QuantLib: Class Hierarchy

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

- Main Page
- Related Pages
- Modules
- Classes
- Examples

- Class List
- Class Index
- Class Hierarchy
- Class Members

Class Hierarchy

Go to the graphical class hierarchy

This inheritance list is sorted roughly, but not completely, alphabetically:
[detail level 1234567]

C BoundaryCondition< FdmLinearOp > |
►C BoundaryCondition< TridiagonalOperator > |
C DirichletBC | Neumann boundary condition (i.e., constant value)
C NeumannBC | Neumann boundary condition (i.e., constant derivative)
C BoxMullerGaussianRng< URNG > |
C Clone< ExerciseStrategy< QuantLib::CurveState > > |
C Clone< MarketModelBasisSystem > |
C Clone< MarketModelExerciseValue > |
C Clone< MarketModelParametricExercise > |
C Clone< QuantLib::FittedBondDiscountCurve::FittingMethod > |
C Clone< QuantLib::MarketModelMultiProduct > |
C Clone< QuantLib::MarketModelPathwiseMultiProduct > |
►C CuriouslyRecurringTemplate< AdditiveEQPBinomialTree > |
►C Tree< AdditiveEQPBinomialTree > |
►C BinomialTree< AdditiveEQPBinomialTree > |
►C EqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree > |
C AdditiveEQPBinomialTree | Additive equal probabilities binomial tree
►C CuriouslyRecurringTemplate< Bisection > |
►C Solver1D< Bisection > |
C Bisection | Bisection 1-D solver
►C CuriouslyRecurringTemplate< BlackScholesLattice< T > > |
►C TreeLattice< BlackScholesLattice< T > > |
►C TreeLattice1D< BlackScholesLattice< T > > |
►C BlackScholesLattice< T > | Simple binomial lattice approximating the Black-Scholes model
C TsiveriotisFernandesLattice< T > | Binomial lattice approximating the Tsiveriotis-Fernandes model
►C CuriouslyRecurringTemplate< Brent > |
►C Solver1D< Brent > |
C Brent | Brent 1-D solver
►C CuriouslyRecurringTemplate< CoxRossRubinstein > |
►C Tree< CoxRossRubinstein > |
►C BinomialTree< CoxRossRubinstein > |
►C EqualJumpsBinomialTree< CoxRossRubinstein > |
C CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
►C CuriouslyRecurringTemplate< ExtendedAdditiveEQPBinomialTree > |
►C Tree< ExtendedAdditiveEQPBinomialTree > |
►C ExtendedBinomialTree< ExtendedAdditiveEQPBinomialTree > |
►C ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree > |
C ExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree
►C CuriouslyRecurringTemplate< ExtendedCoxRossRubinstein > |
►C Tree< ExtendedCoxRossRubinstein > |
►C ExtendedBinomialTree< ExtendedCoxRossRubinstein > |
►C ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein > |
C ExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
►C CuriouslyRecurringTemplate< ExtendedJarrowRudd > |
►C Tree< ExtendedJarrowRudd > |
►C ExtendedBinomialTree< ExtendedJarrowRudd > |
►C ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd > |
C ExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
►C CuriouslyRecurringTemplate< ExtendedJoshi4 > |
►C Tree< ExtendedJoshi4 > |
C ExtendedBinomialTree< ExtendedJoshi4 > |
►C CuriouslyRecurringTemplate< ExtendedLeisenReimer > |
►C Tree< ExtendedLeisenReimer > |
►C ExtendedBinomialTree< ExtendedLeisenReimer > |
C ExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach
►C CuriouslyRecurringTemplate< ExtendedTian > |
►C Tree< ExtendedTian > |
►C ExtendedBinomialTree< ExtendedTian > |
C ExtendedTian | Tian tree: third moment matching, multiplicative approach
►C CuriouslyRecurringTemplate< ExtendedTrigeorgis > |
►C Tree< ExtendedTrigeorgis > |
►C ExtendedBinomialTree< ExtendedTrigeorgis > |
►C ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis > |
C ExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree
►C CuriouslyRecurringTemplate< FalsePosition > |
►C Solver1D< FalsePosition > |
C FalsePosition | False position 1-D solver
►C CuriouslyRecurringTemplate< FiniteDifferenceNewtonSafe > |
►C Solver1D< FiniteDifferenceNewtonSafe > |
C FiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives
►C CuriouslyRecurringTemplate< JarrowRudd > |
►C Tree< JarrowRudd > |
►C BinomialTree< JarrowRudd > |
►C EqualProbabilitiesBinomialTree< JarrowRudd > |
C JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
►C CuriouslyRecurringTemplate< Joshi4 > |
►C Tree< Joshi4 > |
C BinomialTree< Joshi4 > |
►C CuriouslyRecurringTemplate< LeisenReimer > |
►C Tree< LeisenReimer > |
►C BinomialTree< LeisenReimer > |
C LeisenReimer | Leisen & Reimer tree: multiplicative approach
►C CuriouslyRecurringTemplate< Newton > |
►C Solver1D< Newton > |
C Newton | Newton 1-D solver
►C CuriouslyRecurringTemplate< NewtonSafe > |
►C Solver1D< NewtonSafe > |
C NewtonSafe | Safe Newton 1-D solver
►C CuriouslyRecurringTemplate< OneFactorModel::ShortRateTree > |
►C TreeLattice< OneFactorModel::ShortRateTree > |
►C TreeLattice1D< OneFactorModel::ShortRateTree > |
C OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable
►C CuriouslyRecurringTemplate< Ridder > |
►C Solver1D< Ridder > |
C Ridder | Ridder 1-D solver
►C CuriouslyRecurringTemplate< Secant > |
►C Solver1D< Secant > |
C Secant | Secant 1-D solver
►C CuriouslyRecurringTemplate< T > |
►C Tree< T > | Tree approximating a single-factor diffusion
►C BinomialTree< T > | Binomial tree base class
C EqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree
C EqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree
►C ExtendedBinomialTree< T > | Binomial tree base class
C ExtendedEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree
C ExtendedEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree
►C CuriouslyRecurringTemplate< Tian > |
►C Tree< Tian > |
►C BinomialTree< Tian > |
C Tian | Tian tree: third moment matching, multiplicative approach
►C CuriouslyRecurringTemplate< Trigeorgis > |
►C Tree< Trigeorgis > |
►C BinomialTree< Trigeorgis > |
►C EqualJumpsBinomialTree< Trigeorgis > |
C Trigeorgis | Trigeorgis (additive equal jumps) binomial tree
►C CuriouslyRecurringTemplate< TrinomialTree > |
►C Tree< TrinomialTree > |
C TrinomialTree | Recombining trinomial tree class
►C CuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree > |
►C TreeLattice< TwoFactorModel::ShortRateTree > |
►C TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > |
C TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable
C EarlyExercisePathPricer< MultiPath > |
C EarlyExercisePathPricer< Path > |
C ForwardOptionArguments< VanillaOption::arguments > |
C Handle< AffineModel > |
C Handle< BatesModel > |
C Handle< FdmQuantoHelper > |
C Handle< G2 > |
C Handle< Gaussian1dModel > |
C Handle< GJRGARCHModel > |
C Handle< HestonModel > |
C Handle< HullWhite > |
C Handle< LiborForwardModel > |
C Handle< ModelType > |
C Handle< OneFactorAffineModel > |
C Handle< PiecewiseTimeDependentHestonModel > |
C Handle< QuantLib::AbcdAtmVolCurve > |
C Handle< QuantLib::BaseCorrelationTermStructure< Corr2DInt_T > > |
►C Handle< QuantLib::Basket > |
C RelinkableHandle< QuantLib::Basket > |
C Handle< QuantLib::BatesProcess > |
C Handle< QuantLib::BlackAtmVolCurve > |
C Handle< QuantLib::BlackVarianceCurve > |
C Handle< QuantLib::BlackVolTermStructure > |
C Handle< QuantLib::CallableBondVolatilityStructure > |
C Handle< QuantLib::CapFloorTermVolCurve > |
C Handle< QuantLib::CPICapFloorTermPriceSurface > |
C Handle< QuantLib::CPIVolatilitySurface > |
►C Handle< QuantLib::DefaultProbabilityTermStructure > |
C RelinkableHandle< QuantLib::DefaultProbabilityTermStructure > |
C Handle< QuantLib::DeltaVolQuote > |
C Handle< QuantLib::ExtendedOrnsteinUhlenbeckProcess > |
C Handle< QuantLib::ExtOUWithJumpsProcess > |
C Handle< QuantLib::G2 > |
C Handle< QuantLib::GeneralizedBlackScholesProcess > |
C Handle< QuantLib::HestonProcess > |
C Handle< QuantLib::HullWhite > |
C Handle< QuantLib::HullWhiteProcess > |
C Handle< QuantLib::InterestRateVolSurface > |
C Handle< QuantLib::KlugeExtOUProcess > |
►C Handle< QuantLib::LocalVolTermStructure > |
C RelinkableHandle< QuantLib::LocalVolTermStructure > |
C Handle< QuantLib::OneFactorCopula > |
C Handle< QuantLib::OptionletVolatilityStructure > |
►C Handle< QuantLib::Quote > |
C RelinkableHandle< QuantLib::Quote > |
C Handle< QuantLib::RecoveryRateQuote > |
C Handle< QuantLib::SwaptionVolatilityStructure > |
►C Handle< QuantLib::YieldTermStructure > |
C RelinkableHandle< QuantLib::YieldTermStructure > |
C Handle< QuantLib::YoYInflationTermStructure > |
C Handle< QuantLib::YoYOptionletVolatilitySurface > |
C Handle< QuantLib::ZeroInflationIndex > |
C Handle< QuantLib::ZeroInflationTermStructure > |
C Handle< ShortRateModel > |
C InverseCumulativeRsg< QuantLib::SobolRsg, QuantLib::InverseCumulativeNormal > |
►C McSimulation< MultiVariate, RNG, S > |
►C MCVanillaEngine< MultiVariate, RNG, S > |
C MCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH-model engine for European options
C MCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston-model engine for European options
C MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation
C MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation
C MCPathBasketEngine< RNG, S > | Pricing engine for path dependent basket options using
►C McSimulation< MultiVariate, RNG, Statistics > |
►C MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > |
C MCAmericanBasketEngine< RNG > | Least-square Monte Carlo engine
►C MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG > |
C MCAmericanPathEngine< RNG > | Least-square Monte Carlo engine
►C McSimulation< SingleVariate, RNG, S > |
►C MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > |
C MCAmericanEngine< RNG, S > | American Monte Carlo engine
►C MCVanillaEngine< SingleVariate, RNG, S > |
C MCDigitalEngine< RNG, S > | Pricing engine for digital options using Monte Carlo simulation
C MCEuropeanEngine< RNG, S > | European option pricing engine using Monte Carlo simulation
C MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation
►C MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation
C MCDiscreteArithmeticAPEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average price Asian
C MCDiscreteArithmeticASEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average-strike Asian
C MCDiscreteGeometricAPEngine< RNG, S > | Monte Carlo pricing engine for discrete geometric average price Asian
C MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors
C MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation
C MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation,
C ObservableValue< Date > |
C ObservableValue< TimeSeries< Real > > |
►C PathPricer< MultiPath > |
C LongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options
C PathPricer< Path > |
►C PathPricer< PathType > |
C LongstaffSchwartzPathPricer< PathType > | Longstaff-Schwarz path pricer for early exercise options
C Abcd | Abcd interpolation factory and traits
C AbcdFunction | Abcd functional form for instantaneous volatility
C AccountingEngine | Engine collecting cash flows along a market-model simulation
C AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern
C AliMikhailHaqCopula | Ali-Mikhail-Haq copula
C AmericanCondition | American exercise condition
C AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options
C AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options
►C AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff
C AnalyticDigitalAmericanKOEngine | Analytic pricing engine for American Knock-out options with digital payoff
C AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae
C AnalyticTwoAssetCorrelationEngine | Analytic two-asset correlation option engine
C Array | 1-D array used in linear algebra
C AssetSwap::arguments | Arguments for asset swap calculation
C AssetSwap::results | Results from simple swap calculation
C ASX | Main cycle of the Australian Securities Exchange (a.k.a. ASX) months
C AtomicDefault | Atomic (single contractual event) default events
C Average | Placeholder for enumerated averaging types
C AverageBMALeg | Helper class building a sequence of average BMA coupons
C BackwardFlat | Backward-flat interpolation factory and traits
C BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987)
C Barrier | Placeholder for enumerated barrier types
►C BarrierOption::arguments | Arguments for barrier option calculation
C DividendBarrierOption::arguments | Arguments for dividend barrier option calculation
C BernsteinPolynomial | Class of Bernstein polynomials
C BFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm
C Bicubic | Bicubic-spline-interpolation factory
C Bilinear | Bilinear-interpolation factory
C BinomialConvertibleEngine< T > | Binomial Tsiveriotis-Fernandes engine for convertible bonds
C BinomialDistribution | Binomial probability distribution function
C BinomialProbabilityOfAtLeastNEvents | Probability of at least N events
C BinomialVanillaEngine< T > | Pricing engine for vanilla options using binomial trees
C BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function
C BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004)
C BivariateCumulativeStudentDistribution | Cumulative Student t-distribution
C BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993)
►C BlackCalculator | Black 1976 calculator class
C BlackScholesCalculator | Black-Scholes 1973 calculator class
C BlackDeltaCalculator | Black delta calculator class
C BondFunctions | Bond adapters of CashFlows functions
C BootstrapError< Curve > | Bootstrap error
C BoundaryCondition< Operator > | Abstract boundary condition class for finite difference problems
C BoxMullerGaussianRng< RNG > | Gaussian random number generator
C BrownianBridge | Builds Wiener process paths using Gaussian variates
C BSpline | B-spline basis functions
►C Calendar | calendar class
C Argentina | Argentinian calendars
C Australia | Australian calendar
C BespokeCalendar | Bespoke calendar
C Brazil | Brazilian calendar
C Canada | Canadian calendar
C China | Chinese calendar
C CzechRepublic | Czech calendars
C Denmark | Danish calendar
C Finland | Finnish calendar
C Germany | German calendars
C HongKong | Hong Kong calendars
C Hungary | Hungarian calendar
C Iceland | Icelandic calendars
C India | Indian calendars
C Indonesia | Indonesian calendars
C Italy | Italian calendars
C Japan | Japanese calendar
C JointCalendar | Joint calendar
C Mexico | Mexican calendars
C NewZealand | New Zealand calendar
C Norway | Norwegian calendar
C NullCalendar | Calendar for reproducing theoretical calculations
C Poland | Polish calendar
C Russia | Russian calendars
C SaudiArabia | Saudi Arabian calendar
C Singapore | Singapore calendars
C Slovakia | Slovak calendars
C SouthAfrica | South-African calendar
C SouthKorea | South Korean calendars
C Sweden | Swedish calendar
C Switzerland | Swiss calendar
C Taiwan | Taiwanese calendars
C TARGET | TARGET calendar
C Turkey | Turkish calendar
C Ukraine | Ukrainian calendars
C UnitedKingdom | United Kingdom calendars
C UnitedStates | United States calendars
C WeekendsOnly | Weekends-only calendar
►C Calendar::Impl | Abstract base class for calendar implementations
C Calendar::OrthodoxImpl | Partial calendar implementation
C Calendar::WesternImpl | Partial calendar implementation
C Callability::Price | Amount to be paid upon callability
C CallableBond::results | Results for a callable bond calculation
C CapFloor::arguments | Arguments for cap/floor calculation
C CapPseudoDerivative |
C CashFlows | cashflow-analysis functions
C CatBond::results | Results for a cat bond calculation
C CdsOption::results | Results from CDS-option calculation
C ClaytonCopula | Clayton copula
C ClaytonCopulaRng< RNG > | Clayton copula random-number generator
C CLGaussianRng< RNG > | Gaussian random number generator
C Clone< T > | Cloning proxy to an underlying object
C CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons
C CMSMMDriftCalculator | Drift computation for CMS market models
C CmsSpreadLeg | Helper class building a sequence of capped/floored cms-spread-rate coupons
C CommodityPricingHelper | Commodity index helper
C CommodityType | Commodity type
C Composite< T > | Composite pattern
C ConjugateGradient | Multi-dimensional Conjugate Gradient class
C ConstantEstimator | Constant-estimator volatility model
►C Constraint | Base constraint class
C BoundaryConstraint | Constraint imposing all arguments to be in [low,high]
C CompositeConstraint | Constraint enforcing both given sub-constraints
C NoConstraint | No constraint
C NonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i
C PositiveConstraint | Constraint imposing positivity to all arguments
C Constraint::Impl | Base class for constraint implementations
C ContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option
►C ContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation
C ContinuousPartialFixedLookbackOption::arguments | Arguments for continuous partial fixed lookback option calculation
►C ContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation
C ContinuousPartialFloatingLookbackOption::arguments | Arguments for continuous partial floating lookback option calculation
C ConvergenceStatistics< T, U > | Statistics class with convergence table
C ConvexMonotone | Convex-monotone interpolation factory and traits
►C CostFunction | Cost function abstract class for optimization problem
C LeastSquareFunction | Cost function for least-square problems
C ProjectedCostFunction | Parameterized cost function
C CovarianceDecomposition | Covariance decomposition into correlation and variances
C CPILeg | Helper class building a sequence of capped/floored CPI coupons
C CPISwap::arguments | Arguments for swap calculation
C CPISwap::results | Results from swap calculation
C CreditRiskPlus |
C Cubic | Cubic interpolation factory and traits
C CumulativeBehrensFisher | Cumulative (generalized) BehrensFisher distribution
C CumulativeBinomialDistribution | Cumulative binomial distribution function
C CumulativeNormalDistribution | Cumulative normal distribution function
C CumulativePoissonDistribution | Cumulative Poisson distribution function
C CumulativeStudentDistribution | Cumulative Student t-distribution
►C CuriouslyRecurringTemplate< Impl > | Support for the curiously recurring template pattern
C Solver1D< Impl > | Base class for 1-D solvers
►C TreeLattice< Impl > | Tree-based lattice-method base class
C TreeLattice1D< Impl > | One-dimensional tree-based lattice
C TreeLattice2D< Impl, T > | Two-dimensional tree-based lattice
►C Currency | Currency specification
C ARSCurrency | Argentinian peso
C ATSCurrency | Austrian shilling
C AUDCurrency | Australian dollar
C BDTCurrency | Bangladesh taka
C BEFCurrency | Belgian franc
C BGLCurrency | Bulgarian lev
C BRLCurrency | Brazilian real
C BYRCurrency | Belarussian ruble
C CADCurrency | Canadian dollar
C CHFCurrency | Swiss franc
C CLPCurrency | Chilean peso
C CNYCurrency | Chinese yuan
C COPCurrency | Colombian peso
C CYPCurrency | Cyprus pound
C CZKCurrency | Czech koruna
C DEMCurrency | Deutsche mark
C DKKCurrency | Danish krone
C EEKCurrency | Estonian kroon
C ESPCurrency | Spanish peseta
C EURCurrency | European Euro
C FIMCurrency | Finnish markka
C FRFCurrency | French franc
C GBPCurrency | British pound sterling
C GRDCurrency | Greek drachma
C HKDCurrency | Hong Kong dollar
C HUFCurrency | Hungarian forint
C IDRCurrency | Indonesian Rupiah
C IEPCurrency | Irish punt
C ILSCurrency | Israeli shekel
C INRCurrency | Indian rupee
C IQDCurrency | Iraqi dinar
C IRRCurrency | Iranian rial
C ISKCurrency | Icelandic krona
C ITLCurrency | Italian lira
C JPYCurrency | Japanese yen
C KRWCurrency | South-Korean won
C KWDCurrency | Kuwaiti dinar
C LTLCurrency | Lithuanian litas
C LUFCurrency | Luxembourg franc
C LVLCurrency | Latvian lat
C MTLCurrency | Maltese lira
C MXNCurrency | Mexican peso
C MYRCurrency | Malaysian Ringgit
C NLGCurrency | Dutch guilder
C NOKCurrency | Norwegian krone
C NPRCurrency | Nepal rupee
C NZDCurrency | New Zealand dollar
C PEHCurrency | Peruvian sol
C PEICurrency | Peruvian inti
C PENCurrency | Peruvian nuevo sol
C PKRCurrency | Pakistani rupee
C PLNCurrency | Polish zloty
C PTECurrency | Portuguese escudo
C ROLCurrency | Romanian leu
C RONCurrency | Romanian new leu
C RUBCurrency | Russian ruble
C SARCurrency | Saudi riyal
C SEKCurrency | Swedish krona
C SGDCurrency | Singapore dollar
C SITCurrency | Slovenian tolar
C SKKCurrency | Slovak koruna
C THBCurrency | Thai baht
C TRLCurrency | Turkish lira
C TRYCurrency | New Turkish lira
C TTDCurrency | Trinidad & Tobago dollar
C TWDCurrency | Taiwan dollar
C USDCurrency | U.S. dollar
C VEBCurrency | Venezuelan bolivar
C VNDCurrency | Vietnamese Dong
C ZARCurrency | South-African rand
C Curve | Abstract curve class
►C CurveState | Curve state for market-model simulations
C CMSwapCurveState | Curve state for constant-maturity-swap market models
C CoterminalSwapCurveState | Curve state for coterminal-swap market models
C LMMCurveState | Curve state for Libor market models
C Date | Concrete date class
C DateGeneration | Date-generation rule
►C DateInterval | Date interval described by a number of a given time unit
C PricingPeriod | Time pricingperiod described by a number of a given time unit
►C DayCounter | Day counter class
C Actual360 | Actual/360 day count convention
C Actual365Fixed | Actual/365 (Fixed) day count convention
C Actual365NoLeap | Actual/365 (No Leap) day count convention
C ActualActual | Actual/Actual day count
C Business252 | Business/252 day count convention
C OneDayCounter | 1/1 day count convention
C SimpleDayCounter | Simple day counter for reproducing theoretical calculations
C Thirty360 | 30/360 day count convention
C DayCounter::Impl | Abstract base class for day counter implementations
C DefaultDensity | Default-density-curve traits
►C DefaultProbKey |
C NorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt
►C DefaultType | Atomic credit-event type
C FailureToPay | Failure to Pay atomic event type
C ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation
C Root | Utility for the numerical time solver
C DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons
C DigitalCmsSpreadLeg | Helper class building a sequence of digital ibor-rate coupons
C DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons
C Discount | Discount-curve traits
C DiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option
C DiscreteTrapezoidIntegral |
►C DiscretizedAsset | Discretized asset class used by numerical methods
C DiscretizedDermanKaniDoubleBarrierOption | Derman-Kani-Ergener-Bardhan discretized option helper class
C DiscretizedDiscountBond | Useful discretized discount bond asset
C DiscretizedDoubleBarrierOption | Standard discretized option helper class
C DiscretizedOption | Discretized option on a given asset
C Disposable< T > | Generic disposable object with move semantics
C DividendVanillaOption::arguments | Arguments for dividend vanilla option calculation
C DoubleBarrier | Placeholder for enumerated barrier types
C DoubleBarrierOption::arguments | Arguments for double barrier option calculation
C Duration | duration type
C earlier_than< T > | Compare two objects by date
C EarlyExercisePathPricer< PathType, TimeType, ValueType > | Base class for early exercise path pricers
C ECB | European Central Bank reserve maintenance dates
C EndCriteria | Criteria to end optimization process:
C EnergyBasisSwap | Energy basis swap
C EnergyVanillaSwap | Vanilla energy swap
C Eonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB
C ErrorFunction | Error function
C EvolutionDescription | Market-model evolution description
C ExchangeRate | Exchange rate between two currencies
►C Exercise | Base exercise class
►C EarlyExercise | Early-exercise base class
C AmericanExercise | American exercise
►C BermudanExercise | Bermudan exercise
C SwingExercise | Swing exercise
C EuropeanExercise | European exercise
C RebatedExercise | Rebated exercise
C ExponentialJump1dMesher |
►C Extrapolator | Base class for classes possibly allowing extrapolation
►C Interpolation | Base class for 1-D interpolations
C AbcdInterpolation | Abcd interpolation between discrete points
C BackwardFlatInterpolation | Backward-flat interpolation between discrete points
C ConvexMonotoneInterpolation< I1, I2 > | Convex monotone yield-curve interpolation method
C CubicInterpolation | Cubic interpolation between discrete points
C ForwardFlatInterpolation | Forward-flat interpolation between discrete points
C KernelInterpolation | Kernel interpolation between discrete points
C LinearInterpolation | Linear interpolation between discrete points
C LogCubicInterpolation | log-cubic interpolation between discrete points
C LogLinearInterpolation | log-linear interpolation between discrete points
C MixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points
C NoArbSabrInterpolation | No arbitrage sabr smile interpolation between discrete volatility points
C SABRInterpolation | SABR smile interpolation between discrete volatility points
C SviInterpolation | Svi smile interpolation between discrete volatility points
C VannaVolgaInterpolation | Vanna Volga interpolation between discrete points
C ZabrInterpolation< Evaluation > | Zabr smile interpolation between discrete volatility points
►C Interpolation2D | Base class for 2-D interpolations
C BicubicSpline | Bicubic-spline interpolation between discrete points
C BilinearInterpolation | bilinear interpolation between discrete points
C KernelInterpolation2D |
C Polynomial2DSpline | Polynomial2D-spline interpolation between discrete points
►C TermStructure | Basic term-structure functionality
►C CallableBondVolatilityStructure | Callable-bond volatility structure
C CallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence
C CommodityCurve | Commodity term structure
►C CorrelationTermStructure |
C BaseCorrelationTermStructure< Interpolator2D_T > |
►C DefaultProbabilityTermStructure | Default probability term structure
►C DefaultDensityStructure | Default-density term structure
C InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities
►C HazardRateStructure | Hazard-rate term structure
C FactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates
C FlatHazardRate | Flat hazard-rate curve
C InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates
C SpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates
►C SurvivalProbabilityStructure | Hazard-rate term structure
C InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities
►C InflationTermStructure | Interface for inflation term structures
C CPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity)
C YoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure
►C YoYInflationTermStructure | Base class for year-on-year inflation term structures
►C InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates
C PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure
►C ZeroInflationTermStructure | Interface for zero inflation term structures
►C InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates
C PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure
►C VolatilityTermStructure | Volatility term structure
►C BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve
C AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve
►C BlackVolSurface | Black volatility (smile) surface
C EquityFXVolSurface | Equity/FX volatility (smile) surface
►C InterestRateVolSurface | Interest rate volatility (smile) surface
C SabrVolSurface | SABR volatility (smile) surface
►C BlackVolTermStructure | Black-volatility term structure
►C BlackVarianceTermStructure | Black variance term structure
C BlackVarianceCurve | Black volatility curve modelled as variance curve
C BlackVarianceSurface | Black volatility surface modelled as variance surface
C ExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve
C ExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface
C ImpliedVolTermStructure | Implied vol term structure at a given date in the future
►C BlackVolatilityTermStructure | Black-volatility term structure
C BlackConstantVol | Constant Black volatility, no time-strike dependence
►C CapFloorTermVolatilityStructure | Cap/floor term-volatility structure
C CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector
C CapFloorTermVolSurface | Cap/floor smile volatility surface
C ConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence
►C CPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
C ConstantCPIVolatility | Constant surface, no K or T dependence
►C LocalVolTermStructure |
C LocalConstantVol | Constant local volatility, no time-strike dependence
C LocalVolCurve | Local volatility curve derived from a Black curve
C LocalVolSurface | Local volatility surface derived from a Black vol surface
►C OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure
C ConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence
C StrippedOptionletAdapter |
►C SwaptionVolatilityStructure | Swaption-volatility structure
C ConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence
►C YoYOptionletVolatilitySurface |
►C InterpolatedYoYOptionletVolatilityCurve< Interpolator > |
C PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure
C ConstantYoYOptionletVolatility | Constant surface, no K or T dependence
C InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface
C KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > | K-interpolated YoY optionlet volatility
►C YieldTermStructure | Interest-rate term structure
C FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds
C FlatForward | Flat interest-rate curve
►C ForwardRateStructure | Forward-rate term structure
C ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate
C InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates
C ImpliedTermStructure | Implied term structure at a given date in the future
C InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors
►C ZeroYieldStructure | Zero-yield term structure
C DriftTermStructure | Drift term structure
C InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > | Yield curve with an added vector of spreads on the zero-yield rate
C InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates
C QuantoTermStructure | Quanto term structure
C ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate
C Factorial | Factorial numbers calculator
C FarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula
C FarlieGumbelMorgensternCopulaRng< RNG > | Farlie-Gumbel-Morgenstern copula random-number generator
C FastFourierTransform | FFT implementation
C FaureRsg | Faure low-discrepancy sequence generator
C FDAmericanEngine< Scheme > | Finite-differences pricing engine for American one asset options
C FDBermudanEngine< Scheme > | Finite-differences Bermudan engine
C FDDividendAmericanEngine< Scheme > | Finite-differences pricing engine for dividend American options
►C FDDividendEngineBase< Scheme > | Abstract base class for dividend engines
C FDDividendEngineMerton73< Scheme > | Finite-differences pricing engine for dividend options using escowed dividends model
C FDDividendEngineShiftScale< Scheme > | Finite-differences engine for dividend options using shifted dividends
C FDDividendEuropeanEngine< Scheme > | Finite-differences pricing engine for dividend European options
C FDDividendShoutEngine< Scheme > | Finite-differences shout engine with dividends
C FdmExtOUJumpOp |
C FdmKlugeExtOUOp |
C FDShoutEngine< Scheme > | Finite-differences pricing engine for shout vanilla options
►C FDVanillaEngine | Finite-differences pricing engine for BSM one asset options
C FDEuropeanEngine< Scheme > | Pricing engine for European options using finite-differences
C FDStepConditionEngine< Scheme > | Finite-differences pricing engine for American-style vanilla options
C FedFunds | Fed Funds rate fixed by the FED
►C FFTEngine | Base class for FFT pricing engines for European vanilla options
C FFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process
C FFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process
C FilonIntegral | Integral of a one-dimensional function
C FiniteDifferenceModel< Evolver > | Generic finite difference model
►C FittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve
C CubicBSplinesFitting | CubicSpline B-splines fitting method
C ExponentialSplinesFitting | Exponential-splines fitting method
C NelsonSiegelFitting | Nelson-Siegel fitting method
C SimplePolynomialFitting | Simple polynomial fitting method
C SvenssonFitting | Svensson Fitting method
C FixedRateLeg | Helper class building a sequence of fixed rate coupons
►C FloatFloatSwap::arguments | Arguments for float float swap calculation
C FloatFloatSwaption::arguments | Arguments for cms swaption calculation
C FloatFloatSwap::results | Results from float float swap calculation
C FloatingCatBond | Floating-rate cat bond (possibly capped and/or floored)
C ForwardFlat | Forward-flat interpolation factory and traits
C ForwardOptionArguments< ArgumentsType > | Arguments for forward (strike-resetting) option calculation
C ForwardRate | Forward-curve traits
C FrankCopula | Frank copula
C FrankCopulaRng< RNG > | Frank copula random-number generator
C GalambosCopula | Galambos copula
C GammaFunction | Gamma function class
C Garch11 | GARCH volatility model
C GarmanKlassAbstract | Garman-Klass volatility model
C GaussianCopula | Gaussian copula
C GaussianCopulaPolicy |
►C GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures
C GaussHermitePolynomial | Gauss-Hermite polynomial
C GaussHyperbolicPolynomial | Gauss hyperbolic polynomial
►C GaussJacobiPolynomial | Gauss-Jacobi polynomial
C GaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind)
C GaussChebyshevPolynomial | Gauss-Chebyshev polynomial
C GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial
C GaussLegendrePolynomial | Gauss-Legendre polynomial
C GaussLaguerrePolynomial | Gauss-Laguerre polynomial
C GaussianQuadMultidimIntegrator | Integrates a vector or scalar function of vector domain
►C GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method
C GaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind)
C GaussChebyshevIntegration | Gauss-Chebyshev integration
C GaussGegenbauerIntegration | Gauss-Gegenbauer integration
C GaussHermiteIntegration | Generalized Gauss-Hermite integration
C GaussHyperbolicIntegration | Gauss-Hyperbolic integration
C GaussJacobiIntegration | Gauss-Jacobi integration
C GaussLaguerreIntegration | Generalized Gauss-Laguerre integration
C GaussLegendreIntegration | Gauss-Legendre integration
C GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
C GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
C GaussLobattoIntegral | Integral of a one-dimensional function
C GeneralizedHullWhite::Dynamics | Short-rate dynamics in the generalized Hull-White model
C GeneralLinearLeastSquares | General linear least squares regression
C GeneralStatistics | Statistics tool
C GenericGaussianStatistics< Stat > | Statistics tool for gaussian-assumption risk measures
C GenericRiskStatistics< S > | Empirical-distribution risk measures
►C GenericSequenceStatistics< StatisticsType > | Statistics analysis of N-dimensional (sequence) data
C DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation
►C Greeks | Additional option results
►C MultiAssetOption::results | Results from multi-asset option calculation
C MargrabeOption::results | Extra results for Margrabe option
C OneAssetOption::results | Results from single-asset option calculation
C GumbelCopula | Gumbel copula
C HaltonRsg | Halton low-discrepancy sequence generator
►C Handle< T > | Shared handle to an observable
C RelinkableHandle< T > | Relinkable handle to an observable
C HazardRate | Hazard-rate-curve traits
►C HestonExpansion |
C FordeHestonExpansion |
C LPP2HestonExpansion |
C LPP3HestonExpansion |
C Histogram | Histogram class
C HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > | Historical correlation class
C HistoricalRatesAnalysis | Historical rate analysis class
C HuslerReissCopula | Husler-Reiss copula
C IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons
C IMM | Main cycle of the International Money Market (a.k.a. IMM) months
C IncrementalStatistics | Statistics tool based on incremental accumulation
C IndependentCopula | Independent copula
C IntegralEngine | Pricing engine for European vanilla options using integral approach
C InterestRate | Concrete interest rate class
►C InterpolatedCurve< Interpolator > | Helper class to build interpolated term structures
C InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities
C InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors
C InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates
C InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates
C InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities
C InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates
C InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates
C InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates
C InterpolatingCPICapFloorEngine |
►C Interpolation2D::Impl | Abstract base class for 2-D interpolation implementations
C Interpolation2D::templateImpl< I1, I2, M > | Basic template implementation
►C Interpolation::Impl | Abstract base class for interpolation implementations
C Interpolation::templateImpl< I1, I2 > | Basic template implementation
C IntervalPrice | Interval price
C InverseCumulativeBehrensFisher | Inverse of the cumulative of the convolution of odd-T distributions
C InverseCumulativeNormal | Inverse cumulative normal distribution function
C InverseCumulativePoisson | Inverse cumulative Poisson distribution function
C InverseCumulativeRng< RNG, IC > | Inverse cumulative random number generator
C InverseCumulativeRsg< USG, IC > | Inverse cumulative random sequence generator
C InverseCumulativeStudent | Inverse cumulative Student t-distribution
C IrregularSettlement | settlement information
►C IrregularSwap::arguments | Arguments for irregular-swap calculation
C IrregularSwaption::arguments | Arguments for irregular-swaption calculation
C IrregularSwap::results | Results from irregular-swap calculation
C IterativeBootstrap< Curve > | Universal piecewise-term-structure boostrapper
C JumpDiffusionEngine | Jump-diffusion engine for vanilla options
C JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation
►C KernelFunction |
C GaussianKernel | Gaussian kernel function
C KnuthUniformRng | Uniform random number generator
C LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool > |
C LatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< BoxMullerGaussianRng< URNG > >, dummy > | Specialization for direct Gaussian Box-Muller generation
C LatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< PolarStudentTRng< URNG > >, dummy > | Specialization for direct T samples generation
►C Lattice | Lattice (tree, finite-differences) base class
C TreeLattice< Impl > | Tree-based lattice-method base class
C TreeLattice< BlackScholesLattice< T > > |
C TreeLattice< OneFactorModel::ShortRateTree > |
C TreeLattice< TwoFactorModel::ShortRateTree > |
C LeastSquareProblem | Base class for least square problem
C LecuyerUniformRng | Uniform random number generator
C LexicographicalView< RandomAccessIterator > | Lexicographical 2-D view of a contiguous set of data
►C LfmCovarianceParameterization | Libor market model parameterization
C LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization
C LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper
C Linear | Linear-interpolation factory and traits
►C LineSearch | Base class for line search
C ArmijoLineSearch | Armijo line search
►C LmCorrelationModel | libor forward correlation model
C LmExponentialCorrelationModel | Exponential correlation model
C LmLinearExponentialCorrelationModel | linear exponential correlation model
C LMMDriftCalculator | Drift computation for log-normal Libor market models
C LMMNormalDriftCalculator | Drift computation for normal Libor market models
►C LmVolatilityModel | Caplet volatility model
C LmConstWrapperVolatilityModel | Caplet const volatility model
►C LmLinearExponentialVolatilityModel | linear exponential volatility model
C LmExtLinearExponentialVolModel | Extended linear exponential volatility model
C LocalBootstrap< Curve > | Localised-term-structure bootstrapper for most curve types
C LogCubic | Log-cubic interpolation factory and traits
C LogLinear | Log-linear interpolation factory and traits
►C LossDist | Probability formulas and algorithms
C LossDistBinomial | Binomial loss distribution
C LossDistBucketing | Loss distribution with Hull-White bucketing
C LossDistHomogeneous | Loss Distribution for Homogeneous Pool
C LossDistMonteCarlo | Loss distribution with Monte Carlo simulation
C MaddockCumulativeNormal | Maddock's cumulative normal distribution class
C MaddockInverseCumulativeNormal | Maddock's Inverse cumulative normal distribution class
C MakeCapFloor | Helper class
C MakeCms | Helper class for instantiating CMS
C MakeMCAmericanBasketEngine< RNG > | Monte Carlo American basket-option engine factory
C MakeMCAmericanEngine< RNG, S > | Monte Carlo American engine factory
C MakeMCAmericanPathEngine< RNG > | Monte Carlo American basket-option engine factory
C MakeMCBarrierEngine< RNG, S > | Monte Carlo barrier-option engine factory
C MakeMCDigitalEngine< RNG, S > | Monte Carlo digital engine factory
C MakeMCEuropeanBasketEngine< RNG, S > | Monte Carlo basket-option engine factory
C MakeMCEuropeanEngine< RNG, S > | Monte Carlo European engine factory
C MakeMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH European engine factory
C MakeMCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston European engine factory
C MakeMCEverestEngine< RNG, S > | Monte Carlo Everest-option engine factory
C MakeMCHestonHullWhiteEngine< RNG, S > | Monte Carlo Heston/Hull-White engine factory
C MakeMCHimalayaEngine< RNG, S > | Monte Carlo Himalaya-option engine factory
C MakeMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White cap-floor engine factory
C MakeMCPagodaEngine< RNG, S > | Monte Carlo pagoda-option engine factory
C MakeMCPathBasketEngine< RNG, S > | Monte Carlo Path Basket engine factory
C MakeMCPerformanceEngine< RNG, S > | Monte Carlo performance-option engine factory
C MakeMCVarianceSwapEngine< RNG, S > | Monte Carlo variance-swap engine factory
C MakeOIS | Helper class
C MakeSchedule | Helper class
C MakeSwaption | Helper class
C MakeVanillaSwap | Helper class
C MakeYoYInflationCapFloor | Helper class
►C MarketModel | Base class for market models
C AbcdVol | Abcd-interpolated volatility structure
►C MarketModelEvolver | Market-model evolver
►C ConstrainedEvolver | Constrained market-model evolver
C LogNormalFwdRateEulerConstrained | Euler stepping
C LogNormalCmSwapRatePc | Predictor-Corrector
C LogNormalCotSwapRatePc | Predictor-Corrector
C LogNormalFwdRateBalland | Iterative Predictor-Corrector
C LogNormalFwdRateEuler | Euler
C LogNormalFwdRateiBalland | Iterative Predictor-Corrector
C LogNormalFwdRateIpc | Iterative Predictor-Corrector
C LogNormalFwdRatePc | Predictor-Corrector
C NormalFwdRatePc | Predictor-Corrector
C SVDDFwdRatePc |
►C MarketModelMultiProduct | Market-model product
C MarketModelCashRebate |
►C MarketModelComposite | Composition of two or more market-model products
C MultiProductComposite | Composition of one or more market-model products
C SingleProductComposite | Composition of one or more market-model products
►C MultiProductMultiStep | Multiple-step market-model product
C MultiStepSwaption |
C MultiProductOneStep | Single-step market-model product
C MultiProductPathwiseWrapper |
C MarketModelPathwiseDiscounter |
►C MarketModelPathwiseMultiProduct | Market-model pathwise product
C MarketModelPathwiseCashRebate |
C MarketModelPathwiseCoterminalSwaptionsDeflated |
C MarketModelPathwiseCoterminalSwaptionsNumericalDeflated |
C MarketModelPathwiseInverseFloater |
C MarketModelPathwiseMultiCaplet | Market-model pathwise caplet
C MarketModelPathwiseMultiDeflatedCap |
C MarketModelPathwiseSwap |
►C MarketModelVolProcess |
C SquareRootAndersen |
C MarshallOlkinCopula | Marshall-Olkin copula
►C Matrix | Matrix used in linear algebra
C Disposable< QuantLib::Matrix > |
C MaxCopula | Max copula
►C McSimulation< MC, RNG, S > | Base class for Monte Carlo engines
C MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
C MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
C MCVanillaEngine< MC, RNG, S, Inst > | Pricing engine for vanilla options using Monte Carlo simulation
►C MeanRevertingPricer |
►C HaganPricer | CMS-coupon pricer
C AnalyticHaganPricer | CMS-coupon pricer
C NumericHaganPricer | CMS-coupon pricer
C LinearTsrPricer | CMS-coupon pricer
C MersenneTwisterUniformRng | Uniform random number generator
C MinCopula | Min copula
C MixedLinearCubic | Mixed linear/cubic interpolation factory and traits
►C MixedScheme< Operator > | Mixed (explicit/implicit) scheme for finite difference methods
C CrankNicolson< Operator > | Crank-Nicolson scheme for finite difference methods
C ExplicitEuler< Operator > | Forward Euler scheme for finite difference methods
C ImplicitEuler< Operator > | Backward Euler scheme for finite difference methods
C ModifiedCraigSneydScheme | Modified Craig-Sneyd scheme
C Money | Amount of cash
C MonteCarloModel< MC, RNG, S > | General-purpose Monte Carlo model for path samples
►C MoreGreeks | More additional option results
C OneAssetOption::results | Results from single-asset option calculation
C MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class
C MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations
C MultiCubicSpline< i > | N-dimensional cubic spline interpolation between discrete points
C MultidimIntegral | Integrates a vector or scalar function of vector domain
C MultiPath | Correlated multiple asset paths
C MultiPathGenerator< GSG > | Generates a multipath from a random number generator
C MultiVariate< RNG > | Default Monte Carlo traits for multi-variate models
C NoArbSabr | No arbtrage sabr interpolation factory and traits
C NonLinearLeastSquare | Non-linear least-square method
►C NonstandardSwap::arguments | Arguments for nonstandard swap calculation
C NonstandardSwaption::arguments | Arguments for nonstandard swaption calculation
C NonstandardSwap::results | Results from nonstandard swap calculation
C NormalDistribution | Normal distribution function
C Null< T > | Template class providing a null value for a given type
C Null< Array > | Specialization of null template for this class
C Null< Date > | Specialization of Null template for the Date class
C NumericalDifferentiation | Numerical Differentiation on arbitrarily spaced grids
►C Observable | Object that notifies its changes to a set of observers
►C BootstrapHelper< YoYInflationTermStructure > |
C YearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper
►C BootstrapHelper< YoYOptionletVolatilitySurface > |
C YoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper
►C BootstrapHelper< ZeroInflationTermStructure > |
C ZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper
►C LatentModel< copulaPolicy > |
►C DefaultLatentModel< copulaPolicy > | Default event Latent Model
►C ConstantLossLatentmodel< copulaPolicy > |
C ConstantLossModel< copulaPolicy > |
C SpotRecoveryLatentModel< copulaPolicy > | Random spot recovery rate latent variable portfolio model
►C LatentModel< GaussianCopulaPolicy > |
C GaussianLHPLossModel |
►C AffineModel | Affine model class
C G2 | Two-additive-factor gaussian model class
C LiborForwardModel | Libor forward model
►C OneFactorAffineModel | Single-factor affine base class
►C CoxIngersollRoss | Cox-Ingersoll-Ross model class
C ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class
C GeneralizedHullWhite | Generalized Hull-White model class
►C Vasicek | Vasicek model class
C HullWhite | Single-factor Hull-White (extended Vasicek) model class
►C BootstrapHelper< TS > | Base helper class for bootstrapping
►C BondHelper | Bond helper for curve bootstrap
C CPIBondHelper | CPI bond helper for curve bootstrap
C FixedRateBondHelper | Fixed-coupon bond helper for curve bootstrap
C DatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
C FuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices
►C RelativeDateBootstrapHelper< TS > | Bootstrap helper with date schedule relative to global evaluation date
C BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates
►C CdsHelper |
C SpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper
C UpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper
C DepositRateHelper | Rate helper for bootstrapping over deposit rates
C FraRateHelper | Rate helper for bootstrapping over FRA rates
C OISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
C SwapRateHelper | Rate helper for bootstrapping over swap rates
►C CalibratedModel | Calibrated model class
C GJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset
C Gsr | One factor gsr model, formulation is in forward measure
►C HestonModel | Heston model for the stochastic volatility of an asset
C BatesModel | Bates stochastic-volatility model
C LiborForwardModel | Libor forward model
C MarkovFunctional |
C PiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model
►C ShortRateModel | Abstract short-rate model class
►C OneFactorModel | Single-factor short-rate model abstract class
C BlackKarasinski | Standard Black-Karasinski model class
C OneFactorAffineModel | Single-factor affine base class
►C TwoFactorModel | Abstract base-class for two-factor models
C G2 | Two-additive-factor gaussian model class
C VarianceGammaModel | Variance Gamma model
►C Claim | Claim associated to a default event
C FaceValueAccrualClaim | Claim on the notional of a reference security, including accrual
C FaceValueClaim | Claim on a notional
C CommodityIndex | Base class for commodity indexes
►C DefaultLossModel |
C BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > |
C BinomialLossModel< LLM > |
C ConstantLossModel< copulaPolicy > |
C GaussianLHPLossModel |
C HomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite homogeneous pool
C InhomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite non homogeneous pool
C RandomLM< derivedRandomLM, copulaPolicy, USNG > |
C RecursiveLossModel< copulaPolicy > |
C SaddlePointLossModel< CP > | Saddle point portfolio credit default loss model
►C RandomLM< RandomDefaultLM, copulaPolicy, USNG > |
C RandomDefaultLM< copulaPolicy, USNG > |
►C RandomLM< RandomLossLM, copulaPolicy, USNG > |
C RandomLossLM< copulaPolicy, USNG > |
►C Event | Base class for event
►C Callability | instrument callability
C SoftCallability | callability leaving to the holder the possibility to convert
►C CashFlow | Base class for cash flows
►C Coupon | coupon accruing over a fixed period
C FixedRateCoupon | Coupon paying a fixed interest rate
►C FloatingRateCoupon | Base floating-rate coupon class
C AverageBMACoupon | Average BMA coupon
C CappedFlooredCoupon | Capped and/or floored floating-rate coupon
C CmsCoupon | CMS coupon class
C CmsSpreadCoupon | CMS spread coupon class
►C DigitalCoupon | Digital-payoff coupon
C DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option
C DigitalCmsSpreadCoupon | Cms-spread-rate coupon with digital digital call/put option
C DigitalIborCoupon | Ibor rate coupon with digital digital call/put option
C IborCoupon | Coupon paying a Libor-type index
C OvernightIndexedCoupon | Overnight coupon
►C InflationCoupon | Base inflation-coupon class
C CPICoupon | Coupon paying the performance of a CPI (zero inflation) index
►C YoYInflationCoupon | Coupon paying a YoY-inflation type index
C CappedFlooredYoYInflationCoupon | Capped or floored inflation coupon
►C Dividend | Predetermined cash flow
C FixedDividend | Predetermined cash flow
C FractionalDividend | Predetermined cash flow
►C IndexedCashFlow | Cash flow dependent on an index ratio
C CPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index
►C SimpleCashFlow | Predetermined cash flow
C AmortizingPayment | Amortizing payment
C Redemption | Bond redemption
C DefaultEvent | Credit event on a bond of a certain seniority(ies)/currency
►C FloatingRateCouponPricer | Generic pricer for floating-rate coupons
►C CmsCouponPricer | Base pricer for vanilla CMS coupons
C HaganPricer | CMS-coupon pricer
C LinearTsrPricer | CMS-coupon pricer
►C CmsSpreadCouponPricer | Base pricer for vanilla CMS spread coupons
C LognormalCmsSpreadPricer | CMS spread - coupon pricer
►C IborCouponPricer | Base pricer for capped/floored Ibor coupons
C BlackIborCouponPricer | Black-formula pricer for capped/floored Ibor coupons
►C Index | Purely virtual base class for indexes
►C InflationIndex | Base class for inflation-rate indexes,
►C YoYInflationIndex | Base class for year-on-year inflation indices
C YYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio)
C YYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio)
C YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
C YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP)
C YYEUHICPXT | Genuine year-on-year EU HICPXT
C YYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio)
C YYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio)
C YYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio)
C YYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio)
C YYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
C YYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI)
C YYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI)
C YYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI)
C YYZACPI | Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI)
C YYZACPIr | Fake year-on-year South African CPI (i.e. a ratio of ZA CPI)
►C ZeroInflationIndex | Base class for zero inflation indices
C AUCPI | AU CPI index (either quarterly or annual)
C EUHICP | EU HICP index
C EUHICPXT | EU HICPXT index
C FRHICP | FR HICP index
C GenericCPI | Generic CPI index
C UKRPI | UK Retail Price Inflation Index
C USCPI | US CPI index
C ZACPI | South African Comsumer Price Inflation Index
►C InterestRateIndex | Base class for interest rate indexes
C BMAIndex | Bond Market Association index
►C IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
C Cdor | CDOR rate
►C DailyTenorEURLibor | Base class for the one day deposit BBA EUR LIBOR indexes
C EURLiborON | Overnight EUR Libor index
►C DailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
C CADLiborON | Overnight CAD Libor index
C DailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes
►C DailyTenorGBPLibor | Base class for the one day deposit BBA GBP LIBOR indexes
C GBPLiborON | Overnight GBP Libor index
C DailyTenorJPYLibor | Base class for the one day deposit BBA JPY LIBOR indexes
►C DailyTenorUSDLibor | Base class for the one day deposit BBA USD LIBOR indexes
C USDLiborON | Overnight USD Libor index
►C Euribor | Euribor index
C Euribor10M | 10-months Euribor index
C Euribor11M | 11-months Euribor index
C Euribor1M | 1-month Euribor index
C Euribor1Y | 1-year Euribor index
C Euribor2M | 2-months Euribor index
C Euribor2W | 2-weeks Euribor index
C Euribor3M | 3-months Euribor index
C Euribor3W | 3-weeks Euribor index
C Euribor4M | 4-months Euribor index
C Euribor5M | 5-months Euribor index
C Euribor6M | 6-months Euribor index
C Euribor7M | 7-months Euribor index
C Euribor8M | 8-months Euribor index
C Euribor9M | 9-months Euribor index
C EuriborSW | 1-week Euribor index
►C Euribor365 | Actual/365 Euribor index
C Euribor365_10M | 10-months Euribor365 index
C Euribor365_11M | 11-months Euribor365 index
C Euribor365_1M | 1-month Euribor365 index
C Euribor365_1Y | 1-year Euribor365 index
C Euribor365_2M | 2-months Euribor365 index
C Euribor365_2W | 2-weeks Euribor365 index
C Euribor365_3M | 3-months Euribor365 index
C Euribor365_3W | 3-weeks Euribor365 index
C Euribor365_4M | 4-months Euribor365 index
C Euribor365_5M | 5-months Euribor365 index
C Euribor365_6M | 6-months Euribor365 index
C Euribor365_7M | 7-months Euribor365 index
C Euribor365_8M | 8-months Euribor365 index
C Euribor365_9M | 9-months Euribor365 index
C Euribor365_SW | 1-week Euribor365 index
►C EURLibor | Base class for all BBA EUR LIBOR indexes but the O/N
C EURLibor10M | 10-months EUR Libor index
C EURLibor11M | 11-months EUR Libor index
C EURLibor1M | 1-month EUR Libor index
C EURLibor1Y | 1-year EUR Libor index
C EURLibor2M | 2-months EUR Libor index
C EURLibor2W | 2-weeks EUR Libor index
C EURLibor3M | 3-months EUR Libor index
C EURLibor4M | 4-months EUR Libor index
C EURLibor5M | 5-months EUR Libor index
C EURLibor6M | 6-months EUR Libor index
C EURLibor7M | 7-months EUR Libor index
C EURLibor8M | 8-months EUR Libor index
C EURLibor9M | 9-months EUR Libor index
C EURLiborSW | 1-week EUR Libor index
C Jibar | JIBAR rate
►C Libor | Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones
C AUDLibor | AUD LIBOR rate
C CADLibor | CAD LIBOR rate
C CHFLibor | CHF LIBOR rate
C DKKLibor | DKK LIBOR rate
C GBPLibor | GBP LIBOR rate
C JPYLibor | JPY LIBOR rate
C NZDLibor | NZD LIBOR rate
C SEKLibor | SEK LIBOR rate
C USDLibor | USD LIBOR rate
C ProxyIbor | IborIndex calculated as proxy of some other IborIndex
C Tibor | JPY TIBOR index
C TRLibor | TRY LIBOR rate
C Zibor | CHF ZIBOR rate
►C SwapIndex | Base class for swap-rate indexes
C ChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class
C EuriborSwapIfrFix | EuriborSwapIfrFix index base class
C EuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class
C EuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class
C EurLiborSwapIfrFix | EurLiborSwapIfrFix index base class
C EurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class
C EurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class
C GbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class
C JpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class
C JpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class
C OvernightIndexedSwapIndex | Base class for overnight indexed swap indexes
C UsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class
C UsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class
C SwapSpreadIndex | Class for swap-rate spread indexes
►C InflationCouponPricer | Base inflation-coupon pricer
C CPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
►C YoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons
C BachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons
C BlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons
C UnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
C LatentModel< copulaPolicyImpl > | Generic multifactor latent variable model
►C LazyObject | Framework for calculation on demand and result caching
C AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve
C Basket |
►C CalibrationHelper | Liquid market instrument used during calibration
C CapHelper | Calibration helper for ATM cap
C HestonModelHelper | Calibration helper for Heston model
C SwaptionHelper | Calibration helper for ATM swaption
C CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector
C CapFloorTermVolSurface | Cap/floor smile volatility surface
C CmsMarket | Set of CMS quotes
C EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation
C FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds
C FlatForward | Flat interest-rate curve
C ForwardSwapQuote | Quote for a forward starting swap
►C Gaussian1dModel |
C Gsr | One factor gsr model, formulation is in forward measure
C MarkovFunctional |
C ImpliedStdDevQuote | quote for the implied standard deviation of an underlying
►C Instrument | Abstract instrument class
►C Bond | Base bond class
C AmortizingCmsRateBond | Amortizing CMS-rate bond
C AmortizingFixedRateBond | Amortizing fixed-rate bond
C AmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored)
►C CallableBond | Callable bond base class
►C CallableFixedRateBond | Callable/puttable fixed rate bond
C CallableZeroCouponBond | Callable/puttable zero coupon bond
C CmsRateBond | CMS-rate bond
►C ConvertibleBond | Base class for convertible bonds
C ConvertibleFixedCouponBond | Convertible fixed-coupon bond
C ConvertibleFloatingRateBond | Convertible floating-rate bond
C ConvertibleZeroCouponBond | Convertible zero-coupon bond
C CPIBond |
►C FixedRateBond | Fixed-rate bond
C BTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond
►C FloatingRateBond | Floating-rate bond (possibly capped and/or floored)
C CCTEU |
C ZeroCouponBond | Zero-coupon bond
►C CapFloor | Base class for cap-like instruments
C Cap | Concrete cap class
C Collar | Concrete collar class
C Floor | Concrete floor class
C CDO | Collateralized debt obligation
►C Commodity | Commodity base class
►C EnergyCommodity | Energy commodity class
C EnergyFuture | Energy future
C CompositeInstrument | Composite instrument
C CPICapFloor | CPI cap or floor
C CreditDefaultSwap | Credit default swap
►C Forward | Abstract base forward class
C FixedRateBondForward | Forward contract on a fixed-rate bond
C NthToDefault | N-th to default swap
►C Option | Base option class
C CdsOption | CDS option
C FloatFloatSwaption | Floatfloat swaption class
C IrregularSwaption | Irregular Swaption class
►C MultiAssetOption | Base class for options on multiple assets
C BasketOption | Basket option on a number of assets
C HimalayaOption | Himalaya option
C MargrabeOption | Margrabe option on two assets
C PagodaOption | Roofed Asian option on a number of assets
C SpreadOption | Spread option on two assets
C NonstandardSwaption | Nonstandard swaption class
►C OneAssetOption | Base class for options on a single asset
►C BarrierOption | Barrier option on a single asset
C DividendBarrierOption | Single-asset barrier option with discrete dividends
C QuantoBarrierOption | Quanto version of a barrier option
C CliquetOption | Cliquet (Ratchet) option
C CompoundOption | Compound option on a single asset
C ContinuousAveragingAsianOption | Continuous-averaging Asian option
►C ContinuousFixedLookbackOption | Continuous-fixed lookback option
C ContinuousPartialFixedLookbackOption | Continuous-partial-fixed lookback option
►C ContinuousFloatingLookbackOption | Continuous-floating lookback option
C ContinuousPartialFloatingLookbackOption | Continuous-partial-floating lookback option
C DiscreteAveragingAsianOption | Discrete-averaging Asian option
C DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends
►C DoubleBarrierOption | Double Barrier option on a single asset
C QuantoDoubleBarrierOption | Quanto version of a double barrier option
►C ForwardVanillaOption | Forward version of a vanilla option
C QuantoForwardVanillaOption | Quanto version of a forward vanilla option
C QuantoVanillaOption | Quanto version of a vanilla option
C SimpleChooserOption | Simple chooser option
►C VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset
C EuropeanOption | European option on a single asset
C VanillaStorageOption | Base option class
C VanillaSwingOption | Base option class
C WriterExtensibleOption | Writer-extensible option
C Swaption | Swaption class
C TwoAssetBarrierOption | Barrier option on two assets
C PathMultiAssetOption | Base class for path-dependent options on multiple assets
C RiskyAssetSwap | Risky asset-swap instrument
C RiskyAssetSwapOption | Option on risky asset swap
►C RiskyBond |
C RiskyFixedBond |
C RiskyFloatingBond |
C Stock | Simple stock class
►C Swap | Interest rate swap
C AssetSwap | Bullet bond vs Libor swap
C BMASwap | Swap paying Libor against BMA coupons
C CPISwap | Zero-inflation-indexed swap,
C FloatFloatSwap | Float float swap
C IrregularSwap | Irregular swap: fixed vs floating leg
C NonstandardSwap | Nonstandard swap
C OvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate
C VanillaSwap | Plain-vanilla swap: fix vs floating leg
C YearOnYearInflationSwap | Year-on-year inflation-indexed swap
C ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap
C SyntheticCDO | Synthetic Collateralized Debt Obligation
C VarianceOption | Variance option
C VarianceSwap | Variance swap
►C YoYInflationCapFloor | Base class for yoy inflation cap-like instruments
C YoYInflationCap | Concrete YoY Inflation cap class
C YoYInflationCollar | Concrete YoY Inflation collar class
C YoYInflationFloor | Concrete YoY Inflation floor class
►C OneFactorCopula | Abstract base class for one-factor copula models
C OneFactorGaussianCopula | One-factor Gaussian Copula
C OneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula
C OneFactorStudentCopula | One-factor Double Student t-Copula
C OneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula
C PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > | Piecewise default-probability term structure
C PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > | Piecewise yield term structure
C PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure
C PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure
C PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure
C RandomLM< derivedRandomLM, copulaPolicy, USNG > |
C StrippedOptionletAdapter |
►C StrippedOptionletBase |
►C OptionletStripper |
C OptionletStripper1 |
C OptionletStripper2 |
C StrippedOptionlet |
C RandomLM< RandomDefaultLM, copulaPolicy, USNG > |
C RandomLM< RandomLossLM, copulaPolicy, USNG > |
C MarketModelFactory | Base class for market-model factories
►C PricingEngine | Interface for pricing engines
►C GenericEngine< Arguments, Results > |
►C GenericModelEngine< ShortRateModel, Arguments, Results > |
C LatticeShortRateModelEngine< Arguments, Results > | Engine for a short-rate model specialized on a lattice
►C GenericEngine< BarrierOption::arguments, BarrierOption::results > |
►C BarrierOption::engine | Barrier-option engine base class
C AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae
C AnalyticBinaryBarrierEngine | Analytic pricing engine for American binary barriers options
C BinomialBarrierEngine< T, D > | Pricing engine for barrier options using binomial trees
C MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation
C PerturbativeBarrierOptionEngine | Perturbative barrier-option engine
►C GenericEngine< BasketOption::arguments, BasketOption::results > |
►C BasketOption::engine | Basket-option engine base class
C MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > |
C Fd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine
C KirkEngine | Pricing engine for spread option on two futures
C MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation
C StulzEngine | Pricing engine for 2D European Baskets
C GenericEngine< Bond::arguments, Bond::results > |
►C GenericEngine< CallableBond::arguments, CallableBond::results > |
►C GenericModelEngine< ShortRateModel, CallableBond::arguments, CallableBond::results > |
►C LatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results > |
►C TreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds
C TreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds
►C CallableBond::engine | Base class for callable fixed rate bond engine
►C BlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine
C BlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine
►C GenericEngine< CapFloor::arguments, CapFloor::results > |
►C GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results > |
C AnalyticCapFloorEngine | Analytic engine for cap/floor
►C GenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results > |
C Gaussian1dCapFloorEngine | Gaussian1d cap/floor engine
►C GenericModelEngine< ShortRateModel, CapFloor::arguments, CapFloor::results > |
►C LatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results > |
C TreeCapFloorEngine | Numerical lattice engine for cap/floors
►C CapFloor::engine | Base class for cap/floor engines
C BachelierCapFloorEngine | Bachelier-Black-formula cap/floor engine
C BlackCapFloorEngine | Black-formula cap/floor engine
C MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors
►C GenericEngine< CatBond::arguments, CatBond::results > |
C CatBond::engine | Base class for cat bond engine
►C GenericEngine< CdsOption::arguments, CdsOption::results > |
►C CdsOption::engine | Base class for swaption engines
C BlackCdsOptionEngine | Black-formula CDS-option engine
►C GenericEngine< CliquetOption::arguments, CliquetOption::results > |
►C CliquetOption::engine | Cliquet engine base class
C AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae
C AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae
C MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation
C GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > |
►C GenericEngine< CompoundOption::arguments, CompoundOption::results > |
►C CompoundOption::engine | Compound-option engine base class
C AnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae
►C GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > |
►C ContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class
C AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian
C ContinuousArithmeticAsianVecerEngine | Vecer engine for continuous-avaeraging Asian options
►C GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > |
►C ContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class
C AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback
►C GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > |
►C ContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class
C AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback
►C GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > |
►C ContinuousPartialFixedLookbackOption::engine | Continuous partial fixed lookback engine base class
C AnalyticContinuousPartialFixedLookbackEngine | Pricing engine for European continuous partial-time fixed-strike lookback options
►C GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > |
►C ContinuousPartialFloatingLookbackOption::engine | Continuous partial floating lookback engine base class
C AnalyticContinuousPartialFloatingLookbackEngine | Pricing engine for European continuous partial-time floating-strike lookback option
C GenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > |
C GenericEngine< CPICapFloor::arguments, CPICapFloor::results > |
C GenericEngine< CPISwap::arguments, CPISwap::results > |
C GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > |
►C GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > |
►C DiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class
C AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian
C AnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option
C MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation
►C GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > |
►C GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results > |
C FdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine
C FdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine
►C DividendBarrierOption::engine | Dividend-barrier-option engine base class
C FdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine
C FdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine
C VannaVolgaBarrierEngine | Vanna Volga barrier option engine
►C GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > |
►C GenericModelEngine< BatesModel, DividendVanillaOption::arguments, DividendVanillaOption::results > |
C FdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine
►C GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > |
C FdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine
C FdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine
►C DividendVanillaOption::engine | Dividend-vanilla-option engine base class
C AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends
►C GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > |
►C DoubleBarrierOption::engine | Double-Barrier-option engine base class
C AnalyticDoubleBarrierBinaryEngine | Analytic pricing engine for double barrier binary options
C AnalyticDoubleBarrierEngine | Pricing engine for double barrier european options using analytical formulae
C BinomialDoubleBarrierEngine< T, D > | Pricing engine for double barrier options using binomial trees
C WulinYongDoubleBarrierEngine | Pricing engine for barrier options using analytical formulae
C VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine > | Vanna Volga double-barrier option engine
C GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > |
C GenericEngine< EverestOption::arguments, EverestOption::results > |
C GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > |
►C GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > |
►C GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results > |
C Gaussian1dFloatFloatSwaptionEngine | One factor model float float swaption engine
C FloatFloatSwaption::engine | Base class for cms swaption engines
►C GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > |
►C ForwardVanillaEngine< Engine > | Forward engine for vanilla options
C ForwardPerformanceVanillaEngine< Engine > | Forward performance engine for vanilla options
C GenericEngine< HimalayaOption::arguments, HimalayaOption::results > |
C GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > |
►C GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > |
C QuantoEngine< Instr, Engine > | Quanto engine
C GenericEngine< IrregularSwap::arguments, IrregularSwap::results > |
►C GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > |
C HaganIrregularSwaptionEngine | Pricing engine for irregular swaptions
C IrregularSwaption::engine | Base class for irregular-swaption engines
►C GenericEngine< MargrabeOption::arguments, MargrabeOption::results > |
►C MargrabeOption::engine | Margrabe option engine base class
C AnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option
C AnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option
C GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > |
C GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > |
►C GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > |
►C GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > |
C Gaussian1dNonstandardSwaptionEngine | One factor model non standard swaption engine
C NonstandardSwaption::engine | Base class for nonstandard swaption engines
►C GenericEngine< NthToDefault::arguments, NthToDefault::results > |
C NthToDefault::engine | NTD base engine
C GenericEngine< OneAssetOption::arguments, OneAssetOption::results > |
►C GenericEngine< PagodaOption::arguments, PagodaOption::results > |
►C PagodaOption::engine | Pagoda-option engine base class
C MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation
►C GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > |
C PartialTimeBarrierOption::engine | Partial-Time-Barrier-Option engine base class
C GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > |
►C GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > |
►C SimpleChooserOption::engine | Simple chooser option engine base class
C AnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option
►C GenericEngine< SpreadOption::arguments, SpreadOption::results > |
►C SpreadOption::engine | Spread option engine base class
C KirkSpreadOptionEngine | Kirk approximation for European spread option on futures
C GenericEngine< Swap::arguments, Swap::results > |
►C GenericEngine< Swaption::arguments, Swaption::results > |
►C GenericModelEngine< G2, Swaption::arguments, Swaption::results > |
C G2SwaptionEngine | Swaption priced by means of the Black formula
►C GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results > |
C Gaussian1dJamshidianSwaptionEngine | Jamshidian swaption engine
C Gaussian1dSwaptionEngine | One factor model swaption engine
C GenericModelEngine< HullWhite, Swaption::arguments, Swaption::results > |
►C GenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results > |
C LfmSwaptionEngine | Libor forward model swaption engine based on Black formula
►C GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results > |
C JamshidianSwaptionEngine | Jamshidian swaption engine
►C GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results > |
►C LatticeShortRateModelEngine< Swaption::arguments, Swaption::results > |
C TreeSwaptionEngine | Numerical lattice engine for swaptions
►C Swaption::engine | Base class for swaption engines
C BlackSwaptionEngine | Black-formula swaption engine
►C GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > |
►C SyntheticCDO::engine | CDO base engine
C MidPointCDOEngine | CDO base engine taking schedule steps
►C GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > |
►C TwoAssetBarrierOption::engine | Two-asset barrier-option engine base class
C AnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets
C GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > |
►C GenericEngine< VanillaOption::arguments, VanillaOption::results > |
►C GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results > |
C AnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine
►C GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > |
►C AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform
►C AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates
C AnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation
C BatesEngine | Bates model engines based on Fourier transform
C AnalyticPDFHestonEngine | Analytic engine for arbitrary European payoffs under the Heston model
C HestonExpansionEngine | Heston-model engine for European options based on analytic expansions
►C GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results > |
C AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates
►C GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > |
C AnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine
C GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > |
►C GenericEngine< VanillaSwap::arguments, VanillaSwap::results > |
►C GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results > |
►C LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results > |
C TreeVanillaSwapEngine | Numerical lattice engine for simple swaps
C GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > |
C GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > |
►C GenericEngine< VarianceOption::arguments, VarianceOption::results > |
►C VarianceOption::engine | Base class for variance-option engines
C IntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine
►C GenericEngine< VarianceSwap::arguments, VarianceSwap::results > |
►C VarianceSwap::engine | Base class for variance-swap engines
C MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation,
C ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost,
►C GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > |
►C WriterExtensibleOption::engine | Base engine
C AnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options
C GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > |
►C GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > |
►C YoYInflationCapFloor::engine | Base class for cap/floor engines
►C YoYInflationCapFloorEngine | Base YoY inflation cap/floor engine
C YoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
C YoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
C YoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
C GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > |
►C GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines
C GenericModelEngine< ModelType, ArgumentsType, ResultsType > | Base class for some pricing engine on a particular model
C MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
C MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
►C Quote | Purely virtual base class for market observables
C CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element
C DeltaVolQuote | Class for the quotation of delta vs vol
C DerivedQuote< UnaryFunction > | Market quote whose value depends on another quote
C EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation
C ForwardSwapQuote | Quote for a forward starting swap
C ForwardValueQuote | quote for the forward value of an index
C FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index
C ImpliedStdDevQuote | quote for the implied standard deviation of an underlying
C LastFixingQuote | Quote adapter for the last fixing available of a given Index
C RecoveryRateQuote | Stores a recovery rate market quote and the associated seniority
C RendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter
C RendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter
C SimpleQuote | Market element returning a stored value
►C RandomDefaultModel | Base class for random default models
C GaussianRandomDefaultModel |
►C RecoveryRateModel |
C ConstantRecoveryModel |
►C SmileSection | Interest rate volatility smile section
C Gaussian1dSmileSection |
►C StochasticProcess | Multi-dimensional stochastic process class
C ExtOUWithJumpsProcess |
►C ForwardMeasureProcess | Forward-measure stochastic process
C G2ForwardProcess | Forward G2 stochastic process
C G2Process | G2 stochastic process
C GJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process
►C HestonProcess | Square-root stochastic-volatility Heston process
C BatesProcess | Square-root stochastic-volatility Bates process
C HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process
C KlugeExtOUProcess |
C LiborForwardModelProcess | Libor-forward-model process
►C StochasticProcess1D | 1-dimensional stochastic process
C ExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class
►C ForwardMeasureProcess1D | Forward-measure 1-D stochastic process
C GsrProcess | GSR stochastic process
C HullWhiteForwardProcess | Forward Hull-White stochastic process
C GemanRoncoroniProcess | Geman-Roncoroni process class
►C GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process
C BlackProcess | Black (1976) stochastic process
C BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process
C BlackScholesProcess | Black-Scholes (1973) stochastic process
C ExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process
C GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process
C VegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests
C GeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class
C GeometricBrownianMotionProcess | Geometric brownian-motion process
C HullWhiteProcess | Hull-White stochastic process
C Merton76Process | Merton-76 jump-diffusion process
C MfStateProcess | Markov functional state process class
C OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class
C SquareRootProcess | Square-root process class
C VarianceGammaProcess | Variance gamma process
C StochasticProcessArray | Array of correlated 1-D stochastic processes
C TermStructure | Basic term-structure functionality
►C TermStructureConsistentModel | Term-structure consistent model class
C BlackKarasinski | Standard Black-Karasinski model class
C ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class
C G2 | Two-additive-factor gaussian model class
C Gaussian1dModel |
C GeneralizedHullWhite | Generalized Hull-White model class
C HullWhite | Single-factor Hull-White (extended Vasicek) model class
C ObservableValue< T > | observable and assignable proxy to concrete value
►C Observer | Object that gets notified when a given observable changes
C BootstrapHelper< YoYInflationTermStructure > |
C BootstrapHelper< YoYOptionletVolatilitySurface > |
C BootstrapHelper< ZeroInflationTermStructure > |
C GenericEngine< Arguments, Results > |
C GenericEngine< BarrierOption::arguments, BarrierOption::results > |
C GenericEngine< BasketOption::arguments, BasketOption::results > |
C GenericEngine< Bond::arguments, Bond::results > |
C GenericEngine< CallableBond::arguments, CallableBond::results > |
C GenericEngine< CapFloor::arguments, CapFloor::results > |
C GenericEngine< CatBond::arguments, CatBond::results > |
C GenericEngine< CdsOption::arguments, CdsOption::results > |
C GenericEngine< CliquetOption::arguments, CliquetOption::results > |
C GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > |
C GenericEngine< CompoundOption::arguments, CompoundOption::results > |
C GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > |
C GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > |
C GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > |
C GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > |
C GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > |
C GenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > |
C GenericEngine< CPICapFloor::arguments, CPICapFloor::results > |
C GenericEngine< CPISwap::arguments, CPISwap::results > |
C GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > |
C GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > |
C GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > |
C GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > |
C GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > |
C GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > |
C GenericEngine< EverestOption::arguments, EverestOption::results > |
C GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > |
C GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > |
C GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > |
C GenericEngine< HimalayaOption::arguments, HimalayaOption::results > |
C GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > |
C GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > |
C GenericEngine< IrregularSwap::arguments, IrregularSwap::results > |
C GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > |
C GenericEngine< MargrabeOption::arguments, MargrabeOption::results > |
C GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > |
C GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > |
C GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > |
C GenericEngine< NthToDefault::arguments, NthToDefault::results > |
C GenericEngine< OneAssetOption::arguments, OneAssetOption::results > |
C GenericEngine< PagodaOption::arguments, PagodaOption::results > |
C GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > |
C GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > |
C GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > |
C GenericEngine< SpreadOption::arguments, SpreadOption::results > |
C GenericEngine< Swap::arguments, Swap::results > |
C GenericEngine< Swaption::arguments, Swaption::results > |
C GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > |
C GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > |
C GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > |
C GenericEngine< VanillaOption::arguments, VanillaOption::results > |
C GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > |
C GenericEngine< VanillaSwap::arguments, VanillaSwap::results > |
C GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > |
C GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > |
C GenericEngine< VarianceOption::arguments, VarianceOption::results > |
C GenericEngine< VarianceSwap::arguments, VarianceSwap::results > |
C GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > |
C GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > |
C GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > |
C GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > |
C LatentModel< copulaPolicy > |
C LatentModel< GaussianCopulaPolicy > |
C BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > |
C BootstrapHelper< TS > | Base helper class for bootstrapping
C CalibratedModel | Calibrated model class
C Claim | Claim associated to a default event
C CommodityIndex | Base class for commodity indexes
C CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element
C ConstantRecoveryModel |
C DeltaVolQuote | Class for the quotation of delta vs vol
C DerivedQuote< UnaryFunction > | Market quote whose value depends on another quote
C FloatingRateCoupon | Base floating-rate coupon class
C FloatingRateCouponPricer | Generic pricer for floating-rate coupons
C ForwardValueQuote | quote for the forward value of an index
C FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index
C GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines
C IndexedCashFlow | Cash flow dependent on an index ratio
C InflationCoupon | Base inflation-coupon class
C InflationCouponPricer | Base inflation-coupon pricer
C InflationIndex | Base class for inflation-rate indexes,
C InterestRateIndex | Base class for interest rate indexes
C LastFixingQuote | Quote adapter for the last fixing available of a given Index
C LatentModel< copulaPolicyImpl > | Generic multifactor latent variable model
C LazyObject | Framework for calculation on demand and result caching
C RandomDefaultModel | Base class for random default models
C SmileSection | Interest rate volatility smile section
C StochasticProcess | Multi-dimensional stochastic process class
C TermStructure | Basic term-structure functionality
►C OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics
C BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model
►C CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model
C ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model
C HullWhite::Dynamics | Short-rate dynamics in the Hull-White model
C Vasicek::Dynamics | Short-rate dynamics in the Vasicek model
C OperatorFactory | Black-Scholes-Merton differential operator
►C OptimizationMethod | Abstract class for constrained optimization method
C DifferentialEvolution | Differential Evolution configuration object
C LevenbergMarquardt | Levenberg-Marquardt optimization method
C Simplex | Multi-dimensional simplex class
C SimulatedAnnealing< RNG > |
►C Option::arguments | Basic option arguments
C CdsOption::arguments | Arguments for CDS-option calculation
C CliquetOption::arguments | Arguments for cliquet option calculation
C FloatFloatSwaption::arguments | Arguments for cms swaption calculation
C IrregularSwaption::arguments | Arguments for irregular-swaption calculation
C MargrabeOption::arguments | Extra arguments for Margrabe option
C NonstandardSwaption::arguments | Arguments for nonstandard swaption calculation
C Swaption::arguments | Arguments for swaption calculation
C TwoAssetBarrierOption::arguments | Arguments for two-asset barrier option calculation
C WriterExtensibleOption::arguments | Additional arguments for writer-extensible option
C OrthogonalizedBumpFinder |
C OrthogonalProjections |
C OvernightLeg | Helper class building a sequence of overnight coupons
►C Parameter | Base class for model arguments
C ConstantParameter | Standard constant parameter \( a(t) = a \)
C NullParameter | Parameter which is always zero \( a(t) = 0 \)
C PiecewiseConstantParameter | Piecewise-constant parameter
►C TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting
C ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C G2::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C GeneralizedHullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C HullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
C Parameter::Impl | Base class for model parameter implementation
C PartialTimeBarrierOption::arguments | Arguments for barrier option calculation
C Path | Single-factor random walk
C PathGenerator< GSG > | Generates random paths using a sequence generator
C PathMultiAssetOption::arguments | Arguments for multi-asset option calculation
C PathMultiAssetOption::results | Results from multi-asset option calculation
C PathPayoff | Abstract base class for path-dependent option payoffs
C PathPricer< PathType, ValueType > | Base class for path pricers
C PathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas
C PathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
C PathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
►C Payoff | Abstract base class for option payoffs
►C DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs
C RatchetMaxPayoff | RatchetMax payoff (double option)
C RatchetMinPayoff | RatchetMin payoff (double option)
C RatchetPayoff | Ratchet payoff (single option)
C StickyMaxPayoff | StickyMax payoff (double option)
C StickyMinPayoff | StickyMin payoff (double option)
C StickyPayoff | Sticky payoff (single option)
C ForwardTypePayoff | Class for forward type payoffs
C NullPayoff | Dummy payoff class
►C TypePayoff | Intermediate class for put/call payoffs
C FloatingTypePayoff | Payoff based on a floating strike
►C StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike
C AssetOrNothingPayoff | Binary asset-or-nothing payoff
C CashOrNothingPayoff | Binary cash-or-nothing payoff
C GapPayoff | Binary gap payoff
C PercentageStrikePayoff | Payoff with strike expressed as percentage
C PlainVanillaPayoff | Plain-vanilla payoff
C SuperFundPayoff | Binary supershare and superfund payoffs
C SuperSharePayoff | Binary supershare payoff
C Period |
C PlackettCopula | Plackett copula
C PoissonDistribution | Poisson distribution function
C PolarStudentTRng< URNG > | Student t random number generator
C Polynomial | Polynomial2D-spline-interpolation factory
C PrimeNumbers | Prime numbers calculator
C ProbabilityOfAtLeastNEvents | Probability of at least N events
C ProbabilityOfNEvents | Probability of N events
C Problem | Constrained optimization problem
C Protection | Information on a default-protection contract
C Quantity | Amount of a commodity
C QuantoOptionResults< ResultsType > | Results from quanto option calculation
C RandomizedLDS< LDS, PRS > | Randomized (random shift) low-discrepancy sequence
C RandomSequenceGenerator< RNG > | Random sequence generator based on a pseudo-random number generator
C RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons
C Ranlux3UniformRng | Uniform random number generator
►C Region | Region class, used for inflation applicability
C AustraliaRegion | Australia as geographical/economic region
C CustomRegion | Custom geographical/economic region
C EURegion | European Union as geographical/economic region
C FranceRegion | France as geographical/economic region
C GenericRegion | Generic geographical/economic region
C UKRegion | United Kingdom as geographical/economic region
C USRegion | USA as geographical/economic region
C ZARegion | South Africa as geographical/economic region
C Replication | Digital option replication strategy
C Restructuring | Restructuring type
C RichardsonExtrapolation | Richardson Extrapolation
►C Rounding | Basic rounding class
C CeilingTruncation | Ceiling truncation
C ClosestRounding | Closest rounding
C DownRounding | Down-rounding
C FloorTruncation | Floor truncation
C UpRounding | Up-rounding
C SABR | SABR interpolation factory and traits
C SalvagingAlgorithm | Algorithm used for matricial pseudo square root
C Sample< T > | Weighted sample
C SampledCurve | This class contains a sampled curve
C Schedule | Payment schedule
►C Seasonality | A transformation of an existing inflation swap rate
C MultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc)
C SegmentIntegral | Integral of a one-dimensional function
C Settlement | settlement information
C ShoutCondition | Shout option condition
C simEvent< simEventOwner > |
C SimpleChooserOption::arguments | Extra arguments for single chooser option
C SimpleLocalEstimator | Local-estimator volatility model
C Singleton< T > | Basic support for the singleton pattern
C SingleVariate< RNG > | Default Monte Carlo traits for single-variate models
C SmileSectionUtils | Smile-section utilities
C SMMDriftCalculator | Drift computation for coterminal swap market models
C SobolBrownianGenerator | Sobol Brownian generator for market-model simulations
C SobolRsg | Sobol low-discrepancy sequence generator
C Sonia | Sonia (Sterling Overnight Index Average) rate
C SparseILUPreconditioner |
C SphereCylinderOptimizer |
C StatsHolder | Helper class for precomputed distributions
C SteepestDescent | Multi-dimensional steepest-descent class
C step_iterator< Iterator > | Iterator advancing in constant steps
►C StepCondition< array_type > | Condition to be applied at every time step
C NullCondition< array_type > | null step condition
C ZeroCondition< array_type > | Zero exercise condition
C StepConditionSet< array_type > | Parallel evolver for multiple arrays
►C StochasticProcess1D::discretization | Discretization of a 1-D stochastic process
C EndEulerDiscretization | Euler end-point discretization for stochastic processes
C EulerDiscretization | Euler discretization for stochastic processes
►C StochasticProcess::discretization | Discretization of a stochastic process over a given time interval
C EndEulerDiscretization | Euler end-point discretization for stochastic processes
C EulerDiscretization | Euler discretization for stochastic processes
C StudentDistribution | Student t-distribution
C SurvivalProbability | Survival-Probability-curve traits
C SVD | Singular value decomposition
C Svi | Svi interpolation factory and traits
C SwaptionVolatilityCube | Swaption-volatility cube
C SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix
C SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm
C TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures
C TCopulaPolicy | Sudent-T Latent Model's copula policy
C TCopulaPolicy::initTraits |
C TimeGrid | Time grid class
C TimeSeries< T, Container > | Container for historical data
C TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson
C TransformedGrid | Transformed grid
C TrapezoidIntegral< IntegrationPolicy > | Integral of a one-dimensional function
C TRBDF2< Operator > | TR-BDF2 scheme for finite difference methods
►C TridiagonalOperator | Base implementation for tridiagonal operator
C BSMOperator | Black-Scholes-Merton differential operator
C DMinus | \( D_{-} \) matricial representation
C DPlus | \( D_{+} \) matricial representation
C DPlusDMinus | \( D_{+}D_{-} \) matricial representation
C DZero | \( D_{0} \) matricial representation
C TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic
C TwoDimensionalIntegral | Integral of a two-dimensional function
C TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables
C UnitOfMeasure | Unit of measure specification
C UpperBoundEngine | Market-model engine for upper-bound estimation
►C VanillaSwap::arguments | Arguments for simple swap calculation
C Swaption::arguments | Arguments for swaption calculation
C VanillaSwap::results | Results from simple swap calculation
C VannaVolga | VannaVolga-interpolation factory and traits
C VarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach
C VarianceOption::arguments | Arguments for forward fair-variance calculation
C VarianceOption::results | Results from variance-option calculation
C VarianceSwap::arguments | Arguments for forward fair-variance calculation
C VarianceSwap::results | Results from variance-swap calculation
C VegaBumpCollection |
C Visitor< T > | Visitor for a specific class
C YearOnYearInflationSwap::arguments | Arguments for YoY swap calculation
C YearOnYearInflationSwap::results | Results from YoY swap calculation
C YoYInflationCapFloor::arguments | Arguments for YoY Inflation cap/floor calculation
C yoyInflationLeg |
C YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
C YoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap
►C YoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces
C InterpolatedYoYOptionletStripper< Interpolator1D > |
C Zabr< Evaluation > | No arbtrage sabr interpolation factory and traits
C ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
C ZeroYield | Zero-curve traits
C ZigguratRng | Ziggurat random-number generator
C QuantoOptionResults< Instr::results > |
C RandomSequenceGenerator< QuantLib::BoxMullerGaussianRng< URNG > > |
C RandomSequenceGenerator< QuantLib::MersenneTwisterUniformRng > |
C Sample< MultiPath > |
C Sample< Path > |
C Sample< std::vector< Real > > |
►C Singleton< CommoditySettings > |
C CommoditySettings | Global repository for run-time library settings
►C Singleton< ExchangeRateManager > |
C ExchangeRateManager | Exchange-rate repository
►C Singleton< IndexManager > |
C IndexManager | Global repository for past index fixings
►C Singleton< SeedGenerator > |
C SeedGenerator | Random seed generator
►C Singleton< Settings > |
C Settings | Global repository for run-time library settings
C Singleton< Tracing > |
►C Singleton< UnitOfMeasureConversionManager > |
C UnitOfMeasureConversionManager | Repository of conversion factors between units of measure
►Cexception | STL class
C Error | Base error class
►Cmap< K, T > | STL class
C TimeBasket | Distribution over a number of dates
C StepCondition< Array > |
C TimeSeries< Real > |
►C TrapezoidIntegral< Default > |
C SimpsonIntegral | Integral of a one-dimensional function