QuantLib Class List

Here are the classes, structs, unions and interfaces with brief descriptions:
AbcdAbcd functional form for instantaneous volatility
AbcdFunctionAbcd functional form for instantaneous volatility
AbcdVolAbcd-interpolated volatility structure
AccountingEngineEngine collecting cash flows along a market-model simulation
Actual360Actual/360 day count convention
Actual365FixedActual/365 (Fixed) day count convention
ActualActualActual/Actual day count
AcyclicVisitorDegenerate base class for the Acyclic Visitor pattern
AdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
AffineModelAffine model class
AmericanConditionAmerican exercise condition
AmericanExerciseAmerican exercise
AmericanPayoffAtExpiryAnalytic formula for American exercise payoff at-expiry options
AmericanPayoffAtHitAnalytic formula for American exercise payoff at-hit options
AnalyticBarrierEnginePricing engine for barrier options using analytical formulae
AnalyticCapFloorEngineAnalytic engine for cap/floor
AnalyticCliquetEnginePricing engine for Cliquet options using analytical formulae
AnalyticContinuousFixedLookbackEnginePricing engine for European continuous fixed-strike lookback
AnalyticContinuousFloatingLookbackEnginePricing engine for European continuous floating-strike lookback
AnalyticContinuousGeometricAveragePriceAsianEnginePricing engine for European continuous geometric average price Asian
AnalyticDigitalAmericanEngineAnalytic pricing engine for American vanilla options with digital payoff
AnalyticDiscreteGeometricAveragePriceAsianEnginePricing engine for European discrete geometric average price Asian
AnalyticDividendEuropeanEngineAnalytic pricing engine for European options with discrete dividends
AnalyticEuropeanEnginePricing engine for European vanilla options using analytical formulae
AnalyticHestonEngineAnalytic Heston-model engine based on Fourier transform
AnalyticPerformanceEnginePricing engine for performance options using analytical formulae
ArgentinaArgentinian calendars
ArmijoLineSearchArmijo line search
Array1-D array used in linear algebra
ARSCurrencyArgentinian peso
AssetOrNothingPayoffBinary asset-or-nothing payoff
AssetSwapBullet bond vs Libor swap
AssetSwap::argumentsArguments for asset swap calculation
AssetSwap::resultsResults from simple swap calculation
ATSCurrencyAustrian shilling
AUDCurrencyAustralian dollar
AUDLiborAUD LIBOR rate
AustraliaAustralian calendar
AveragePlaceholder for enumerated averaging types
BackwardFlatBackward-flat interpolation factory and traits
BackwardFlatInterpolationBackward-flat interpolation between discrete points
BaroneAdesiWhaleyApproximationEngineBarone-Adesi and Whaley pricing engine for American options (1987)
BarrierPlaceholder for enumerated barrier types
BarrierOptionBarrier option on a single asset
BarrierOption::argumentsArguments for barrier option calculation
BarrierOption::engineBarrier-option engine base class
BasketOptionBasket option on a number of assets
BasketOption::argumentsArguments for basket option calculation
BasketOption::engineBasket-option engine base class
BatesEngineBates model engines based on Fourier transform
BatesModelBates stochastic-volatility model
BDTCurrencyBangladesh taka
BEFCurrencyBelgian franc
BermudanExerciseBermudan exercise
BGLCurrencyBulgarian lev
BicubicBicubic-spline-interpolation factory
BicubicSplineBicubic-spline interpolation between discrete points
BilinearBilinear-interpolation factory
BilinearInterpolationbilinear interpolation between discrete points
BinomialConvertibleEngineBinomial Tsiveriotis-Fernandes engine for convertible bonds
BinomialDistributionBinomial probability distribution function
BinomialTreeBinomial tree base class
BinomialVanillaEnginePricing engine for vanilla options using binomial trees
BisectionBisection 1-D solver
BivariateCumulativeNormalDistributionDr78Cumulative bivariate normal distribution function
BivariateCumulativeNormalDistributionWe04DPCumulative bivariate normal distibution function (West 2004)
BjerksundStenslandApproximationEngineBjerksund and Stensland pricing engine for American options (1993)
BlackCalculatorBlack 1976 calculator class
BlackCapFloorEngineBlack-formula cap/floor engine
BlackConstantVolConstant Black volatility, no time-strike dependence
BlackIborCouponPricerBlack-formula pricer for capped/floored Ibor coupons
BlackKarasinskiStandard Black-Karasinski model class
BlackKarasinski::DynamicsShort-rate dynamics in the Black-Karasinski model
BlackProcessBlack (1976) stochastic process
BlackScholesCalculatorBlack-Scholes 1973 calculator class
BlackScholesLatticeSimple binomial lattice approximating the Black-Scholes model
BlackScholesMertonProcessMerton (1973) extension to the Black-Scholes stochastic process
BlackScholesProcessBlack-Scholes (1973) stochastic process
BlackSwaptionEngineBlack-formula swaption engine
BlackVarianceCurveBlack volatility curve modelled as variance curve
BlackVarianceSurfaceBlack volatility surface modelled as variance surface
BlackVarianceTermStructureBlack variance term structure
BlackVolatilityTermStructureBlack-volatility term structure
BlackVolTermStructureBlack-volatility term structure
BondBase bond class
BoundaryConditionAbstract boundary condition class for finite difference problems
BoundaryConstraintConstraint imposing all arguments to be in [low,high]
BoxMullerGaussianRngGaussian random number generator
BrazilBrazilian calendar
BrentBrent 1-D solver
BRLCurrencyBrazilian real
BrownianBridgeBuilds Wiener process paths using Gaussian variates
BSMOperatorBlack-Scholes-Merton differential operator
Business252Business/252 day count convention
BYRCurrencyBelarussian ruble
CADCurrencyCanadian dollar
CADLiborCAD LIBOR rate
Calendarcalendar class
Calendar::ImplAbstract base class for calendar implementations
Calendar::OrthodoxImplPartial calendar implementation
Calendar::WesternImplPartial calendar implementation
CalibratedModelCalibrated model class
CalibrationHelperLiquid market instrument used during calibration
Callabilityinstrument callability
Callability::PriceAmount to be paid upon callability
CanadaCanadian calendar
CapConcrete cap class
CapFloorBase class for cap-like instruments
CapFloor::argumentsArguments for cap/floor calculation
CapFloor::engineBase class for cap/floor engines
CapHelperCalibration helper for ATM cap
CapletConstantVolatilityConstant caplet volatility, no time-strike dependence
CapletVolatilityStructureCaplet/floorlet forward-volatility structure
CappedFlooredCouponCapped and/or floored floating-rate coupon
CapVolatilityStructureCap/floor term-volatility structure
CapVolatilityVectorCap/floor at-the-money term-volatility vector
CashFlowBase class for cash flows
CashFlowscashflow-analysis functions
CashOrNothingPayoffBinary cash-or-nothing payoff
CdorCDOR rate
CeilingTruncationCeiling truncation
CHFCurrencySwiss franc
CHFLiborCHF LIBOR rate
ChinaChinese calendar
CLGaussianRngGaussian random number generator
CliquetOptionCliquet (Ratchet) option
CliquetOption::argumentsArguments for cliquet option calculation
CliquetOption::engineCliquet engine base class
CloneCloning proxy to an underlying object
ClosestRoundingClosest rounding
CLPCurrencyChilean peso
CmsCouponCMS coupon class
CmsCouponPricerBase pricer for vanilla CMS coupons
CmsMarketSet of CMS quotes
CMSMMDriftCalculatorDrift computation for CMS market models
CmsRateBondCMS-rate bond
CMSwapCurveStateCurve state for constant-maturity-swap market models
CNYCurrencyChinese yuan
CollarConcrete collar class
CompositeComposite pattern
CompositeConstraintConstraint enforcing both given sub-constraints
CompositeInstrumentComposite instrument
CompositeQuoteMarket element whose value depends on two other market element
CompoundForwardCompound-forward structure
ConjugateGradientMulti-dimensional Conjugate Gradient class
ConstantEstimatorConstant-estimator volatility model
ConstantParameterStandard constant parameter $ a(t) = a $
ConstrainedEvolverConstrained market-model evolver
ConstraintBase constraint class
Constraint::ImplBase class for constraint implementations
ContinuousAveragingAsianOptionContinuous-averaging Asian option
ContinuousAveragingAsianOption::argumentsExtra arguments for single-asset continuous-average Asian option
ContinuousAveragingAsianOption::engineContinuous-averaging Asian engine base class
ContinuousFixedLookbackOptionContinuous-fixed lookback option
ContinuousFixedLookbackOption::argumentsArguments for continuous fixed lookback option calculation
ContinuousFixedLookbackOption::engineContinuous fixed lookback engine base class
ContinuousFloatingLookbackOptionContinuous-floating lookback option
ContinuousFloatingLookbackOption::argumentsArguments for continuous floating lookback option calculation
ContinuousFloatingLookbackOption::engineContinuous floating lookback engine base class
ConundrumPricerCMS-coupon pricer
ConundrumPricerByBlackCMS-coupon pricer
ConundrumPricerByNumericalIntegrationCMS-coupon pricer
ConvergenceStatisticsStatistics class with convergence table
ConvertibleBondBase class for convertible bonds
ConvertibleFixedCouponBondConvertible fixed-coupon bond
ConvertibleFloatingRateBondConvertible floating-rate bond
ConvertibleZeroCouponBondConvertible zero-coupon bond
COPCurrencyColombian peso
CostFunctionCost function abstract class for optimization problem
CoterminalSwapCurveStateCurve state for coterminal-swap market models
Couponcoupon accruing over a fixed period
CovarianceDecompositionCovariance decomposition into correlation and variances
CoxIngersollRossCox-Ingersoll-Ross model class
CoxIngersollRoss::DynamicsDynamics of the short-rate under the Cox-Ingersoll-Ross model
CoxRossRubinsteinCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
CrankNicolsonCrank-Nicolson scheme for finite difference methods
Cubiccubic-spline interpolation factory and traits
CubicSplineCubic spline interpolation between discrete points
CumulativeBinomialDistributionCumulative binomial distribution function
CumulativeNormalDistributionCumulative normal distribution function
CumulativePoissonDistributionCumulative Poisson distribution function
CuriouslyRecurringTemplateSupport for the curiously recurring template pattern
CurrencyCurrency specification
CurveAbstract curve class
CurveStateCurve state for market-model simulations
CYPCurrencyCyprus pound
CzechRepublicCzech calendars
CZKCurrencyCzech koruna
DateConcrete date class
DayCounterDay counter class
DayCounter::ImplAbstract base class for day counter implementations
DecInterpCapletVolStructureThis class is interpolating caplets volatilities linealy in two steps (instead of
DEMCurrencyDeutsche mark
DenmarkDanish calendar
DepositRateHelperRate helper for bootstrapping over deposit rates
DerivedQuoteMarket quote whose value depends on another quote
DirichletBCNeumann boundary condition (i.e., constant value)
DiscountDiscount-curve traits
DiscrepancyStatisticsStatistic tool for sequences with discrepancy calculation
DiscreteAveragingAsianOptionDiscrete-averaging Asian option
DiscreteAveragingAsianOption::argumentsExtra arguments for single-asset discrete-average Asian option
DiscreteAveragingAsianOption::engineDiscrete-averaging Asian engine base class
DiscreteGeometricASODiscrete geometric average-strike Asian option (European style)
DiscretizedAssetDiscretized asset class used by numerical methods
DiscretizedDiscountBondUseful discretized discount bond asset
DiscretizedOptionDiscretized option on a given asset
DisposableGeneric disposable object with move semantics
DividendPredetermined cash flow
DividendVanillaOptionSingle-asset vanilla option (no barriers) with discrete dividends
DividendVanillaOption::argumentsArguments for dividend vanilla option calculation
DividendVanillaOption::engineDividend-vanilla-option engine base class
DKKCurrencyDanish krone
DKKLiborDKK LIBOR rate
DMinus$ D_{-} $ matricial representation
Domaindomain abstract lcass
DoubleStickyRatchetPayoffIntermediate class for single/double sticky/ratchet payoffs
DownRoundingDown-rounding
DPlus$ D_{+} $ matricial representation
DPlusDMinus$ D_{+}D_{-} $ matricial representation
DriftTermStructureDrift term structure
Durationduration type
DZero$ D_{0} $ matricial representation
EarlyExerciseEarly-exercise base class
EarlyExercisePathPricerBase class for early exercise path pricers
EEKCurrencyEstonian kroon
EndCriteriaCriteria to end optimization process:
EqualJumpsBinomialTreeBase class for equal jumps binomial tree
EqualProbabilitiesBinomialTreeBase class for equal probabilities binomial tree
ErrorBase error class
ErrorFunctionError function
ESPCurrencySpanish peseta
EulerDiscretizationEuler discretization for stochastic processes
EURCurrencyEuropean Euro
EuriborEuribor index
Euribor10M10-months Euribor index
Euribor11M11-months Euribor index
Euribor1M1-month Euribor index
Euribor1Y1-year Euribor index
Euribor2M2-months Euribor index
Euribor2W2-weeks Euribor index
Euribor365Actual/365 Euribor index
Euribor365_10M10-months Euribor365 index
Euribor365_11M11-months Euribor365 index
Euribor365_1M1-month Euribor365 index
Euribor365_1Y1-year Euribor365 index
Euribor365_2M2-months Euribor365 index
Euribor365_2W2-weeks Euribor365 index
Euribor365_3M3-months Euribor365 index
Euribor365_3W3-weeks Euribor365 index
Euribor365_4M4-months Euribor365 index
Euribor365_5M5-months Euribor365 index
Euribor365_6M6-months Euribor365 index
Euribor365_7M7-months Euribor365 index
Euribor365_8M8-months Euribor365 index
Euribor365_9M9-months Euribor365 index
Euribor365_SW1-week Euribor365 index
Euribor3M3-months Euribor index
Euribor3W3-weeks Euribor index
Euribor4M4-months Euribor index
Euribor5M5-months Euribor index
Euribor6M6-months Euribor index
Euribor7M7-months Euribor index
Euribor8M8-months Euribor index
Euribor9M9-months Euribor index
EuriborSW1-week Euribor index
EuriborSwapFixA10Y10-year EuriborSwapFixAvs6M index
EuriborSwapFixA12Y12-year EuriborSwapFixAvs6M index
EuriborSwapFixA15Y15-year EuriborSwapFixAvs6M index
EuriborSwapFixA1Y1-year EuriborSwapFixAvs3M index
EuriborSwapFixA20Y20-year EuriborSwapFixAvs6M index
EuriborSwapFixA25Y25-year EuriborSwapFixAvs6M index
EuriborSwapFixA2Y2-year EuriborSwapFixAvs6M index
EuriborSwapFixA30Y30-year EuriborSwapFixAvs6M index
EuriborSwapFixA3Y3-year EuriborSwapFixAvs6M index
EuriborSwapFixA4Y4-year EuriborSwapFixAvs6M index
EuriborSwapFixA5Y5-year EuriborSwapFixAvs6M index
EuriborSwapFixA6Y6-year EuriborSwapFixAvs6M index
EuriborSwapFixA7Y7-year EuriborSwapFixAvs6M index
EuriborSwapFixA8Y8-year EuriborSwapFixAvs6M index
EuriborSwapFixA9Y9-year EuriborSwapFixAvs6M index
EuriborSwapFixAvs3MEuriborSwapFixA vs 3M index base class
EuriborSwapFixAvs6MEuriborSwapFixA vs 6M index base class
EuriborSwapFixB10Y10-year EuriborSwapFixBvs6M index
EuriborSwapFixB12Y12-year EuriborSwapFixBvs6M index
EuriborSwapFixB15Y15-year EuriborSwapFixBvs6M index
EuriborSwapFixB1Y1-year EuriborSwapFixBvs3M index
EuriborSwapFixB20Y20-year EuriborSwapFixBvs6M index
EuriborSwapFixB25Y25-year EuriborSwapFixBvs6M index
EuriborSwapFixB2Y2-year EuriborSwapFixBvs6M index
EuriborSwapFixB30Y30-year EuriborSwapFixBvs6M index
EuriborSwapFixB3Y3-year EuriborSwapFixBvs6M index
EuriborSwapFixB4Y4-year EuriborSwapFixBvs6M index
EuriborSwapFixB5Y5-year EuriborSwapFixBvs6M index
EuriborSwapFixB6Y6-year EuriborSwapFixBvs6M index
EuriborSwapFixB7Y7-year EuriborSwapFixBvs6M index
EuriborSwapFixB8Y8-year EuriborSwapFixBvs6M index
EuriborSwapFixB9Y9-year EuriborSwapFixBvs6M index
EuriborSwapFixBvs3MEuriborSwapFixB vs 3M index base class
EuriborSwapFixBvs6MEuriborSwapFixB vs 6M index base class
EuriborSwapFixIFR10Y10-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR12Y12-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR15Y15-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR1Y1-year EuriborSwapFixIFR3M index
EuriborSwapFixIFR20Y20-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR25Y25-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR2Y2-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR30Y30-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR3Y3-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR4Y4-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR5Y5-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR6Y6-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR7Y7-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR8Y8-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFR9Y9-year EuriborSwapFixIFRvs6M index
EuriborSwapFixIFRvs3MEuriborSwapFixIFR vs 3M index base class
EuriborSwapFixIFRvs6MEuriborSwapFixIFR vs 6M index base class
EURLiborEUR LIBOR rate
EURLibor10M10-months EURLibor index
EURLibor11M11-months EURLibor index
EURLibor1M1-month EURLibor index
EURLibor1Y1-year EURLibor index
EURLibor2M2-months EURLibor index
EURLibor2W2-weeks Euribor index
EURLibor3M3-months EURLibor index
EURLibor4M4-months EURLibor index
EURLibor5M5-months EURLibor index
EURLibor6M6-months EURLibor index
EURLibor7M7-months EURLibor index
EURLibor8M8-months EURLibor index
EURLibor9M9-months EURLibor index
EURLiborSW1-week EURLibor index
EurliborSwapFixA10Y10-year EurliborSwapFixAvs6M index
EurliborSwapFixA12Y12-year EurliborSwapFixAvs6M index
EurliborSwapFixA15Y15-year EurliborSwapFixAvs6M index
EurliborSwapFixA1Y1-year EurliborSwapFixAvs3M index
EurliborSwapFixA20Y20-year EurliborSwapFixAvs6M index
EurliborSwapFixA25Y25-year EurliborSwapFixAvs6M index
EurliborSwapFixA2Y2-year EurliborSwapFixAvs6M index
EurliborSwapFixA30Y30-year EurliborSwapFixAvs6M index
EurliborSwapFixA3Y3-year EurliborSwapFixAvs6M index
EurliborSwapFixA4Y4-year EurliborSwapFixAvs6M index
EurliborSwapFixA5Y5-year EurliborSwapFixAvs6M index
EurliborSwapFixA6Y6-year EurliborSwapFixAvs6M index
EurliborSwapFixA7Y7-year EurliborSwapFixAvs6M index
EurliborSwapFixA8Y8-year EurliborSwapFixAvs6M index
EurliborSwapFixA9Y9-year EurliborSwapFixAvs6M index
EurliborSwapFixAvs3MEurliborSwapFixA vs 3M index base class
EurliborSwapFixAvs6MEurliborSwapFixA vs 6M index base class
EurliborSwapFixB10Y10-year EurliborSwapFixBvs6M index
EurliborSwapFixB12Y12-year EurliborSwapFixBvs6M index
EurliborSwapFixB15Y15-year EurliborSwapFixBvs6M index
EurliborSwapFixB1Y1-year EurliborSwapFixBvs3M index
EurliborSwapFixB20Y20-year EurliborSwapFixBvs6M index
EurliborSwapFixB25Y25-year EurliborSwapFixBvs6M index
EurliborSwapFixB2Y2-year EurliborSwapFixBvs6M index
EurliborSwapFixB30Y30-year EurliborSwapFixBvs6M index
EurliborSwapFixB3Y3-year EurliborSwapFixBvs6M index
EurliborSwapFixB4Y4-year EurliborSwapFixBvs6M index
EurliborSwapFixB5Y5-year EurliborSwapFixBvs6M index
EurliborSwapFixB6Y6-year EurliborSwapFixBvs6M index
EurliborSwapFixB7Y7-year EurliborSwapFixBvs6M index
EurliborSwapFixB8Y8-year EurliborSwapFixBvs6M index
EurliborSwapFixB9Y9-year EurliborSwapFixBvs6M index
EurliborSwapFixBvs3MEurliborSwapFixB vs 3M index base class
EurliborSwapFixBvs6MEurliborSwapFixB vs 6M index base class
EurliborSwapFixIFR10Y10-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR12Y12-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR15Y15-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR1Y1-year EurliborSwapFixIFRvs3M index
EurliborSwapFixIFR20Y20-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR25Y25-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR2Y2-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR30Y30-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR3Y3-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR4Y4-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR5Y5-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR6Y6-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR7Y7-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR8Y8-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFR9Y9-year EurliborSwapFixIFRvs6M index
EurliborSwapFixIFRvs3MEurliborSwapFixIFR vs 3M index base class
EurliborSwapFixIFRvs6MEurliborSwapFixIFR vs 6M index base class
EurodollarFuturesImpliedStdDevQuotequote for the Eurodollar-future implied standard deviation
EuropeanExerciseEuropean exercise
EuropeanOptionEuropean option on a single asset
EventBase class for event
EvolutionDescriptionMarket-model evolution description
ExchangeRateExchange rate between two currencies
ExchangeRateManagerExchange-rate repository
ExerciseBase exercise class
ExplicitEulerForward Euler scheme for finite difference methods
ExtendedCoxIngersollRossExtended Cox-Ingersoll-Ross model class
ExtendedCoxIngersollRoss::DynamicsShort-rate dynamics in the extended Cox-Ingersoll-Ross model
ExtendedCoxIngersollRoss::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
ExtendedDiscountCurveTerm structure based on loglinear interpolation of discount factors
ExtrapolatorBase class for classes possibly allowing extrapolation
FactorialFactorial numbers calculator
FalsePositionFalse position 1-D solver
FaureRsgFaure low-discrepancy sequence generator
FDBermudanEngineFinite-differences Bermudan engine
FDDividendEngineMerton73Finite-differences pricing engine for dividend options using
FDDividendEngineShiftScaleFinite-differences pricing engine for dividend options using
FDEuropeanEnginePricing engine for European options using finite-differences
FDStepConditionEngineFinite-differences pricing engine for American-style vanilla options
FIMCurrencyFinnish markka
FiniteDifferenceModelGeneric finite difference model
FinlandFinnish calendar
FixedCouponBondHelperFixed-coupon bond helper
FixedDividendPredetermined cash flow
FixedRateBondFixed-rate bond
FixedRateBondForwardForward contract on a fixed-rate bond
FixedRateCouponCoupon paying a fixed interest rate
FlatForwardFlat interest-rate curve
FloatingRateBondFloating-rate bond (possibly capped and/or floored)
FloatingRateCouponBase floating-rate coupon class
FloatingRateCouponPricerGeneric pricer for floating-rate coupons
FloatingTypePayoffPayoff based on a floating strike
FloorConcrete floor class
FloorTruncationFloor truncation
ForwardAbstract base forward class
ForwardEngineForward-engine base class
ForwardFlatForward-flat interpolation factory and traits
ForwardFlatInterpolationForward-flat interpolation between discrete points
ForwardMeasureProcessForward-measure stochastic process
ForwardMeasureProcess1DForward-measure 1-D stochastic process
ForwardOptionArgumentsArguments for forward (strike-resetting) option calculation
ForwardPerformanceEngineForward performance engine
ForwardRateForward-curve traits
ForwardRateAgreementForward rate agreement (FRA) class
ForwardRateStructureForward-rate term structure
ForwardSpreadedTermStructureTerm structure with added spread on the instantaneous forward rate
ForwardTypePayoffClass for forward type payoffs
ForwardValueQuotequote for the forward value of an index
ForwardVanillaOptionForward version of a vanilla option
FractionalDividendPredetermined cash flow
FraRateHelperRate helper for bootstrapping over FRA rates
FRFCurrencyFrench franc
FuturesConvAdjustmentQuotequote for the futures-convexity adjustment of an index
FuturesRateHelperRate helper for bootstrapping over interest-rate futures prices
G2Two-additive-factor gaussian model class
G2::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
G2ForwardProcessForward G2 stochastic process
G2ProcessG2 stochastic process
G2SwaptionEngineSwaption priced by means of the Black formula
GammaFunctionGamma function class
GapPayoffBinary gap payoff
Garch11GARCH volatility model
GarmanKlassAbstractGarman-Klass volatility model
GarmanKohlagenProcessGarman-Kohlhagen (1983) stochastic process
GaussChebyshev2thIntegrationGauss-Chebyshev integration (second kind)
GaussChebyshev2thPolynomialGauss-Chebyshev polynomial (second kind)
GaussChebyshevIntegrationGauss-Chebyshev integration
GaussChebyshevPolynomialGauss-Chebyshev polynomial
GaussGegenbauerIntegrationGauss-Gegenbauer integration
GaussGegenbauerPolynomialGauss-Gegenbauer polynomial
GaussHermiteIntegrationGeneralized Gauss-Hermite integration
GaussHermitePolynomialGauss-Hermite polynomial
GaussHyperbolicIntegrationGauss-Hyperbolic integration
GaussHyperbolicPolynomialGauss hyperbolic polynomial
GaussianOrthogonalPolynomialOrthogonal polynomial for Gaussian quadratures
GaussianQuadratureIntegral of a 1-dimensional function using the Gauss quadratures method
GaussJacobiIntegrationGauss-Jacobi integration
GaussJacobiPolynomialGauss-Jacobi polynomial
GaussKronrodAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
GaussKronrodNonAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
GaussLaguerreIntegrationGeneralized Gauss-Laguerre integration
GaussLaguerrePolynomialGauss-Laguerre polynomial
GaussLegendreIntegrationGauss-Legendre integration
GaussLegendrePolynomialGauss-Legendre polynomial
GBPCurrencyBritish pound sterling
GBPLiborGBP LIBOR rate
GeneralizedBlackScholesProcessGeneralized Black-Scholes stochastic process
GeneralStatisticsStatistics tool
GenericEngineTemplate base class for option pricing engines
GenericGaussianStatisticsStatistics tool for gaussian-assumption risk measures
GenericModelEngineBase class for some pricing engine on a particular model
GenericRiskStatisticsEmpirical-distribution risk measures
GenericSequenceStatisticsStatistics analysis of N-dimensional (sequence) data
GeometricBrownianMotionProcessGeometric brownian-motion process
GermanyGerman calendars
GRDCurrencyGreek drachma
GreeksAdditional option results
HaltonRsgHalton low-discrepancy sequence generator
HandleShared handle to an observable
HestonModelHeston model for the stochastic volatility of an asset
HestonModelHelperCalibration helper for Heston model
HestonProcessSquare-root stochastic-volatility Heston process
HKDCurrencyHonk Kong dollar
HongKongHong Kong calendars
HUFCurrencyHungarian forint
HullWhiteSingle-factor Hull-White (extended Vasicek) model class
HullWhite::DynamicsShort-rate dynamics in the Hull-White model
HullWhite::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
HullWhiteForwardProcessForward Hull-White stochastic process
HullWhiteProcessHull-White stochastic process
HungaryHungarian calendar
IborCouponCoupon paying a Libor-type index
IborCouponPricerBase pricer for capped/floored Ibor coupons
IborIndexBase class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
IcelandIcelandic calendars
IEPCurrencyIrish punt
ILSCurrencyIsraeli shekel
IMMMain cycle of the International Money Market (a.k.a. IMM) months
ImplicitEulerBackward Euler scheme for finite difference methods
ImpliedStdDevQuotequote for the implied standard deviation of an underlying
ImpliedTermStructureImplied term structure at a given date in the future
ImpliedVolTermStructureImplied vol term structure at a given date in the future
IncrementalStatisticsStatistics tool based on incremental accumulation
IndexPurely virtual base class for indexes
IndexManagerGlobal repository for past index fixings
IndiaIndian calendars
IndonesiaIndonesian calendars
INRCurrencyIndian rupee
InstrumentAbstract instrument class
IntegralEnginePricing engine for European vanilla options using integral approach
InterestRateConcrete interest rate class
InterestRateIndexBase class for interest rate indexes
InterpolatedDiscountCurveTerm structure based on interpolation of discount factors
InterpolatedForwardCurveTerm structure based on interpolation of forward rates
InterpolatedZeroCurveTerm structure based on interpolation of zero yields
InterpolationBase class for 1-D interpolations
Interpolation2DBase class for 2-D interpolations
Interpolation2D::ImplAbstract base class for 2-D interpolation implementations
Interpolation2D::templateImplBasic template implementation
Interpolation::ImplAbstract base class for interpolation implementations
Interpolation::templateImplBasic template implementation
IntervalPriceInterval price
InverseCumulativeNormalInverse cumulative normal distribution function
InverseCumulativePoissonInverse cumulative Poisson distribution function
InverseCumulativeRngInverse cumulative random number generator
InverseCumulativeRsgInverse cumulative random sequence generator
IQDCurrencyIraqi dinar
IRRCurrencyIranian rial
ISKCurrencyIcelandic krona
ItalyItalian calendars
ITLCurrencyItalian lira
JamshidianSwaptionEngineJamshidian swaption engine
JapanJapanese calendar
JarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
JibarJIBAR rate
JointCalendarJoint calendar
JPYCurrencyJapanese yen
JPYLiborJPY LIBOR rate
JumpDiffusionEngineJump-diffusion engine for vanilla options
JuQuadraticApproximationEnginePricing engine for American options with Ju quadratic approximation
KnuthUniformRngUniform random number generator
KRWCurrencySouth-Korean won
KWDCurrencyKuwaiti dinar
LatticeLattice (tree, finite-differences) base class
LatticeShortRateModelEngineEngine for a short-rate model specialized on a lattice
LazyObjectFramework for calculation on demand and result caching
LeastSquareFunctionCost function for least-square problems
LeastSquareProblemBase class for least square problem
LecuyerUniformRngUniform random number generator
LeisenReimerLeisen & Reimer tree: multiplicative approach
LevenbergMarquardtLevenberg-Marquardt optimization method
LexicographicalViewLexicographical 2-D view of a contiguous set of data
LfmCovarianceParameterizationLibor market model parameterization
LfmCovarianceProxyProxy for a libor forward model covariance parameterization
LfmHullWhiteParameterizationLibor market model parameterization based on Hull White paper
LfmSwaptionEngineLibor forward model swaption engine based on Black formula
LiborBase class for all BBA LIBOR indexes but the EUR ones
LiborForwardModelLibor forward model
LiborForwardModelProcessLibor-forward-model process
LinearLinear-interpolation factory and traits
LinearInterpolationLinear interpolation between discrete points
LinearLeastSquaresRegressionGeneral linear least squares regression
LineSearchBase class for line search
LmConstWrapperVolatilityModelCaplet const volatility model
LmCorrelationModellibor forward correlation model
LmExponentialCorrelationModelExponential correlation model
LmExtLinearExponentialVolModelExtended linear exponential volatility model
LmLinearExponentialCorrelationModellinear exponential correlation model
LmLinearExponentialVolatilityModellinear exponential volatility model
LMMCurveStateCurve state for Libor market models
LMMDriftCalculatorDrift computation for log-normal Libor market models
LMMNormalDriftCalculatorDrift computation for normal Libor market models
LmVolatilityModelCaplet volatility model
LocalConstantVolConstant local volatility, no time-strike dependence
LocalVolCurveLocal volatility curve derived from a Black curve
LocalVolSurfaceLocal volatility surface derived from a Black vol surface
LocalVolTermStructureLocal-volatility term structure
LogLinearLog-linear interpolation factory and traits
LogLinearInterpolationlog-linear interpolation between discrete points
LogNormalCmSwapRatePcPredictor-Corrector
LogNormalCotSwapRatePcPredictor-Corrector
LogNormalFwdRateEulerEuler
LogNormalFwdRateEulerConstrainedEuler stepping
LogNormalFwdRateIpcIterative Predictor-Corrector
LogNormalFwdRatePcPredictor-Corrector
LongstaffSchwartzPathPricerLongstaff-Schwarz path pricer for early exercise options
LTLCurrencyLithuanian litas
LUFCurrencyLuxembourg franc
LVLCurrencyLatvian lat
MakeCapFloorHelper class
MakeCmsHelper class
MakeMCAmericanEngineMonte Carlo American engine factory
MakeMCDigitalEngineMonte Carlo digital engine factory
MakeMCEuropeanEngineMonte Carlo European engine factory
MakeMCEuropeanHestonEngineMonte Carlo Heston European engine factory
MakeMCHullWhiteCapFloorEngineMonte Carlo Hull-White cap-floor engine factory
MakeMCVarianceSwapEngineMonte Carlo variance-swap engine factory
MakeScheduleHelper class
MakeVanillaSwapHelper class
MarketModelBase class for market models
MarketModelCapFloorEngineMarket-model cap/floor engine
MarketModelCompositeComposition of two or more market-model products
MarketModelEvolverMarket-model evolver
MarketModelFactoryBase class for market-model factories
MarketModelMultiProductMarket-model product
MatrixMatrix used in linear algebra
MCAmericanBasketEngineLeast-square Monte Carlo engine
MCAmericanEngineAmerican Monte Carlo engine
MCBarrierEnginePricing engine for barrier options using Monte Carlo simulation
MCBasketEnginePricing engine for basket options using Monte Carlo simulation
McCliquetOptionSimple example of Monte Carlo pricer
MCDigitalEnginePricing engine for digital options using Monte Carlo simulation
MCDiscreteArithmeticAPEngineMonte Carlo pricing engine for discrete arithmetic average price Asian
McDiscreteArithmeticASODiscrete arithmetic average-strike Asian option
MCDiscreteAveragingAsianEnginePricing engine for discrete average Asians using Monte Carlo simulation
MCDiscreteGeometricAPEngineMonte Carlo pricing engine for discrete geometric average price Asian
MCEuropeanEngineEuropean option pricing engine using Monte Carlo simulation
MCEuropeanHestonEngineMonte Carlo Heston-model engine for European options
McEverestEverest-type option pricer
McHimalayaHimalayan-type option pricer
MCHullWhiteCapFloorEngineMonte Carlo Hull-White engine for cap/floors
MCLongstaffSchwartzEngineLongstaff-Schwarz Monte Carlo engine for early exercise options
McMaxBasketMax-basket Monte Carlo pricer
McPagodaRoofed Asian option
McPerformanceOptionPerformance option computed using Monte Carlo simulation
McPricerBase class for Monte Carlo pricers
McSimulationBase class for Monte Carlo engines
MCVanillaEnginePricing engine for vanilla options using Monte Carlo simulation
MCVarianceSwapEngineVariance-swap pricing engine using Monte Carlo simulation,
MersenneTwisterUniformRngUniform random number generator
Merton76ProcessMerton-76 jump-diffusion process
MexicoMexican calendars
MixedSchemeMixed (explicit/implicit) scheme for finite difference methods
MoneyAmount of cash
MonotonicCubicSplineCubic spline with monotonicity constraint
MonteCarloModelGeneral-purpose Monte Carlo model for path samples
MoreGreeksMore additional option results
MoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
MTBrownianGeneratorMersenne-twister Brownian generator for market-model simulations
MTLCurrencyMaltese lira
MultiAssetOptionBase class for options on multiple assets
MultiAssetOption::argumentsArguments for multi-asset option calculation
MultiAssetOption::resultsResults from multi-asset option calculation
MultiCubicSplineN-dimensional cubic spline interpolation between discrete points
MultiPathCorrelated multiple asset paths
MultiPathGeneratorGenerates a multipath from a random number generator
MultiProductCompositeComposition of one or more market-model products
MultiProductMultiStepMultiple-step market-model product
MultiProductOneStepSingle-step market-model product
MultiVariateDefault Monte Carlo traits for multi-variate models
MXNCurrencyMexican peso
NaturalCubicSplineCubic spline with null second derivative at end points
NaturalMonotonicCubicSplineNatural cubic spline with monotonicity constraint
NeumannBCNeumann boundary condition (i.e., constant derivative)
NewtonNewton 1-D solver
NewtonSafeSafe Newton 1-D solver
NewZealandNew Zealand calendar
NLGCurrencyDutch guilder
NoConstraintNo constraint
NOKCurrencyNorwegian krone
NonLinearLeastSquareNon-linear least-square method
NormalDistributionNormal distribution function
NormalFwdRatePcPredictor-Corrector
NorwayNorwegian calendar
NPRCurrencyNepal rupee
NullTemplate class providing a null value for a given type
NullCalendarCalendar for reproducing theoretical calculations
NullConditionnull step condition
NullParameterParameter which is always zero $ a(t) = 0 $
NZDCurrencyNew Zealand dollar
NZDLiborNZD LIBOR rate
ObservableObject that notifies its changes to a set of observables
ObservableValueobservable and assignable proxy to concrete value
ObserverObject that gets notified when a given observable changes
OneAssetOptionBase class for options on a single asset
OneAssetOption::argumentsArguments for single-asset option calculation
OneAssetOption::resultsResults from single-asset option calculation
OneAssetStrikedOptionBase class for options on a single asset with striked payoff
OneDayCounter1/1 day count convention
OneFactorAffineModelSingle-factor affine base class
OneFactorModelSingle-factor short-rate model abstract class
OneFactorModel::ShortRateDynamicsBase class describing the short-rate dynamics
OneFactorModel::ShortRateTreeRecombining trinomial tree discretizing the state variable
OperatorFactoryBlack-Scholes-Merton differential operator
OptimizationMethodAbstract class for constrained optimization method
OptionBase option class
Option::argumentsBasic option arguments
OrnsteinUhlenbeckProcessOrnstein-Uhlenbeck process class
ParameterBase class for model arguments
Parameter::ImplBase class for model parameter implementation
PathSingle-factor random walk
PathGeneratorGenerates random paths using a sequence generator
PathPricerBase class for path pricers
PayoffAbstract base class for option payoffs
PercentageStrikePayoffPayoff with strike expressed as percentage
PeriodTime period described by a number of a given time unit
PiecewiseConstantParameterPiecewise-constant parameter
PiecewiseYieldCurvePiecewise yield term structure
PiecewiseZeroSpreadedTermStructureTerm structure with an added vector of spreads on the zero-yield rate
PKRCurrencyPakistani rupee
PlainVanillaPayoffPlain-vanilla payoff
PLNCurrencyPolish zloty
PoissonDistributionNormal distribution function
PolandPolish calendar
PositiveConstraintConstraint imposing positivity to all arguments
PricingEngineInterface for pricing engines
PrimeNumbersPrime numbers calculator
ProblemConstrained optimization problem
ProjectedCostFunctionParameterized cost function
PTECurrencyPortuguese escudo
QuantoEngineQuanto engine base class
QuantoForwardVanillaOptionQuanto version of a forward vanilla option
QuantoOptionArgumentsArguments for quanto option calculation
QuantoOptionResultsResults from quanto option calculation
QuantoTermStructureQuanto term structure
QuantoVanillaOptionQuanto version of a vanilla option
QuotePurely virtual base class for market observables
RandomizedLDSRandomized (random shift) low-discrepancy sequence
RandomSequenceGeneratorRandom sequence generator based on a pseudo-random number generator
RatchetMaxPayoffRatchetMax payoff (double option)
RatchetMinPayoffRatchetMin payoff (double option)
RatchetPayoffRatchet payoff (single option)
RateHelperBase helper class for yield-curve bootstrapping
RelativeDateRateHelperRate helper with date schedule relative to the global evaluation date
RelinkableHandleRelinkable handle to an observable
ReplicatingVarianceSwapEngineVariance-swap pricing engine using replicating cost,
RidderRidder 1-D solver
ROLCurrencyRomanian leu
RONCurrencyRomanian new leu
RoundingBasic rounding class
SABRSABR interpolation factory
SABRInterpolationSABR smile interpolation between discrete volatility points
SalvagingAlgorithmAlgorithm used for matricial pseudo square root
SampleWeighted sample
SampledCurveThis class contains a sampled curve
SARCurrencySaudi riyal
SaudiArabiaSaudi Arabian calendar
SchedulePayment schedule
SecantSecant 1-D solver
SeedGeneratorRandom seed generator
SegmentIntegralIntegral of a one-dimensional function
SEKCurrencySwedish krona
SettingsGlobal repository for run-time library settings
Settlementsettlement information
SGDCurrencySingapore dollar
ShortRateModelAbstract short-rate model class
ShoutConditionShout option condition
SimpleCashFlowPredetermined cash flow
SimpleDayCounterSimple day counter for reproducing theoretical calculations
SimpleLocalEstimatorLocal-estimator volatility model
SimpleQuoteMarket element returning a stored value
SimplexMulti-dimensional simplex class
SimpsonIntegralIntegral of a one-dimensional function
SingaporeSingapore calendars
SingleAssetOptionBlack-Scholes-Merton option
SingleProductCompositeComposition of one or more market-model products
SingletonBasic support for the singleton pattern
SingleVariateDefault Monte Carlo traits for single-variate models
SITCurrencySlovenian tolar
SKKCurrencySlovak koruna
SlovakiaSlovak calendars
SmileSectionInterest rate volatility smile section
SMMDriftCalculatorDrift computation for coterminal swap market models
SobolBrownianGeneratorSobol Brownian generator for market-model simulations
SobolRsgSobol low-discrepancy sequence generator
SoftCallabilitycallability leaving to the holder the possibility to convert
Solver1DBase class for 1-D solvers
SouthAfricaSouth-African calendar
SouthKoreaSouth Korean calendars
SquareRootProcessSquare-root process class
StatsHolderHelper class for precomputed distributions
SteepestDescentMulti-dimensional steepest-descent class
step_iteratorIterator advancing in constant steps
StepConditionCondition to be applied at every time step
StepConditionSetParallel evolver for multiple arrays
StickyMaxPayoffStickyMax payoff (double option)
StickyMinPayoffStickyMin payoff (double option)
StickyPayoffSticky payoff (single option)
StochasticProcessMulti-dimensional stochastic process class
StochasticProcess1D1-dimensional stochastic process
StochasticProcess1D::discretizationDiscretization of a 1-D stochastic process
StochasticProcess::discretizationDiscretization of a stochastic process over a given time interval
StochasticProcessArrayArray of correlated 1-D stochastic processes
StockSimple stock class
StrikedTypePayoffIntermediate class for payoffs based on a fixed strike
StulzEnginePricing engine for 2D European Baskets
SuperFundPayoffBinary superfund payoff
SuperSharePayoffBinary supershare payoff
SurfaceSurface abstract class
SVDSingular value decomposition
SwapInterest rate swap
SwapIndexBase class for swap-rate indexes
SwapRateHelperRate helper for bootstrapping over swap rates
SwaptionSwaption class
Swaption::argumentsArguments for swaption calculation
Swaption::engineBase class for swaption engines
SwaptionConstantVolatilityConstant swaption volatility, no time-strike dependence
SwaptionHelperCalibration helper for ATM swaption
SwaptionVolatilityCubeSwaption-volatility cube
SwaptionVolatilityMatrixAt-the-money swaption-volatility matrix
SwaptionVolatilityStructureSwaption-volatility structure
SwedenSwedish calendar
SwitzerlandSwiss calendar
SymmetricSchurDecompositionSymmetric threshold Jacobi algorithm
TabulatedGaussLegendreTabulated Gauss-Legendre quadratures
TaiwanTaiwanese calendars
TARGETTARGET calendar
TermStructureBasic term-structure functionality
TermStructureConsistentModelTerm-structure consistent model class
TermStructureFittingParameterDeterministic time-dependent parameter used for yield-curve fitting
THBCurrencyThai baht
Thirty36030/360 day count convention
TianTian tree: third moment matching, multiplicative approach
TiborJPY TIBOR index
TimeBasketDistribution over a number of dates
TimeGridTime grid class
TimeSeriesContainer for historical data
TqrEigenDecompositionTridiag. QR eigen decomposition with explicite shift aka Wilkinson
TransformedGridTransformed grid
TrapezoidIntegralIntegral of a one-dimensional function
TreeTree approximating a single-factor diffusion
TreeCapFloorEngineNumerical lattice engine for cap/floors
TreeLatticeTree-based lattice-method base class
TreeLattice1DOne-dimensional tree-based lattice
TreeLattice2DTwo-dimensional tree-based lattice
TreeSwaptionEngineNumerical lattice engine for swaptions
TreeVanillaSwapEngineNumerical lattice engine for simple swaps
TridiagonalOperatorBase implementation for tridiagonal operator
TridiagonalOperator::TimeSetterEncapsulation of time-setting logic
TrigeorgisTrigeorgis (additive equal jumps) binomial tree
TrinomialTreeRecombining trinomial tree class
TRLCurrencyTurkish lira
TRLiborTRY LIBOR rate
TRYCurrencyNew Turkish lira
TsiveriotisFernandesLatticeBinomial lattice approximating the Tsiveriotis-Fernandes model
TTDCurrencyTrinidad & Tobago dollar
TurkeyTurkish calendar
TWDCurrencyTaiwan dollar
TwoFactorModelAbstract base-class for two-factor models
TwoFactorModel::ShortRateDynamicsClass describing the dynamics of the two state variables
TwoFactorModel::ShortRateTreeRecombining two-dimensional tree discretizing the state variable
TypePayoffIntermediate class for put/call payoffs
UkraineUkrainian calendars
UnitedKingdomUnited Kingdom calendars
UnitedStatesUnited States calendars
UpperBoundEngineMarket-model engine for upper-bound estimation
UpRoundingUp-rounding
USDCurrencyU.S. dollar
USDLiborUSD LIBOR rate
VanillaOptionVanilla option (no discrete dividends, no barriers) on a single asset
VanillaOption::engineVanilla option engine base class
VanillaSwap::argumentsArguments for simple swap calculation
VanillaSwap::resultsResults from simple swap calculation
VarianceSwapVariance swap
VarianceSwap::argumentsArguments for forward fair-variance calculation
VarianceSwap::engineBase class for variance-swap engines
VarianceSwap::resultsResults from variance-swap calculation
VasicekVasicek model class
Vasicek::DynamicsShort-rate dynamics in the Vasicek model
VEBCurrencyVenezuelan bolivar
VisitorVisitor for a specific class
YieldTermStructureInterest-rate term structure
ZARCurrencySouth-African rand
ZeroConditionZero exercise condition
ZeroCouponBondZero-coupon bond
ZeroSpreadedTermStructureTerm structure with an added spread on the zero yield rate
ZeroYieldZero-curve traits
ZeroYieldStructureZero-yield term structure
ZiborCHF ZIBOR rate