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

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