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

File List
Here is a list of all documented files with brief descriptions:

ql/cashflow.hpp | Base class for cash flows
ql/compounding.hpp | Compounding enumeration
ql/currency.hpp | Currency specification
ql/default.hpp | Classes for default-event handling
ql/discretizedasset.hpp | Discretized asset classes
ql/errors.hpp | Classes and functions for error handling
ql/event.hpp | Base class for events associated with a given date
ql/exchangerate.hpp | Exchange rate between two currencies
ql/exercise.hpp | Option exercise classes and payoff function
ql/grid.hpp | Grid constructors
ql/handle.hpp | Globally accessible relinkable pointer
ql/index.hpp | Virtual base class for indexes
ql/instrument.hpp | Abstract instrument class
ql/interestrate.hpp | Instrument rate class
ql/money.hpp | Cash amount in a given currency
ql/numericalmethod.hpp | Numerical method class
ql/option.hpp | Base option class
ql/payoff.hpp | Option payoff classes
ql/position.hpp | Short or long position
ql/prices.hpp | Price classes
ql/pricingengine.hpp | Base class for pricing engines
ql/qldefines.hpp | Global definitions and compiler switches
ql/quote.hpp | Purely virtual base class for market observables
ql/settings.hpp | Global repository for run-time library settings
ql/stochasticprocess.hpp | Stochastic processes
ql/termstructure.hpp | Base class for term structures
ql/timegrid.hpp | Discrete time grid
ql/timeseries.hpp | Container for historical data
ql/types.hpp | Custom types
ql/version.hpp | Version number
ql/volatilitymodel.hpp | Volatility term structures
ql/cashflows/averagebmacoupon.hpp | Coupon paying a weighted average of BMA-index fixings
ql/cashflows/capflooredcoupon.hpp | Floating rate coupon with additional cap/floor
ql/cashflows/capflooredinflationcoupon.hpp | Caplet and floorlet pricing for YoY inflation coupons
ql/cashflows/cashflows.hpp | Cash-flow analysis functions
ql/cashflows/cashflowvectors.hpp | Cash flow vector builders
ql/cashflows/cmscoupon.hpp | CMS coupon
ql/cashflows/conundrumpricer.hpp | CMS-coupon pricer
ql/cashflows/coupon.hpp | Coupon accruing over a fixed period
ql/cashflows/couponpricer.hpp | Coupon pricers
ql/cashflows/cpicoupon.hpp | Coupon paying a zero-inflation index
ql/cashflows/cpicouponpricer.hpp | Zero inflation-coupon pricer
ql/cashflows/digitalcmscoupon.hpp | Cms-rate coupon with digital call/put option
ql/cashflows/digitalcoupon.hpp | Floating-rate coupon with digital call/put option
ql/cashflows/digitaliborcoupon.hpp | Ibor-rate coupon with digital call/put option
ql/cashflows/dividend.hpp | A stock dividend
ql/cashflows/duration.hpp | Duration type enumeration
ql/cashflows/fixedratecoupon.hpp | Coupon paying a fixed annual rate
ql/cashflows/floatingratecoupon.hpp | Coupon paying a variable index-based rate
ql/cashflows/iborcoupon.hpp | Coupon paying a Libor-type index
ql/cashflows/inflationcouponpricer.hpp | Inflation-coupon pricers
ql/cashflows/overnightindexedcoupon.hpp | Coupon paying the compounded daily overnight rate
ql/cashflows/rangeaccrual.hpp | Range-accrual coupon
ql/cashflows/replication.hpp | Sub, Central, or Super replication
ql/cashflows/simplecashflow.hpp | Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals)
ql/cashflows/timebasket.hpp | Distribution over a number of date ranges
ql/cashflows/yoyinflationcoupon.hpp | Coupon paying a yoy inflation index
ql/currencies/africa.hpp | African currencies
ql/currencies/america.hpp | American currencies
ql/currencies/asia.hpp | Asian currencies
ql/currencies/europe.hpp | European currencies
ql/currencies/exchangeratemanager.hpp | Exchange-rate repository
ql/currencies/oceania.hpp | Oceanian currencies
ql/experimental/amortizingbonds/amortizingcmsratebond.hpp | Amortizing CMS-rate bond
ql/experimental/amortizingbonds/amortizingfixedratebond.hpp | Amortizing fixed-rate bond
ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp | Amortizing floating-rate bond
ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp | Perturbative barrier-option engine
ql/experimental/callablebonds/blackcallablebondengine.hpp | Black-formula callable bond engines
ql/experimental/callablebonds/callablebond.hpp | Callable bond classes
ql/experimental/callablebonds/callablebondconstantvol.hpp | Constant callable-bond volatility
ql/experimental/callablebonds/callablebondvolstructure.hpp | Callable-bond volatility structure
ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp | Discretized callable fixed-rate bond class
ql/experimental/callablebonds/treecallablebondengine.hpp | Numerical lattice engines for callable/puttable bonds
ql/experimental/commodities/commodity.hpp | Commodity base class
ql/experimental/commodities/commoditycashflow.hpp | Commodity cash flow
ql/experimental/commodities/commoditycurve.hpp | Commodity curve
ql/experimental/commodities/commodityindex.hpp | Commodity index
ql/experimental/commodities/commoditypricinghelpers.hpp | Commodity pricing helpers
ql/experimental/commodities/commoditysettings.hpp | Commodity settings
ql/experimental/commodities/commodityunitcost.hpp | Commodity unit cost
ql/experimental/commodities/dateinterval.hpp | Date interval
ql/experimental/commodities/energybasisswap.hpp | Energy basis swap
ql/experimental/commodities/energycommodity.hpp | Energy commodity
ql/experimental/commodities/energyfuture.hpp | Energy future
ql/experimental/commodities/energyswap.hpp | Energy swap
ql/experimental/commodities/energyvanillaswap.hpp | Vanilla energy swap
ql/experimental/commodities/exchangecontract.hpp | Exchange contract
ql/experimental/commodities/petroleumunitsofmeasure.hpp | Petroleum units of measure
ql/experimental/commodities/pricingperiod.hpp | Pricing period
ql/experimental/commodities/quantity.hpp | Amount of a commodity
ql/experimental/commodities/unitofmeasure.hpp | Unit of measure
ql/experimental/commodities/unitofmeasureconversionmanager.hpp | Unit-of-measure conversion manager
ql/experimental/compoundoption/analyticcompoundoptionengine.hpp | Analytic compound option engines
ql/experimental/compoundoption/compoundoption.hpp | Compound option on a single asset
ql/experimental/convertiblebonds/binomialconvertibleengine.hpp | Binomial engine for convertible bonds
ql/experimental/convertiblebonds/convertiblebond.hpp | Convertible bond class
ql/experimental/convertiblebonds/discretizedconvertible.hpp | Discretized convertible
ql/experimental/convertiblebonds/tflattice.hpp | Binomial Tsiveriotis-Fernandes tree model
ql/experimental/coupons/proxyibor.hpp | IborIndex calculated as proxy of some other IborIndex
ql/experimental/coupons/quantocouponpricer.hpp | Quanto-adjusted coupon
ql/experimental/coupons/subperiodcoupons.hpp | Averaging coupons
ql/experimental/credit/basket.hpp | Basket of issuers and related notionals
ql/experimental/credit/blackcdsoptionengine.hpp | Black credit default swap option engine
ql/experimental/credit/cdo.hpp | Collateralized debt obligation
ql/experimental/credit/cdsoption.hpp | CDS option
ql/experimental/credit/defaultevent.hpp | Classes for default-event description
ql/experimental/credit/defaultprobabilitykey.hpp | Classes for default-event description
ql/experimental/credit/defaulttype.hpp | Classes for default-event description
ql/experimental/credit/distribution.hpp | Discretized probability density and cumulative probability
ql/experimental/credit/factorspreadedhazardratecurve.hpp | Default-probability structure with a multiplicative spread on hazard rates
ql/experimental/credit/issuer.hpp | Classes for credit-name handling
ql/experimental/credit/loss.hpp | Pair of loss time and amount, sortable by loss time
ql/experimental/credit/lossdistribution.hpp | Loss distributions and probability of n defaults
ql/experimental/credit/nthtodefault.hpp | N-th to default swap
ql/experimental/credit/onefactorcopula.hpp | One-factor copula base class
ql/experimental/credit/onefactorgaussiancopula.hpp | One-factor Gaussian copula
ql/experimental/credit/onefactorstudentcopula.hpp | One-factor Student-t copula
ql/experimental/credit/pool.hpp | Pool of issuers
ql/experimental/credit/randomdefaultmodel.hpp | Random default-time scenarios for a pool of credit names
ql/experimental/credit/riskyassetswap.hpp | Risky asset-swap instrument
ql/experimental/credit/riskyassetswapoption.hpp | Option on risky asset swap
ql/experimental/credit/riskybond.hpp | Defaultable bonds
ql/experimental/credit/spreadedhazardratecurve.hpp | Default-probability structure with an additive spread on hazard rates
ql/experimental/credit/syntheticcdo.hpp | Synthetic Collateralized Debt Obligation and pricing engines
ql/experimental/credit/syntheticcdoengines.hpp | Pricing engines for the Synthetic CDO instrument
ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp | Analytic engine for American Margrabe option
ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp | Analytic engine for European Margrabe option
ql/experimental/exoticoptions/analyticsimplechooserengine.hpp | Analytic engine for simple chooser option
ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp | Analytic engine for writer-extensible options
ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp | Levy engine for continuous arithmetic Asian options
ql/experimental/exoticoptions/everestoption.hpp | Everest option on a number of assets
ql/experimental/exoticoptions/himalayaoption.hpp | Himalaya option on a number of assets
ql/experimental/exoticoptions/kirkspreadoptionengine.hpp | Kirk approximation for European spread option on futures
ql/experimental/exoticoptions/margrabeoption.hpp | Margrabe option on two assets
ql/experimental/exoticoptions/mceverestengine.hpp | Monte Carlo engine for Everest options
ql/experimental/exoticoptions/mchimalayaengine.hpp | Monte Carlo engine for Himalaya options
ql/experimental/exoticoptions/mcpagodaengine.hpp | Monte Carlo engine for pagoda options
ql/experimental/exoticoptions/pagodaoption.hpp | Roofed Asian option on a number of assets
ql/experimental/exoticoptions/simplechooseroption.hpp | Simple chooser option on a single asset
ql/experimental/exoticoptions/spreadoption.hpp | Spread option on two assets
ql/experimental/exoticoptions/writerextensibleoption.hpp | Writer-extensible option
ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp | FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option
ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp | Inner value calculator for an exponential extended Ornstein Uhlenbeck grid
ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp | Ornstein Uhlenbeck process plus jumps (Kluge Model)
ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp | Inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
ql/experimental/finitedifferences/fdmextoujumpop.hpp | Ornstein Uhlenbeck process plus jumps (Kluge Model)
ql/experimental/finitedifferences/fdmextoujumpsolver.hpp |
ql/experimental/finitedifferences/fdmklugeextouop.hpp | Kluge process (power) plus Ornstein Uhlenbeck process (gas)
ql/experimental/finitedifferences/fdmklugeextousolver.hpp | Kluge/extended Ornstein-Uhlenbeck FDM solver
ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp | Solver for simple swing options based on ext OU process
ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp | Solver for simple swing options based on ext OU-Jump (Kluge) Model
ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp | Inner value calculator for a spread payoff
ql/experimental/finitedifferences/fdmvppstepcondition.hpp | VPP step condition for FD models
ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp | Finite Differences engine for simple swing options
ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp | Finite Differences extended OU engine for simple storage options
ql/experimental/finitedifferences/vanillavppoption.hpp | Vanilla virtual power plant option
ql/experimental/fx/blackdeltacalculator.hpp | Black-Scholes formula delta calculator class
ql/experimental/fx/deltavolquote.hpp | Class for the quotation of delta vs vol
ql/experimental/inflation/cpicapfloorengines.hpp | Engines for CPI options

ql/experimental/inflation/cpicapfloortermpricesurface.hpp

Cpi inflation cap and floor term price structure. N.B. cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions

ql/experimental/inflation/genericindexes.hpp | Generic inflation indexes
ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp | Interpolated yoy inflation-cap stripping
ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp | K-interpolated yoy optionlet volatility
ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp | Piecewise yoy inflation volatility term structure
ql/experimental/inflation/polynomial2Dspline.hpp | Polynomial interpolation in the y-direction, spline interpolation x-direction
ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp | Experimental yoy inflation volatility structures
ql/experimental/inflation/yoyoptionlethelpers.hpp | Yoy inflation cap and floor term-price structure
ql/experimental/inflation/yoyoptionletstripper.hpp | Yoy inflation-cap stripping
ql/experimental/lattices/extendedbinomialtree.hpp | Time-dependent binomial tree class
ql/experimental/math/autocovariance.hpp | Autocovariance and convolution calculation
ql/experimental/math/claytoncopularng.hpp | Clayton copula random-number generator
ql/experimental/math/farliegumbelmorgensterncopularng.hpp | Farlie-Gumbel-Morgenstern copula random-number generator
ql/experimental/math/fastfouriertransform.hpp | Fast Fourier Transform
ql/experimental/math/frankcopularng.hpp | Frank copula random-number generator
ql/experimental/math/zigguratrng.hpp | Ziggurat random-number generator
ql/experimental/mcbasket/adaptedpathpayoff.hpp | Adapted Option payoff classes
ql/experimental/mcbasket/mcpathbasketengine.hpp | Path-dependent European basket MC engine
ql/experimental/mcbasket/pathmultiassetoption.hpp | Option on multiple assets
ql/experimental/mcbasket/pathpayoff.hpp | Option payoff classes
ql/experimental/processes/extendedblackscholesprocess.hpp | Experimental Black-Scholes-Merton process
ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp | Extended Ornstein-Uhlenbeck process
ql/experimental/processes/extouwithjumpsprocess.hpp | Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
ql/experimental/processes/gemanroncoroniprocess.hpp | Geman-Roncoroni process
ql/experimental/processes/klugeextouprocess.hpp | Joint Kluge process an d Ornstein Uhlenbeck process
ql/experimental/processes/vegastressedblackscholesprocess.hpp | Black-Scholes process which supports local vega stress tests
ql/experimental/risk/sensitivityanalysis.hpp | Sensitivity analysis function
ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp | Ornstein-Uhlenbeck process with piecewise linear coefficients
ql/experimental/variancegamma/analyticvariancegammaengine.hpp | Analytic Variance Gamma option engine for vanilla options
ql/experimental/variancegamma/fftengine.hpp | Base class for FFT option pricing engines
ql/experimental/variancegamma/fftvanillaengine.hpp | FFT engine for vanilla options under a Black Scholes process
ql/experimental/variancegamma/fftvariancegammaengine.hpp | FFT engine for vanilla options under a Variance Gamma process
ql/experimental/variancegamma/variancegammamodel.hpp | Variance Gamma model
ql/experimental/variancegamma/variancegammaprocess.hpp | Variance Gamma stochastic process
ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp | Integral Heston-model variance-option engine
ql/experimental/varianceoption/varianceoption.hpp | Variance option
ql/experimental/volatility/abcdatmvolcurve.hpp | Abcd-interpolated at-the-money (no-smile) interest rate vol curve
ql/experimental/volatility/blackatmvolcurve.hpp | Black at-the-money (no-smile) volatility curve base class
ql/experimental/volatility/blackvolsurface.hpp | Black volatility (smile) surface
ql/experimental/volatility/equityfxvolsurface.hpp | Equity/FX vol (smile) surface
ql/experimental/volatility/extendedblackvariancecurve.hpp | Black volatility curve modelled as variance curve
ql/experimental/volatility/extendedblackvariancesurface.hpp | Black volatility surface modelled as variance surface
ql/experimental/volatility/interestratevolsurface.hpp | Interest rate volatility (smile) surface
ql/experimental/volatility/sabrvolsurface.hpp | SABR volatility (smile) surface
ql/experimental/volatility/volcube.hpp | Interest rate (optionlet/swaption) volatility cube
ql/indexes/bmaindex.hpp | Bond Market Association index
ql/indexes/iborindex.hpp | Base class for Inter-Bank-Offered-Rate indexes
ql/indexes/indexmanager.hpp | Global repository for past index fixings
ql/indexes/inflationindex.hpp | Base classes for inflation indexes
ql/indexes/interestrateindex.hpp | Base class for interest rate indexes
ql/indexes/region.hpp | Region, i.e. geographical area, specification
ql/indexes/swapindex.hpp | Swap-rate indexes
ql/indexes/ibor/audlibor.hpp | AUD LIBOR rate
ql/indexes/ibor/cadlibor.hpp | CAD LIBOR rate
ql/indexes/ibor/cdor.hpp | CDOR rate
ql/indexes/ibor/chflibor.hpp | CHF LIBOR rate
ql/indexes/ibor/dkklibor.hpp | DKK LIBOR rate
ql/indexes/ibor/eonia.hpp | Eonia index
ql/indexes/ibor/euribor.hpp | Euribor index
ql/indexes/ibor/eurlibor.hpp | EUR LIBOR rate
ql/indexes/ibor/gbplibor.hpp | GBP LIBOR rate
ql/indexes/ibor/jibar.hpp | JIBAR rate
ql/indexes/ibor/jpylibor.hpp | JPY LIBOR rate
ql/indexes/ibor/libor.hpp | Base class for BBA LIBOR indexes
ql/indexes/ibor/nzdlibor.hpp | NZD LIBOR rate
ql/indexes/ibor/seklibor.hpp | SEK LIBOR rate
ql/indexes/ibor/tibor.hpp | JPY TIBOR rate
ql/indexes/ibor/trlibor.hpp | TRY LIBOR rate
ql/indexes/ibor/usdlibor.hpp | USD LIBOR rate
ql/indexes/ibor/zibor.hpp | CHF ZIBOR rate
ql/indexes/inflation/aucpi.hpp | Australian CPI inflation indexes
ql/indexes/inflation/euhicp.hpp | EU HICP index
ql/indexes/inflation/frhicp.hpp | French HICP inflation indexes
ql/indexes/inflation/ukrpi.hpp | UKRPI index
ql/indexes/inflation/uscpi.hpp | US CPI index
ql/indexes/swap/chfliborswap.hpp | CHF Libor Swap indexes
ql/indexes/swap/euriborswap.hpp | Euribor Swap indexes
ql/indexes/swap/eurliborswap.hpp | EUR Libor Swap indexes
ql/indexes/swap/gbpliborswap.hpp | GBP Libor Swap indexes
ql/indexes/swap/jpyliborswap.hpp | JPY Libor Swap indexes
ql/indexes/swap/usdliborswap.hpp | USD Libor Swap indexes
ql/instruments/asianoption.hpp | Asian option on a single asset
ql/instruments/assetswap.hpp | Bullet bond vs Libor swap
ql/instruments/averagetype.hpp | Averaging algorithm enumeration
ql/instruments/barrieroption.hpp | Barrier option on a single asset
ql/instruments/barriertype.hpp | Barrier type
ql/instruments/basketoption.hpp | Basket option on a number of assets
ql/instruments/bmaswap.hpp | Swap paying Libor against BMA coupons
ql/instruments/bond.hpp | Concrete bond class
ql/instruments/callabilityschedule.hpp | Schedule of put/call dates
ql/instruments/capfloor.hpp | Cap and floor class
ql/instruments/claim.hpp | Classes for default-event claims
ql/instruments/cliquetoption.hpp | Cliquet option
ql/instruments/compositeinstrument.hpp | Composite instrument class
ql/instruments/cpicapfloor.hpp | Zero-inflation-indexed-ratio-with-base option
ql/instruments/cpiswap.hpp | Zero-inflation-indexed-ratio-with-base swap
ql/instruments/creditdefaultswap.hpp | Credit default swap
ql/instruments/dividendbarrieroption.hpp | Barrier option on a single asset with discrete dividends
ql/instruments/dividendschedule.hpp | Schedule of dividend dates
ql/instruments/dividendvanillaoption.hpp | Vanilla option on a single asset with discrete dividends
ql/instruments/europeanoption.hpp | European option on a single asset
ql/instruments/fixedratebondforward.hpp | Forward contract on a fixed-rate bond
ql/instruments/forward.hpp | Base forward class
ql/instruments/forwardrateagreement.hpp | Forward rate agreement
ql/instruments/forwardvanillaoption.hpp | Forward version of a vanilla option
ql/instruments/impliedvolatility.hpp | Utilities for implied-volatility calculation
ql/instruments/lookbackoption.hpp | Lookback option on a single asset
ql/instruments/makecapfloor.hpp | Helper class to instantiate standard market cap/floor
ql/instruments/makecms.hpp | Helper class to instantiate standard market CMS
ql/instruments/makeois.hpp | Helper class to instantiate overnight indexed swaps
ql/instruments/makeswaption.hpp | Helper class to instantiate standard market swaption
ql/instruments/makevanillaswap.hpp | Helper class to instantiate standard market swaps
ql/instruments/multiassetoption.hpp | Option on multiple assets
ql/instruments/oneassetoption.hpp | Option on a single asset
ql/instruments/overnightindexedswap.hpp | Overnight index swap paying compounded overnight vs. fixed
ql/instruments/payoffs.hpp | Payoffs for various options
ql/instruments/quantobarrieroption.hpp | Quanto version of a barrier option
ql/instruments/quantoforwardvanillaoption.hpp | Quanto version of a forward vanilla option
ql/instruments/quantovanillaoption.hpp | Quanto version of a vanilla option
ql/instruments/stickyratchet.hpp | Payoffs for double nested options of sticky or ratchet type
ql/instruments/stock.hpp | Concrete stock class
ql/instruments/swap.hpp | Interest rate swap
ql/instruments/swaption.hpp | Swaption class
ql/instruments/vanillaoption.hpp | Vanilla option on a single asset
ql/instruments/vanillastorageoption.hpp | Vanilla storage option class
ql/instruments/vanillaswap.hpp | Simple fixed-rate vs Libor swap
ql/instruments/vanillaswingoption.hpp | Vanilla swing option class
ql/instruments/varianceswap.hpp | Variance swap
ql/instruments/yearonyearinflationswap.hpp | Year-on-year inflation-indexed swap
ql/instruments/zerocouponinflationswap.hpp | Zero-coupon inflation-indexed swap
ql/instruments/bonds/btp.hpp | Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond
ql/instruments/bonds/cmsratebond.hpp | CMS-rate bond
ql/instruments/bonds/cpibond.hpp | Zero-inflation-indexed-ratio-with-base bond
ql/instruments/bonds/fixedratebond.hpp | Fixed-rate bond
ql/instruments/bonds/floatingratebond.hpp | Floating-rate bond
ql/instruments/bonds/zerocouponbond.hpp | Zero-coupon bond
ql/legacy/libormarketmodels/lfmcovarparam.hpp | Volatility & correlation function for libor forward model process
ql/legacy/libormarketmodels/lfmcovarproxy.hpp | Proxy for libor forward covariance parameterization
ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp | Libor market model parameterization based on Hull White
ql/legacy/libormarketmodels/lfmprocess.hpp | Stochastic process of a libor forward model
ql/legacy/libormarketmodels/lfmswaptionengine.hpp | Libor forward model swaption engine based on black formula
ql/legacy/libormarketmodels/liborforwardmodel.hpp | Libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices
ql/legacy/libormarketmodels/lmconstwrappercorrmodel.hpp | Const wrapper for correlation model for libor market models
ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp | Const wrapper for a volatility model for libor market models
ql/legacy/libormarketmodels/lmcorrmodel.hpp | Correlation model for libor market models
ql/legacy/libormarketmodels/lmexpcorrmodel.hpp | Exponential correlation model for libor market models
ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp | Volatility model for libor market models
ql/legacy/libormarketmodels/lmfixedvolmodel.hpp | Model of constant volatilities for libor market models
ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp | Exponential correlation model for libor market models
ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp | Volatility model for libor market models
ql/legacy/libormarketmodels/lmvolmodel.hpp | Volatility model for libor market models
ql/math/array.hpp | 1-D array used in linear algebra
ql/math/bernsteinpolynomial.hpp | Bernstein polynomials
ql/math/beta.hpp | Beta and beta incomplete functions
ql/math/bspline.hpp | B-spline basis functions
ql/math/comparison.hpp | Floating-point comparisons
ql/math/curve.hpp | Curve
ql/math/domain.hpp | Domain
ql/math/errorfunction.hpp | Error function
ql/math/factorial.hpp | Factorial numbers calculator
ql/math/functional.hpp | Functionals and combinators not included in the STL
ql/math/incompletegamma.hpp | Incomplete Gamma function
ql/math/interpolation.hpp | Base class for 1-D interpolations
ql/math/kernelfunctions.hpp | Kernel functions
ql/math/lexicographicalview.hpp | Lexicographical 2-D view of a contiguous set of data
ql/math/linearleastsquaresregression.hpp | General linear least square regression
ql/math/matrix.hpp | Matrix used in linear algebra
ql/math/primenumbers.hpp | Prime numbers calculator
ql/math/quadratic.hpp | Quadratic formula
ql/math/rounding.hpp | Rounding implementation
ql/math/sampledcurve.hpp | Class that contains a sampled curve
ql/math/solver1d.hpp | Abstract 1-D solver class
ql/math/surface.hpp | Surface
ql/math/transformedgrid.hpp | Encapuslates a grid
ql/math/copulas/alimikhailhaqcopula.hpp | Ali-Mikhail-Haq copula
ql/math/copulas/claytoncopula.hpp | Clayton copula
ql/math/copulas/farliegumbelmorgensterncopula.hpp | Farlie-Gumbel-Morgenstern copula
ql/math/copulas/frankcopula.hpp | Frank copula
ql/math/copulas/galamboscopula.hpp | Galambos copula
ql/math/copulas/gaussiancopula.hpp | Gaussian copula
ql/math/copulas/gumbelcopula.hpp | Gumbel copula
ql/math/copulas/huslerreisscopula.hpp | Husler-Reiss copula
ql/math/copulas/independentcopula.hpp | Independent copula
ql/math/copulas/marshallolkincopula.hpp | Marshall-Olkin copula
ql/math/copulas/maxcopula.hpp | Max copula
ql/math/copulas/mincopula.hpp | Min copula
ql/math/copulas/plackettcopula.hpp | Plackett copula
ql/math/distributions/binomialdistribution.hpp | Binomial distribution
ql/math/distributions/bivariatenormaldistribution.hpp | Bivariate cumulative normal distribution
ql/math/distributions/chisquaredistribution.hpp | Chi-square (central and non-central) distributions
ql/math/distributions/gammadistribution.hpp | Gamma distribution
ql/math/distributions/normaldistribution.hpp | Normal, cumulative and inverse cumulative distributions
ql/math/distributions/poissondistribution.hpp | Poisson distribution
ql/math/distributions/studenttdistribution.hpp | Student's t-distribution
ql/math/integrals/gaussianorthogonalpolynomial.hpp | Orthogonal polynomials for gaussian quadratures
ql/math/integrals/gaussianquadratures.hpp | Integral of a 1-dimensional function using the Gauss quadratures
ql/math/integrals/gausslobattointegral.hpp | Integral of a one-dimensional function using the adaptive Gauss-Lobatto integral
ql/math/integrals/integral.hpp | Integrators base class definition
ql/math/integrals/kronrodintegral.hpp | Integral of a 1-dimensional function using the Gauss-Kronrod method
ql/math/integrals/segmentintegral.hpp | Integral of a one-dimensional function using segment algorithm
ql/math/integrals/simpsonintegral.hpp | Integral of a one-dimensional function using Simpson formula
ql/math/integrals/trapezoidintegral.hpp | Integral of a one-dimensional function using the trapezoid formula
ql/math/interpolations/backwardflatinterpolation.hpp | Backward-flat interpolation between discrete points
ql/math/interpolations/bicubicsplineinterpolation.hpp | Bicubic spline interpolation between discrete points
ql/math/interpolations/bilinearinterpolation.hpp | Bilinear interpolation between discrete points
ql/math/interpolations/convexmonotoneinterpolation.hpp | Convex monotone interpolation method
ql/math/interpolations/cubicinterpolation.hpp | Cubic interpolation between discrete points
ql/math/interpolations/extrapolation.hpp | Class-wide extrapolation settings
ql/math/interpolations/flatextrapolation2d.hpp | Abstract base classes for 2-D flat extrapolations
ql/math/interpolations/forwardflatinterpolation.hpp | Forward-flat interpolation between discrete points
ql/math/interpolations/interpolation2d.hpp | Abstract base classes for 2-D interpolations
ql/math/interpolations/kernelinterpolation.hpp | Kernel interpolation
ql/math/interpolations/kernelinterpolation2d.hpp | 2D Kernel interpolation
ql/math/interpolations/linearinterpolation.hpp | Linear interpolation between discrete points
ql/math/interpolations/loginterpolation.hpp | Log-linear and log-cubic interpolation between discrete points
ql/math/interpolations/mixedinterpolation.hpp | Mixed interpolation between discrete points
ql/math/interpolations/multicubicspline.hpp | N-dimensional cubic spline interpolation between discrete points
ql/math/interpolations/sabrinterpolation.hpp | SABR interpolation interpolation between discrete points
ql/math/matrixutilities/bicgstab.hpp | Bi-conjugated gradient stableized algorithm
ql/math/matrixutilities/choleskydecomposition.hpp | Cholesky decomposition
ql/math/matrixutilities/factorreduction.hpp | Single factor correlation reduction
ql/math/matrixutilities/getcovariance.hpp | Covariance matrix calculation
ql/math/matrixutilities/pseudosqrt.hpp | Pseudo square root of a real symmetric matrix
ql/math/matrixutilities/qrdecomposition.hpp | QR decomposition
ql/math/matrixutilities/sparseilupreconditioner.hpp | Preconditioner using the Incomplete LU algorithm and sparse matrices
ql/math/matrixutilities/svd.hpp | Singular value decomposition
ql/math/matrixutilities/symmetricschurdecomposition.hpp | Eigenvalues/eigenvectors of a real symmetric matrix
ql/math/matrixutilities/tqreigendecomposition.hpp | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson
ql/math/optimization/armijo.hpp | Armijo line-search class
ql/math/optimization/bfgs.hpp | Broyden-Fletcher-Goldfarb-Shanno optimization method
ql/math/optimization/conjugategradient.hpp | Conjugate gradient optimization method
ql/math/optimization/constraint.hpp | Abstract constraint class
ql/math/optimization/costfunction.hpp | Optimization cost function class
ql/math/optimization/endcriteria.hpp | Optimization criteria class
ql/math/optimization/leastsquare.hpp | Least square cost function
ql/math/optimization/levenbergmarquardt.hpp | Levenberg-Marquardt optimization method
ql/math/optimization/linesearch.hpp | Line search abstract class
ql/math/optimization/linesearchbasedmethod.hpp | Abstract optimization method class
ql/math/optimization/lmdif.hpp | Wrapper for MINPACK minimization routine
ql/math/optimization/method.hpp | Abstract optimization method class
ql/math/optimization/problem.hpp | Abstract optimization problem class
ql/math/optimization/projectedcostfunction.hpp | Cost function utility
ql/math/optimization/simplex.hpp | Simplex optimization method
ql/math/optimization/spherecylinder.hpp | Find closest point of the intersection of a sphere and cylinder to a given point
ql/math/optimization/steepestdescent.hpp | Steepest descent optimization method
ql/math/randomnumbers/boxmullergaussianrng.hpp | Box-Muller Gaussian random-number generator
ql/math/randomnumbers/centrallimitgaussianrng.hpp | Central limit Gaussian random-number generator
ql/math/randomnumbers/faurersg.hpp | Faure low-discrepancy sequence generator
ql/math/randomnumbers/haltonrsg.hpp | Halton low-discrepancy sequence generator
ql/math/randomnumbers/inversecumulativerng.hpp | Inverse cumulative Gaussian random-number generator
ql/math/randomnumbers/inversecumulativersg.hpp | Inverse cumulative random sequence generator
ql/math/randomnumbers/knuthuniformrng.hpp | Knuth uniform random number generator
ql/math/randomnumbers/latticersg.hpp | Lattice rule code for low discrepancy numbers
ql/math/randomnumbers/latticerules.hpp |
ql/math/randomnumbers/lecuyeruniformrng.hpp | L'Ecuyer uniform random number generator
ql/math/randomnumbers/mt19937uniformrng.hpp | Mersenne Twister uniform random number generator
ql/math/randomnumbers/randomizedlds.hpp | Randomized low-discrepancy sequence
ql/math/randomnumbers/randomsequencegenerator.hpp | Random sequence generator based on a pseudo-random number generator
ql/math/randomnumbers/ranluxuniformrng.hpp | "Luxury" random number generator
ql/math/randomnumbers/rngtraits.hpp | Random-number generation policies
ql/math/randomnumbers/seedgenerator.hpp | Random seed generator
ql/math/randomnumbers/sobolrsg.hpp | Sobol low-discrepancy sequence generator
ql/math/solvers1d/bisection.hpp | Bisection 1-D solver
ql/math/solvers1d/brent.hpp | Brent 1-D solver
ql/math/solvers1d/falseposition.hpp | False-position 1-D solver
ql/math/solvers1d/finitedifferencenewtonsafe.hpp | Safe (bracketed) Newton 1-D solver with finite difference derivatives
ql/math/solvers1d/newton.hpp | Newton 1-D solver
ql/math/solvers1d/newtonsafe.hpp | Safe (bracketed) Newton 1-D solver
ql/math/solvers1d/ridder.hpp | Ridder 1-D solver
ql/math/solvers1d/secant.hpp | Secant 1-D solver
ql/math/statistics/convergencestatistics.hpp | Statistics tool with risk measures
ql/math/statistics/discrepancystatistics.hpp | Statistic tool for sequences with discrepancy calculation
ql/math/statistics/gaussianstatistics.hpp | Statistics tool for gaussian-assumption risk measures
ql/math/statistics/generalstatistics.hpp | Statistics tool
ql/math/statistics/histogram.hpp | Statistics tool for generating histogram of given data
ql/math/statistics/incrementalstatistics.hpp | Statistics tool based on incremental accumulation
ql/math/statistics/riskstatistics.hpp | Empirical-distribution risk measures
ql/math/statistics/sequencestatistics.hpp | Statistics tools for sequence (vector, list, array) samples
ql/math/statistics/statistics.hpp | Statistics tool with risk measures
ql/methods/finitedifferences/americancondition.hpp | American option exercise condition
ql/methods/finitedifferences/boundarycondition.hpp | Boundary conditions for differential operators
ql/methods/finitedifferences/bsmoperator.hpp | Differential operator for Black-Scholes-Merton equation
ql/methods/finitedifferences/bsmtermoperator.hpp | Differential operator for Black-Scholes-Merton equation
ql/methods/finitedifferences/cranknicolson.hpp | Crank-Nicolson scheme for finite difference methods
ql/methods/finitedifferences/dminus.hpp | matricial representation
ql/methods/finitedifferences/dplus.hpp | matricial representation
ql/methods/finitedifferences/dplusdminus.hpp | matricial representation
ql/methods/finitedifferences/dzero.hpp | matricial representation
ql/methods/finitedifferences/expliciteuler.hpp | Explicit Euler scheme for finite difference methods
ql/methods/finitedifferences/fdtypedefs.hpp | Default choices for template instantiations
ql/methods/finitedifferences/finitedifferencemodel.hpp | Generic finite difference model
ql/methods/finitedifferences/impliciteuler.hpp | Implicit Euler scheme for finite difference methods
ql/methods/finitedifferences/mixedscheme.hpp | Mixed (explicit/implicit) scheme for finite difference methods
ql/methods/finitedifferences/onefactoroperator.hpp | General differential operator for one-factor interest rate models
ql/methods/finitedifferences/operatorfactory.hpp | Factory for finite difference operators
ql/methods/finitedifferences/operatortraits.hpp | Differential operator traits
ql/methods/finitedifferences/parallelevolver.hpp | Parallel evolver for multiple arrays
ql/methods/finitedifferences/pde.hpp | General class for one dimensional PDE's
ql/methods/finitedifferences/pdebsm.hpp | Black-Scholes-Merton PDE
ql/methods/finitedifferences/pdeshortrate.hpp | Adapter to short rate
ql/methods/finitedifferences/shoutcondition.hpp | Shout option exercise condition
ql/methods/finitedifferences/stepcondition.hpp | Conditions to be applied at every time step
ql/methods/finitedifferences/trbdf2.hpp | TR-BDF2 scheme for finite difference methods
ql/methods/finitedifferences/tridiagonaloperator.hpp | Tridiagonal operator
ql/methods/finitedifferences/zerocondition.hpp | Zero option exercise condition
ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp | One-dimensional grid mesher concentrating around critical points
ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp | Mesher for a exponential jump mesher with high mean reversion rate and low jump intensity
ql/methods/finitedifferences/meshers/fdm1dmesher.hpp | One-dimensional simple FDM mesher object working on an index
ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp | 1-d mesher for the Black-Scholes process (in ln(S))
ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp | 1-d mesher for the Black-Scholes process (in ln(S))
ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp | One-dimensional grid mesher for the variance in the heston problem
ql/methods/finitedifferences/meshers/fdmmesher.hpp | Mesher for a fdm grid
ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp | FdmMesher which is a composite of Fdm1dMesher
ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp | One-dimensional grid mesher
ql/methods/finitedifferences/meshers/uniform1dmesher.hpp | One-dimensional simple uniform grid mesher
ql/methods/finitedifferences/meshers/uniformgridmesher.hpp | Uniform grid mesher
ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp |
ql/methods/finitedifferences/operators/fdmbatesop.hpp | Bates linear operator
ql/methods/finitedifferences/operators/fdmblackscholesop.hpp | Black Scholes linear operator
ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp | Heston Hull White linear operator
ql/methods/finitedifferences/operators/fdmhestonop.hpp | Heston linear operator
ql/methods/finitedifferences/operators/fdmlinearop.hpp | Linear operator to model a multi dimensinal pde system
ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp | Composite pattern for linear operators
ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp | Iterator for a linear fdm operator
ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp | Memory layout of a fdm linear operator
ql/methods/finitedifferences/operators/firstderivativeop.hpp | First derivative linear operator
ql/methods/finitedifferences/operators/ninepointlinearop.hpp | Nine point linear operator
ql/methods/finitedifferences/operators/secondderivativeop.hpp | Second derivative operator
ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp | Second order mixed derivative linear operator
ql/methods/finitedifferences/operators/triplebandlinearop.hpp | General triple band linear operator
ql/methods/finitedifferences/schemes/craigsneydscheme.hpp | Craig-Sneyd operator splitting
ql/methods/finitedifferences/schemes/douglasscheme.hpp | Douglas operator splitting
ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp | Explicit-Euler scheme
ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp | Hundsdorfer operator splitting
ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp | Implicit-Euler scheme
ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp | Modified Craig-Sneyd operator splitting
ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp |
ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp |
ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp |
ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp |
ql/methods/finitedifferences/solvers/fdmbatessolver.hpp |
ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp |
ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp |
ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp |
ql/methods/finitedifferences/solvers/fdmndimsolver.hpp |
ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp |
ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp |
ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp | American step condition for multi dimensional problems
ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp | Step condition to handle arithmetic average
ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp | Bermudan step condition for multi dimensional problems
ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp | Simple storage step condition
ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp | Simple swing step condition
ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp | Step condition for value inspection
ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp | Composite of fdm step conditions
ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp | Dirichlet boundary conditions for differential operators
ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp | Dividend handler for fdm method for one equity direction
ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp | Layer of abstraction to calculate the inner value
ql/methods/finitedifferences/utilities/fdmquantohelper.hpp | Helper class storing market data needed for the quanto adjustment
ql/methods/lattices/binomialtree.hpp | Binomial tree class
ql/methods/lattices/bsmlattice.hpp | Binomial trees under the BSM model
ql/methods/lattices/lattice.hpp | Tree-based lattice-method class
ql/methods/lattices/lattice1d.hpp | One-dimensional lattice class
ql/methods/lattices/lattice2d.hpp | Two-dimensional lattice class
ql/methods/lattices/tree.hpp | Tree class
ql/methods/lattices/trinomialtree.hpp | Trinomial tree class
ql/methods/montecarlo/brownianbridge.hpp | Browian bridge
ql/methods/montecarlo/earlyexercisepathpricer.hpp | Base class for early exercise single-path pricers
ql/methods/montecarlo/longstaffschwartzpathpricer.hpp | Longstaff-Schwarz path pricer for early exercise options
ql/methods/montecarlo/lsmbasissystem.hpp | Utility classes for Longstaff-Schwartz early-exercise Monte Carlo
ql/methods/montecarlo/mctraits.hpp | Monte Carlo policies
ql/methods/montecarlo/montecarlomodel.hpp | General-purpose Monte Carlo model
ql/methods/montecarlo/multipath.hpp | Correlated multiple asset paths
ql/methods/montecarlo/multipathgenerator.hpp | Generates a multi path from a random-array generator
ql/methods/montecarlo/path.hpp | Single factor random walk
ql/methods/montecarlo/pathgenerator.hpp | Generates random paths using a sequence generator
ql/methods/montecarlo/pathpricer.hpp | Base class for single-path pricers
ql/methods/montecarlo/sample.hpp | Weighted sample
ql/models/calibrationhelper.hpp | Calibration helper class
ql/models/model.hpp | Abstract interest rate model class
ql/models/parameter.hpp | Model parameter classes
ql/models/equity/batesmodel.hpp | Extended versions of the Heston model
ql/models/equity/gjrgarchmodel.hpp | GJR-GARCH model for the stochastic volatility of an asset
ql/models/equity/hestonmodel.hpp | Heston model for the stochastic volatility of an asset
ql/models/equity/hestonmodelhelper.hpp | Heston-model calibration helper
ql/models/equity/piecewisetimedependenthestonmodel.hpp | Piecewise constant time dependent Heston-model
ql/models/marketmodels/forwardforwardmappings.hpp | Utility functions for mapping between forward rates of varying tenor
ql/models/marketmodels/historicalforwardratesanalysis.hpp | Statistical analysis of historical forward rates
ql/models/marketmodels/historicalratesanalysis.hpp | Statistical analysis of historical rates
ql/models/marketmodels/swapforwardmappings.hpp | Utility functions for mapping between swap rate and forward rate
ql/models/marketmodels/correlations/expcorrelations.hpp | Exponential correlation matrix
ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp | Drift computation for CMS market model
ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp | Drift computation for Libor market model
ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp | Drift computation for normal Libor market model
ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp | Drift computation for coterminal-swap market model
ql/models/shortrate/onefactormodel.hpp | Abstract one-factor interest rate model class
ql/models/shortrate/twofactormodel.hpp | Abstract two-factor interest rate model class
ql/models/shortrate/calibrationhelpers/caphelper.hpp | CapHelper calibration helper
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | Swaption calibration helper
ql/models/shortrate/onefactormodels/blackkarasinski.hpp | Black-Karasinski model
ql/models/shortrate/onefactormodels/coxingersollross.hpp | Cox-Ingersoll-Ross model
ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp | Extended Cox-Ingersoll-Ross model
ql/models/shortrate/onefactormodels/hullwhite.hpp | Hull & White (HW) model
ql/models/shortrate/onefactormodels/vasicek.hpp | Vasicek model class
ql/models/shortrate/twofactormodels/g2.hpp | Two-factor additive Gaussian Model G2++
ql/models/volatility/constantestimator.hpp | Constant volatility estimator
ql/models/volatility/garch.hpp | GARCH volatility model
ql/models/volatility/garmanklass.hpp | Volatility estimators using high low data
ql/models/volatility/simplelocalestimator.hpp | Constant volatility estimator
ql/patterns/composite.hpp | Composite pattern
ql/patterns/curiouslyrecurring.hpp | Curiously recurring template pattern
ql/patterns/lazyobject.hpp | Framework for calculation on demand and result caching
ql/patterns/observable.hpp | Observer/observable pattern
ql/patterns/singleton.hpp | Basic support for the singleton pattern
ql/patterns/visitor.hpp | Degenerate base class for the Acyclic Visitor pattern
ql/pricingengines/americanpayoffatexpiry.hpp | Analytical formulae for american exercise with payoff at expiry
ql/pricingengines/americanpayoffathit.hpp | Analytical formulae for american exercise with payoff at hit
ql/pricingengines/blackcalculator.hpp | Black-formula calculator class
ql/pricingengines/blackformula.hpp | Black formula
ql/pricingengines/blackscholescalculator.hpp | Black-Scholes formula calculator class
ql/pricingengines/genericmodelengine.hpp | Generic option engine based on a model
ql/pricingengines/greeks.hpp | Default greek calculations
ql/pricingengines/latticeshortratemodelengine.hpp | Engine for a short-rate model specialized on a lattice
ql/pricingengines/mclongstaffschwartzengine.hpp | Longstaff Schwartz Monte Carlo engine for early exercise options
ql/pricingengines/mcsimulation.hpp | Framework for Monte Carlo engines
ql/pricingengines/asian/analytic_cont_geom_av_price.hpp | Analytic engine for continuous geometric average price Asian
ql/pricingengines/asian/analytic_discr_geom_av_price.hpp | Analytic engine for discrete geometric average price Asian
ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp | Analytic engine for discrete geometric average-strike Asian option
ql/pricingengines/asian/fdblackscholesasianengine.hpp | Finite-Differences Black Scholes arithmentic asian option engine
ql/pricingengines/asian/mc_discr_arith_av_price.hpp | Monte Carlo engine for discrete arithmetic average price Asian
ql/pricingengines/asian/mc_discr_arith_av_strike.hpp | Monte Carlo engine for discrete arithmetic average-strike Asian
ql/pricingengines/asian/mc_discr_geom_av_price.hpp | Monte Carlo engine for discrete geometric average price Asian
ql/pricingengines/asian/mcdiscreteasianengine.hpp | Monte Carlo pricing engine for discrete average Asians
ql/pricingengines/barrier/analyticbarrierengine.hpp | Analytic barrier option engines
ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp | Finite-Differences Black Scholes barrier option engine
ql/pricingengines/barrier/fdblackscholesrebateengine.hpp | Finite-Differences Black Scholes barrier option rebate helper engine
ql/pricingengines/barrier/fdhestonbarrierengine.hpp | Finite-Differences Heston barrier option engine
ql/pricingengines/barrier/fdhestonrebateengine.hpp | Finite-Differences Heston barrier option rebate helper engine
ql/pricingengines/barrier/mcbarrierengine.hpp | Monte Carlo barrier option engines
ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp | Finite-Differences 2 dim Black Scholes vanilla option engine
ql/pricingengines/basket/kirkengine.hpp | Kirk formulae, due to Kirk (1995)
ql/pricingengines/basket/mcamericanbasketengine.hpp | Least-square Monte Carlo engines
ql/pricingengines/basket/mceuropeanbasketengine.hpp | European basket MC Engine
ql/pricingengines/basket/stulzengine.hpp | 2D European Basket formulae, due to Stulz (1982)
ql/pricingengines/bond/bondfunctions.hpp | Bond functions
ql/pricingengines/bond/discountingbondengine.hpp | Discounting bond engine
ql/pricingengines/capfloor/analyticcapfloorengine.hpp | Analytic engine for caps/floors
ql/pricingengines/capfloor/blackcapfloorengine.hpp | Black-formula cap/floor engine
ql/pricingengines/capfloor/discretizedcapfloor.hpp | Discretized cap/floor
ql/pricingengines/capfloor/mchullwhiteengine.hpp | Monte Carlo Hull-White engine for cap/floors
ql/pricingengines/capfloor/treecapfloorengine.hpp | Numerical lattice engine for cap/floors
ql/pricingengines/cliquet/analyticcliquetengine.hpp | Analytic Cliquet engine
ql/pricingengines/cliquet/analyticperformanceengine.hpp | Analytic performance engine
ql/pricingengines/credit/integralcdsengine.hpp | Integral engine for credit default swaps
ql/pricingengines/credit/midpointcdsengine.hpp | Mid-point engine for credit default swaps
ql/pricingengines/forward/forwardengine.hpp | Forward (strike-resetting) vanilla-option engine
ql/pricingengines/forward/forwardperformanceengine.hpp | Forward (strike-resetting) performance vanilla-option engine
ql/pricingengines/forward/mcvarianceswapengine.hpp | Monte Carlo variance-swap engine
ql/pricingengines/forward/replicatingvarianceswapengine.hpp | Replicating engine for variance swaps
ql/pricingengines/inflation/inflationcapfloorengines.hpp | Inflation cap/floor engines
ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp | Analytic engine for continuous fixed-strike lookback
ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp | Analytic engine for continuous floating-strike lookback
ql/pricingengines/quanto/quantoengine.hpp | Quanto option engine
ql/pricingengines/swap/discountingswapengine.hpp | Discounting swap engine
ql/pricingengines/swap/discretizedswap.hpp | Discretized swap class
ql/pricingengines/swap/treeswapengine.hpp | Numerical lattice engine for swaps
ql/pricingengines/swaption/blackswaptionengine.hpp | Black-formula swaption engine
ql/pricingengines/swaption/discretizedswaption.hpp | Discretized swaption class
ql/pricingengines/swaption/g2swaptionengine.hpp | Swaption pricing engine for two-factor additive Gaussian Model G2++
ql/pricingengines/swaption/jamshidianswaptionengine.hpp | Swaption engine using Jamshidian's decomposition
ql/pricingengines/swaption/treeswaptionengine.hpp | Numerical lattice engine for swaptions
ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp | Analytic Black-Scholes engines including stochastic interest rates
ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp | Analytic digital American option engine
ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp | Analytic discrete-dividend European engine
ql/pricingengines/vanilla/analyticeuropeanengine.hpp | Analytic European engine
ql/pricingengines/vanilla/analyticgjrgarchengine.hpp | Analytic GJR-GARCH-model engine
ql/pricingengines/vanilla/analytichestonengine.hpp | Analytic Heston-model engine
ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp | Analytic heston engine incl. stochastic interest rates
ql/pricingengines/vanilla/analyticptdhestonengine.hpp | Analytic piecewise time dependent Heston-model engine
ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp | Barone-Adesi and Whaley approximation engine
ql/pricingengines/vanilla/batesengine.hpp | Analytic Bates model engine
ql/pricingengines/vanilla/binomialengine.hpp | Binomial option engine
ql/pricingengines/vanilla/bjerksundstenslandengine.hpp | Bjerksund and Stensland approximation engine
ql/pricingengines/vanilla/discretizedvanillaoption.hpp | Discretized vanilla option
ql/pricingengines/vanilla/fdamericanengine.hpp | Finite-differences American option engine
ql/pricingengines/vanilla/fdbatesvanillaengine.hpp | Partial Integro Finite-Differences Bates vanilla option engine
ql/pricingengines/vanilla/fdbermudanengine.hpp | Finite-difference Bermudan engine
ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp | Finite-Differences Black Scholes vanilla option engine
ql/pricingengines/vanilla/fdconditions.hpp | Finite-difference templates to generate engines
ql/pricingengines/vanilla/fddividendamericanengine.hpp | American engine with discrete deterministic dividends
ql/pricingengines/vanilla/fddividendengine.hpp | Base engine for option with dividends
ql/pricingengines/vanilla/fddividendeuropeanengine.hpp | Finite-differences engine for European option with dividends
ql/pricingengines/vanilla/fddividendshoutengine.hpp | Base class for shout engine with dividends
ql/pricingengines/vanilla/fdeuropeanengine.hpp | Finite-difference European engine
ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp | Finite-Differences Heston Hull-White vanilla option engine
ql/pricingengines/vanilla/fdhestonvanillaengine.hpp | Finite-Differences Heston vanilla option engine
ql/pricingengines/vanilla/fdmultiperiodengine.hpp | Base engine for options with events happening at specific times
ql/pricingengines/vanilla/fdshoutengine.hpp | Finite-differences shout engine
ql/pricingengines/vanilla/fdsimplebsswingengine.hpp | Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options
ql/pricingengines/vanilla/fdstepconditionengine.hpp | Finite-differences step-condition engine
ql/pricingengines/vanilla/fdvanillaengine.hpp | Finite-differences vanilla-option engine
ql/pricingengines/vanilla/integralengine.hpp | Integral option engine
ql/pricingengines/vanilla/jumpdiffusionengine.hpp | Jump diffusion (Merton 1976) engine
ql/pricingengines/vanilla/juquadraticengine.hpp | Ju quadratic (1999) approximation engine
ql/pricingengines/vanilla/mcamericanengine.hpp | American Monte Carlo engine
ql/pricingengines/vanilla/mcdigitalengine.hpp | Digital option Monte Carlo engine
ql/pricingengines/vanilla/mceuropeanengine.hpp | Monte Carlo European option engine
ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp | Monte Carlo GJR-GARCH-model engine for European options
ql/pricingengines/vanilla/mceuropeanhestonengine.hpp | Monte Carlo Heston-model engine for European options
ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp | Monte Carlo vanilla option engine for stochastic interest rates
ql/pricingengines/vanilla/mcvanillaengine.hpp | Monte Carlo vanilla option engine
ql/processes/batesprocess.hpp | Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size
ql/processes/blackscholesprocess.hpp | Black-Scholes processes
ql/processes/endeulerdiscretization.hpp | Euler end-point discretization for stochastic processes
ql/processes/eulerdiscretization.hpp | Euler discretization for stochastic processes
ql/processes/forwardmeasureprocess.hpp | Forward-measure stochastic processes
ql/processes/g2process.hpp | G2 stochastic processes
ql/processes/geometricbrownianprocess.hpp | Geometric Brownian-motion process
ql/processes/gjrgarchprocess.hpp | GJR-GARCH(1,1) stochastic process
ql/processes/hestonprocess.hpp | Heston stochastic process
ql/processes/hullwhiteprocess.hpp | Hull-White stochastic processes
ql/processes/hybridhestonhullwhiteprocess.hpp | Hybrid equity (heston model) with stochastic interest rates (hull white model)
ql/processes/jointstochasticprocess.hpp | Multi model process for hybrid products
ql/processes/merton76process.hpp | Merton-76 process
ql/processes/ornsteinuhlenbeckprocess.hpp | Ornstein-Uhlenbeck process
ql/processes/squarerootprocess.hpp | Square-root process
ql/processes/stochasticprocessarray.hpp | Array of correlated 1-D stochastic processes
ql/quotes/compositequote.hpp | Purely virtual base class for market observables
ql/quotes/derivedquote.hpp | Market quote whose value depends on another quote
ql/quotes/eurodollarfuturesquote.hpp | Quote for the Eurodollar-future implied standard deviation
ql/quotes/forwardswapquote.hpp | Quote for a forward starting swap
ql/quotes/forwardvaluequote.hpp | Quote for the forward value of an index
ql/quotes/futuresconvadjustmentquote.hpp | Quote for the futures-convexity adjustment of an index
ql/quotes/impliedstddevquote.hpp | Quote for the implied standard deviation of an underlying
ql/quotes/lastfixingquote.hpp | Quote for the last fixing available for a given index
ql/quotes/simplequote.hpp | Simple quote class
ql/termstructures/bootstraperror.hpp | Boostrap error
ql/termstructures/bootstraphelper.hpp | Base helper class used for bootstrapping
ql/termstructures/defaulttermstructure.hpp | Default-probability term structure
ql/termstructures/inflationtermstructure.hpp | Base classes for inflation term structures
ql/termstructures/interpolatedcurve.hpp | Helper class to build interpolated term structures
ql/termstructures/iterativebootstrap.hpp | Universal piecewise-term-structure boostrapper
ql/termstructures/localbootstrap.hpp | Localised-term-structure bootstrapper for most curve types
ql/termstructures/voltermstructure.hpp | Volatility term structure
ql/termstructures/yieldtermstructure.hpp | Interest-rate term structure
ql/termstructures/credit/defaultdensitystructure.hpp | Default-density term structure
ql/termstructures/credit/defaultprobabilityhelpers.hpp | Bootstrap helpers for default-probability term structures
ql/termstructures/credit/flathazardrate.hpp | Flat hazard-rate term structure
ql/termstructures/credit/hazardratestructure.hpp | Hazard-rate term structure
ql/termstructures/credit/interpolateddefaultdensitycurve.hpp | Interpolated default-density term structure
ql/termstructures/credit/interpolatedhazardratecurve.hpp | Interpolated hazard-rate term structure
ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp | Interpolated survival-probability term structure
ql/termstructures/credit/piecewisedefaultcurve.hpp | Piecewise-interpolated default-probability structure
ql/termstructures/credit/probabilitytraits.hpp | Default-probability bootstrap traits
ql/termstructures/credit/survivalprobabilitystructure.hpp | Survival-probability term structure
ql/termstructures/inflation/inflationhelpers.hpp | Bootstrap helpers for inflation term structures
ql/termstructures/inflation/inflationtraits.hpp | Inflation bootstrap traits
ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp | Inflation term structure based on the interpolation of year-on-year rates
ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp | Inflation term structure based on the interpolation of zero rates
ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp | Piecewise year-on-year inflation term structure
ql/termstructures/inflation/piecewisezeroinflationcurve.hpp | Piecewise zero-inflation term structure
ql/termstructures/volatility/flatsmilesection.hpp | Flat SmileSection
ql/termstructures/volatility/interpolatedsmilesection.hpp | Interpolated smile section class
ql/termstructures/volatility/sabr.hpp | SABR functions
ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp | Interpolated smile section class
ql/termstructures/volatility/smilesection.hpp | Smile section base class
ql/termstructures/volatility/spreadedsmilesection.hpp | Spreaded SmileSection class
ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp | Cap/floor term-volatility structure
ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp | Cap/floor at-the-money term-volatility curve
ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp | Cap/floor smile volatility surface
ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp | Constant cap/floor term volatility
ql/termstructures/volatility/equityfx/blackconstantvol.hpp | Black constant volatility, no time dependence, no strike dependence
ql/termstructures/volatility/equityfx/blackvariancecurve.hpp | Black volatility curve modelled as variance curve
ql/termstructures/volatility/equityfx/blackvariancesurface.hpp | Black volatility surface modelled as variance surface
ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp | Black volatility term structure base classes
ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp | Implied Black Vol Term Structure
ql/termstructures/volatility/equityfx/localconstantvol.hpp | Local constant volatility, no time dependence, no asset dependence
ql/termstructures/volatility/equityfx/localvolcurve.hpp | Local volatility curve derived from a Black curve
ql/termstructures/volatility/equityfx/localvolsurface.hpp | Local volatility surface derived from a Black vol surface
ql/termstructures/volatility/equityfx/localvoltermstructure.hpp | Local volatility term structure base class
ql/termstructures/volatility/inflation/constantcpivolatility.hpp | Constant CPI volatility structure
ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp | Yoy inflation volatility structures
ql/termstructures/volatility/optionlet/capletvariancecurve.hpp | Caplet variance curve
ql/termstructures/volatility/optionlet/constantoptionletvol.hpp | Constant caplet/floorlet volatility
ql/termstructures/volatility/optionlet/optionletstripper.hpp | Optionlet (caplet/floorlet) volatility stripper
ql/termstructures/volatility/optionlet/optionletstripper1.hpp | Optionlet (caplet/floorlet) volatility stripper
ql/termstructures/volatility/optionlet/optionletstripper2.hpp | Optionlet (caplet/floorlet) volatility stripper
ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp | Optionlet (caplet/floorlet) volatility structure
ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp | Spreaded caplet/floorlet volatility
ql/termstructures/volatility/optionlet/strippedoptionlet.hpp |
ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp | StrippedOptionlet Adapter
ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp |
ql/termstructures/volatility/swaption/cmsmarket.hpp | Set of CMS quotes
ql/termstructures/volatility/swaption/cmsmarketcalibration.hpp |
ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp | Spreaded swaption volatility
ql/termstructures/volatility/swaption/swaptionconstantvol.hpp | Constant swaption volatility
ql/termstructures/volatility/swaption/swaptionvolcube.hpp | Swaption volatility cube
ql/termstructures/volatility/swaption/swaptionvolcube1.hpp | Swaption volatility cube, fit-early-interpolate-later approach
ql/termstructures/volatility/swaption/swaptionvolcube2.hpp | Swaption volatility cube, fit-later-interpolate-early approach
ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp | Discretized swaption volatility
ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp | Swaption at-the-money volatility matrix
ql/termstructures/volatility/swaption/swaptionvolstructure.hpp | Swaption volatility structure
ql/termstructures/yield/bondhelpers.hpp | Bond rate helpers
ql/termstructures/yield/bootstraptraits.hpp | Bootstrap traits
ql/termstructures/yield/discountcurve.hpp | Interpolated discount factor structure
ql/termstructures/yield/drifttermstructure.hpp | Drift term structure
ql/termstructures/yield/fittedbonddiscountcurve.hpp | Discount curve fitted to a set of bonds
ql/termstructures/yield/flatforward.hpp | Flat forward rate term structure
ql/termstructures/yield/forwardcurve.hpp | Interpolated forward-rate structure
ql/termstructures/yield/forwardspreadedtermstructure.hpp | Forward-spreaded term structure
ql/termstructures/yield/forwardstructure.hpp | Forward-based yield term structure
ql/termstructures/yield/impliedtermstructure.hpp | Implied term structure
ql/termstructures/yield/nonlinearfittingmethods.hpp | Nonlinear methods to fit a bond discount function
ql/termstructures/yield/oisratehelper.hpp | Overnight Indexed Swap (aka OIS) rate helpers
ql/termstructures/yield/piecewiseyieldcurve.hpp | Piecewise-interpolated term structure
ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp | Piecewise-zero-spreaded term structure
ql/termstructures/yield/quantotermstructure.hpp | Quanto term structure
ql/termstructures/yield/ratehelpers.hpp | Deposit, FRA, futures, and swap rate helpers
ql/termstructures/yield/zerocurve.hpp | Interpolated zero-rates structure
ql/termstructures/yield/zerospreadedtermstructure.hpp | Zero spreaded term structure
ql/termstructures/yield/zeroyieldstructure.hpp | Zero-yield based term structure
ql/time/businessdayconvention.hpp | BusinessDayConvention enumeration
ql/time/calendar.hpp | calendar class
ql/time/date.hpp | Date- and time-related classes, typedefs and enumerations
ql/time/dategenerationrule.hpp | Date generation rule
ql/time/daycounter.hpp | Day counter class
ql/time/ecb.hpp | European Central Bank reserve maintenance date functions
ql/time/frequency.hpp | Frequency enumeration
ql/time/imm.hpp | IMM-related date functions
ql/time/period.hpp | Period- and frequency-related classes and enumerations
ql/time/schedule.hpp | Date schedule
ql/time/timeunit.hpp | TimeUnit enumeration
ql/time/weekday.hpp | Weekday enumeration
ql/time/calendars/argentina.hpp | Argentinian calendars
ql/time/calendars/australia.hpp | Australian calendar
ql/time/calendars/bespokecalendar.hpp | Bespoke calendar
ql/time/calendars/brazil.hpp | Brazilian calendar
ql/time/calendars/canada.hpp | Canadian calendar
ql/time/calendars/china.hpp | Chinese calendar
ql/time/calendars/czechrepublic.hpp | Czech calendars
ql/time/calendars/denmark.hpp | Danish calendar
ql/time/calendars/finland.hpp | Finnish calendar
ql/time/calendars/germany.hpp | German calendars
ql/time/calendars/hongkong.hpp | Hong Kong calendars
ql/time/calendars/hungary.hpp | Hungarian calendar
ql/time/calendars/iceland.hpp | Icelandic calendars
ql/time/calendars/india.hpp | Indian calendars
ql/time/calendars/indonesia.hpp | Indonesian calendars
ql/time/calendars/italy.hpp | Italian calendars
ql/time/calendars/japan.hpp | Japanese calendar
ql/time/calendars/jointcalendar.hpp | Joint calendar
ql/time/calendars/mexico.hpp | Mexican calendars
ql/time/calendars/newzealand.hpp | New Zealand calendar
ql/time/calendars/norway.hpp | Norwegian calendar
ql/time/calendars/nullcalendar.hpp | Calendar for reproducing theoretical calculations
ql/time/calendars/poland.hpp | Polish calendar
ql/time/calendars/russia.hpp | Russian calendar
ql/time/calendars/saudiarabia.hpp | Saudi Arabian calendar
ql/time/calendars/singapore.hpp | Singapore calendars
ql/time/calendars/slovakia.hpp | Slovak calendars
ql/time/calendars/southafrica.hpp | South-African calendar
ql/time/calendars/southkorea.hpp | South Korean calendars
ql/time/calendars/sweden.hpp | Swedish calendar
ql/time/calendars/switzerland.hpp | Swiss calendar
ql/time/calendars/taiwan.hpp | Taiwanese calendars
ql/time/calendars/target.hpp | TARGET calendar
ql/time/calendars/turkey.hpp | Turkish calendar
ql/time/calendars/ukraine.hpp | Ukrainian calendars
ql/time/calendars/unitedkingdom.hpp | UK calendars
ql/time/calendars/unitedstates.hpp | US calendars
ql/time/calendars/weekendsonly.hpp | Weekends-only calendar
ql/time/daycounters/actual360.hpp | Act/360 day counter
ql/time/daycounters/actual365fixed.hpp | Actual/365 (Fixed) day counter
ql/time/daycounters/actualactual.hpp | Act/act day counters
ql/time/daycounters/business252.hpp | Business/252 day counter
ql/time/daycounters/one.hpp | 1/1 day counter
ql/time/daycounters/simpledaycounter.hpp | Simple day counter for reproducing theoretical calculations
ql/time/daycounters/thirty360.hpp | 30/360 day counters
ql/utilities/clone.hpp | Cloning proxy to an underlying object
ql/utilities/dataformatters.hpp | Output manipulators
ql/utilities/dataparsers.hpp | Classes used to parse data for input
ql/utilities/disposable.hpp | Generic disposable object with move semantics
ql/utilities/null.hpp | Null values
ql/utilities/observablevalue.hpp | Observable and assignable proxy to concrete value
ql/utilities/steppingiterator.hpp | Iterator advancing in constant steps
ql/utilities/tracing.hpp | Tracing facilities
ql/utilities/vectors.hpp | Utilities for vector manipulation