option) More...
class | StickyPayoff
| Sticky payoff (single option) More...
class | StochasticProcess
| multi-dimensional stochastic process class. More...
class | StochasticProcess1D
| 1-dimensional stochastic process More...
class | StochasticProcessArray
| Array of correlated 1-D stochastic processes More...
class | Stock
| Simple stock class. More...
class | StrikedTypePayoff
| Intermediate class for payoffs based on a fixed strike. More...
class | StrippedOptionlet
class | StrippedOptionletAdapter
class | StrippedOptionletBase
class | StudentDistribution
| Student t-distribution. More...
class | StulzEngine
| Pricing engine for 2D European Baskets. More...
class | SuperFundPayoff
| Binary supershare and superfund payoffs. More...
class | SuperSharePayoff
| Binary supershare payoff. More...
struct | SurvivalProbability
| Survival-Probability-curve traits. More...
class | SurvivalProbabilityStructure
| Hazard-rate term structure. More...
class | SVD
| Singular value decomposition. More...
class | SVDDFwdRatePc
class | SvenssonFitting
| Svensson Fitting method. More...
class | Svi
| Svi interpolation factory and traits More...
class | SviInterpolation
| Svi smile interpolation between discrete volatility points. More...
class | Swap
| Interest rate swap. More...
class | SwapIndex
| base class for swap-rate indexes More...
class | SwapRateHelper
| Rate helper for bootstrapping over swap rates. More...
class | SwapSpreadIndex
| class for swap-rate spread indexes More...
class | Swaption
| Swaption class More...
class | SwaptionHelper
| calibration helper for ATM swaption More...
class | SwaptionVolatilityCube
| swaption-volatility cube More...
class | SwaptionVolatilityMatrix
| At-the-money swaption-volatility matrix. More...
class | SwaptionVolatilityStructure
| Swaption-volatility structure More...
class | Sweden
| Swedish calendar. More...
class | SwingExercise
| Swing exercise. More...
class | Switzerland
| Swiss calendar. More...
class | SymmetricSchurDecomposition
| symmetric threshold Jacobi algorithm. More...
class | SyntheticCDO
| Synthetic Collateralized Debt Obligation. More...
class | TabulatedGaussLegendre
| tabulated Gauss-Legendre quadratures More...
class | Taiwan
| Taiwanese calendars. More...
class | TARGET
| TARGET calendar More...
class | TCopulaPolicy
| Sudent-T Latent Model's copula policy. More...
class | TermStructure
| Basic term-structure functionality. More...
class | TermStructureConsistentModel
| Term-structure consistent model class. More...
class | TermStructureFittingParameter
| Deterministic time-dependent parameter used for yield-curve fitting. More...
class | THBCurrency
| Thai baht. More...
class | Thirty360
| 30/360 day count convention More...
class | Tian
| Tian tree: third moment matching, multiplicative approach More...
class | Tibor
| JPY TIBOR index More...
class | TimeBasket
| Distribution over a number of dates. More...
class | TimeGrid
| time grid class More...
class | TimeSeries
| Container for historical data. More...
class | TqrEigenDecomposition
| tridiag. QR eigen decomposition with explicite shift aka Wilkinson More...
class | TransformedGrid
| transformed grid More...
class | TrapezoidIntegral
| Integral of a one-dimensional function. More...
class | TRBDF2
| TR-BDF2 scheme for finite difference methods. More...
class | Tree
| Tree approximating a single-factor diffusion More...
class | TreeCallableFixedRateBondEngine
| Numerical lattice engine for callable fixed rate bonds. More...
class | TreeCallableZeroCouponBondEngine
| Numerical lattice engine for callable zero coupon bonds. More...
class | TreeCapFloorEngine
| Numerical lattice engine for cap/floors. More...
class | TreeLattice
| Tree-based lattice-method base class. More...
class | TreeLattice1D
| One-dimensional tree-based lattice. More...
class | TreeLattice2D
| Two-dimensional tree-based lattice. More...
class | TreeSwaptionEngine
| Numerical lattice engine for swaptions. More...
class | TreeVanillaSwapEngine
| Numerical lattice engine for simple swaps. More...
class | TridiagonalOperator
| Base implementation for tridiagonal operator. More...
class | Trigeorgis
| Trigeorgis (additive equal jumps) binomial tree More...
class | TrinomialTree
| Recombining trinomial tree class. More...
class | TRLCurrency
| Turkish lira. More...
class | TRLibor
| TRY LIBOR rate More...
class | TRYCurrency
| New Turkish lira. More...
class | TsiveriotisFernandesLattice
| Binomial lattice approximating the Tsiveriotis-Fernandes model. More...
class | TTDCurrency
| Trinidad & Tobago dollar. More...
class | Turkey
| Turkish calendar. More...
class | TWDCurrency
| Taiwan dollar More...
class | TwoAssetBarrierOption
| Barrier option on two assets More...
class | TwoDimensionalIntegral
| Integral of a two-dimensional function. More...
class | TwoFactorModel
| Abstract base-class for two-factor models. More...
class | TypePayoff
| Intermediate class for put/call payoffs. More...
class | Ukraine
| Ukrainian calendars. More...
class | UKRegion
| United Kingdom as geographical/economic region. More...
class | UKRPI
| UK Retail Price Inflation Index. More...
class | UnitDisplacedBlackYoYInflationCouponPricer
| Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More...
class | UnitedKingdom
| United Kingdom calendars. More...
class | UnitedStates
| United States calendars. More...
class | UnitOfMeasure
| Unit of measure specification More...
class | UnitOfMeasureConversionManager
| repository of conversion factors between units of measure More...
class | UpfrontCdsHelper
| Upfront-quoted CDS hazard rate bootstrap helper. More...
class | UpperBoundEngine
| Market-model engine for upper-bound estimation. More...
class | UpRounding
| Up-rounding. More...
class | USCPI
| US CPI index. More...
class | USDCurrency
| U.S. dollar. More...
class | USDLibor
| USD LIBOR rate More...
class | USDLiborON
| Overnight USD Libor index. More...
class | UsdLiborSwapIsdaFixAm
| UsdLiborSwapIsdaFixAm index base class More...
class | UsdLiborSwapIsdaFixPm
| UsdLiborSwapIsdaFixPm index base class More...
class | USRegion
| USA as geographical/economic region. More...
class | VanillaOption
| Vanilla option (no discrete dividends, no barriers) on a single asset. More...
class | VanillaStorageOption
| base option class More...
class | VanillaSwap
| Plain-vanilla swap: fix vs floating leg. More...
class | VanillaSwingOption
| base option class More...
class | VannaVolga
| VannaVolga-interpolation factory and traits More...
class | VannaVolgaBarrierEngine
| Vanna Volga barrier option engine. More...
class | VannaVolgaDoubleBarrierEngine
| Vanna Volga double-barrier option engine. More...
class | VannaVolgaInterpolation
| Vanna Volga interpolation between discrete points More...
class | VarianceGammaEngine
| Variance Gamma Pricing engine for European vanilla options using integral approach. More...
class | VarianceGammaModel
| Variance Gamma model. More...
class | VarianceGammaProcess
| Variance gamma process. More...
class | VarianceOption
| Variance option. More...
class | VarianceSwap
| Variance swap. More...
class | Vasicek
| Vasicek model class More...
class | VEBCurrency
| Venezuelan bolivar. More...
class | VegaBumpCollection
class | VegaStressedBlackScholesProcess
| Black-Scholes process which supports local vega stress tests. More...
class | Visitor
| Visitor for a specific class More...
class | VNDCurrency
| Vietnamese Dong. More...
class | VolatilityTermStructure
| Volatility term structure. More...
class | WeekendsOnly
| Weekends-only calendar. More...
class | WriterExtensibleOption
| Writer-extensible option. More...
class | WulinYongDoubleBarrierEngine
| Pricing engine for barrier options using analytical formulae. More...
class | YearOnYearInflationSwap
| Year-on-year inflation-indexed swap. More...
class | YearOnYearInflationSwapHelper
| Year-on-year inflation-swap bootstrap helper. More...
class | YieldTermStructure
| Interest-rate term structure. More...
class | YoYCapFloorTermPriceSurface
| Abstract base class, inheriting from InflationTermStructure. More...
class | YoYInflationBachelierCapFloorEngine
| Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
class | YoYInflationBlackCapFloorEngine
| Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
class | YoYInflationCap
| Concrete YoY Inflation cap class. More...
class | YoYInflationCapFloor
| Base class for yoy inflation cap-like instruments. More...
class | YoYInflationCapFloorEngine
| Base YoY inflation cap/floor engine. More...
class | YoYInflationCollar
| Concrete YoY Inflation collar class. More...
class | YoYInflationCoupon
| Coupon paying a YoY-inflation type index More...
class | YoYInflationCouponPricer
| base pricer for capped/floored YoY inflation coupons More...
class | YoYInflationFloor
| Concrete YoY Inflation floor class. More...
class | YoYInflationIndex
| Base class for year-on-year inflation indices. More...
class | yoyInflationLeg
class | YoYInflationTermStructure
| Base class for year-on-year inflation term structures. More...
class | YoYInflationTraits
| Bootstrap traits to use for PiecewiseZeroInflationCurve. More...
class | YoYInflationUnitDisplacedBlackCapFloorEngine
| Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
class | YoYInflationVolatilityTraits
| traits for inflation-volatility bootstrap More...
class | YoYOptionletHelper
| Year-on-year inflation-volatility bootstrap helper. More...
class | YoYOptionletStripper
| Interface for inflation cap stripping, i.e. from price surfaces. More...
class | YoYOptionletVolatilitySurface
class | YYAUCPI
| Genuine year-on-year AU CPI (i.e. not a ratio) More...
class | YYAUCPIr
| Fake year-on-year AUCPI (i.e. a ratio) More...
class | YYEUHICP
| Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) More...
class | YYEUHICPr
| Fake year-on-year EU HICP (i.e. a ratio of EU HICP) More...
class | YYEUHICPXT
| Genuine year-on-year EU HICPXT. More...
class | YYFRHICP
| Genuine year-on-year FR HICP (i.e. not a ratio) More...
class | YYFRHICPr
| Fake year-on-year FR HICP (i.e. a ratio) More...
class | YYGenericCPI
| Genuine year-on-year Generic CPI (i.e. not a ratio) More...
class | YYGenericCPIr
| Fake year-on-year GenericCPI (i.e. a ratio) More...
class | YYUKRPI
| Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) More...
class | YYUKRPIr
| Fake year-on-year UK RPI (i.e. a ratio of UK RPI) More...
class | YYUSCPI
| Genuine year-on-year US CPI (i.e. not a ratio of US CPI) More...
class | YYUSCPIr
| Fake year-on-year US CPI (i.e. a ratio of US CPI) More...
class | YYZACPI
| Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI) More...
class | YYZACPIr
| Fake year-on-year South African CPI (i.e. a ratio of ZA CPI) More...
class | Zabr
| no arbtrage sabr interpolation factory and traits More...
class | ZabrInterpolation
| zabr smile interpolation between discrete volatility points. More...
class | ZACPI
| South African Comsumer Price Inflation Index. More...
class | ZARCurrency
| South-African rand. More...
class | ZARegion
| South Africa as geographical/economic region. More...
class | ZeroCondition
| Zero exercise condition. More...
class | ZeroCouponBond
| zero-coupon bond More...
class | ZeroCouponInflationSwap
| Zero-coupon inflation-indexed swap. More...
class | ZeroCouponInflationSwapHelper
| Zero-coupon inflation-swap bootstrap helper. More...
class | ZeroInflationIndex
| Base class for zero inflation indices. More...
class | ZeroInflationTermStructure
| Interface for zero inflation term structures. More...
class | ZeroInflationTraits
| Bootstrap traits to use for PiecewiseZeroInflationCurve. More...
class | ZeroSpreadedTermStructure
| Term structure with an added spread on the zero yield rate. More...
struct | ZeroYield
| Zero-curve traits. More...
class | ZeroYieldStructure
| Zero-yield term structure. More...
class | Zibor
| CHF ZIBOR rate More...
class | ZigguratRng
| Ziggurat random-number generator. More...

## Typedefs
typedef std::vector< boost::shared_ptr< CashFlow > > | Leg
| Sequence of cash-flows.
typedef std::map< std::string, boost::any > | SecondaryCosts
typedef std::map< std::string, Money > | SecondaryCostAmounts
typedef std::vector< PricingError > | PricingErrors
typedef std::map< Date, boost::shared_ptr< CommodityCashFlow > > | CommodityCashFlows
typedef std::map< Date, EnergyDailyPosition > | EnergyDailyPositions
typedef std::map< Date, ExchangeContract > | ExchangeContracts
typedef std::vector< boost::shared_ptr< PricingPeriod > > | PricingPeriods
typedef BaseCorrelationLossModel< GaussianLHPLossModel, BilinearInterpolation > | GaussianLHPFlatBCLM
typedef BinomialLossModel< GaussianConstantLossLM > | GaussianBinomialLossModel
typedef BinomialLossModel< TConstantLossLM > | TBinomialLossModel
typedef ConstantLossLatentmodel< GaussianCopulaPolicy > | GaussianConstantLossLM
typedef ConstantLossLatentmodel< TCopulaPolicy > | TConstantLossLM
typedef DefaultLatentModel< GaussianCopulaPolicy > | GaussianDefProbLM
typedef DefaultLatentModel< TCopulaPolicy > | TDefProbLM
typedef HomogeneousPoolLossModel< GaussianCopulaPolicy > | HomogGaussPoolLossModel
typedef HomogeneousPoolLossModel< TCopulaPolicy > | HomogTPoolLossModel
typedef InhomogeneousPoolLossModel< GaussianCopulaPolicy > | IHGaussPoolLossModel
typedef InhomogeneousPoolLossModel< TCopulaPolicy > | IHStudentPoolLossModel
typedef std::set< boost::shared_ptr< DefaultEvent >, earlier_than< boost::shared_ptr< DefaultEvent > > > | DefaultEventSet
typedef RandomDefaultLM< GaussianCopulaPolicy > | GaussianRandomDefaultLM
typedef RandomDefaultLM< TCopulaPolicy > | TRandomDefaultLM
typedef RandomLossLM< GaussianCopulaPolicy > | GaussianRandomLossLM
typedef RandomLossLM< TCopulaPolicy > | TRandomLossLM
typedef RecursiveLossModel< GaussianCopulaPolicy > | RecursiveGaussLossModel
typedef SpotRecoveryLatentModel< GaussianCopulaPolicy > | GaussianSpotLossLM
typedef SpotRecoveryLatentModel< TCopulaPolicy > | TSpotLossLM
typedef SwaptionVolCube1x< SwaptionVolCubeNoArbSabrModel > | SwaptionVolCube1a
typedef std::vector< boost::shared_ptr< Callability > > | CallabilitySchedule
typedef std::vector< boost::shared_ptr< Dividend > > | DividendSchedule
typedef BivariateCumulativeNormalDistributionWe04DP | BivariateCumulativeNormalDistribution
| default bivariate implementation
typedef NormalDistribution | GaussianDistribution
typedef InverseCumulativeNormal | InvCumulativeNormalDistribution
typedef detail::SplineGrid | SplineGrid
typedef boost::numeric::ublas::compressed_matrix< Real > | SparseMatrix
typedef boost::numeric::ublas::matrix_reference< SparseMatrix > | SparseMatrixReference
typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativeNormal > | PseudoRandom
| default traits for pseudo-random number generation More...
typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativePoisson > | PoissonPseudoRandom
| traits for Poisson-distributed pseudo-random number generation More...
typedef GenericLowDiscrepancy< SobolRsg, InverseCumulativeNormal > | LowDiscrepancy
| default traits for low-discrepancy sequence generation
typedef SampledCurve | SampledCurveSet
typedef GenericGaussianStatistics< GeneralStatistics > | GaussianStatistics
| default gaussian statistic tool
typedef GenericRiskStatistics< GaussianStatistics > | RiskStatistics
| default risk measures tool More...
typedef GenericSequenceStatistics< Statistics > | SequenceStatistics
| default multi-dimensional statistics tool More...
typedef GenericSequenceStatistics< IncrementalStatistics > | SequenceStatisticsInc
typedef RiskStatistics | Statistics
| default statistics tool More...
typedef PdeOperator< PdeBSM > | BSMTermOperator
| Black-Scholes-Merton differential operator. More...
typedef FiniteDifferenceModel< CrankNicolson< TridiagonalOperator > > | StandardFiniteDifferenceModel
| default choice for finite-difference model
typedef FiniteDifferenceModel< ParallelEvolver< CrankNicolson< TridiagonalOperator > > > | StandardSystemFiniteDifferenceModel
| default choice for parallel finite-difference model
typedef StepCondition< Array > | StandardStepCondition
| default choice for step condition
typedef CurveDependentStepCondition< Array > | StandardCurveDependentStepCondition
typedef PdeOperator< PdeShortRate > | OneFactorOperator
| Interest-rate single factor model differential operator. More...
typedef OperatorTraits< FdmLinearOp >::bc_set | FdmBoundaryConditionSet
typedef BootstrapHelper< DefaultProbabilityTermStructure > | DefaultProbabilityHelper
| alias for default-probability bootstrap helpers
typedef RelativeDateBootstrapHelper< DefaultProbabilityTermStructure > | RelativeDateDefaultProbabilityHelper
typedef InterpolatedYoYInflationCurve< Linear > | YoYInflationCurve
typedef InterpolatedZeroInflationCurve< Linear > | ZeroInflationCurve
typedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > | CapFloorMatrix
typedef SwaptionVolCube1x< SwaptionVolCubeSabrModel > | SwaptionVolCube1
typedef InterpolatedDiscountCurve< LogLinear > | DiscountCurve
| Term structure based on log-linear interpolation of discount factors. More...
typedef InterpolatedForwardCurve< BackwardFlat > | ForwardCurve
| Term structure based on flat interpolation of forward rates. More...
typedef InterpolatedPiecewiseZeroSpreadedTermStructure< Linear > | PiecewiseZeroSpreadedTermStructure
| Piecewise zero-spreaded yield curve based on linear interpolation of zero rates. More...
typedef BootstrapHelper< YieldTermStructure > | RateHelper
typedef RelativeDateBootstrapHelper< YieldTermStructure > | RelativeDateRateHelper
typedef InterpolatedZeroCurve< Linear > | ZeroCurve
| Term structure based on linear interpolation of zero yields. More...
typedef Integer | Day
| Day number. More...
typedef Integer | Year
| Year number. More...
typedef QL_INTEGER | Integer
| integer number More...
typedef QL_BIG_INTEGER | BigInteger
| large integer number More...
typedef unsigned QL_INTEGER | Natural
| positive integer More...
typedef unsigned QL_BIG_INTEGER | BigNatural
| large positive integer
typedef QL_REAL | Real
| real number More...
typedef Real | Decimal
| decimal number More...
typedef std::size_t | Size
| size of a container More...
typedef Real | Time
| continuous quantity with 1-year units More...
typedef Real | DiscountFactor
| discount factor between dates More...
typedef Real | Rate
| interest rates More...
typedef Real | Spread
| spreads on interest rates More...
typedef Real | Volatility
| volatility More...
typedef Real | Probability
| probability More...

## Enumerations
enum | Compounding { Simple = 0, Compounded = 1, Continuous = 2, SimpleThenCompounded }
| Interest rate coumpounding rule. More...
enum | Seniority { SecDom = 0, SnrFor, SubLT2, JrSubT2, PrefT1, NoSeniority, SeniorSec = SecDom, SeniorUnSec = SnrFor, SubTier1 = PrefT1, SubUpperTier2 = JrSubT2, SubLoweTier2 = SubLT2 }
| Seniority of a bond. More...
enum | SensitivityAnalysis { OneSide, Centered }
| Finite differences calculation.
enum | PriceType { Bid, Ask, Last, Close, Mid, MidEquivalent, MidSafe }
| Price types. More...
enum | VolatilityType { ShiftedLognormal, Normal }
enum | BusinessDayConvention { Following, ModifiedFollowing, Preceding, ModifiedPreceding, Unadjusted, HalfMonthModifiedFollowing, Nearest }
| Business Day conventions. More...
enum | JointCalendarRule { JoinHolidays, JoinBusinessDays }
| rules for joining calendars More...
enum | Month { January = 1, February = 2, March = 3, April = 4, May = 5, June = 6, July = 7, August = 8, September = 9, October = 10, November = 11, December = 12, Jan = 1, Feb = 2, Mar = 3, Apr = 4, Jun = 6, Jul = 7, Aug = 8, Sep = 9, Oct = 10, Nov = 11, Dec = 12 }
| Month names. More...
enum | Frequency { NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2, EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12, EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365, OtherFrequency = 999 }
| Frequency of events. More...
enum | TimeUnit { Days, Weeks, Months, Years }
| Units used to describe time periods. More...
enum | Weekday { Sunday = 1, Monday = 2, Tuesday = 3, Wednesday = 4, Thursday = 5, Friday = 6, Saturday = 7, Sun = 1, Mon = 2, Tue = 3, Wed = 4, Thu = 5, Fri = 6, Sat = 7 }

## Functions
template<typename InterestRateIndexType , typename FloatingCouponType , typename CappedFlooredCouponType >
Leg | FloatingLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero)
template<typename InterestRateIndexType , typename FloatingCouponType , typename DigitalCouponType >
Leg | FloatingDigitalLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const boost::shared_ptr< DigitalReplication > &replication)
std::ostream & | operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type)
void | setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &)
void | setCouponPricers (const Leg &leg, const std::vector< boost::shared_ptr< FloatingRateCouponPricer > > &)
std::vector< boost::shared_ptr< Dividend > > | DividendVector (const std::vector< Date > &dividendDates, const std::vector< Real > &dividends)
| helper function building a sequence of fixed dividends
bool | operator== (const Currency &c1, const Currency &c2)
bool | operator!= (const Currency &c1, const Currency &c2)
std::ostream & | operator<< (std::ostream &out, DoubleBarrier::Type type)
std::ostream & | operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts)
std::ostream & | operator<< (std::ostream &out, const PricingError &error)
std::ostream & | operator<< (std::ostream &out, const PricingErrors &errors)
bool | operator== (const CommodityCurve &c1, const CommodityCurve &c2)
bool | operator== (const CommodityIndex &i1, const CommodityIndex &i2)
bool | operator== (const CommodityType &c1, const CommodityType &c2)
bool | operator!= (const CommodityType &c1, const CommodityType &c2)
std::ostream & | operator<< (std::ostream &out, const CommodityUnitCost &unitCost)
bool | operator== (const PaymentTerm &c1, const PaymentTerm &c2)
bool | operator!= (const PaymentTerm &c1, const PaymentTerm &c2)
Quantity | operator+ (const Quantity &m1, const Quantity &m2)
Quantity | operator- (const Quantity &m1, const Quantity &m2)
Quantity | operator* (const Quantity &m, Real x)
Quantity | operator* (Real x, const Quantity &m)
Quantity | operator/ (const Quantity &m, Real x)
bool | operator!= (const Quantity &m1, const Quantity &m2)
bool | operator> (const Quantity &m1, const Quantity &m2)
bool | operator>= (const Quantity &m1, const Quantity &m2)
bool | operator== (const UnitOfMeasure &c1, const UnitOfMeasure &c2)
bool | operator!= (const UnitOfMeasure &c1, const UnitOfMeasure &c2)
bool | operator== (const DefaultEvent &lhs, const DefaultEvent &rhs)
bool | operator!= (const DefaultEvent &lhs, const DefaultEvent &rhs)
bool | operator== (const DefaultProbKey &lhs, const DefaultProbKey &rhs)
bool | operator== (const DefaultType &lhs, const DefaultType &rhs)
bool | operator< (const Loss &l1, const Loss &l2)
bool | operator> (const Loss &l1, const Loss &l2)
bool | operator== (const Loss &l1, const Loss &l2)
bool | operator!= (const Loss &l1, const Loss &l2)
std::map< Seniority, Real > | makeIsdaConvMap ()
| Helper function for conventional recoveries. Returns the ISDA.
Disposable< Matrix > | Expm (const Matrix &M, Real t=1.0, Real tol=QL_EPSILON)
| matrix exponential based on the ordinary differential equations method More...
template<>
detail::DispArray | GaussianQuadMultidimIntegrator::integrate< detail::DispArray > (const boost::function< detail::DispArray(const std::vector< Real > &v1)> &f) const
Real | aggregateNPV (const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities)
| utility fuction for weighted sum of NPVs
std::pair< Real, Real > | parallelAnalysis (const std::vector< Handle< SimpleQuote > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
| parallel shift PV01 sensitivity analysis for a SimpleQuote vector More...
std::pair< Real, Real > | parallelAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
| parallel shift PV01 sensitivity analysis for a SimpleQuote matrix More...
std::pair< Real, Real > | bucketAnalysis (Handle< SimpleQuote > quote, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
| (bucket) PV01 sensitivity analysis for a (single) SimpleQuote More...
void | bucketAnalysis (std::vector< Real > &deltaVector, std::vector< Real > &gammaVector, std::vector< Real > &referenceValues, Handle< SimpleQuote > quote, const std::vector< Handle< Quote > > &parameters, Real shift=0.0001, SensitivityAnalysis type=Centered)
| (bucket) parameters' sensitivity analysis for a (single) SimpleQuote More...
std::pair< std::vector< Real >, std::vector< Real > > | bucketAnalysis (const std::vector< Handle< SimpleQuote > > &quotes, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered)
| bucket PV01 sensitivity analysis for a SimpleQuote vector More...
void | bucketAnalysis (std::vector< std::vector< Real > > &deltaMatrix, std::vector< std::vector< Real > > &gammaMatrix, const std::vector< Handle< SimpleQuote > > &quotes, const std::vector< Handle< Quote > > &parameters, Real shift=0.0001, SensitivityAnalysis type=Centered)
| bucket parameters' sensitivity analysis for a SimpleQuote vector More...
std::pair< std::vector< std::vector< Real > >, std::vector< std::vector< Real > > > | bucketAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered)
| bucket sensitivity analysis for a SimpleQuote matrix More...
std::ostream & | operator<< (std::ostream &out, IrregularSwap::Type t)
std::ostream & | operator<< (std::ostream &out, IrregularSettlement::Type type)
Disposable< Array > | CenteredGrid (Real center, Real dx, Size steps)
Disposable< Array > | BoundedGrid (Real xMin, Real xMax, Size steps)
Disposable< Array > | BoundedLogGrid (Real xMin, Real xMax, Size steps)
bool | operator== (const Region &r1, const Region &r2)
bool | operator!= (const Region &r1, const Region &r2)
std::ostream & | operator<< (std::ostream &out, Average::Type type)
std::ostream & | operator<< (std::ostream &out, Barrier::Type type)
std::ostream & | operator<< (std::ostream &, CapFloor::Type)
std::ostream & | operator<< (std::ostream &out, CPISwap::Type t)
std::ostream & | operator<< (std::ostream &, YoYInflationCapFloor::Type)
std::ostream & | operator<< (std::ostream &out, Settlement::Type type)
std::ostream & | operator<< (std::ostream &out, VanillaSwap::Type t)
std::ostream & | operator<< (std::ostream &out, YearOnYearInflationSwap::Type t)
Real | DotProduct (const Array &v1, const Array &v2)
const Disposable< Array > | operator+ (const Array &v)
const Disposable< Array > | operator- (const Array &v)
const Disposable< Array > | operator+ (const Array &v1, const Array &v2)
const Disposable< Array > | operator+ (const Array &v1, Real a)
const Disposable< Array > | operator+ (Real a, const Array &v2)
const Disposable< Array > | operator- (const Array &v1, const Array &v2)
const Disposable< Array > | operator- (const Array &v1, Real a)
const Disposable< Array > | operator- (Real a, const Array &v2)
const Disposable< Array > | operator* (const Array &v1, const Array &v2)
const Disposable< Array > | operator* (const Array &v1, Real a)
const Disposable< Array > | operator* (Real a, const Array &v2)
const Disposable< Array > | operator/ (const Array &v1, const Array &v2)
const Disposable< Array > | operator/ (const Array &v1, Real a)
const Disposable< Array > | operator/ (Real a, const Array &v2)
const Disposable< Array > | Abs (const Array &v)
const Disposable< Array > | Sqrt (const Array &v)
const Disposable< Array > | Log (const Array &v)
const Disposable< Array > | Exp (const Array &v)
const Disposable< Array > | Pow (const Array &v, Real alpha)
void | swap (Array &v, Array &w)
std::ostream & | operator<< (std::ostream &out, const Array &a)
template<typename ForwardIterator , typename OutputIterator >
void | convolutions (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
| Convolutions of the input sequence. More...
template<typename ForwardIterator , typename OutputIterator >
void | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
| Unbiased auto-covariances. More...
template<typename ForwardIterator , typename OutputIterator >
Real | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse)
| Unbiased auto-covariances. More...
template<typename ForwardIterator , typename OutputIterator >
void | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag)
| Unbiased auto-correlations. More...
template<typename ForwardIterator , typename OutputIterator >
Real | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse)
| Unbiased auto-correlations. More...
Real | betaFunction (Real z, Real w)
Real | betaContinuedFraction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100)
Real | incompleteBetaFunction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100)
| Incomplete Beta function. More...
bool | close (Real x, Real y)
bool | close (Real x, Real y, Size n)
bool | close_enough (Real x, Real y)
bool | close_enough (Real x, Real y, Size n)
Real | binomialCoefficientLn (BigNatural n, BigNatural k)
Real | binomialCoefficient (BigNatural n, BigNatural k)
Real | PeizerPrattMethod2Inversion (Real z, BigNatural n)
template<class F , class R >
clipped_function< F, R > | clip (const F &f, const R &r)
template<class F , class G >
composed_function< F, G > | compose (const F &f, const G &g)
template<class F , class G , class H >
binary_compose3_function< F, G, H > | compose3 (const F &f, const G &g, const H &h)
Real | incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100)
| Incomplete Gamma function. More...
Real | incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100)
Real | incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100)
const Disposable< Matrix > | operator+ (const Matrix &m1, const Matrix &m2)
const Disposable< Matrix > | operator- (const Matrix &m1, const Matrix &m2)
const Disposable< Matrix > | operator* (const Matrix &m, Real x)
const Disposable< Matrix > | operator* (Real x, const Matrix &m)
const Disposable< Matrix > | operator/ (const Matrix &m, Real x)
const Disposable< Array > | operator* (const Array &v, const Matrix &m)
const Disposable< Array > | operator* (const Matrix &m, const Array &v)
const Disposable< Matrix > | operator* (const Matrix &m1, const Matrix &m2)
const Disposable< Matrix > | transpose (const Matrix &m)
const Disposable< Matrix > | outerProduct (const Array &v1, const Array &v2)
template<class Iterator1 , class Iterator2 >
const Disposable< Matrix > | outerProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end)
void | swap (Matrix &m1, Matrix &m2)
std::ostream & | operator<< (std::ostream &out, const Matrix &m)
Disposable< std::vector< Real > > | factorReduction (Matrix mtrx, Size maxIters=25)
template<class DataIterator >
Disposable< Matrix > | getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12)
| Calculation of covariance from correlation and standard deviations. More...
Disposable< std::vector< Size > > | qrDecomposition (const Matrix &A, Matrix &q, Matrix &r, bool pivot=true)
| QR decompoisition. More...
Disposable< Array > | qrSolve (const Matrix &a, const Array &b, bool pivot=true, const Array &d=Array())
| QR Solve. More...
Disposable< Array > | prod (const SparseMatrix &A, const Array &x)
Disposable< Matrix > | triangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank)
| Returns the Triangular Angles Parametrized correlation matrix. More...
Disposable< Matrix > | lmmTriangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank)
Disposable< Matrix > | triangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank)
Disposable< Matrix > | lmmTriangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank)
Disposable< Matrix > | triangularAnglesParametrizationRankThree (Real alpha, Real t0, Real epsilon, Size nbRows)
| Returns the rank reduced Triangular Angles Parametrized correlation matrix. More...
Disposable< Matrix > | triangularAnglesParametrizationRankThreeVectorial (const Array &paramters, Size nbRows)
Real | modifiedBesselFunction_i (Real nu, Real x)
Real | modifiedBesselFunction_k (Real nu, Real x)
Real | modifiedBesselFunction_i_exponentiallyWeighted (Real nu, Real x)
Real | modifiedBesselFunction_k_exponentiallyWeighted (Real nu, Real x)
std::complex< Real > | modifiedBesselFunction_i (Real nu, const std::complex< Real > &z)
std::complex< Real > | modifiedBesselFunction_k (Real nu, const std::complex< Real > &z)
std::complex< Real > | modifiedBesselFunction_i_exponentiallyWeighted (Real nu, const std::complex< Real > &z)
std::complex< Real > | modifiedBesselFunction_k_exponentiallyWeighted (Real nu, const std::complex< Real > &z)
std::ostream & | operator<< (std::ostream &out, EndCriteria::Type ecType)
std::vector< Real > | sphereCylinderOptimizerClosest (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Natural maxIterations, Real tolerance, Real finalWeight=1.0)
void | swap (SampledCurve &, SampledCurve &)
std::ostream & | operator<< (std::ostream &out, const SampledCurve &a)
void | swap (TridiagonalOperator &, TridiagonalOperator &)
Disposable< TridiagonalOperator > | operator+ (const TridiagonalOperator &D)
Disposable< TridiagonalOperator > | operator- (const TridiagonalOperator &D)
Disposable< TridiagonalOperator > | operator+ (const TridiagonalOperator &D1, const TridiagonalOperator &D2)
Disposable< TridiagonalOperator > | operator- (const TridiagonalOperator &D1, const TridiagonalOperator &D2)
Disposable< TridiagonalOperator > | operator* (Real a, const TridiagonalOperator &D)
Disposable< TridiagonalOperator > | operator* (const TridiagonalOperator &D, Real a)
Disposable< TridiagonalOperator > | operator/ (const TridiagonalOperator &D, Real a)
Real | genericLongstaffSchwartzRegression (std::vector< std::vector< NodeData > > &simulationData, std::vector< std::vector< Real > > &basisCoefficients)
| returns the biased estimate obtained while regressing
Real | genericEarlyExerciseOptimization (std::vector< std::vector< NodeData > > &simulationData, const ParametricExercise &exercise, std::vector< std::vector< Real > > &parameters, const EndCriteria &endCriteria, OptimizationMethod &method)
| returns the biased estimate obtained while optimizing
void | collectNodeData (MarketModelEvolver &evolver, MarketModelMultiProduct &product, MarketModelNodeDataProvider &dataProvider, MarketModelExerciseValue &rebate, MarketModelExerciseValue &control, Size numberOfPaths, std::vector< std::vector< NodeData > > &collectedData)
Disposable< Matrix > | exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr=0.5, Real beta=0.2, Real gamma=1.0, Time t=0.0)
void | forwardsFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &fwds)
void | coterminalFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities)
void | constantMaturityFromDiscountRatios (const Size spanningForwards, const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities)
void | checkCompatibility (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
bool | isInTerminalMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
bool | isInMoneyMarketPlusMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires, Size offset=1)
bool | isInMoneyMarketMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
std::vector< Size > | terminalMeasure (const EvolutionDescription &evolution)
| Terminal measure: the last bond is used as numeraire.
std::vector< Size > | moneyMarketPlusMeasure (const EvolutionDescription &, Size offset=1)
std::vector< Size > | moneyMarketMeasure (const EvolutionDescription &)
template<class Traits , class Interpolator >
void | historicalForwardRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator())
void | historicalRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes)
std::vector< Volatility > | rateVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2)
std::vector< Spread > | rateInstVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2, Size index)
std::vector< Real > | coterminalSwapPseudoRoots (const PiecewiseConstantCorrelation &, const std::vector< boost::shared_ptr< PiecewiseConstantVariance > > &, const std::vector< Time > &)
Integer | capletSwaptionPeriodicCalibration (const EvolutionDescription &evolution, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, VolatilityInterpolationSpecifier &displacedSwapVariances, const std::vector< Volatility > &capletVols, const boost::shared_ptr< CurveState > &cs, const Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size period, Size max1dIterations, Real tolerance1d, Size maxUnperiodicIterations, Real toleranceUnperiodic, Size maxPeriodIterations, Real periodTolerance, Real &deformationSize, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots, std::vector< Real > &finalScales, Size &iterationsDone, Real &errorImprovement, Matrix &modelSwaptionVolsMatrix)
void | mergeTimes (const std::vector< std::vector< Time > > &times, std::vector< Time > &mergedTimes, std::vector< std::valarray< bool > > &isPresent)
std::valarray< bool > | isInSubset (const std::vector< Time > &set, const std::vector< Time > &subset)
void | checkIncreasingTimes (const std::vector< Time > &times)
| check for strictly increasing times, first time greater than zero
void | checkIncreasingTimesAndCalculateTaus (const std::vector< Time > &times, std::vector< Time > &taus)
std::ostream & | operator<< (std::ostream &out, const MarkovFunctional::ModelOutputs &m)
Money | operator+ (const Money &m1, const Money &m2)
Money | operator- (const Money &m1, const Money &m2)
Money | operator* (const Money &m, Decimal x)
Money | operator* (Decimal x, const Money &m)
Money | operator/ (const Money &m, Decimal x)
bool | operator!= (const Money &m1, const Money &m2)
bool | operator> (const Money &m1, const Money &m2)
bool | operator>= (const Money &m1, const Money &m2)
Money | operator* (Decimal value, const Currency &c)
Money | operator* (const Currency &c, Decimal value)
std::ostream & | operator<< (std::ostream &out, Option::Type type)
Real | midEquivalent (const Real bid, const Real ask, const Real last, const Real close)
Real | midSafe (const Real bid, const Real ask)
Real | blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real | blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaImpliedStdDevApproximation (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaImpliedStdDevChambers (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real blackAtmPrice, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaImpliedStdDevChambers (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real blackAtmPrice, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100)
Real | blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100)
Real | blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0)
Real | blackFormulaCashItmProbability (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0)
Real | blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real | blackFormulaStdDevSecondDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement)
Real | blackFormulaStdDevSecondDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real | bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0)
Real | bachelierBlackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0)
Real | bachelierBlackFormulaImpliedVol (Option::Type optionType, Real strike, Real forward, Real tte, Real bachelierPrice, Real discount=1.0)
Real | bachelierBlackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0)
Real | bachelierBlackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0)
Real | blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma)
| default theta calculation for Black-Scholes options
Real | defaultThetaPerDay (Real theta)
| default theta-per-day calculation
std::pair< Date, Date > | inflationPeriod (const Date &, Frequency)
| utility function giving the inflation period for a given date
Time | inflationYearFraction (Frequency, bool indexIsInterpolated, const DayCounter &, const Date &, const Date &)
void | validateAbcdParameters (Real a, Real, Real c, Real d)
Real | abcdBlackVolatility (Time u, Real a, Real b, Real c, Real d)
Real | unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real | unsafeShiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift)
Real | sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
Real | shiftedSabrVolatility (Rate strike, Rate forward, Time expriyTime, Real alpha, Real beta, Real nu, Real rho, Real shift)
void | validateSabrParameters (Real alpha, Real beta, Real nu, Real rho)
std::ostream & | operator<< (std::ostream &out, const VolatilityType &t)
bool | operator== (const Calendar &c1, const Calendar &c2)
bool | operator!= (const Calendar &c1, const Calendar &c2)
std::ostream & | operator<< (std::ostream &out, const Calendar &c)
BigInteger | operator- (const Date &d1, const Date &d2)
bool | operator== (const Date &d1, const Date &d2)
bool | operator!= (const Date &d1, const Date &d2)
bool | operator< (const Date &d1, const Date &d2)
bool | operator<= (const Date &d1, const Date &d2)
bool | operator> (const Date &d1, const Date &d2)
bool | operator>= (const Date &d1, const Date &d2)
bool | operator== (const DayCounter &d1, const DayCounter &d2)
bool | operator!= (const DayCounter &d1, const DayCounter &d2)
std::ostream & | operator<< (std::ostream &out, const DayCounter &d)
template<typename T >
Period | operator* (T n, TimeUnit units)
template<typename T >
Period | operator* (TimeUnit units, T n)
Period | operator- (const Period &p)
Period | operator* (Integer n, const Period &p)
Period | operator* (const Period &p, Integer n)
bool | operator== (const Period &p1, const Period &p2)
bool | operator!= (const Period &p1, const Period &p2)
bool | operator> (const Period &p1, const Period &p2)
bool | operator<= (const Period &p1, const Period &p2)
bool | operator>= (const Period &p1, const Period &p2)
template<class T >
void | swap (Clone< T > &t, Clone< T > &u)

## Detailed Description

abstract base class implementation specifies how to decide volatility structure for additional synthetic rates which are interleaved

Classes for computing derivative of the map taking rates one step to the next with respect to a change in the pseudo-root. We do it both numerically and analytically to provide an easy test of the analytic method. This is useful for pathwise vegas.

Evolution is log Euler.

One is tested against the other in MarketModelTest::testPathwiseVegas

In order to compute market vegas, we need a class that gives the derivative of a swaption implied vol against changes in pseudo-root elements. This is that class.

This is tested in the pathwise vegas routine in MarketModels.cpp

When bumping vols, bumping every pseudo-root element individually seems excessive so we need to couple some together.

## Typedef Documentation

typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativeNormal> PseudoRandom

default traits for pseudo-random number generation

Tests:
  a sequence generator is generated and tested by comparing samples against known good values.

typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativePoisson> PoissonPseudoRandom

traits for Poisson-distributed pseudo-random number generation

Tests:
  sequence generators are generated and tested by comparing samples against known good values.

typedef GenericRiskStatistics<GaussianStatistics> RiskStatistics

default risk measures tool

Tests:
  the correctness of the returned values is tested by checking them against numerical calculations.

typedef GenericSequenceStatistics<Statistics> SequenceStatistics

default multi-dimensional statistics tool

Tests:
  the correctness of the returned values is tested by checking them against numerical calculations.

typedef RiskStatistics Statistics

default statistics tool

Tests:
  the correctness of the returned values is tested by checking them against numerical calculations.

## Enumeration Type Documentation

enum Compounding

Interest rate coumpounding rule.

Enumerator
Simple | \( 1+rt \)
Compounded | \( (1+r)^t \)
Continuous | \( e^{rt} \)
SimpleThenCompounded | Simple up to the first period then Compounded.

enum Seniority

Seniority of a bond.

They are also ISDA tier/seniorities used for CDS conventional spreads.

enum PriceType

Price types.

Enumerator
Bid | Bid price.
Ask | Ask price.
Last | Last price.
Close | Close price.
Mid | Mid price, calculated as the arithmetic average of bid and ask prices.
MidEquivalent | Mid equivalent price, calculated as a) the arithmetic average of bid and ask prices when both are available; b) either the bid or the ask price if any of them is available; c) the last price; or d) the close price.
MidSafe | Safe Mid price, returns the mid price only if both bid and ask are available.

enum JointCalendarRule

rules for joining calendars

Enumerator
JoinHolidays | A date is a holiday for the joint calendar if it is a holiday for any of the given calendars
JoinBusinessDays | A date is a business day for the joint calendar if it is a business day for any of the given calendars

## Function Documentation

bool QuantLib::operator== | ( | const DefaultEvent & | lhs,
|  | const DefaultEvent & | rhs
| ) |  |

Two credit events are the same independently of their settlement member data. This has the side effect of overwritting different settlements from the same credit event when, say, inserting in a map. But on the other hand one given event can only have one settlement. This means we can not have two restructuring events on a bond on the same date.

bool QuantLib::operator== | ( | const DefaultType & | lhs,
|  | const DefaultType & | rhs
| ) |  |

Equality is the criteria for indexing the curves. This depends only on the atomic types and not on idiosincracies of derived type as mentioned in the functional documentation (specific event characteristics are relevant to credit event matching but not to the probability meaning). operator== is also used to remove duplicates in some containers. This ensures we do not have two equal events (despite having different characteristics) in those containers. This makes sense, theres no logic in having two FailureToPay in a contract even if they have different characteristics.

Disposable<Matrix> QuantLib::Expm | ( | const Matrix & | M,
|  | Real | t = `1.0`,
|  | Real | tol = `QL_EPSILON`
| ) |  |

matrix exponential based on the ordinary differential equations method

References:

C. Moler; C. Van Loan, 1978, Nineteen Dubious Ways to Compute the Exponential of a Matrix http://xa.yimg.com/kq/groups/22199541/1399635765/name/moler-nineteen.pdfreturns the matrix exponential exp(t*M)

std::pair<Real, Real> QuantLib::parallelAnalysis | ( | const std::vector< Handle< SimpleQuote > > & | ,
|  | const std::vector< boost::shared_ptr< Instrument > > & | ,
|  | const std::vector< Real > & | quantities,
|  | Real | shift = `0.0001`,
|  | SensitivityAnalysis | type = `Centered`,
|  | Real | referenceNpv = `Null< Real >()`
| ) |  |

parallel shift PV01 sensitivity analysis for a SimpleQuote vector

returns a pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is just one single element equal to one.

All SimpleQuotes are tweaked together in a parallel fashion.

std::pair<Real, Real> QuantLib::parallelAnalysis | ( | const std::vector< std::vector< Handle< SimpleQuote > > > & | ,
|  | const std::vector< boost::shared_ptr< Instrument > > & | ,
|  | const std::vector< Real > & | quantities,
|  | Real | shift = `0.0001`,
|  | SensitivityAnalysis | type = `Centered`,
|  | Real | referenceNpv = `Null< Real >()`
| ) |  |

parallel shift PV01 sensitivity analysis for a SimpleQuote matrix

returns a pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is of size one.

All SimpleQuotes are tweaked together in a parallel fashion.

std::pair<Real, Real> QuantLib::bucketAnalysis | ( | Handle< SimpleQuote > | quote,
|  | const std::vector< boost::shared_ptr< Instrument > > & | ,
|  | const std::vector< Real > & | quantities,
|  | Real | shift = `0.0001`,
|  | SensitivityAnalysis | type = `Centered`,
|  | Real | referenceNpv = `Null< Real >()`
| ) |  |

(bucket) PV01 sensitivity analysis for a (single) SimpleQuote

returns a pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is of size one.

void QuantLib::bucketAnalysis | ( | std::vector< Real > & | deltaVector,
|  | std::vector< Real > & | gammaVector,
|  | std::vector< Real > & | referenceValues,
|  | Handle< SimpleQuote > | quote,
|  | const std::vector< Handle< Quote > > & | parameters,
|  | Real | shift = `0.0001`,
|  | SensitivityAnalysis | type = `Centered`
| ) |  |

(bucket) parameters' sensitivity analysis for a (single) SimpleQuote

returns a vector (one element for each paramet) of pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is of size one.

std::pair<std::vector<Real>, std::vector<Real> > QuantLib::bucketAnalysis | ( | const std::vector< Handle< SimpleQuote > > & | quotes,
|  | const std::vector< boost::shared_ptr< Instrument > > & | ,
|  | const std::vector< Real > & | quantities,
|  | Real | shift = `0.0001`,
|  | SensitivityAnalysis | type = `Centered`
| ) |  |

bucket PV01 sensitivity analysis for a SimpleQuote vector

returns a pair of first and second derivative vectors calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is of size one.

The (bucket) SimpleQuotes are tweaked one by one separately.

void QuantLib::bucketAnalysis | ( | std::vector< std::vector< Real > > & | deltaMatrix,
|  | std::vector< std::vector< Real > > & | gammaMatrix,
|  | const std::vector< Handle< SimpleQuote > > & | quotes,
|  | const std::vector< Handle< Quote > > & | parameters,
|  | Real | shift = `0.0001`,
|  | SensitivityAnalysis | type = `Centered`
| ) |  |

bucket parameters' sensitivity analysis for a SimpleQuote vector

returns a vector (one element for each paramet) of pair of first and second derivative vectors calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is of size one.

The (bucket) SimpleQuotes are tweaked one by one separately.

std::pair<std::vector<std::vector<Real> >, std::vector<std::vector<Real> > > QuantLib::bucketAnalysis | ( | const std::vector< std::vector< Handle< SimpleQuote > > > & | ,
|  | const std::vector< boost::shared_ptr< Instrument > > & | ,
|  | const std::vector< Real > & | quantities,
|  | Real | shift = `0.0001`,
|  | SensitivityAnalysis | type = `Centered`
| ) |  |

bucket sensitivity analysis for a SimpleQuote matrix

returns a pair of first and second derivative metrices calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.

Empty quantities vector is considered as unit vector. The same if the vector is of size one.

The (bucket) SimpleQuotes are tweaked one by one separately.

void QuantLib::convolutions | ( | ForwardIterator | begin,
|  | ForwardIterator | end,
|  | OutputIterator | out,
|  | std::size_t | maxLag
| ) |  |

Convolutions of the input sequence.

Calculates x[0]*x[n]+x[1]*x[n+1]+x[2]*x[n+2]+... for n = 0,1,...,maxLag via FFT.

Precondition
  The size of the output sequence must be maxLag + 1

void QuantLib::autocovariances | ( | ForwardIterator | begin,
|  | ForwardIterator | end,
|  | OutputIterator | out,
|  | std::size_t | maxLag
| ) |  |

Unbiased auto-covariances.

Results are calculated via FFT.

Precondition
  Input data are supposed to be centered (i.e., zero mean).
  The size of the output sequence must be maxLag + 1

Real QuantLib::autocovariances | ( | ForwardIterator | begin,
|  | ForwardIterator | end,
|  | OutputIterator | out,
|  | std::size_t | maxLag,
|  | bool | reuse
| ) |  |

Unbiased auto-covariances.

Results are calculated via FFT.

This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.

Precondition
  The size of the output sequence must be maxLag + 1

void QuantLib::autocorrelations | ( | ForwardIterator | begin,
|  | ForwardIterator | end,
|  | OutputIterator | out,
|  | std::size_t | maxLag
| ) |  |

Unbiased auto-correlations.

Results are calculated via FFT. The first element of the output is the unbiased sample variance.

Precondition
  Input data are supposed to be centered (i.e., zero mean).
  The size of the output sequence must be maxLag + 1

Real QuantLib::autocorrelations | ( | ForwardIterator | begin,
|  | ForwardIterator | end,
|  | OutputIterator | out,
|  | std::size_t | maxLag,
|  | bool | reuse
| ) |  |

Unbiased auto-correlations.

Results are calculated via FFT. The first element of the output is the unbiased sample variance.

This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.

Precondition
  The size of the output sequence must be maxLag + 1

Real QuantLib::incompleteBetaFunction | ( | Real | a,
|  | Real | b,
|  | Real | x,
|  | Real | accuracy = `1e-16`,
|  | Integer | maxIteration = `100`
| ) |  |

Incomplete Beta function.

Incomplete Beta function

The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6

bool close | ( | Real | x,
|  | Real | y
| ) |  |

Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:

\[ \mathrm{close}(x,y,n) \equiv |x-y| \leq \varepsilon |x| \wedge |x-y| \leq \varepsilon |y| \]

where \( \varepsilon \) is \( n \) times the machine accuracy; \( n \) equals 42 if not given.

bool close_enough | ( | Real | x,
|  | Real | y
| ) |  |

Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:

\[ \mathrm{close}(x,y,n) \equiv |x-y| \leq \varepsilon |x| \vee |x-y| \leq \varepsilon |y| \]

where \( \varepsilon \) is \( n \) times the machine accuracy; \( n \) equals 42 if not given.

Real QuantLib::PeizerPrattMethod2Inversion | ( | Real | z,
|  | BigNatural | n
| ) |  |

Given an odd integer n and a real number z it returns p such that: 1 - CumulativeBinomialDistribution((n-1)/2, n, p) = CumulativeNormalDistribution(z)

Precondition
  n must be odd

Real QuantLib::incompleteGammaFunction | ( | Real | a,
|  | Real | x,
|  | Real | accuracy = `1.0e-13`,
|  | Integer | maxIteration = `100`
| ) |  |

Incomplete Gamma function.

Incomplete Gamma function

The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6

Disposable<std::vector<Real> > QuantLib::factorReduction | ( | Matrix | mtrx,
|  | Size | maxIters = `25`
| ) |  |

Iterative procedure to compute a correlation matrix reduction to a single factor dependence vector by minimizing the residuals.

It assumes that such a reduction is possible, notice that if the dependence can not be reduced to one factor the correlation factors might be above 1.

The matrix passed is destroyed.

See for instance: "Modern Factor Analysis", Harry H. Harman, University Of Chicago Press, 1976. Chapter 9 is relevant to this context.

Disposable<Matrix> QuantLib::getCovariance | ( | DataIterator | stdDevBegin,
|  | DataIterator | stdDevEnd,
|  | const Matrix & | corr,
|  | Real | tolerance = `1.0e-12`
| ) |  |

Calculation of covariance from correlation and standard deviations.

Combines the correlation matrix and the vector of standard deviations to return the covariance matrix.

Note that only the symmetric part of the correlation matrix is used. Also it is assumed that the diagonal member of the correlation matrix equals one.

Precondition
  The correlation matrix must be symmetric with the diagonal members equal to one.

Tests:
  tested on know values and cross checked with CovarianceDecomposition

Disposable<std::vector<Size> > QuantLib::qrDecomposition | ( | const Matrix & | A,
|  | Matrix & | q,
|  | Matrix & | r,
|  | bool | pivot = `true`
| ) |  |

QR decompoisition.

This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz)

This subroutine uses householder transformations with column pivoting (optional) to compute a qr factorization of the m by n matrix A. That is, qrfac determines an orthogonal matrix q, a permutation matrix p, and an upper trapezoidal matrix r with diagonal elements of nonincreasing magnitude, such that A*p = q*r.

Return value ipvt is an integer array of length n, which defines the permutation matrix p such that A*p = q*r. Column j of p is column ipvt(j) of the identity matrix.

See lmdiff.cpp for further details.

Disposable<Array> QuantLib::qrSolve | ( | const Matrix & | a,
|  | const Array & | b,
|  | bool | pivot = `true`,
|  | const Array & | d = `Array()`
| ) |  |

QR Solve.

This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz)

Given an m by n matrix A, an n by n diagonal matrix d, and an m-vector b, the problem is to determine an x which solves the system

A*x = b , d*x = 0 ,

in the least squares sense.

d is an input array of length n which must contain the diagonal elements of the matrix d.

See lmdiff.cpp for further details.

Disposable<Matrix> QuantLib::triangularAnglesParametrization | ( | const Array & | angles,
|  | Size | matrixSize,
|  | Size | rank
| ) |  |

Returns the Triangular Angles Parametrized correlation matrix.

The matrix \( m \) is filled with values corresponding to angles given in the \( angles \) vector. See equation (24) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio

Tests:
  - the correctness of the results is tested by reproducing known good data.
  - the correctness of the results is tested by checking returned values against numerical calculations.

Disposable<Matrix> QuantLib::triangularAnglesParametrizationRankThree | ( | Real | alpha,
|  | Real | t0,
|  | Real | epsilon,
|  | Size | nbRows
| ) |  |

Returns the rank reduced Triangular Angles Parametrized correlation matrix.

The matrix \( m \) is filled with values corresponding to angles corresponding to the 3D spherical spiral paramterized by \( alpha \), \( t0 \), \( epsilon \) values. See equation (32) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio

Tests:
  - the correctness of the results is tested by reproducing known good data.
  - the correctness of the results is tested by checking returned values against numerical calculations.

Disposable<Matrix> QuantLib::exponentialCorrelations | ( | const std::vector< Time > & | rateTimes,
|  | Real | longTermCorr = `0.5`,
|  | Real | beta = `0.2`,
|  | Real | gamma = `1.0`,
|  | Time | t = `0.0`
| ) |  |

Exponential correlation L = long term correlation beta = exponential decay of correlation between far away forward rates gamma = exponent for time to go t = time dependence

void QuantLib::checkCompatibility | ( | const EvolutionDescription & | evolution,
|  | const std::vector< Size > & | numeraires
| ) |  |

Check that there is one numeraire for each evolution time. Each numeraire must be an index amongst the rate times so it ranges from 0 to n. Each numeraire must not have expired before the end of the step.

std::vector<Size> QuantLib::moneyMarketPlusMeasure | ( | const EvolutionDescription & | ,
|  | Size | offset = `1`
| ) |  |

Offsetted discretely compounded money market account measure: for each step the offset-th unexpired bond is used as numeraire. When offset=0 the result is the usual discretely compounded money market account measure

std::vector<Size> QuantLib::moneyMarketMeasure | ( | const EvolutionDescription & |  | ) |

Discretely compounded money market account measure: for each step the first unexpired bond is used as numeraire.

std::valarray<bool> QuantLib::isInSubset | ( | const std::vector< Time > & | set,
|  | const std::vector< Time > & | subset
| ) |  |

Look for elements of a set in a subset. Returns a vector of booleans such that: element set[i] present/not present in subset.

Precondition
  both vectors must be strictly increasing.

Real QuantLib::midEquivalent | ( | const Real | bid,
|  | const Real | ask,
|  | const Real | last,
|  | const Real | close
| ) |  |

return the MidEquivalent price, i.e. the mid if available, or a suitable substitute if the proper mid is not available

Real QuantLib::midSafe | ( | const Real | bid,
|  | const Real | ask
| ) |  |

return the MidSafe price, i.e. the mid only if both bid and ask prices are available

Real QuantLib::blackFormula | ( | Option::Type | optionType,
|  | Real | strike,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 formula

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

Real QuantLib::blackFormula | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 formula

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

Real QuantLib::blackFormulaImpliedStdDevApproximation | ( | Option::Type | optionType,
|  | Real | strike,
|  | Real | forward,
|  | Real | blackPrice,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

Real QuantLib::blackFormulaImpliedStdDevApproximation | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | blackPrice,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)

Real QuantLib::blackFormulaImpliedStdDevChambers | ( | Option::Type | optionType,
|  | Real | strike,
|  | Real | forward,
|  | Real | blackPrice,
|  | Real | blackAtmPrice,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated following "An improved approach to computing implied volatility", Chambers, Nawalkha, The Financial Review, 2001, 89-100. The atm option price must be known to use this method.

Real QuantLib::blackFormulaImpliedStdDevChambers | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | blackPrice,
|  | Real | blackAtmPrice,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).

It is calculated following "An improved approach to computing implied volatility", Chambers, Nawalkha, The Financial Review, 2001, 89-100. The atm option price must be known to use this method.

Real QuantLib::blackFormulaImpliedStdDev | ( | Option::Type | optionType,
|  | Real | strike,
|  | Real | forward,
|  | Real | blackPrice,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`,
|  | Real | guess = `Null< Real >()`,
|  | Real | accuracy = `1.0e-6`,
|  | Natural | maxIterations = `100`
| ) |  |

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

Real QuantLib::blackFormulaImpliedStdDev | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | blackPrice,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`,
|  | Real | guess = `Null< Real >()`,
|  | Real | accuracy = `1.0e-6`,
|  | Natural | maxIterations = `100`
| ) |  |

Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)

Real QuantLib::blackFormulaCashItmProbability | ( | Option::Type | optionType,
|  | Real | strike,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

Real QuantLib::blackFormulaCashItmProbability | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)

Real QuantLib::blackFormulaStdDevDerivative | ( | Real | strike,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 formula for standard deviation derivative

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)

Real QuantLib::blackFormulaVolDerivative | ( | Real | strike,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | expiry,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 formula for derivative with respect to implied vol, this is basically the vega, but if you want 1% change multiply by 1%

Real QuantLib::blackFormulaStdDevDerivative | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 formula for standard deviation derivative

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)

Real QuantLib::blackFormulaStdDevSecondDerivative | ( | Rate | strike,
|  | Rate | forward,
|  | Real | stdDev,
|  | Real | discount,
|  | Real | displacement
| ) |  |

Black 1976 formula for second derivative by standard deviation

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation.

Real QuantLib::blackFormulaStdDevSecondDerivative | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`,
|  | Real | displacement = `0.0`
| ) |  |

Black 1976 formula for second derivative by standard deviation

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation.

Real QuantLib::bachelierBlackFormula | ( | Option::Type | optionType,
|  | Real | strike,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`
| ) |  |

Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.

Warning:
  Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)

Real QuantLib::bachelierBlackFormula | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`
| ) |  |

Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.

Warning:
  Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)

Real QuantLib::bachelierBlackFormulaImpliedVol | ( | Option::Type | optionType,
|  | Real | strike,
|  | Real | forward,
|  | Real | tte,
|  | Real | bachelierPrice,
|  | Real | discount = `1.0`
| ) |  |

Approximated Bachelier implied volatility

It is calculated using the analytic implied volatility approximation of J. Choi, K Kim and M. Kwak (2009), “Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion”, Applied Math. Finance, 16(3), pp. 261-268.

Real QuantLib::bachelierBlackFormulaStdDevDerivative | ( | Real | strike,
|  | Real | forward,
|  | Real | stdDev,
|  | Real | discount = `1.0`
| ) |  |

Bachelier formula for standard deviation derivative

Warning:
  instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)

Time QuantLib::inflationYearFraction | ( | Frequency | ,
|  | bool | indexIsInterpolated,
|  | const DayCounter & | ,
|  | const Date & | ,
|  | const Date & |
| ) |  |

utility function giving the time between two dates depending on index frequency and interpolation, and a day counter