QuantLib Class List
Here are the classes, structs, unions and interfaces with brief descriptions:Actual360 | Actual/360 day count convention |
Actual365Fixed | Actual/365 (Fixed) 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 |
AffineTermStructure | Term-structure implied by an affine model |
AmericanCondition | American exercise condition |
AmericanExercise | American exercise |
AmericanPayoffAtExpiry | |
AmericanPayoffAtHit | |
AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
AnalyticCapFloorEngine | Analytic engine for cap/floor |
AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
AnalyticDigitalAmericanEngine | |
AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
Argentina | Argentinian calendars |
Arguments | Base class for generic argument groups |
ArmijoLineSearch | Armijo line search |
Array | 1-D array used in linear algebra |
ARSCurrency | Argentinian peso |
AssetOrNothingPayoff | Binary asset-or-nothing payoff |
ATSCurrency | Austrian shilling |
AUDCurrency | Australian dollar |
AUDLibor | AUD LIBOR rate |
Australia | Australian calendar |
Average | Placeholder for enumerated averaging types |
BackwardFlat | Backward-flat interpolation factory and traits |
BackwardFlatInterpolation | Backward-flat interpolation between discrete points |
BaroneAdesiWhaleyApproximationEngine | |
Barrier | Placeholder for enumerated barrier types |
BarrierOption | Barrier option on a single asset |
BarrierOption::arguments | Arguments for barrier option calculation |
BarrierOption::engine | Barrier engine base class |
BasketOption | Basket option on a number of assets |
BasketOption::arguments | Arguments for basket option calculation |
BasketOption::engine | Basket option engine base class |
BatesEngine | Bates model engines based on Fourier transform |
BatesModel | |
BDTCurrency | Bangladesh taka |
BEFCurrency | Belgian franc |
BermudanExercise | Bermudan exercise |
BGLCurrency | Bulgarian lev |
Bicubic | Bicubic-spline interpolation factory |
BicubicSpline | |
Bilinear | Bilinear interpolation factory |
BilinearInterpolation | Bilinear interpolation between discrete points |
BinomialConvertibleEngine | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
BinomialDistribution | Binomial probability distribution function |
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) |
BjerksundStenslandApproximationEngine | |
BlackCapFloorEngine | Black-formula cap/floor engine |
BlackConstantVol | Constant Black volatility, no time-strike dependence |
BlackFormula | Black-formula calculator |
BlackKarasinski | Standard Black-Karasinski model class |
BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
BlackModel | Black-model for vanilla interest-rate derivatives |
BlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model |
BlackScholesProcess | Black-Scholes 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 |
BlackVolTermStructure | Black-volatility term structure |
Bond | Base bond class |
BoundaryCondition | Abstract boundary condition class for finite difference problems |
BoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
BoxMullerGaussianRng | Gaussian random number generator |
BPSBasketCalculator | |
Brazil | Brazilian calendar |
Brent | Brent 1-D solver |
Bridge | The Bridge pattern made explicit |
BRLCurrency | Brazilian real |
BrownianBridge | Builds Wiener process paths using Gaussian variates |
BSMOperator | Black-Scholes-Merton differential operator |
BYRCurrency | Belarussian ruble |
CADCurrency | Canadian dollar |
CADLibor | CAD LIBOR rate |
Calendar | calendar class |
Calendar::OrthodoxImpl | Partial calendar implementation |
Calendar::WesternImpl | Partial calendar implementation |
CalendarImpl | Abstract base class for calendar implementations |
CalibrationHelper | Liquid market instrument used during calibration |
Canada | Canadian calendar |
Cap | Concrete cap class |
CapFloor | Base class for cap-like instruments |
CapFloor::arguments | Arguments for cap/floor calculation |
CapFloor::results | Results from cap/floor calculation |
CapHelper | Calibration helper for ATM cap |
CapletConstantVolatility | Constant caplet volatility, no time-strike dependence |
CapletVolatilityStructure | Caplet/floorlet forward-volatility structure |
CapVolatilityStructure | Cap/floor term-volatility structure |
CapVolatilityVector | Cap/floor at-the-money term-volatility vector |
CashFlow | Base class for cash flows |
Cashflows | Cashflows analysis functions |
CashOrNothingPayoff | Binary cash-or-nothing payoff |
Cdor | CDOR rate |
CeilingTruncation | Ceiling truncation |
CHFCurrency | Swiss franc |
CHFLibor | CHF LIBOR rate |
China | Chinese calendar |
CLGaussianRng | Gaussian random number generator |
CliquetOption | Cliquet (Ratchet) option |
CliquetOption::arguments | Arguments for cliquet option calculation |
CliquetOption::engine | Cliquet engine base class |
ClosestRounding | Closest rounding |
CLPCurrency | Chilean peso |
CNYCurrency | Chinese yuan |
Collar | Concrete collar class |
Composite | Composite pattern |
CompositeConstraint | Constraint enforcing both given sub-constraints |
CompositeQuote | Market element whose value depends on two other market element |
CompoundForward | Compound-forward structure |
ConjugateGradient | Multi-dimensional Conjugate Gradient class |
ConstantParameter | Standard constant parameter ![]() |
Constraint | Base constraint class |
ConstraintImpl | Base class for constraint implementations |
ContinuousAveragingAsianOption | Continuous-averaging Asian option |
ContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option |
ContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class |
ConvergenceStatistics | Statistics class with convergence table |
ConvertibleBond::option::arguments | Arguments for Convertible Bond calculation |
ConvertibleBond::option::engine | Convertible bond engine base class |
ConvertibleFixedCouponBond | Convertible fixed-coupon bond |
ConvertibleFloatingRateBond | Convertible floating-rate bond |
ConvertibleZeroCouponBond | Convertible zero-coupon bond |
COPCurrency | Colombian peso |
CostFunction | Cost function abstract class for optimization problem |
Coupon | coupon accruing over a fixed period |
CovarianceDecomposition | |
CoxIngersollRoss | Cox-Ingersoll-Ross model class |
CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
CrankNicolson | Crank-Nicolson scheme for finite difference methods |
Cubic | cubic-spline interpolation factory and traits |
CubicSpline | Cubic spline interpolation between discrete points |
CumulativeBinomialDistribution | Cumulative binomial distribution function |
CumulativeNormalDistribution | Cumulative normal distribution function |
CumulativePoissonDistribution | Cumulative Poisson distribution function |
CuriouslyRecurringTemplate | Support for the curiously recurring template pattern |
Currency | Currency specification |
CYPCurrency | Cyprus pound |
CzechRepublic | Czech calendars |
CZKCurrency | Czech koruna |
Date | Concrete date class |
DayCounter | Day counter class |
DayCounterImpl | Abstract base class for day counter implementations |
DEMCurrency | Deutsche mark |
Denmark | Danish calendar |
DepositRateHelper | Deposit rate helper |
DerivedQuote | Market element whose value depends on another market element |
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 |
DiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option |
DiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class |
DiscreteGeometricASO | Discrete geometric average-strike Asian option (European style) |
DiscretizedAsset | Discretized asset class used by numerical methods |
DiscretizedDiscountBond | Useful discretized discount bond asset |
DiscretizedOption | Discretized option on a given asset |
Disposable | Generic disposable object with move semantics |
Dividend | Predetermined cash flow |
DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
DividendVanillaOption::arguments | Arguments for dividend vanilla option calculation |
DividendVanillaOption::engine | Dividend vanilla option engine base class |
DKKCurrency | Danish krone |
DKKLibor | DKK LIBOR rate |
DMinus | ![]() |
DownRounding | Down-rounding |
DPlus | ![]() |
DPlusDMinus | ![]() |
DriftTermStructure | Drift term structure |
Duration | Duration type |
DZero | ![]() |
EarlyExercise | Early-exercise base class |
EEKCurrency | Estonian kroon |
EndCriteria | Criteria to end optimization process |
EqualJumpsBinomialTree | Base class for equal jumps binomial tree |
EqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
Error | Base error class |
ErrorFunction | Error function |
ESPCurrency | Spanish peseta |
EulerDiscretization | Euler discretization for stochastic processes |
EURCurrency | European Euro |
Euribor | Euribor index |
EURLibor | EUR LIBOR rate |
EuropeanExercise | European exercise |
EuropeanOption | European option on a single asset |
Event | Base class for event |
ExchangeRate | Exchange rate between two currencies |
ExchangeRateManager | Exchange-rate repository |
Exercise | Base exercise class |
ExplicitEuler | Forward Euler scheme for finite difference methods |
ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter ![]() |
ExtendedDiscountCurve | Term structure based on loglinear interpolation of discount factors |
Extrapolator | Base class for classes possibly allowing extrapolation |
Factorial | Factorial numbers calculator |
FalsePosition | False position 1-D solver |
FaureRsg | Faure low-discrepancy sequence generator |
FDAmericanCondition | |
FDBermudanEngine | Finite-differences Bermudan engine |
FDDividendEngineMerton73 | Finite-differences pricing engine for dividend options using |
FDDividendEngineShiftScale | Finite-differences pricing engine for dividend options using |
FDEuropeanEngine | Pricing engine for European options using finite-differences |
FDStepConditionEngine | Finite-differences pricing engine for American-style vanilla options |
FIMCurrency | Finnish markka |
FiniteDifferenceModel | Generic finite difference model |
Finland | Finnish calendar |
FixedCouponBond | Fixed-coupon bond |
FixedCouponBondHelper | Fixed-coupon bond helper |
FixedDividend | Predetermined cash flow |
FixedRateCoupon | Coupon paying a fixed interest rate |
FlatForward | Flat interest-rate curve |
FloatingRateBond | Floating-rate bond |
FloatingRateCoupon | Coupon paying a variable rate |
Floor | Concrete floor class |
FloorTruncation | Floor truncation |
ForwardEngine | Forward engine base class |
ForwardFlat | Forward-flat interpolation factory and traits |
ForwardFlatInterpolation | Forward-flat interpolation between discrete points |
ForwardOptionArguments | Arguments for forward (strike-resetting) option calculation |
ForwardPerformanceEngine | Forward performance engine |
ForwardRate | Forward-curve traits |
ForwardRateStructure | Forward rate term structure |
ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
ForwardVanillaOption | Forward version of a vanilla option |
FractionalDividend | Predetermined cash flow |
FraRateHelper | Forward rate agreement helper |
FRFCurrency | French franc |
FuturesRateHelper | Interest-rate futures helper |
G2 | Two-additive-factor gaussian model class |
G2::FittingParameter | Analytical term-structure fitting parameter ![]() |
G2SwaptionEngine | Swaption priced by means of the Black formula |
GammaFunction | Gamma function class |
GapPayoff | Binary gap payoff |
GaussChebyshev2thIntegration | Gauss-Chebyshev integration second kind |
GaussChebyshevIntegration | Gauss-Chebyshev integration |
GaussGegenbauerIntegration | Gauss-Gegenbauer integration |
GaussHermiteIntegration | Generalized Gauss-Hermite integration |
GaussHermitePolynomial | Gauss-Hermite polynomial |
GaussHyperbolicIntegration | Gauss-Hyperbolic integration |
GaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
GaussianStatistics | Statistics tool for gaussian-assumption risk measures |
GaussJacobiIntegration | Gauss-Jacobi integration |
GaussJacobiPolynomial | Gauss-Jacobi polynomial |
GaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
GaussLaguerrePolynomial | Gauss-Laguerre polynomial |
GaussLegendreIntegration | Gauss-Legendre integration |
GBPCurrency | British pound sterling |
GBPLibor | GBP LIBOR rate |
GeneralStatistics | Statistics tool |
GenericEngine | Template base class for option pricing engines |
GenericModelEngine | Base class for some pricing engine on a particular model |
GenericRiskStatistics | Empirical-distribution risk measures |
GeometricBrownianMotionProcess | Geometric brownian-motion process |
Germany | German calendars |
GRDCurrency | Greek drachma |
Greeks | Additional option results |
HaltonRsg | Halton low-discrepancy sequence generator |
Handle | Globally accessible relinkable pointer |
HestonModel | Heston model for the stochastic volatility of an asset |
HestonModelHelper | Calibration helper for Heston model |
HestonProcess | Square-root stochastic-volatility Heston process |
History | Container for historical data |
History::const_iterator | Random access iterator on history entries |
History::Entry | Single datum in history |
HKDCurrency | Honk Kong dollar |
HongKong | Hong Kong calendars |
HUFCurrency | Hungarian forint |
HullWhite | Single-factor Hull-White (extended Vasicek) model class |
HullWhite::Dynamics | Short-rate dynamics in the Hull-White model |
HullWhite::FittingParameter | Analytical term-structure fitting parameter ![]() |
Hungary | Hungarian calendar |
Iceland | Icelandic calendars |
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 |
ImpliedTermStructure | Implied term structure at a given date in the future |
ImpliedVolTermStructure | Implied vol term structure at a given date in the future |
InArrearIndexedCoupon | In-arrear floating-rate coupon |
IncrementalStatistics | Statistics tool based on incremental accumulation |
Index | Purely virtual base class for indexes |
IndexedCoupon | Base indexed coupon class |
IndexManager | Global repository for past index fixings |
India | Indian calendars |
Indonesia | Indonesian calendars |
INRCurrency | Indian rupee |
Instrument | Abstract instrument class |
IntegralEngine | |
InterestRate | Concrete interest rate class |
InterpolatedDiscountCurve | Term structure based on interpolation of discount factors |
InterpolatedForwardCurve | Term structure based on interpolation of forward rates |
InterpolatedZeroCurve | Term structure based on interpolation of zero yields |
Interpolation | Base class for 1-D interpolations |
Interpolation2D | Base class for 2-D interpolations |
Interpolation2D::templateImpl | Basic template implementation |
Interpolation2DImpl | Abstract base class for 2-D interpolation implementations |
Interpolation::templateImpl | Basic template implementation |
InterpolationImpl | Abstract base class for interpolation implementations |
InverseCumulativeNormal | Inverse cumulative normal distribution function |
InverseCumulativePoisson | Inverse cumulative Poisson distribution function |
InverseCumulativeRng | Inverse cumulative random number generator |
InverseCumulativeRsg | Inverse cumulative random sequence generator |
IQDCurrency | Iraqi dinar |
IRRCurrency | Iranian rial |
ISKCurrency | Iceland krona |
Italy | Italian calendars |
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 |
JumpDiffusionEngine | Jump-diffusion engine for vanilla options |
JuQuadraticApproximationEngine | |
KnuthUniformRng | Uniform random number generator |
KronrodIntegral | Integral of a 1-dimensional function using the Gauss-Kronrod method |
KRWCurrency | South-Korean won |
KWDCurrency | Kuwaiti dinar |
Lattice | Lattice-method base class |
Lattice1D | One-dimensional lattice |
Lattice2D | Two-dimensional lattice |
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 BBA LIBOR indexes |
LiborForwardModel | Libor Forward Model |
LiborForwardModelProcess | Libor-forward-model process |
Linear | Linear interpolation factory and traits |
LinearInterpolation | Linear interpolation between discrete points |
LineSearch | Base class for line search |
Link | Relinkable access to a shared pointer |
LmCorrelationModel | Libor forward correlation model |
LmExponentialCorrelationModel | Exponential correlation model |
LmLinearExponentialVolatilityModel | Linear exponential volatility model |
LmVolatilityModel | Caplet volatility model |
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 | Local-volatility term structure |
LogLinear | Log-linear interpolation factory and traits |
LogLinearInterpolation | |
LTLCurrency | Lithuanian litas |
LUFCurrency | Luxembourg franc |
LVLCurrency | Latvian lat |
MakeMCDigitalEngine | Monte Carlo digital engine factory |
MakeMCEuropeanEngine | Monte Carlo European engine factory |
MakeMCEuropeanHestonEngine | Monte Carlo Heston European engine factory |
MakeSchedule | Helper class |
Matrix | Matrix used in linear algebra |
MCAmericanBasketEngine | Least-square Monte Carlo engine |
MCBarrierEngine | Pricing engine for barrier options using Monte Carlo simulation |
MCBasketEngine | Pricing engine for basket options using Monte Carlo simulation |
McCliquetOption | Simple example of Monte Carlo pricer |
MCDigitalEngine | Pricing engine for digital options using Monte Carlo simulation |
MCDiscreteArithmeticAPEngine | Monte Carlo pricing engine for discrete arithmetic average price Asian |
McDiscreteArithmeticASO | Example of Monte Carlo pricer using a control variate |
MCDiscreteAveragingAsianEngine | Pricing engine for discrete average Asians using Monte Carlo simulation |
MCDiscreteGeometricAPEngine | Monte Carlo pricing engine for discrete geometric average price Asian |
MCEuropeanEngine | European option pricing engine using Monte Carlo simulation |
MCEuropeanHestonEngine | Monte Carlo Heston-model engine for European options |
McEverest | Everest-type option pricer |
McHimalaya | Himalayan-type option pricer |
McMaxBasket | Simple example of multi-factor Monte Carlo pricer |
McPagoda | Roofed Asian option |
McPerformanceOption | Performance option computed using Monte Carlo simulation |
McPricer | Base class for Monte Carlo pricers |
McSimulation | Base class for Monte Carlo engines |
MCVanillaEngine | Pricing engine for vanilla options using Monte Carlo simulation |
MersenneTwisterUniformRng | Uniform random number generator |
Merton76Process | Merton-76 jump-diffusion process |
Mexico | Mexican calendars |
MixedScheme | Mixed (explicit/implicit) scheme for finite difference methods |
Money | Amount of cash |
MonotonicCubicSpline | Cubic spline with monotonicity constraint |
MonteCarloModel | General purpose Monte Carlo model for path samples |
MoreGreeks | More additional option results |
MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
MTLCurrency | Maltese lira |
MultiAssetOption | Base class for options on multiple assets |
MultiAssetOption::arguments | Arguments for multi-asset option calculation |
MultiAssetOption::results | Results from multi-asset option calculation |
MultiCubicSpline | |
MultiPath | Correlated multiple asset paths |
MultiPathGenerator | Generates a multipath from a random number generator |
MultiVariate | Default Monte Carlo traits for multi-variate models |
MXNCurrency | Mexican peso |
NaturalCubicSpline | Cubic spline with null second derivative at end points |
NaturalMonotonicCubicSpline | Natural cubic spline with monotonicity constraint |
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 |
NoConstraint | No constraint |
NOKCurrency | Norwegian krone |
NonLinearLeastSquare | Non-linear least-square method |
NormalDistribution | Normal distribution function |
Norway | Norwegian calendar |
NPRCurrency | Nepal rupee |
Null | Template class providing a null value for a given type |
NullCalendar | Calendar for reproducing theoretical calculations |
NullCondition | Null step condition |
NullParameter | Parameter which is always zero ![]() |
NumericalMethod | Numerical method (tree, finite-differences) base class |
NZDCurrency | New Zealand dollar |
NZDLibor | NZD LIBOR rate |
Observable | Object that notifies its changes to a set of observables |
ObservableValue | Observable and assignable proxy to concrete value |
Observer | Object that gets notified when a given observable changes |
OneAssetOption | Base class for options on a single asset |
OneAssetOption::arguments | Arguments for single-asset option calculation |
OneAssetOption::results | Results from single-asset option calculation |
OneAssetStrikedOption | Base class for options on a single asset with striked payoff |
OneDayCounter | 1/1 day count convention |
OneFactorAffineModel | Single-factor affine base class |
OneFactorModel | Single-factor short-rate model abstract class |
OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics |
OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable |
OperatorFactory | Black-Scholes-Merton differential operator |
OptimizationMethod | Abstract class for constrained optimization method |
Option | Base option class |
Option::arguments | |
OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
Parameter | Base class for model arguments |
ParameterImpl | Base class for model parameter implementation |
ParCoupon | coupon at par on a term structure |
Path | |
PathGenerator | Generates random paths using a sequence generator |
PathPricer | Base class for path pricers |
Payoff | Base class for option payoffs |
PercentageStrikePayoff | Payoff with strike expressed as percentage |
Period | Time period described by a number of a given time unit |
PiecewiseConstantParameter | Piecewise-constant parameter |
PiecewiseYieldCurve | Piecewise yield term structure |
PKRCurrency | Pakistani rupee |
PlainVanillaPayoff | Plain-vanilla payoff |
PLNCurrency | Polish zloty |
PoissonDistribution | Normal distribution function |
Poland | Polish calendar |
PositiveConstraint | Constraint imposing positivity to all arguments |
PriceCurve | Additional pricing results |
PricingEngine | Interface for pricing engines |
PrimeNumbers | Prime numbers calculator |
Problem | Constrained optimization problem |
PTECurrency | Portuguese escudo |
QuantoEngine | Quanto engine base class |
QuantoForwardVanillaOption | Quanto version of a forward vanilla option |
QuantoOptionArguments | Arguments for quanto option calculation |
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 |
RandomizedLDS | Randomized (random shift) low-discrepancy sequence |
RandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator |
RateHelper | Base class for rate helpers |
Results | Base class for generic result groups |
Ridder | Ridder 1-D solver |
ROLCurrency | Romanian leu |
Rounding | Basic rounding class |
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 |
Secant | Secant 1-D solver |
SeedGenerator | Random seed generator |
SegmentIntegral | Integral of a one-dimensional function |
SEKCurrency | Swedish krona |
SequenceStatistics | Statistics analysis of N-dimensional (sequence) data |
Settings | Global repository for run-time library settings |
SGDCurrency | Singapore dollar |
Short | Short indexed coupon |
Short< ParCoupon > | Short coupon at par on a term structure |
ShortRateModel | Abstract short-rate model class |
ShoutCondition | Shout option condition |
SimpleCashFlow | Predetermined cash flow |
SimpleDayCounter | Simple day counter for reproducing theoretical calculations |
SimpleQuote | Market element returning a stored value |
Simplex | Multi-dimensional simplex class |
SimpsonIntegral | Integral of a one-dimensional function |
Singapore | Singapore calendars |
SingleAssetOption | Black-Scholes-Merton option |
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 |
SobolRsg | Sobol low-discrepancy sequence generator |
Solver1D | Base class for 1-D solvers |
SouthAfrica | South-African calendar |
SouthKorea | South Korean calendars |
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 |
StochasticProcess | Multi-dimensional stochastic process class |
StochasticProcess1D | 1-dimensional stochastic process |
StochasticProcess1D::discretization | Discretization of a 1-D stochastic process |
StochasticProcess::discretization | Discretization of a stochastic process over a given time interval |
StochasticProcessArray | Array of correlated 1-D stochastic processes |
Stock | Simple stock class |
StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
StulzEngine | Pricing engine for 2D European Baskets |
SuperSharePayoff | Binary supershare payoff |
SVD | Singular value decomposition |
Swap | Interest rate swap |
SwapRateHelper | Swap rate helper |
Swaption | Swaption class |
Swaption::arguments | Arguments for swaption calculation |
Swaption::results | Results from swaption calculation |
SwaptionHelper | Calibration helper for ATM swaption |
SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
SwaptionVolatilityStructure | Swaption-volatility structure |
Sweden | Swedish calendar |
Switzerland | Swiss calendar |
SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
Taiwan | Taiwanese calendars |
TARGET | TARGET calendar |
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 |
TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
TransformedGrid | Transformed grid |
TrapezoidIntegral | Integral of a one-dimensional function |
Tree | Tree approximating a single-factor diffusion |
TreeCapFloorEngine | Numerical lattice engine for cap/floors |
TreeSwaptionEngine | Numerical lattice engine for swaptions |
TreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
TridiagonalOperator | Base implementation for tridiagonal operator |
TridiagonalOperator::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 |
TwoFactorModel | Abstract base-class for two-factor models |
TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables |
TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
TypePayoff | Intermediate class for call/put/straddle payoffs |
Ukraine | Ukrainian calendars |
UnitedKingdom | United Kingdom calendars |
UnitedStates | United States calendars |
UpFrontIndexedCoupon | up front indexed coupon class |
UpRounding | Up-rounding |
USDCurrency | U.S. dollar |
USDLibor | USD LIBOR rate |
Value | Pricing results |
VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
VanillaOption::engine | Vanilla option engine base class |
VanillaSwap | Plain-vanilla swap |
VanillaSwap::arguments | Arguments for simple swap calculation |
VanillaSwap::results | Results from simple swap calculation |
Vasicek | Vasicek model class |
Vasicek::Dynamics | Short-rate dynamics in the Vasicek model |
VEBCurrency | Venezuelan bolivar |
Visitor | Visitor for a specific class |
Xibor | Base class for LIBOR-like indexes |
YieldTermStructure | Interest-rate term structure |
ZARCurrency | South-African rand |
ZeroCondition | Zero exercise condition |
ZeroCouponBond | Zero-coupon bond |
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 |