Class Hierarchy

Go to the graphical class hierarchy

This inheritance list is sorted roughly, but not completely, alphabetically:

BoundaryCondition< FdmLinearOp > |
BoundaryCondition< TridiagonalOperator > |
DirichletBC | Neumann boundary condition (i.e., constant value)
NeumannBC | Neumann boundary condition (i.e., constant derivative)
Clone< ExerciseStrategy< QuantLib::CurveState > > |
Clone< MarketModelBasisSystem > |
Clone< MarketModelExerciseValue > |
Clone< MarketModelParametricExercise > |
Clone< QuantLib::FittedBondDiscountCurve::FittingMethod > |
Clone< QuantLib::MarketModelMultiProduct > |
Clone< QuantLib::MarketModelPathwiseMultiProduct > |
CuriouslyRecurringTemplate< AdditiveEQPBinomialTree > |
Tree< AdditiveEQPBinomialTree > |
BinomialTree< AdditiveEQPBinomialTree > |
EqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree > |
AdditiveEQPBinomialTree | Additive equal probabilities binomial tree
CuriouslyRecurringTemplate< Bisection > |
Solver1D< Bisection > |
Bisection | Bisection 1-D solver
CuriouslyRecurringTemplate< BlackScholesLattice< T > > |
TreeLattice< BlackScholesLattice< T > > |
TreeLattice1D< BlackScholesLattice< T > > |
BlackScholesLattice< T > | Simple binomial lattice approximating the Black-Scholes model
TsiveriotisFernandesLattice< T > | Binomial lattice approximating the Tsiveriotis-Fernandes model
CuriouslyRecurringTemplate< Brent > |
Solver1D< Brent > |
Brent | Brent 1-D solver
CuriouslyRecurringTemplate< CoxRossRubinstein > |
Tree< CoxRossRubinstein > |
BinomialTree< CoxRossRubinstein > |
EqualJumpsBinomialTree< CoxRossRubinstein > |
CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
CuriouslyRecurringTemplate< ExtendedAdditiveEQPBinomialTree > |
Tree< ExtendedAdditiveEQPBinomialTree > |
ExtendedBinomialTree< ExtendedAdditiveEQPBinomialTree > |
ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree > |
ExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree
CuriouslyRecurringTemplate< ExtendedCoxRossRubinstein > |
Tree< ExtendedCoxRossRubinstein > |
ExtendedBinomialTree< ExtendedCoxRossRubinstein > |
ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein > |
ExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
CuriouslyRecurringTemplate< ExtendedJarrowRudd > |
Tree< ExtendedJarrowRudd > |
ExtendedBinomialTree< ExtendedJarrowRudd > |
ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd > |
ExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
CuriouslyRecurringTemplate< ExtendedJoshi4 > |
Tree< ExtendedJoshi4 > |
ExtendedBinomialTree< ExtendedJoshi4 > |
CuriouslyRecurringTemplate< ExtendedLeisenReimer > |
Tree< ExtendedLeisenReimer > |
ExtendedBinomialTree< ExtendedLeisenReimer > |
ExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach
CuriouslyRecurringTemplate< ExtendedTian > |
Tree< ExtendedTian > |
ExtendedBinomialTree< ExtendedTian > |
ExtendedTian | Tian tree: third moment matching, multiplicative approach
CuriouslyRecurringTemplate< ExtendedTrigeorgis > |
Tree< ExtendedTrigeorgis > |
ExtendedBinomialTree< ExtendedTrigeorgis > |
ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis > |
ExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree
CuriouslyRecurringTemplate< FalsePosition > |
Solver1D< FalsePosition > |
FalsePosition | False position 1-D solver
CuriouslyRecurringTemplate< FiniteDifferenceNewtonSafe > |
Solver1D< FiniteDifferenceNewtonSafe > |
FiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives
CuriouslyRecurringTemplate< JarrowRudd > |
Tree< JarrowRudd > |
BinomialTree< JarrowRudd > |
EqualProbabilitiesBinomialTree< JarrowRudd > |
JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree
CuriouslyRecurringTemplate< Joshi4 > |
Tree< Joshi4 > |
BinomialTree< Joshi4 > |
CuriouslyRecurringTemplate< LeisenReimer > |
Tree< LeisenReimer > |
BinomialTree< LeisenReimer > |
LeisenReimer | Leisen & Reimer tree: multiplicative approach
CuriouslyRecurringTemplate< Newton > |
Solver1D< Newton > |
Newton | Newton 1-D solver
CuriouslyRecurringTemplate< NewtonSafe > |
Solver1D< NewtonSafe > |
NewtonSafe | Safe Newton 1-D solver
CuriouslyRecurringTemplate< OneFactorModel::ShortRateTree > |
TreeLattice< OneFactorModel::ShortRateTree > |
TreeLattice1D< OneFactorModel::ShortRateTree > |
OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable
CuriouslyRecurringTemplate< Ridder > |
Solver1D< Ridder > |
Ridder | Ridder 1-D solver
CuriouslyRecurringTemplate< Secant > |
Solver1D< Secant > |
Secant | Secant 1-D solver
CuriouslyRecurringTemplate< T > |
Tree< T > | Tree approximating a single-factor diffusion
BinomialTree< T > | Binomial tree base class
EqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree
EqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree
ExtendedBinomialTree< T > | Binomial tree base class
ExtendedEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree
ExtendedEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree
CuriouslyRecurringTemplate< Tian > |
Tree< Tian > |
BinomialTree< Tian > |
Tian | Tian tree: third moment matching, multiplicative approach
CuriouslyRecurringTemplate< Trigeorgis > |
Tree< Trigeorgis > |
BinomialTree< Trigeorgis > |
EqualJumpsBinomialTree< Trigeorgis > |
Trigeorgis | Trigeorgis (additive equal jumps) binomial tree
CuriouslyRecurringTemplate< TrinomialTree > |
Tree< TrinomialTree > |
TrinomialTree | Recombining trinomial tree class
CuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree > |
TreeLattice< TwoFactorModel::ShortRateTree > |
TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > |
TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable
EarlyExercisePathPricer< MultiPath > |
EarlyExercisePathPricer< Path > |
ForwardOptionArguments< VanillaOption::arguments > |
Handle< AffineModel > |
Handle< BatesModel > |
Handle< FdmQuantoHelper > |
Handle< G2 > |
Handle< Gaussian1dModel > |
Handle< GJRGARCHModel > |
Handle< HestonModel > |
Handle< HullWhite > |
Handle< LiborForwardModel > |
Handle< ModelType > |
Handle< OneFactorAffineModel > |
Handle< PiecewiseTimeDependentHestonModel > |
Handle< QuantLib::AbcdAtmVolCurve > |
Handle< QuantLib::BaseCorrelationTermStructure< Corr2DInt_T > > |
Handle< QuantLib::Basket > |
RelinkableHandle< QuantLib::Basket > |
Handle< QuantLib::BatesProcess > |
Handle< QuantLib::BlackAtmVolCurve > |
Handle< QuantLib::BlackVarianceCurve > |
Handle< QuantLib::BlackVolTermStructure > |
Handle< QuantLib::CallableBondVolatilityStructure > |
Handle< QuantLib::CapFloorTermVolCurve > |
Handle< QuantLib::CPICapFloorTermPriceSurface > |
Handle< QuantLib::CPIVolatilitySurface > |
Handle< QuantLib::DefaultProbabilityTermStructure > |
RelinkableHandle< QuantLib::DefaultProbabilityTermStructure > |
Handle< QuantLib::DeltaVolQuote > |
Handle< QuantLib::ExtendedOrnsteinUhlenbeckProcess > |
Handle< QuantLib::ExtOUWithJumpsProcess > |
Handle< QuantLib::G2 > |
Handle< QuantLib::GeneralizedBlackScholesProcess > |
Handle< QuantLib::HestonModel > |
Handle< QuantLib::HestonProcess > |
Handle< QuantLib::HullWhite > |
Handle< QuantLib::HullWhiteProcess > |
Handle< QuantLib::InterestRateVolSurface > |
Handle< QuantLib::KlugeExtOUProcess > |
Handle< QuantLib::LocalVolTermStructure > |
RelinkableHandle< QuantLib::LocalVolTermStructure > |
Handle< QuantLib::OneFactorCopula > |
Handle< QuantLib::OptionletVolatilityStructure > |
Handle< QuantLib::PricingEngine > |
Handle< QuantLib::Quote > |
RelinkableHandle< QuantLib::Quote > |
Handle< QuantLib::RecoveryRateQuote > |
Handle< QuantLib::SwaptionVolatilityStructure > |
Handle< QuantLib::YieldTermStructure > |
RelinkableHandle< QuantLib::YieldTermStructure > |
Handle< QuantLib::YoYInflationTermStructure > |
Handle< QuantLib::YoYOptionletVolatilitySurface > |
Handle< QuantLib::ZeroInflationIndex > |
Handle< QuantLib::ZeroInflationTermStructure > |
Handle< ShortRateModel > |
Handle< YieldTermStructure > |
InterpolatedCurve< Interpolator1D > |
InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface
InverseCumulativeRsg< QuantLib::SobolRsg, QuantLib::InverseCumulativeNormal > |
McSimulation< MultiVariate, RNG, S > |
MCVanillaEngine< MultiVariate, RNG, S > |
MCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH-model engine for European options
MCEuropeanHestonEngine< RNG, S, P > | Monte Carlo Heston-model engine for European options
MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation
MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation
MCPathBasketEngine< RNG, S > | Pricing engine for path dependent basket options using
McSimulation< MultiVariate, RNG, Statistics > |
MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > |
MCAmericanBasketEngine< RNG > | Least-square Monte Carlo engine
MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG > |
MCAmericanPathEngine< RNG > | Least-square Monte Carlo engine
McSimulation< SingleVariate, RNG, S > |
MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > |
MCAmericanEngine< RNG, S, RNG_Calibration > | American Monte Carlo engine
MCVanillaEngine< SingleVariate, RNG, S > |
MCDigitalEngine< RNG, S > | Pricing engine for digital options using Monte Carlo simulation
MCEuropeanEngine< RNG, S > | European option pricing engine using Monte Carlo simulation
MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation
MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation
MCDiscreteArithmeticAPEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average price Asian
MCDiscreteArithmeticASEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average-strike Asian
MCDiscreteGeometricAPEngine< RNG, S > | Monte Carlo pricing engine for discrete geometric average price Asian
MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors
MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation
MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation,
ObservableValue< Date > |
ObservableValue< TimeSeries< Real > > |
PathPricer< MultiPath > |
LongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options
PathPricer< Path > |
PathPricer< PathType > |
LongstaffSchwartzPathPricer< PathType > | Longstaff-Schwarz path pricer for early exercise options
Abcd | Abcd interpolation factory and traits
AbcdMathFunction | Abcd functional form
AbcdFunction | Abcd functional form for instantaneous volatility
AccountingEngine | Engine collecting cash flows along a market-model simulation
AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern
AffineHazardRate |
AliMikhailHaqCopula | Ali-Mikhail-Haq copula
AmericanCondition | American exercise condition
AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options
AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options
AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff
AnalyticDigitalAmericanKOEngine | Analytic pricing engine for American Knock-out options with digital payoff
AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae
AnalyticTwoAssetCorrelationEngine | Analytic two-asset correlation option engine
Aonia | Aonia index
Array | 1-D array used in linear algebra
AssetSwap::arguments | Arguments for asset swap calculation
AssetSwap::results | Results from simple swap calculation
ASX | Main cycle of the Australian Securities Exchange (a.k.a. ASX) months
AtomicDefault | Atomic (single contractual event) default events
Average | Placeholder for enumerated averaging types
AverageBMALeg | Helper class building a sequence of average BMA coupons
BackwardFlat | Backward-flat interpolation factory and traits
BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987)
Barrier | Placeholder for enumerated barrier types
BarrierOption::arguments | Arguments for barrier option calculation
DividendBarrierOption::arguments | Arguments for dividend barrier option calculation
BernsteinPolynomial | Class of Bernstein polynomials
BFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm
Bicubic | Bicubic-spline-interpolation factory
Bilinear | Bilinear-interpolation factory
BinomialConvertibleEngine< T > | Binomial Tsiveriotis-Fernandes engine for convertible bonds
BinomialDistribution | Binomial probability distribution function
BinomialProbabilityOfAtLeastNEvents | Probability of at least N events
BinomialVanillaEngine< T > | Pricing engine for vanilla options using binomial trees
BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function
BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004)
BivariateCumulativeStudentDistribution | Cumulative Student t-distribution
BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993)
BlackCalculator | Black 1976 calculator class
BlackScholesCalculator | Black-Scholes 1973 calculator class
BlackDeltaCalculator | Black delta calculator class
BondFunctions | Bond adapters of CashFlows functions
BootstrapError< Curve > | Bootstrap error
BoundaryCondition< Operator > | Abstract boundary condition class for finite difference problems
BoxMullerGaussianRng< RNG > | Gaussian random number generator
BrownianBridge | Builds Wiener process paths using Gaussian variates
BSpline | B-spline basis functions
Calendar | calendar class
Argentina | Argentinian calendars
Australia | Australian calendar
BespokeCalendar | Bespoke calendar
Botswana | Botswana calendar
Brazil | Brazilian calendar
Canada | Canadian calendar
China | Chinese calendar
CzechRepublic | Czech calendars
Denmark | Danish calendar
Finland | Finnish calendar
Germany | German calendars
HongKong | Hong Kong calendars
Hungary | Hungarian calendar
Iceland | Icelandic calendars
India | Indian calendars
Indonesia | Indonesian calendars
Israel | Israel calendar
Italy | Italian calendars
Japan | Japanese calendar
JointCalendar | Joint calendar
Mexico | Mexican calendars
NewZealand | New Zealand calendar
Norway | Norwegian calendar
NullCalendar | Calendar for reproducing theoretical calculations
Poland | Polish calendar
Romania | Romanian calendars
Russia | Russian calendars
SaudiArabia | Saudi Arabian calendar
Singapore | Singapore calendars
Slovakia | Slovak calendars
SouthAfrica | South-African calendar
SouthKorea | South Korean calendars
Sweden | Swedish calendar
Switzerland | Swiss calendar
Taiwan | Taiwanese calendars
TARGET | TARGET calendar
Turkey | Turkish calendar
Ukraine | Ukrainian calendars
UnitedKingdom | United Kingdom calendars
UnitedStates | United States calendars
WeekendsOnly | Weekends-only calendar
Calendar::Impl | Abstract base class for calendar implementations
Calendar::OrthodoxImpl | Partial calendar implementation
Calendar::WesternImpl | Partial calendar implementation
Callability::Price | Amount to be paid upon callability
CallableBond::results | Results for a callable bond calculation
CapFloor::arguments | Arguments for cap/floor calculation
CapPseudoDerivative |
CashFlows | cashflow-analysis functions
CatBond::results | Results for a cat bond calculation
CdsOption::results | Results from CDS-option calculation
ClaytonCopula | Clayton copula
ClaytonCopulaRng< RNG > | Clayton copula random-number generator
CLGaussianRng< RNG > | Gaussian random number generator
Clone< T > | Cloning proxy to an underlying object
CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons
CMSMMDriftCalculator | Drift computation for CMS market models
CmsSpreadLeg | Helper class building a sequence of capped/floored cms-spread-rate coupons
CommodityPricingHelper | Commodity index helper
CommodityType | Commodity type
Composite< T > | Composite pattern
ConjugateGradient | Multi-dimensional Conjugate Gradient class
ConstantEstimator | Constant-estimator volatility model
Constraint | Base constraint class
BoundaryConstraint | Constraint imposing all arguments to be in [low,high]
CompositeConstraint | Constraint enforcing both given sub-constraints
NoConstraint | No constraint
NonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i
PositiveConstraint | Constraint imposing positivity to all arguments
Constraint::Impl | Base class for constraint implementations
ContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option
ContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation
ContinuousPartialFixedLookbackOption::arguments | Arguments for continuous partial fixed lookback option calculation
ContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation
ContinuousPartialFloatingLookbackOption::arguments | Arguments for continuous partial floating lookback option calculation
ConvergenceStatistics< T, U > | Statistics class with convergence table
ConvexMonotone | Convex-monotone interpolation factory and traits
CostFunction | Cost function abstract class for optimization problem
LeastSquareFunction | Cost function for least-square problems
ProjectedCostFunction | Parameterized cost function
CounterpartyAdjSwapEngine |
CovarianceDecomposition | Covariance decomposition into correlation and variances
CPILeg | Helper class building a sequence of capped/floored CPI coupons
CPISwap::arguments | Arguments for swap calculation
CPISwap::results | Results from swap calculation
CreditRiskPlus |
Cubic | Cubic interpolation factory and traits
CumulativeBehrensFisher | Cumulative (generalized) BehrensFisher distribution
CumulativeBinomialDistribution | Cumulative binomial distribution function
CumulativeNormalDistribution | Cumulative normal distribution function
CumulativePoissonDistribution | Cumulative Poisson distribution function
CumulativeStudentDistribution | Cumulative Student t-distribution
CuriouslyRecurringTemplate< Impl > | Support for the curiously recurring template pattern
Solver1D< Impl > | Base class for 1-D solvers
TreeLattice< Impl > | Tree-based lattice-method base class
TreeLattice1D< Impl > | One-dimensional tree-based lattice
TreeLattice2D< Impl, T > | Two-dimensional tree-based lattice
Currency | Currency specification
ARSCurrency | Argentinian peso
ATSCurrency | Austrian shilling
AUDCurrency | Australian dollar
BCHCurrency | Bitcoin Cash
BDTCurrency | Bangladesh taka
BEFCurrency | Belgian franc
BGLCurrency | Bulgarian lev
BRLCurrency | Brazilian real
BTCCurrency | Bitcoin
BYRCurrency | Belarussian ruble
CADCurrency | Canadian dollar
CHFCurrency | Swiss franc
CLPCurrency | Chilean peso
CNYCurrency | Chinese yuan
COPCurrency | Colombian peso
CYPCurrency | Cyprus pound
CZKCurrency | Czech koruna
DASHCurrency | Dash coin
DEMCurrency | Deutsche mark
DKKCurrency | Danish krone
EEKCurrency | Estonian kroon
ESPCurrency | Spanish peseta
ETCCurrency | Ethereum Classic
ETHCurrency | Ethereum
EURCurrency | European Euro
FIMCurrency | Finnish markka
FRFCurrency | French franc
GBPCurrency | British pound sterling
GRDCurrency | Greek drachma
HKDCurrency | Hong Kong dollar
HUFCurrency | Hungarian forint
IDRCurrency | Indonesian Rupiah
IEPCurrency | Irish punt
ILSCurrency | Israeli shekel
INRCurrency | Indian rupee
IQDCurrency | Iraqi dinar
IRRCurrency | Iranian rial
ISKCurrency | Icelandic krona
ITLCurrency | Italian lira
JPYCurrency | Japanese yen
KRWCurrency | South-Korean won
KWDCurrency | Kuwaiti dinar
LTCCurrency | Litecoin
LTLCurrency | Lithuanian litas
LUFCurrency | Luxembourg franc
LVLCurrency | Latvian lat
MTLCurrency | Maltese lira
MXNCurrency | Mexican peso
MYRCurrency | Malaysian Ringgit
NLGCurrency | Dutch guilder
NOKCurrency | Norwegian krone
NPRCurrency | Nepal rupee
NZDCurrency | New Zealand dollar
PEHCurrency | Peruvian sol
PEICurrency | Peruvian inti
PENCurrency | Peruvian nuevo sol
PKRCurrency | Pakistani rupee
PLNCurrency | Polish zloty
PTECurrency | Portuguese escudo
ROLCurrency | Romanian leu
RONCurrency | Romanian new leu
RUBCurrency | Russian ruble
SARCurrency | Saudi riyal
SEKCurrency | Swedish krona
SGDCurrency | Singapore dollar
SITCurrency | Slovenian tolar
SKKCurrency | Slovak koruna
THBCurrency | Thai baht
TRLCurrency | Turkish lira
TRYCurrency | New Turkish lira
TTDCurrency | Trinidad & Tobago dollar
TWDCurrency | Taiwan dollar
UAHCurrency | Ukrainian hryvnia
USDCurrency | U.S. dollar
VEBCurrency | Venezuelan bolivar
VNDCurrency | Vietnamese Dong
XRPCurrency | Ripple
ZARCurrency | South-African rand
ZECCurrency | Zcash
Curve | Abstract curve class
CurveState | Curve state for market-model simulations
CMSwapCurveState | Curve state for constant-maturity-swap market models
CoterminalSwapCurveState | Curve state for coterminal-swap market models
LMMCurveState | Curve state for Libor market models
Date | Concrete date class
DateGeneration | Date-generation rule
DateInterval | Date interval described by a number of a given time unit
PricingPeriod | Time pricingperiod described by a number of a given time unit
DayCounter | Day counter class
Actual360 | Actual/360 day count convention
Actual365Fixed | Actual/365 (Fixed) day count convention
Actual365NoLeap | Actual/365 (No Leap) day count convention
ActualActual | Actual/Actual day count
Business252 | Business/252 day count convention
OneDayCounter | 1/1 day count convention
SimpleDayCounter | Simple day counter for reproducing theoretical calculations
Thirty360 | 30/360 day count convention
DayCounter::Impl | Abstract base class for day counter implementations
DefaultDensity | Default-density-curve traits
DefaultProbKey |
NorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt
DefaultType | Atomic credit-event type
FailureToPay | Failure to Pay atomic event type
ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation
Root | Utility for the numerical time solver
DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons
DigitalCmsSpreadLeg | Helper class building a sequence of digital ibor-rate coupons
DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons
Discount | Discount-curve traits
DiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option
DiscreteTrapezoidIntegral |
DiscretizedAsset | Discretized asset class used by numerical methods
DiscretizedDermanKaniDoubleBarrierOption | Derman-Kani-Ergener-Bardhan discretized option helper class
DiscretizedDiscountBond | Useful discretized discount bond asset
DiscretizedDoubleBarrierOption | Standard discretized option helper class
DiscretizedOption | Discretized option on a given asset
Disposable< T > | Generic disposable object with move semantics
DividendVanillaOption::arguments | Arguments for dividend vanilla option calculation
DoubleBarrier | Placeholder for enumerated barrier types
DoubleBarrierOption::arguments | Arguments for double barrier option calculation
Duration | duration type
earlier_than< T > | Compare two objects by date
EarlyExercisePathPricer< PathType, TimeType, ValueType > | Base class for early exercise path pricers
ECB | European Central Bank reserve maintenance dates
EndCriteria | Criteria to end optimization process:
EnergyBasisSwap | Energy basis swap
EnergyVanillaSwap | Vanilla energy swap
Eonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB
ErrorFunction | Error function
EvolutionDescription | Market-model evolution description
ExchangeRate | Exchange rate between two currencies
Exercise | Base exercise class
EarlyExercise | Early-exercise base class
AmericanExercise | American exercise
BermudanExercise | Bermudan exercise
SwingExercise | Swing exercise
EuropeanExercise | European exercise
RebatedExercise | Rebated exercise
ExponentialJump1dMesher |
Extrapolator | Base class for classes possibly allowing extrapolation
Interpolation | Base class for 1-D interpolations
AbcdInterpolation | Abcd interpolation between discrete points
BackwardFlatInterpolation | Backward-flat interpolation between discrete points
ConvexMonotoneInterpolation< I1, I2 > | Convex monotone yield-curve interpolation method
CubicInterpolation | Cubic interpolation between discrete points
ForwardFlatInterpolation | Forward-flat interpolation between discrete points
KernelInterpolation | Kernel interpolation between discrete points
LinearInterpolation | Linear interpolation between discrete points
LogCubicInterpolation | log-cubic interpolation between discrete points
LogLinearInterpolation | log-linear interpolation between discrete points
LogMixedLinearCubicInterpolation | log-mixedlinearcubic interpolation between discrete points
MixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points
NoArbSabrInterpolation | No arbitrage sabr smile interpolation between discrete volatility points
SABRInterpolation | SABR smile interpolation between discrete volatility points
SviInterpolation | Svi smile interpolation between discrete volatility points
VannaVolgaInterpolation | Vanna Volga interpolation between discrete points
ZabrInterpolation< Evaluation > | Zabr smile interpolation between discrete volatility points
Interpolation2D | Base class for 2-D interpolations
BicubicSpline | Bicubic-spline interpolation between discrete points
BilinearInterpolation | bilinear interpolation between discrete points
KernelInterpolation2D |
Polynomial2DSpline | Polynomial2D-spline interpolation between discrete points
TermStructure | Basic term-structure functionality
CallableBondVolatilityStructure | Callable-bond volatility structure
CallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence
CommodityCurve | Commodity term structure
CorrelationTermStructure |
BaseCorrelationTermStructure< Interpolator2D_T > |
DefaultProbabilityTermStructure | Default probability term structure
DefaultDensityStructure | Default-density term structure
InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities
HazardRateStructure | Hazard-rate term structure
FactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates
FlatHazardRate | Flat hazard-rate curve
InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates
OneFactorAffineSurvivalStructure |
InterpolatedAffineHazardRateCurve< Interpolator > |
SpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates
SurvivalProbabilityStructure | Hazard-rate term structure
InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities
InflationTermStructure | Interface for inflation term structures
CPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity)
YoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure
YoYInflationTermStructure | Base class for year-on-year inflation term structures
InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates
PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure
ZeroInflationTermStructure | Interface for zero inflation term structures
InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates
PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure
VolatilityTermStructure | Volatility term structure
BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve
AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve
BlackVolSurface | Black volatility (smile) surface
EquityFXVolSurface | Equity/FX volatility (smile) surface
InterestRateVolSurface | Interest rate volatility (smile) surface
SabrVolSurface | SABR volatility (smile) surface
BlackVolTermStructure | Black-volatility term structure
BlackVarianceTermStructure | Black variance term structure
BlackVarianceCurve | Black volatility curve modelled as variance curve
BlackVarianceSurface | Black volatility surface modelled as variance surface
ExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve
ExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface
ImpliedVolTermStructure | Implied vol term structure at a given date in the future
BlackVolatilityTermStructure | Black-volatility term structure
BlackConstantVol | Constant Black volatility, no time-strike dependence
CapFloorTermVolatilityStructure | Cap/floor term-volatility structure
CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector
CapFloorTermVolSurface | Cap/floor smile volatility surface
ConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence
CPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
ConstantCPIVolatility | Constant surface, no K or T dependence
LocalVolTermStructure |
LocalConstantVol | Constant local volatility, no time-strike dependence
LocalVolCurve | Local volatility curve derived from a Black curve
LocalVolSurface | Local volatility surface derived from a Black vol surface
OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure
ConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence
StrippedOptionletAdapter |
SwaptionVolatilityStructure | Swaption-volatility structure
ConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence
YoYOptionletVolatilitySurface |
InterpolatedYoYOptionletVolatilityCurve< Interpolator > |
PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure
ConstantYoYOptionletVolatility | Constant surface, no K or T dependence
InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface
KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > | K-interpolated YoY optionlet volatility
YieldTermStructure | Interest-rate term structure
FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds
FlatForward | Flat interest-rate curve
ForwardRateStructure | Forward-rate term structure
ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate
InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates
ImpliedTermStructure | Implied term structure at a given date in the future
InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors
ZeroYieldStructure | Zero-yield term structure
DriftTermStructure | Drift term structure
InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > | Yield curve with an added vector of spreads on the zero-yield rate
InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates
QuantoTermStructure | Quanto term structure
ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate
Factorial | Factorial numbers calculator
FarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula
FarlieGumbelMorgensternCopulaRng< RNG > | Farlie-Gumbel-Morgenstern copula random-number generator
FastFourierTransform | FFT implementation
FaureRsg | Faure low-discrepancy sequence generator
FDAmericanEngine< Scheme > | Finite-differences pricing engine for American one asset options
FDBermudanEngine< Scheme > | Finite-differences Bermudan engine
FDDividendAmericanEngine< Scheme > | Finite-differences pricing engine for dividend American options
FDDividendEngineBase< Scheme > | Abstract base class for dividend engines
FDDividendEngineMerton73< Scheme > | Finite-differences pricing engine for dividend options using escowed dividends model
FDDividendEngineShiftScale< Scheme > | Finite-differences engine for dividend options using shifted dividends
FDDividendEuropeanEngine< Scheme > | Finite-differences pricing engine for dividend European options
FDDividendShoutEngine< Scheme > | Finite-differences shout engine with dividends
FdmExtOUJumpOp |
FdmKlugeExtOUOp |
FDShoutEngine< Scheme > | Finite-differences pricing engine for shout vanilla options
FDVanillaEngine | Finite-differences pricing engine for BSM one asset options
FDEuropeanEngine< Scheme > | Pricing engine for European options using finite-differences
FDStepConditionEngine< Scheme > | Finite-differences pricing engine for American-style vanilla options
FedFunds | Fed Funds rate fixed by the FED
FFTEngine | Base class for FFT pricing engines for European vanilla options
FFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process
FFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process
FilonIntegral | Integral of a one-dimensional function
FiniteDifferenceModel< Evolver > | Generic finite difference model
FittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve
CubicBSplinesFitting | CubicSpline B-splines fitting method
ExponentialSplinesFitting | Exponential-splines fitting method
NelsonSiegelFitting | Nelson-Siegel fitting method
SimplePolynomialFitting | Simple polynomial fitting method
SpreadFittingMethod | Spread fitting method helper
SvenssonFitting | Svensson Fitting method
FixedRateLeg | Helper class building a sequence of fixed rate coupons
FloatFloatSwap::arguments | Arguments for float float swap calculation
FloatFloatSwaption::arguments | Arguments for cms swaption calculation
FloatFloatSwap::results | Results from float float swap calculation
FloatingCatBond | Floating-rate cat bond (possibly capped and/or floored)
ForwardFlat | Forward-flat interpolation factory and traits
ForwardOptionArguments< ArgumentsType > | Arguments for forward (strike-resetting) option calculation
ForwardRate | Forward-curve traits
FrankCopula | Frank copula
FrankCopulaRng< RNG > | Frank copula random-number generator
GalambosCopula | Galambos copula
GammaFunction | Gamma function class
Garch11 | GARCH volatility model
GarmanKlassAbstract | Garman-Klass volatility model
GaussianCopula | Gaussian copula
GaussianCopulaPolicy |
GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures
GaussHermitePolynomial | Gauss-Hermite polynomial
GaussHyperbolicPolynomial | Gauss hyperbolic polynomial
GaussJacobiPolynomial | Gauss-Jacobi polynomial
GaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind)
GaussChebyshevPolynomial | Gauss-Chebyshev polynomial
GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial
GaussLegendrePolynomial | Gauss-Legendre polynomial
GaussLaguerrePolynomial | Gauss-Laguerre polynomial
GaussNonCentralChiSquaredPolynomial | Gauss polynomial for the non central chi squared distribution
GaussianQuadMultidimIntegrator | Integrates a vector or scalar function of vector domain
GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method
GaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind)
GaussChebyshevIntegration | Gauss-Chebyshev integration
GaussGegenbauerIntegration | Gauss-Gegenbauer integration
GaussHermiteIntegration | Generalized Gauss-Hermite integration
GaussHyperbolicIntegration | Gauss-Hyperbolic integration
GaussJacobiIntegration | Gauss-Jacobi integration
GaussLaguerreIntegration | Generalized Gauss-Laguerre integration
GaussLegendreIntegration | Gauss-Legendre integration
GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods
GaussLobattoIntegral | Integral of a one-dimensional function
GeneralizedHullWhite::Dynamics | Short-rate dynamics in the generalized Hull-White model
GeneralLinearLeastSquares | General linear least squares regression
GeneralStatistics | Statistics tool
GenericGaussianStatistics< Stat > | Statistics tool for gaussian-assumption risk measures
GenericRiskStatistics< S > | Empirical-distribution risk measures
GenericSequenceStatistics< StatisticsType > | Statistics analysis of N-dimensional (sequence) data
DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation
GMRESResult |
Greeks | Additional option results
MultiAssetOption::results | Results from multi-asset option calculation
MargrabeOption::results | Extra results for Margrabe option
OneAssetOption::results | Results from single-asset option calculation
GumbelCopula | Gumbel copula
HaltonRsg | Halton low-discrepancy sequence generator
Handle< T > | Shared handle to an observable
RelinkableHandle< T > | Relinkable handle to an observable
HazardRate | Hazard-rate-curve traits
HestonExpansion |
FordeHestonExpansion |
LPP2HestonExpansion |
LPP3HestonExpansion |
HestonRNDCalculator | Risk neutral terminal probability density for the Heston model
Histogram | Histogram class
HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > | Historical correlation class
HistoricalRatesAnalysis | Historical rate analysis class
HuslerReissCopula | Husler-Reiss copula
IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons
IMM | Main cycle of the International Money Market (a.k.a. IMM) months
IncrementalStatistics | Statistics tool based on incremental accumulation
IndependentCopula | Independent copula
IntegralEngine | Pricing engine for European vanilla options using integral approach
InterestRate | Concrete interest rate class
InterpolatedCurve< Interpolator > | Helper class to build interpolated term structures
InterpolatedYoYOptionletVolatilityCurve< Interpolator > |
InterpolatedAffineHazardRateCurve< Interpolator > |
InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities
InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors
InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates
InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates
InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities
InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates
InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates
InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates
InterpolatingCPICapFloorEngine |
Interpolation2D::Impl | Abstract base class for 2-D interpolation implementations
Interpolation2D::templateImpl< I1, I2, M > | Basic template implementation
Interpolation::Impl | Abstract base class for interpolation implementations
Interpolation::templateImpl< I1, I2 > | Basic template implementation
IntervalPrice | Interval price
InverseCumulativeBehrensFisher | Inverse of the cumulative of the convolution of odd-T distributions
InverseCumulativeNormal | Inverse cumulative normal distribution function
InverseCumulativePoisson | Inverse cumulative Poisson distribution function
InverseCumulativeRng< RNG, IC > | Inverse cumulative random number generator
InverseCumulativeRsg< USG, IC > | Inverse cumulative random sequence generator
InverseCumulativeStudent | Inverse cumulative Student t-distribution
IrregularSettlement | settlement information
IrregularSwap::arguments | Arguments for irregular-swap calculation
IrregularSwaption::arguments | Arguments for irregular-swaption calculation
IrregularSwap::results | Results from irregular-swap calculation
IsdaCdsEngine |
IsotropicRandomWalk< Distribution, Engine > | Isotropic random walk
IterativeBootstrap< Curve > | Universal piecewise-term-structure boostrapper
JumpDiffusionEngine | Jump-diffusion engine for vanilla options
JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation
KernelFunction |
GaussianKernel | Gaussian kernel function
KnuthUniformRng | Uniform random number generator
LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool > |
Lattice | Lattice (tree, finite-differences) base class
TreeLattice< Impl > | Tree-based lattice-method base class
TreeLattice< BlackScholesLattice< T > > |
TreeLattice< OneFactorModel::ShortRateTree > |
TreeLattice< TwoFactorModel::ShortRateTree > |
LeastSquareProblem | Base class for least square problem
LecuyerUniformRng | Uniform random number generator
LexicographicalView< RandomAccessIterator > | Lexicographical 2-D view of a contiguous set of data
LfmCovarianceParameterization | Libor market model parameterization
LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization
LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper
Linear | Linear-interpolation factory and traits
LineSearch | Base class for line search
ArmijoLineSearch | Armijo line search
LmCorrelationModel | libor forward correlation model
LmExponentialCorrelationModel | Exponential correlation model
LmLinearExponentialCorrelationModel | linear exponential correlation model
LMMDriftCalculator | Drift computation for log-normal Libor market models
LMMNormalDriftCalculator | Drift computation for normal Libor market models
LmVolatilityModel | Caplet volatility model
LmConstWrapperVolatilityModel | Caplet const volatility model
LmLinearExponentialVolatilityModel | linear exponential volatility model
LmExtLinearExponentialVolModel | Extended linear exponential volatility model
LocalBootstrap< Curve > | Localised-term-structure bootstrapper for most curve types
LogCubic | Log-cubic interpolation factory and traits
LogLinear | Log-linear interpolation factory and traits
LogMixedLinearCubic | Log-cubic interpolation factory and traits
LossDist | Probability formulas and algorithms
LossDistBinomial | Binomial loss distribution
LossDistBucketing | Loss distribution with Hull-White bucketing
LossDistHomogeneous | Loss Distribution for Homogeneous Pool
LossDistMonteCarlo | Loss distribution with Monte Carlo simulation
MaddockCumulativeNormal | Maddock's cumulative normal distribution class
MaddockInverseCumulativeNormal | Maddock's Inverse cumulative normal distribution class
MakeArithmeticAverageOIS | Helper class
MakeCapFloor | Helper class
MakeCms | Helper class for instantiating CMS
MakeCreditDefaultSwap | Helper class
MakeMCAmericanBasketEngine< RNG > | Monte Carlo American basket-option engine factory
MakeMCAmericanEngine< RNG, S, RNG_Calibration > | Monte Carlo American engine factory
MakeMCAmericanPathEngine< RNG > | Monte Carlo American basket-option engine factory
MakeMCBarrierEngine< RNG, S > | Monte Carlo barrier-option engine factory
MakeMCDigitalEngine< RNG, S > | Monte Carlo digital engine factory
MakeMCEuropeanBasketEngine< RNG, S > | Monte Carlo basket-option engine factory
MakeMCEuropeanEngine< RNG, S > | Monte Carlo European engine factory
MakeMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH European engine factory
MakeMCEuropeanHestonEngine< RNG, S, P > | Monte Carlo Heston European engine factory
MakeMCEverestEngine< RNG, S > | Monte Carlo Everest-option engine factory
MakeMCHestonHullWhiteEngine< RNG, S > | Monte Carlo Heston/Hull-White engine factory
MakeMCHimalayaEngine< RNG, S > | Monte Carlo Himalaya-option engine factory
MakeMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White cap-floor engine factory
MakeMCPagodaEngine< RNG, S > | Monte Carlo pagoda-option engine factory
MakeMCPathBasketEngine< RNG, S > | Monte Carlo Path Basket engine factory
MakeMCPerformanceEngine< RNG, S > | Monte Carlo performance-option engine factory
MakeMCVarianceSwapEngine< RNG, S > | Monte Carlo variance-swap engine factory
MakeOIS | Helper class
MakeSchedule | Helper class
MakeSwaption | Helper class
MakeVanillaSwap | Helper class
MakeYoYInflationCapFloor | Helper class
MarketModel | Base class for market models
AbcdVol | Abcd-interpolated volatility structure
MarketModelEvolver | Market-model evolver
ConstrainedEvolver | Constrained market-model evolver
LogNormalFwdRateEulerConstrained | Euler stepping
LogNormalCmSwapRatePc | Predictor-Corrector
LogNormalCotSwapRatePc | Predictor-Corrector
LogNormalFwdRateBalland | Iterative Predictor-Corrector
LogNormalFwdRateEuler | Euler
LogNormalFwdRateiBalland | Iterative Predictor-Corrector
LogNormalFwdRateIpc | Iterative Predictor-Corrector
LogNormalFwdRatePc | Predictor-Corrector
NormalFwdRatePc | Predictor-Corrector
SVDDFwdRatePc |
MarketModelMultiProduct | Market-model product
MarketModelCashRebate |
MarketModelComposite | Composition of two or more market-model products
MultiProductComposite | Composition of one or more market-model products
SingleProductComposite | Composition of one or more market-model products
MultiProductMultiStep | Multiple-step market-model product
MultiStepSwaption |
MultiProductOneStep | Single-step market-model product
MultiProductPathwiseWrapper |
MarketModelPathwiseDiscounter |
MarketModelPathwiseMultiProduct | Market-model pathwise product
MarketModelPathwiseCashRebate |
MarketModelPathwiseCoterminalSwaptionsDeflated |
MarketModelPathwiseCoterminalSwaptionsNumericalDeflated |
MarketModelPathwiseInverseFloater |
MarketModelPathwiseMultiCaplet | Market-model pathwise caplet
MarketModelPathwiseMultiDeflatedCap |
MarketModelPathwiseSwap |
MarketModelVolProcess |
SquareRootAndersen |
MarshallOlkinCopula | Marshall-Olkin copula
Matrix | Matrix used in linear algebra
Disposable< QuantLib::Matrix > |
MaxCopula | Max copula
McSimulation< MC, RNG, S > | Base class for Monte Carlo engines
MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | Longstaff-Schwarz Monte Carlo engine for early exercise options
MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
MCVanillaEngine< MC, RNG, S, Inst > | Pricing engine for vanilla options using Monte Carlo simulation
MeanRevertingPricer |
HaganPricer | CMS-coupon pricer
AnalyticHaganPricer | CMS-coupon pricer
NumericHaganPricer | CMS-coupon pricer
LinearTsrPricer | CMS-coupon pricer
MersenneTwisterUniformRng | Uniform random number generator
MinCopula | Min copula
MixedLinearCubic | Mixed linear/cubic interpolation factory and traits
MixedScheme< Operator > | Mixed (explicit/implicit) scheme for finite difference methods
CrankNicolson< Operator > | Crank-Nicolson scheme for finite difference methods
ExplicitEuler< Operator > | Forward Euler scheme for finite difference methods
ImplicitEuler< Operator > | Backward Euler scheme for finite difference methods
ModifiedCraigSneydScheme | Modified Craig-Sneyd scheme
Money | Amount of cash
MonteCarloModel< MC, RNG, S > | General-purpose Monte Carlo model for path samples
MoreGreeks | More additional option results
OneAssetOption::results | Results from single-asset option calculation
MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class
MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations
MultiCubicSpline< i > | N-dimensional cubic spline interpolation between discrete points
MultidimIntegral | Integrates a vector or scalar function of vector domain
MultiPath | Correlated multiple asset paths
MultiPathGenerator< GSG > | Generates a multipath from a random number generator
MultiVariate< RNG > | Default Monte Carlo traits for multi-variate models
NoArbSabr | No arbtrage sabr interpolation factory and traits
NonLinearLeastSquare | Non-linear least-square method
NonstandardSwap::arguments | Arguments for nonstandard swap calculation
NonstandardSwaption::arguments | Arguments for nonstandard swaption calculation
NonstandardSwap::results | Results from nonstandard swap calculation
NormalDistribution | Normal distribution function
Null< T > | Template class providing a null value for a given type
Null< Array > | Specialization of null template for this class
Null< Date > | Specialization of Null template for the Date class
NumericalDifferentiation | Numerical Differentiation on arbitrarily spaced grids
Nzocr | Nzocr index
Observable | Object that notifies its changes to a set of observers
BootstrapHelper< YoYInflationTermStructure > |
YearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper
BootstrapHelper< YoYOptionletVolatilitySurface > |
YoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper
BootstrapHelper< ZeroInflationTermStructure > |
ZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper
LatentModel< copulaPolicy > |
DefaultLatentModel< copulaPolicy > | Default event Latent Model
ConstantLossLatentmodel< copulaPolicy > |
ConstantLossModel< copulaPolicy > |
SpotRecoveryLatentModel< copulaPolicy > | Random spot recovery rate latent variable portfolio model
LatentModel< GaussianCopulaPolicy > |
GaussianLHPLossModel |
AffineModel | Affine model class
G2 | Two-additive-factor gaussian model class
LiborForwardModel | Libor forward model
OneFactorAffineModel | Single-factor affine base class
CoxIngersollRoss | Cox-Ingersoll-Ross model class
ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class
GeneralizedHullWhite | Generalized Hull-White model class
Vasicek | Vasicek model class
HullWhite | Single-factor Hull-White (extended Vasicek) model class
BootstrapHelper< TS > | Base helper class for bootstrapping
BondHelper | Bond helper for curve bootstrap
CPIBondHelper | CPI bond helper for curve bootstrap
FixedRateBondHelper | Fixed-coupon bond helper for curve bootstrap
DatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
FuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices
RelativeDateBootstrapHelper< TS > | Bootstrap helper with date schedule relative to global evaluation date
ArithmeticOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates
CdsHelper |
SpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper
UpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper
DepositRateHelper | Rate helper for bootstrapping over deposit rates
FraRateHelper | Rate helper for bootstrapping over FRA rates
FxSwapRateHelper | Rate helper for bootstrapping over Fx Swap rates
OISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates
SwapRateHelper | Rate helper for bootstrapping over swap rates
CalibratedModel | Calibrated model class
GJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset
Gsr | One factor gsr model, formulation is in forward measure
HestonModel | Heston model for the stochastic volatility of an asset
BatesModel | Bates stochastic-volatility model
LiborForwardModel | Libor forward model
MarkovFunctional |
PiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model
ShortRateModel | Abstract short-rate model class
OneFactorModel | Single-factor short-rate model abstract class
BlackKarasinski | Standard Black-Karasinski model class
OneFactorAffineModel | Single-factor affine base class
TwoFactorModel | Abstract base-class for two-factor models
G2 | Two-additive-factor gaussian model class
VarianceGammaModel | Variance Gamma model
Claim | Claim associated to a default event
FaceValueAccrualClaim | Claim on the notional of a reference security, including accrual
FaceValueClaim | Claim on a notional
CommodityIndex | Base class for commodity indexes
DefaultLossModel |
BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > |
BinomialLossModel< LLM > |
ConstantLossModel< copulaPolicy > |
GaussianLHPLossModel |
HomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite homogeneous pool
InhomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite non homogeneous pool
RandomLM< derivedRandomLM, copulaPolicy, USNG > |
RecursiveLossModel< copulaPolicy > |
SaddlePointLossModel< CP > | Saddle point portfolio credit default loss model
RandomLM< RandomDefaultLM, copulaPolicy, USNG > |
RandomDefaultLM< copulaPolicy, USNG > |
RandomLM< RandomLossLM, copulaPolicy, USNG > |
RandomLossLM< copulaPolicy, USNG > |
Event | Base class for event
Callability | instrument callability
SoftCallability | callability leaving to the holder the possibility to convert
CashFlow | Base class for cash flows
Coupon | coupon accruing over a fixed period
FixedRateCoupon | Coupon paying a fixed interest rate
FloatingRateCoupon | Base floating-rate coupon class
AverageBMACoupon | Average BMA coupon
CappedFlooredCoupon | Capped and/or floored floating-rate coupon
CmsCoupon | CMS coupon class
CmsSpreadCoupon | CMS spread coupon class
DigitalCoupon | Digital-payoff coupon
DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option
DigitalCmsSpreadCoupon | Cms-spread-rate coupon with digital digital call/put option
DigitalIborCoupon | Ibor rate coupon with digital digital call/put option
IborCoupon | Coupon paying a Libor-type index
OvernightIndexedCoupon | Overnight coupon
InflationCoupon | Base inflation-coupon class
CPICoupon | Coupon paying the performance of a CPI (zero inflation) index
YoYInflationCoupon | Coupon paying a YoY-inflation type index
CappedFlooredYoYInflationCoupon | Capped or floored inflation coupon
Dividend | Predetermined cash flow
FixedDividend | Predetermined cash flow
FractionalDividend | Predetermined cash flow
IndexedCashFlow | Cash flow dependent on an index ratio
CPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index
SimpleCashFlow | Predetermined cash flow
AmortizingPayment | Amortizing payment
Redemption | Bond redemption
DefaultEvent | Credit event on a bond of a certain seniority(ies)/currency
FloatingRateCouponPricer | Generic pricer for floating-rate coupons
ArithmeticAveragedOvernightIndexedCouponPricer |
CmsCouponPricer | Base pricer for vanilla CMS coupons
HaganPricer | CMS-coupon pricer
LinearTsrPricer | CMS-coupon pricer
CmsSpreadCouponPricer | Base pricer for vanilla CMS spread coupons
LognormalCmsSpreadPricer | CMS spread - coupon pricer
IborCouponPricer | Base pricer for capped/floored Ibor coupons
BlackIborCouponPricer |
Index | Purely virtual base class for indexes
InflationIndex | Base class for inflation-rate indexes,
YoYInflationIndex | Base class for year-on-year inflation indices
YYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio)
YYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio)
YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP)
YYEUHICPXT | Genuine year-on-year EU HICPXT
YYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio)
YYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio)
YYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio)
YYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio)
YYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
YYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI)
YYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI)
YYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI)
YYZACPI | Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI)
YYZACPIr | Fake year-on-year South African CPI (i.e. a ratio of ZA CPI)
ZeroInflationIndex | Base class for zero inflation indices
AUCPI | AU CPI index (either quarterly or annual)
EUHICP | EU HICP index
EUHICPXT | EU HICPXT index
FRHICP | FR HICP index
GenericCPI | Generic CPI index
UKRPI | UK Retail Price Inflation Index
USCPI | US CPI index
ZACPI | South African Comsumer Price Inflation Index
InterestRateIndex | Base class for interest rate indexes
BMAIndex | Bond Market Association index
IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
Bbsw | Bbsw index
Bbsw1M | 1-month Bbsw index
Bbsw2M | 2-months Bbsw index
Bbsw3M | 3-months Bbsw index
Bbsw4M | 4-months Bbsw index
Bbsw5M | 5-months Bbsw index
Bbsw6M | 6-months Bbsw index
Bkbm | Bkbm index
Bkbm1M | 1-month Bkbm index
Bkbm2M | 2-months Bkbm index
Bkbm3M | 3-months Bkbm index
Bkbm4M | 4-months Bkbm index
Bkbm5M | 5-months Bkbm index
Bkbm6M | 6-months Bkbm index
Cdor | CDOR rate
DailyTenorEURLibor | Base class for the one day deposit ICE EUR LIBOR indexes
EURLiborON | Overnight EUR Libor index
DailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
CADLiborON | Overnight CAD Libor index
DailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes
DailyTenorGBPLibor | Base class for the one day deposit ICE GBP LIBOR indexes
GBPLiborON | Overnight GBP Libor index
DailyTenorJPYLibor | Base class for the one day deposit ICE JPY LIBOR indexes
DailyTenorUSDLibor | Base class for the one day deposit ICE USD LIBOR indexes
USDLiborON | Overnight USD Libor index
Euribor | Euribor index
Euribor10M | 10-months Euribor index
Euribor11M | 11-months Euribor index
Euribor1M | 1-month Euribor index
Euribor1Y | 1-year Euribor index
Euribor2M | 2-months Euribor index
Euribor2W | 2-weeks Euribor index
Euribor3M | 3-months Euribor index
Euribor3W | 3-weeks Euribor index
Euribor4M | 4-months Euribor index
Euribor5M | 5-months Euribor index
Euribor6M | 6-months Euribor index
Euribor7M | 7-months Euribor index
Euribor8M | 8-months Euribor index
Euribor9M | 9-months Euribor index
EuriborSW | 1-week Euribor index
Euribor365 | Actual/365 Euribor index
Euribor365_10M | 10-months Euribor365 index
Euribor365_11M | 11-months Euribor365 index
Euribor365_1M | 1-month Euribor365 index
Euribor365_1Y | 1-year Euribor365 index
Euribor365_2M | 2-months Euribor365 index
Euribor365_2W | 2-weeks Euribor365 index
Euribor365_3M | 3-months Euribor365 index
Euribor365_3W | 3-weeks Euribor365 index
Euribor365_4M | 4-months Euribor365 index
Euribor365_5M | 5-months Euribor365 index
Euribor365_6M | 6-months Euribor365 index
Euribor365_7M | 7-months Euribor365 index
Euribor365_8M | 8-months Euribor365 index
Euribor365_9M | 9-months Euribor365 index
Euribor365_SW | 1-week Euribor365 index
EURLibor | Base class for all ICE EUR LIBOR indexes but the O/N
EURLibor10M | 10-months EUR Libor index
EURLibor11M | 11-months EUR Libor index
EURLibor1M | 1-month EUR Libor index
EURLibor1Y | 1-year EUR Libor index
EURLibor2M | 2-months EUR Libor index
EURLibor2W | 2-weeks EUR Libor index
EURLibor3M | 3-months EUR Libor index
EURLibor4M | 4-months EUR Libor index
EURLibor5M | 5-months EUR Libor index
EURLibor6M | 6-months EUR Libor index
EURLibor7M | 7-months EUR Libor index
EURLibor8M | 8-months EUR Libor index
EURLibor9M | 9-months EUR Libor index
EURLiborSW | 1-week EUR Libor index
Jibar | JIBAR rate
Libor | Base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
AUDLibor | AUD LIBOR rate
CADLibor | CAD LIBOR rate
CHFLibor | CHF LIBOR rate
DKKLibor | DKK LIBOR rate
GBPLibor | GBP LIBOR rate
JPYLibor | JPY LIBOR rate
NZDLibor | NZD LIBOR rate
SEKLibor | SEK LIBOR rate
USDLibor | USD LIBOR rate
ProxyIbor | IborIndex calculated as proxy of some other IborIndex
Tibor | JPY TIBOR index
TRLibor | TRY LIBOR rate
Zibor | CHF ZIBOR rate
SwapIndex | Base class for swap-rate indexes
ChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class
EuriborSwapIfrFix | EuriborSwapIfrFix index base class
EuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class
EuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class
EurLiborSwapIfrFix | EurLiborSwapIfrFix index base class
EurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class
EurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class
GbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class
JpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class
JpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class
OvernightIndexedSwapIndex | Base class for overnight indexed swap indexes
UsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class
UsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class
SwapSpreadIndex | Class for swap-rate spread indexes
InflationCouponPricer | Base inflation-coupon pricer
CPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
YoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons
BachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons
BlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons
UnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
LatentModel< copulaPolicyImpl > | Generic multifactor latent variable model
LazyObject | Framework for calculation on demand and result caching
AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve
AndreasenHugeVolatilityInterpl | Calibration of a local volatility surface to a sparse grid of options
Basket |
CalibrationHelper | Liquid market instrument used during calibration
CapHelper | Calibration helper for ATM cap
HestonModelHelper | Calibration helper for Heston model
SwaptionHelper | Calibration helper for ATM swaption
CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector
CapFloorTermVolSurface | Cap/floor smile volatility surface
CmsMarket | Set of CMS quotes
EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation
FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds
FlatForward | Flat interest-rate curve
ForwardSwapQuote | Quote for a forward starting swap
Gaussian1dModel |
Gsr | One factor gsr model, formulation is in forward measure
MarkovFunctional |
HestonSLVMCModel |
ImpliedStdDevQuote | quote for the implied standard deviation of an underlying
Instrument | Abstract instrument class
Bond | Base bond class
AmortizingCmsRateBond | Amortizing CMS-rate bond
AmortizingFixedRateBond | Amortizing fixed-rate bond
AmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored)
CallableBond | Callable bond base class
CallableFixedRateBond | Callable/puttable fixed rate bond
CallableZeroCouponBond | Callable/puttable zero coupon bond
CmsRateBond | CMS-rate bond
ConvertibleBond | Base class for convertible bonds
ConvertibleFixedCouponBond | Convertible fixed-coupon bond
ConvertibleFloatingRateBond | Convertible floating-rate bond
ConvertibleZeroCouponBond | Convertible zero-coupon bond
CPIBond |
FixedRateBond | Fixed-rate bond
BTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond
FloatingRateBond | Floating-rate bond (possibly capped and/or floored)
CCTEU |
ZeroCouponBond | Zero-coupon bond
CapFloor | Base class for cap-like instruments
Cap | Concrete cap class
Collar | Concrete collar class
Floor | Concrete floor class
CDO | Collateralized debt obligation
Commodity | Commodity base class
EnergyCommodity | Energy commodity class
EnergyFuture | Energy future
CompositeInstrument | Composite instrument
CPICapFloor | CPI cap or floor
CreditDefaultSwap | Credit default swap
Forward | Abstract base forward class
FixedRateBondForward | Forward contract on a fixed-rate bond
NthToDefault | N-th to default swap
Option | Base option class
CdsOption | CDS option
FloatFloatSwaption | Floatfloat swaption class
IrregularSwaption | Irregular Swaption class
MultiAssetOption | Base class for options on multiple assets
BasketOption | Basket option on a number of assets
HimalayaOption | Himalaya option
MargrabeOption | Margrabe option on two assets
PagodaOption | Roofed Asian option on a number of assets
SpreadOption | Spread option on two assets
NonstandardSwaption | Nonstandard swaption class
OneAssetOption | Base class for options on a single asset
BarrierOption | Barrier option on a single asset
DividendBarrierOption | Single-asset barrier option with discrete dividends
QuantoBarrierOption | Quanto version of a barrier option
CliquetOption | Cliquet (Ratchet) option
CompoundOption | Compound option on a single asset
ContinuousAveragingAsianOption | Continuous-averaging Asian option
ContinuousFixedLookbackOption | Continuous-fixed lookback option
ContinuousPartialFixedLookbackOption | Continuous-partial-fixed lookback option
ContinuousFloatingLookbackOption | Continuous-floating lookback option
ContinuousPartialFloatingLookbackOption | Continuous-partial-floating lookback option
DiscreteAveragingAsianOption | Discrete-averaging Asian option
DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends
DoubleBarrierOption | Double Barrier option on a single asset
QuantoDoubleBarrierOption | Quanto version of a double barrier option
ForwardVanillaOption | Forward version of a vanilla option
QuantoForwardVanillaOption | Quanto version of a forward vanilla option
QuantoVanillaOption | Quanto version of a vanilla option
SimpleChooserOption | Simple chooser option
VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset
EuropeanOption | European option on a single asset
VanillaStorageOption | Base option class
VanillaSwingOption | Base option class
WriterExtensibleOption | Writer-extensible option
Swaption | Swaption class
TwoAssetBarrierOption | Barrier option on two assets
PathMultiAssetOption | Base class for path-dependent options on multiple assets
RiskyAssetSwap | Risky asset-swap instrument
RiskyAssetSwapOption | Option on risky asset swap
RiskyBond |
RiskyFixedBond |
RiskyFloatingBond |
Stock | Simple stock class
Swap | Interest rate swap
ArithmeticAverageOIS | Arithemtic Average OIS: fix vs arithmetic average of overnight rate
AssetSwap | Bullet bond vs Libor swap
BMASwap | Swap paying Libor against BMA coupons
CPISwap | Zero-inflation-indexed swap,
FloatFloatSwap | Float float swap
IrregularSwap | Irregular swap: fixed vs floating leg
NonstandardSwap | Nonstandard swap
OvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate
VanillaSwap | Plain-vanilla swap: fix vs floating leg
YearOnYearInflationSwap | Year-on-year inflation-indexed swap
ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap
SyntheticCDO | Synthetic Collateralized Debt Obligation
VarianceOption | Variance option
VarianceSwap | Variance swap
YoYInflationCapFloor | Base class for yoy inflation cap-like instruments
YoYInflationCap | Concrete YoY Inflation cap class
YoYInflationCollar | Concrete YoY Inflation collar class
YoYInflationFloor | Concrete YoY Inflation floor class
MultiCurveSensitivities | Multi curve sensitivities
OneFactorCopula | Abstract base class for one-factor copula models
OneFactorGaussianCopula | One-factor Gaussian Copula
OneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula
OneFactorStudentCopula | One-factor Double Student t-Copula
OneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > | Piecewise default-probability term structure
PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > | Piecewise yield term structure
PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure
PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure
PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure
RandomLM< derivedRandomLM, copulaPolicy, USNG > |
StrippedOptionletAdapter |
StrippedOptionletBase |
OptionletStripper |
OptionletStripper1 |
OptionletStripper2 |
StrippedOptionlet |
RandomLM< RandomDefaultLM, copulaPolicy, USNG > |
RandomLM< RandomLossLM, copulaPolicy, USNG > |
MarketModelFactory | Base class for market-model factories
PricingEngine | Interface for pricing engines
GenericEngine< Arguments, Results > |
GenericModelEngine< ShortRateModel, Arguments, Results > |
LatticeShortRateModelEngine< Arguments, Results > | Engine for a short-rate model specialized on a lattice
GenericEngine< BarrierOption::arguments, BarrierOption::results > |
BarrierOption::engine | Barrier-option engine base class
AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae
AnalyticBinaryBarrierEngine | Analytic pricing engine for American binary barriers options
BinomialBarrierEngine< T, D > | Pricing engine for barrier options using binomial trees
MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation
PerturbativeBarrierOptionEngine | Perturbative barrier-option engine
GenericEngine< BasketOption::arguments, BasketOption::results > |
BasketOption::engine | Basket-option engine base class
MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > |
Fd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine
KirkEngine | Pricing engine for spread option on two futures
MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation
StulzEngine | Pricing engine for 2D European Baskets
GenericEngine< Bond::arguments, Bond::results > |
GenericEngine< CallableBond::arguments, CallableBond::results > |
GenericModelEngine< ShortRateModel, CallableBond::arguments, CallableBond::results > |
LatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results > |
TreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds
TreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds
CallableBond::engine | Base class for callable fixed rate bond engine
BlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine
BlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine
GenericEngine< CapFloor::arguments, CapFloor::results > |
GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results > |
AnalyticCapFloorEngine | Analytic engine for cap/floor
GenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results > |
Gaussian1dCapFloorEngine | Gaussian1d cap/floor engine
GenericModelEngine< ShortRateModel, CapFloor::arguments, CapFloor::results > |
LatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results > |
TreeCapFloorEngine | Numerical lattice engine for cap/floors
CapFloor::engine | Base class for cap/floor engines
BachelierCapFloorEngine | Bachelier-Black-formula cap/floor engine
BlackCapFloorEngine | Black-formula cap/floor engine
MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors
GenericEngine< CatBond::arguments, CatBond::results > |
CatBond::engine | Base class for cat bond engine
GenericEngine< CdsOption::arguments, CdsOption::results > |
CdsOption::engine | Base class for swaption engines
BlackCdsOptionEngine | Black-formula CDS-option engine
GenericEngine< CliquetOption::arguments, CliquetOption::results > |
CliquetOption::engine | Cliquet engine base class
AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae
AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae
MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation
GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > |
GenericEngine< CompoundOption::arguments, CompoundOption::results > |
CompoundOption::engine | Compound-option engine base class
AnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae
GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > |
ContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class
AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian
ContinuousArithmeticAsianVecerEngine | Vecer engine for continuous-avaeraging Asian options
GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > |
ContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class
AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback
GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > |
ContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class
AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback
GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > |
ContinuousPartialFixedLookbackOption::engine | Continuous partial fixed lookback engine base class
AnalyticContinuousPartialFixedLookbackEngine | Pricing engine for European continuous partial-time fixed-strike lookback options
GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > |
ContinuousPartialFloatingLookbackOption::engine | Continuous partial floating lookback engine base class
AnalyticContinuousPartialFloatingLookbackEngine | Pricing engine for European continuous partial-time floating-strike lookback option
GenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > |
GenericEngine< CPICapFloor::arguments, CPICapFloor::results > |
GenericEngine< CPISwap::arguments, CPISwap::results > |
GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > |
GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > |
DiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class
AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian
AnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option
MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation
GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > |
GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results > |
FdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine
FdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine
DividendBarrierOption::engine | Dividend-barrier-option engine base class
FdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine
FdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine
VannaVolgaBarrierEngine | Vanna Volga barrier option engine
GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > |
GenericModelEngine< BatesModel, DividendVanillaOption::arguments, DividendVanillaOption::results > |
FdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine
GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > |
FdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine
FdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine
DividendVanillaOption::engine | Dividend-vanilla-option engine base class
AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends
GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > |
GenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results > |
FdHestonDoubleBarrierEngine | Finite-Differences Heston Double Barrier Option engine
DoubleBarrierOption::engine | Double-Barrier-option engine base class
AnalyticDoubleBarrierBinaryEngine | Analytic pricing engine for double barrier binary options
AnalyticDoubleBarrierEngine | Pricing engine for double barrier european options using analytical formulae
BinomialDoubleBarrierEngine< T, D > | Pricing engine for double barrier options using binomial trees
WulinYongDoubleBarrierEngine | Pricing engine for barrier options using analytical formulae
VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine > | Vanna Volga double-barrier option engine
GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > |
GenericEngine< EverestOption::arguments, EverestOption::results > |
GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > |
GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > |
GenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results > |
Gaussian1dFloatFloatSwaptionEngine | One factor model float float swaption engine
FloatFloatSwaption::engine | Base class for cms swaption engines
GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > |
ForwardVanillaEngine< Engine > | Forward engine for vanilla options
ForwardPerformanceVanillaEngine< Engine > | Forward performance engine for vanilla options
GenericEngine< HimalayaOption::arguments, HimalayaOption::results > |
GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > |
GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > |
QuantoEngine< Instr, Engine > | Quanto engine
GenericEngine< IrregularSwap::arguments, IrregularSwap::results > |
GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > |
HaganIrregularSwaptionEngine | Pricing engine for irregular swaptions
IrregularSwaption::engine | Base class for irregular-swaption engines
GenericEngine< MargrabeOption::arguments, MargrabeOption::results > |
MargrabeOption::engine | Margrabe option engine base class
AnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option
AnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option
GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > |
GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > |
GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > |
GenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > |
Gaussian1dNonstandardSwaptionEngine | One factor model non standard swaption engine
NonstandardSwaption::engine | Base class for nonstandard swaption engines
GenericEngine< NthToDefault::arguments, NthToDefault::results > |
NthToDefault::engine | NTD base engine
GenericEngine< OneAssetOption::arguments, OneAssetOption::results > |
GenericEngine< PagodaOption::arguments, PagodaOption::results > |
PagodaOption::engine | Pagoda-option engine base class
MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation
GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > |
PartialTimeBarrierOption::engine | Partial-Time-Barrier-Option engine base class
GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > |
GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > |
SimpleChooserOption::engine | Simple chooser option engine base class
AnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option
GenericEngine< SpreadOption::arguments, SpreadOption::results > |
SpreadOption::engine | Spread option engine base class
KirkSpreadOptionEngine | Kirk approximation for European spread option on futures
GenericEngine< Swap::arguments, Swap::results > |
GenericEngine< Swaption::arguments, Swaption::results > |
GenericModelEngine< G2, Swaption::arguments, Swaption::results > |
G2SwaptionEngine | Swaption priced by means of the Black formula
GenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results > |
Gaussian1dJamshidianSwaptionEngine | Jamshidian swaption engine
Gaussian1dSwaptionEngine | One factor model swaption engine
GenericModelEngine< HullWhite, Swaption::arguments, Swaption::results > |
GenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results > |
LfmSwaptionEngine | Libor forward model swaption engine based on Black formula
GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results > |
JamshidianSwaptionEngine | Jamshidian swaption engine
GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results > |
LatticeShortRateModelEngine< Swaption::arguments, Swaption::results > |
TreeSwaptionEngine | Numerical lattice engine for swaptions
Swaption::engine | Base class for swaption engines
BlackStyleSwaptionEngine< detail::BachelierSpec > |
BachelierSwaptionEngine | Normal Bachelier-formula swaption engine
BlackStyleSwaptionEngine< detail::Black76Spec > |
BlackSwaptionEngine | Shifted Lognormal Black-formula swaption engine
BlackStyleSwaptionEngine< Spec > |
GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > |
SyntheticCDO::engine | CDO base engine
MidPointCDOEngine | CDO base engine taking schedule steps
GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > |
TwoAssetBarrierOption::engine | Two-asset barrier-option engine base class
AnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets
GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > |
GenericEngine< VanillaOption::arguments, VanillaOption::results > |
GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results > |
AnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine
GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > |
AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform
AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates
AnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation
BatesEngine | Bates model engines based on Fourier transform
AnalyticPDFHestonEngine | Analytic engine for arbitrary European payoffs under the Heston model
COSHestonEngine | COS-method Heston engine based on efficient Fourier series expansions
HestonExpansionEngine | Heston-model engine for European options based on analytic expansions
GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results > |
AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates
GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > |
AnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine
GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > |
GenericEngine< VanillaSwap::arguments, VanillaSwap::results > |
GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results > |
LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results > |
TreeVanillaSwapEngine | Numerical lattice engine for simple swaps
GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > |
GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > |
GenericEngine< VarianceOption::arguments, VarianceOption::results > |
VarianceOption::engine | Base class for variance-option engines
IntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine
GenericEngine< VarianceSwap::arguments, VarianceSwap::results > |
VarianceSwap::engine | Base class for variance-swap engines
MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation,
ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost,
GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > |
WriterExtensibleOption::engine | Base engine
AnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options
GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > |
GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > |
YoYInflationCapFloor::engine | Base class for cap/floor engines
YoYInflationCapFloorEngine | Base YoY inflation cap/floor engine
YoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > |
GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines
GenericModelEngine< ModelType, ArgumentsType, ResultsType > | Base class for some pricing engine on a particular model
MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | Longstaff-Schwarz Monte Carlo engine for early exercise options
MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options
Quote | Purely virtual base class for market observables
CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element
DeltaVolQuote | Class for the quotation of delta vs vol
DerivedQuote< UnaryFunction > | Market quote whose value depends on another quote
EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation
ForwardSwapQuote | Quote for a forward starting swap
ForwardValueQuote | quote for the forward value of an index
FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index
ImpliedStdDevQuote | quote for the implied standard deviation of an underlying
LastFixingQuote | Quote adapter for the last fixing available of a given Index
RecoveryRateQuote | Stores a recovery rate market quote and the associated seniority
RendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter
RendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter
SimpleQuote | Market element returning a stored value
RandomDefaultModel | Base class for random default models
GaussianRandomDefaultModel |
RecoveryRateModel |
ConstantRecoveryModel |
SmileSection | Interest rate volatility smile section
Gaussian1dSmileSection |
StochasticProcess | Multi-dimensional stochastic process class
ExtOUWithJumpsProcess |
ForwardMeasureProcess | Forward-measure stochastic process
G2ForwardProcess | Forward G2 stochastic process
G2Process | G2 stochastic process
GJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process
HestonProcess | Square-root stochastic-volatility Heston process
BatesProcess | Square-root stochastic-volatility Bates process
HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process
KlugeExtOUProcess |
LiborForwardModelProcess | Libor-forward-model process
StochasticProcess1D | 1-dimensional stochastic process
ExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class
ForwardMeasureProcess1D | Forward-measure 1-D stochastic process
GsrProcess | GSR stochastic process
HullWhiteForwardProcess | Forward Hull-White stochastic process
GemanRoncoroniProcess | Geman-Roncoroni process class
GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process
BlackProcess | Black (1976) stochastic process
BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process
BlackScholesProcess | Black-Scholes (1973) stochastic process
ExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process
GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process
VegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests
GeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class
GeometricBrownianMotionProcess | Geometric brownian-motion process
HullWhiteProcess | Hull-White stochastic process
Merton76Process | Merton-76 jump-diffusion process
MfStateProcess | Markov functional state process class
OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class
SquareRootProcess | Square-root process class
VarianceGammaProcess | Variance gamma process
StochasticProcessArray | Array of correlated 1-D stochastic processes
TermStructure | Basic term-structure functionality
TermStructureConsistentModel | Term-structure consistent model class
BlackKarasinski | Standard Black-Karasinski model class
ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class
G2 | Two-additive-factor gaussian model class
Gaussian1dModel |
GeneralizedHullWhite | Generalized Hull-White model class
HullWhite | Single-factor Hull-White (extended Vasicek) model class
ObservableValue< T > | observable and assignable proxy to concrete value
Observer | Object that gets notified when a given observable changes
BootstrapHelper< YoYInflationTermStructure > |
BootstrapHelper< YoYOptionletVolatilitySurface > |
BootstrapHelper< ZeroInflationTermStructure > |
GenericEngine< Arguments, Results > |
GenericEngine< BarrierOption::arguments, BarrierOption::results > |
GenericEngine< BasketOption::arguments, BasketOption::results > |
GenericEngine< Bond::arguments, Bond::results > |
GenericEngine< CallableBond::arguments, CallableBond::results > |
GenericEngine< CapFloor::arguments, CapFloor::results > |
GenericEngine< CatBond::arguments, CatBond::results > |
GenericEngine< CdsOption::arguments, CdsOption::results > |
GenericEngine< CliquetOption::arguments, CliquetOption::results > |
GenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > |
GenericEngine< CompoundOption::arguments, CompoundOption::results > |
GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > |
GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > |
GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > |
GenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > |
GenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > |
GenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > |
GenericEngine< CPICapFloor::arguments, CPICapFloor::results > |
GenericEngine< CPISwap::arguments, CPISwap::results > |
GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > |
GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > |
GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > |
GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > |
GenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > |
GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > |
GenericEngine< EverestOption::arguments, EverestOption::results > |
GenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > |
GenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > |
GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > |
GenericEngine< HimalayaOption::arguments, HimalayaOption::results > |
GenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > |
GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > |
GenericEngine< IrregularSwap::arguments, IrregularSwap::results > |
GenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > |
GenericEngine< MargrabeOption::arguments, MargrabeOption::results > |
GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > |
GenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > |
GenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > |
GenericEngine< NthToDefault::arguments, NthToDefault::results > |
GenericEngine< OneAssetOption::arguments, OneAssetOption::results > |
GenericEngine< PagodaOption::arguments, PagodaOption::results > |
GenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > |
GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > |
GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > |
GenericEngine< SpreadOption::arguments, SpreadOption::results > |
GenericEngine< Swap::arguments, Swap::results > |
GenericEngine< Swaption::arguments, Swaption::results > |
GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > |
GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > |
GenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > |
GenericEngine< VanillaOption::arguments, VanillaOption::results > |
GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > |
GenericEngine< VanillaSwap::arguments, VanillaSwap::results > |
GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > |
GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > |
GenericEngine< VarianceOption::arguments, VarianceOption::results > |
GenericEngine< VarianceSwap::arguments, VarianceSwap::results > |
GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > |
GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > |
GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > |
GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > |
LatentModel< copulaPolicy > |
LatentModel< GaussianCopulaPolicy > |
BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > |
BootstrapHelper< TS > | Base helper class for bootstrapping
CalibratedModel | Calibrated model class
Claim | Claim associated to a default event
CommodityIndex | Base class for commodity indexes
CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element
ConstantRecoveryModel |
DeltaVolQuote | Class for the quotation of delta vs vol
DerivedQuote< UnaryFunction > | Market quote whose value depends on another quote
FloatingRateCoupon | Base floating-rate coupon class
FloatingRateCouponPricer | Generic pricer for floating-rate coupons
ForwardValueQuote | quote for the forward value of an index
FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index
GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines
IndexedCashFlow | Cash flow dependent on an index ratio
InflationCoupon | Base inflation-coupon class
InflationCouponPricer | Base inflation-coupon pricer
InflationIndex | Base class for inflation-rate indexes,
InterestRateIndex | Base class for interest rate indexes
LastFixingQuote | Quote adapter for the last fixing available of a given Index
LatentModel< copulaPolicyImpl > | Generic multifactor latent variable model
LazyObject | Framework for calculation on demand and result caching
RandomDefaultModel | Base class for random default models
SmileSection | Interest rate volatility smile section
StochasticProcess | Multi-dimensional stochastic process class
TermStructure | Basic term-structure functionality
OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics
BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model
CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model
ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model
HullWhite::Dynamics | Short-rate dynamics in the Hull-White model
Vasicek::Dynamics | Short-rate dynamics in the Vasicek model
OperatorFactory | Black-Scholes-Merton differential operator
OptimizationMethod | Abstract class for constrained optimization method
DifferentialEvolution | Differential Evolution configuration object
HybridSimulatedAnnealing< Sampler, Probability, Temperature, Reannealing > |
LevenbergMarquardt | Levenberg-Marquardt optimization method
Simplex | Multi-dimensional simplex class
SimulatedAnnealing< RNG > |
Option::arguments | Basic option arguments
CdsOption::arguments | Arguments for CDS-option calculation
CliquetOption::arguments | Arguments for cliquet option calculation
FloatFloatSwaption::arguments | Arguments for cms swaption calculation
IrregularSwaption::arguments | Arguments for irregular-swaption calculation
MargrabeOption::arguments | Extra arguments for Margrabe option
NonstandardSwaption::arguments | Arguments for nonstandard swaption calculation
Swaption::arguments | Arguments for swaption calculation
TwoAssetBarrierOption::arguments | Arguments for two-asset barrier option calculation
WriterExtensibleOption::arguments | Additional arguments for writer-extensible option
OrthogonalizedBumpFinder |
OrthogonalProjections |
OvernightLeg | Helper class building a sequence of overnight coupons
Parameter | Base class for model arguments
ConstantParameter | Standard constant parameter \( a(t) = a \)
NullParameter | Parameter which is always zero \( a(t) = 0 \)
PiecewiseConstantParameter | Piecewise-constant parameter
TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting
ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
G2::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
GeneralizedHullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
HullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \)
Parameter::Impl | Base class for model parameter implementation
PartialTimeBarrierOption::arguments | Arguments for barrier option calculation
PascalTriangle | Pascal triangle coefficients calculator
Path | Single-factor random walk
PathGenerator< GSG > | Generates random paths using a sequence generator
PathMultiAssetOption::arguments | Arguments for multi-asset option calculation
PathMultiAssetOption::results | Results from multi-asset option calculation
PathPayoff | Abstract base class for path-dependent option payoffs
PathPricer< PathType, ValueType > | Base class for path pricers
PathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas
PathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
PathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
Payoff | Abstract base class for option payoffs
DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs
RatchetMaxPayoff | RatchetMax payoff (double option)
RatchetMinPayoff | RatchetMin payoff (double option)
RatchetPayoff | Ratchet payoff (single option)
StickyMaxPayoff | StickyMax payoff (double option)
StickyMinPayoff | StickyMin payoff (double option)
StickyPayoff | Sticky payoff (single option)
ForwardTypePayoff | Class for forward type payoffs
NullPayoff | Dummy payoff class
TypePayoff | Intermediate class for put/call payoffs
FloatingTypePayoff | Payoff based on a floating strike
StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike
AssetOrNothingPayoff | Binary asset-or-nothing payoff
CashOrNothingPayoff | Binary cash-or-nothing payoff
GapPayoff | Binary gap payoff
PercentageStrikePayoff | Payoff with strike expressed as percentage
PlainVanillaPayoff | Plain-vanilla payoff
SuperFundPayoff | Binary supershare and superfund payoffs
SuperSharePayoff | Binary supershare payoff
Period |
PlackettCopula | Plackett copula
PoissonDistribution | Poisson distribution function
PolarStudentTRng< URNG > | Student t random number generator
Polynomial | Polynomial2D-spline-interpolation factory
PolynomialFunction | Cubic functional form
PrimeNumbers | Prime numbers calculator
ProbabilityAlwaysDownhill | Always Downhill Probability
ProbabilityBoltzmann | Boltzmann Probability
ProbabilityBoltzmannDownhill | Boltzmann Downhill Probability
ProbabilityOfAtLeastNEvents | Probability of at least N events
ProbabilityOfNEvents | Probability of N events
Problem | Constrained optimization problem
Protection | Information on a default-protection contract
Quantity | Amount of a commodity
QuantoOptionResults< ResultsType > | Results from quanto option calculation
RandomizedLDS< LDS, PRS > | Randomized (random shift) low-discrepancy sequence
RandomSequenceGenerator< RNG > | Random sequence generator based on a pseudo-random number generator
RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons
Ranlux3UniformRng | Uniform random number generator
ReannealingFiniteDifferences | Reannealing Finite Difference
ReannealingTrivial | Reannealing Trivial
Region | Region class, used for inflation applicability
AustraliaRegion | Australia as geographical/economic region
CustomRegion | Custom geographical/economic region
EURegion | European Union as geographical/economic region
FranceRegion | France as geographical/economic region
GenericRegion | Generic geographical/economic region
UKRegion | United Kingdom as geographical/economic region
USRegion | USA as geographical/economic region
ZARegion | South Africa as geographical/economic region
Replication | Digital option replication strategy
Restructuring | Restructuring type
RichardsonExtrapolation | Richardson Extrapolation
Rounding | Basic rounding class
CeilingTruncation | Ceiling truncation
ClosestRounding | Closest rounding
DownRounding | Down-rounding
FloorTruncation | Floor truncation
UpRounding | Up-rounding
SABR | SABR interpolation factory and traits
SalvagingAlgorithm | Algorithm used for matricial pseudo square root
Sample< T > | Weighted sample
SampledCurve | This class contains a sampled curve
SamplerCauchy | Cauchy Sampler
SamplerGaussian | Gaussian Sampler
SamplerLogNormal | Lognormal Sampler
SamplerMirrorGaussian | Gaussian Mirror Sampler
SamplerRingGaussian | Gaussian Ring Sampler
SamplerVeryFastAnnealing | Very Fast Annealing Sampler
Schedule | Payment schedule
Seasonality | A transformation of an existing inflation swap rate
MultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc)
SegmentIntegral | Integral of a one-dimensional function
Settlement | settlement information
ShoutCondition | Shout option condition
simEvent< simEventOwner > |
SimpleChooserOption::arguments | Extra arguments for single chooser option
SimpleLocalEstimator | Local-estimator volatility model
Singleton< T > | Basic support for the singleton pattern
SingleVariate< RNG > | Default Monte Carlo traits for single-variate models
SmileSectionUtils | Smile-section utilities
SMMDriftCalculator | Drift computation for coterminal swap market models
SobolBrownianGenerator | Sobol Brownian generator for market-model simulations
SobolRsg | Sobol low-discrepancy sequence generator
Sonia | Sonia (Sterling Overnight Index Average) rate
SparseILUPreconditioner |
SphereCylinderOptimizer |
StatsHolder | Helper class for precomputed distributions
SteepestDescent | Multi-dimensional steepest-descent class
step_iterator< Iterator > | Iterator advancing in constant steps
StepCondition< array_type > | Condition to be applied at every time step
NullCondition< array_type > | null step condition
ZeroCondition< array_type > | Zero exercise condition
StepConditionSet< array_type > | Parallel evolver for multiple arrays
StochasticCollocationInvCDF | Stochastic collocation inverse cumulative distribution function
StochasticProcess1D::discretization | Discretization of a 1-D stochastic process
EndEulerDiscretization | Euler end-point discretization for stochastic processes
EulerDiscretization | Euler discretization for stochastic processes
StochasticProcess::discretization | Discretization of a stochastic process over a given time interval
EndEulerDiscretization | Euler end-point discretization for stochastic processes
EulerDiscretization | Euler discretization for stochastic processes
StudentDistribution | Student t-distribution
SurvivalProbability | Survival-Probability-curve traits
SVD | Singular value decomposition
Svi | Svi interpolation factory and traits
SwaptionVolatilityCube | Swaption-volatility cube
SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix
SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm
TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures
TCopulaPolicy | Student-T Latent Model's copula policy
TCopulaPolicy::initTraits |
TemperatureBoltzmann | Temperature Boltzmann
TemperatureCauchy | Temperature Cauchy
TemperatureVeryFastAnnealing | Temperature Very Fast Annealing
TimeGrid | Time grid class
TimeSeries< T, Container > | Container for historical data
TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson
TransformedGrid | Transformed grid
TrapezoidIntegral< IntegrationPolicy > | Integral of a one-dimensional function
TRBDF2< Operator > | TR-BDF2 scheme for finite difference methods
TridiagonalOperator | Base implementation for tridiagonal operator
BSMOperator | Black-Scholes-Merton differential operator
DMinus | \( D_{-} \) matricial representation
DPlus | \( D_{+} \) matricial representation
DPlusDMinus | \( D_{+}D_{-} \) matricial representation
DZero | \( D_{0} \) matricial representation
TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic
TwoDimensionalIntegral | Integral of a two-dimensional function
TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables
UnitOfMeasure | Unit of measure specification
UpperBoundEngine | Market-model engine for upper-bound estimation
VanillaSwap::arguments | Arguments for simple swap calculation
Swaption::arguments | Arguments for swaption calculation
VanillaSwap::results | Results from simple swap calculation
VannaVolga | VannaVolga-interpolation factory and traits
VarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach
VarianceOption::arguments | Arguments for forward fair-variance calculation
VarianceOption::results | Results from variance-option calculation
VarianceSwap::arguments | Arguments for forward fair-variance calculation
VarianceSwap::results | Results from variance-swap calculation
VegaBumpCollection |
Visitor< T > | Visitor for a specific class
YearOnYearInflationSwap::arguments | Arguments for YoY swap calculation
YearOnYearInflationSwap::results | Results from YoY swap calculation
YoYInflationCapFloor::arguments | Arguments for YoY Inflation cap/floor calculation
yoyInflationLeg |
YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
YoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap
YoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces
InterpolatedYoYOptionletStripper< Interpolator1D > |
Zabr< Evaluation > | No arbtrage sabr interpolation factory and traits
ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve
ZeroYield | Zero-curve traits
ZigguratRng | Ziggurat random-number generator
QuantoOptionResults< Instr::results > |
RandomSequenceGenerator< QuantLib::MersenneTwisterUniformRng > |
Sample< MultiPath > |
Sample< Path > |
Sample< std::vector< Real > > |
Singleton< CommoditySettings > |
CommoditySettings | Global repository for run-time library settings
Singleton< ExchangeRateManager > |
ExchangeRateManager | Exchange-rate repository
Singleton< IndexManager > |
IndexManager | Global repository for past index fixings
Singleton< ObservableSettings > |
ObservableSettings | Global repository for run-time library settings
Singleton< SeedGenerator > |
SeedGenerator | Random seed generator
Singleton< Settings > |
Settings | Global repository for run-time library settings
Singleton< Tracing > |
Singleton< UnitOfMeasureConversionManager > |
UnitOfMeasureConversionManager | Repository of conversion factors between units of measure
exception | STL class
Error | Base error class
map< K, T > | STL class
TimeBasket | Distribution over a number of dates
StepCondition< Array > |
TimeSeries< Real > |
TrapezoidIntegral< Default > |
SimpsonIntegral | Integral of a one-dimensional function