QuantLib File List

Here is a list of all documented files with brief descriptions:
ql/capvolstructures.hppCap/floor volatility structures
ql/cashflow.hppBase class for cash flows
ql/currency.hppCurrency specification
ql/daycounter.hppDay counter class
ql/discretizedasset.hppDiscretized asset classes
ql/errors.hppClasses and functions for error handling
ql/event.hppBase class for events associated with a given date
ql/exchangerate.hppExchange rate between two currencies
ql/exercise.hppOption exercise classes and payoff function
ql/grid.hppGrid constructors
ql/handle.hppGlobally accessible relinkable pointer
ql/index.hppPurely virtual base class for indexes
ql/instrument.hppAbstract instrument class
ql/interestrate.hppInstrument rate class
ql/money.hppCash amount in a given currency
ql/numericalmethod.hppNumerical method class
ql/option.hppBase option class
ql/payoff.hppOption payoff classes
ql/position.hppShort or long position
ql/prices.hppPrice classes
ql/pricingengine.hppBase class for pricing engines
ql/qldefines.hppGlobal definitions and compiler switches
ql/quote.hppPurely virtual base class for market observables
ql/settings.hppGlobal repository for run-time library settings
ql/stochasticprocess.hppStochastic processes
ql/swaptionvolstructure.hppSwaption volatility structure
ql/termstructure.hppBase class for term structures
ql/timegrid.hppDiscrete time grid
ql/timeseries.hppContainer for historical data
ql/types.hppCustom types
ql/volatilitymodel.hppVolatility term structures
ql/voltermstructure.hppVolatility term structures
ql/yieldtermstructure.hppInterest-rate term structure
ql/cashflows/analysis.hppCash-flow analysis functions
ql/cashflows/capflooredcoupon.hppFloating rate coupon with additional cap/floor
ql/cashflows/cashflowvectors.hppCash flow vector builders
ql/cashflows/cmscoupon.hppCMS coupon
ql/cashflows/conundrumpricer.hppCMS-coupon pricer
ql/cashflows/coupon.hppCoupon accruing over a fixed period
ql/cashflows/couponpricer.hppCoupon pricers
ql/cashflows/dividend.hppA stock dividend
ql/cashflows/fixedratecoupon.hppCoupon paying a fixed annual rate
ql/cashflows/floatingratecoupon.hppCoupon paying a variable index-based rate
ql/cashflows/iborcoupon.hppCoupon paying a Libor-type index
ql/cashflows/rangeaccrual.hppRange-accrual coupon
ql/cashflows/simplecashflow.hppPredetermined cash flow
ql/cashflows/timebasket.hppDistribution over a number of date ranges
ql/currencies/africa.hppAfrican currencies
ql/currencies/america.hppAmerican currencies
ql/currencies/asia.hppAsian currencies
ql/currencies/europe.hppEuropean currencies
ql/currencies/exchangeratemanager.hppExchange-rate repository
ql/currencies/oceania.hppOceanian currencies
ql/indexes/iborindex.hppBase class for Inter-Bank-Offered-Rate indexes
ql/indexes/indexmanager.hppGlobal repository for past index fixings
ql/indexes/interestrateindex.hppBase class for interest rate indexes
ql/indexes/swapindex.hppSwap-rate indexes
ql/indexes/ibor/audlibor.hppAUD LIBOR rate
ql/indexes/ibor/cadlibor.hppCAD LIBOR rate
ql/indexes/ibor/cdor.hppCDOR rate
ql/indexes/ibor/chflibor.hppCHF LIBOR rate
ql/indexes/ibor/dkklibor.hppDKK LIBOR rate
ql/indexes/ibor/euribor.hppEuribor index
ql/indexes/ibor/eurlibor.hppEUR LIBOR rate
ql/indexes/ibor/gbplibor.hppGBP LIBOR rate
ql/indexes/ibor/jibar.hppJIBAR rate
ql/indexes/ibor/jpylibor.hppJPY LIBOR rate
ql/indexes/ibor/libor.hppBase class for BBA LIBOR indexes
ql/indexes/ibor/nzdlibor.hppNZD LIBOR rate
ql/indexes/ibor/tibor.hppJPY TIBOR rate
ql/indexes/ibor/trlibor.hppTRY LIBOR rate
ql/indexes/ibor/usdlibor.hppUSD LIBOR rate
ql/indexes/ibor/zibor.hppCHF ZIBOR rate
ql/indexes/swap/euriborswapfixa.hppEuriborSwapFixA indexes
ql/indexes/swap/euriborswapfixb.hppEuriborSwapFixB indexes
ql/indexes/swap/euriborswapfixifr.hppEuriborSwapFixIFR indexes
ql/indexes/swap/eurliborswapfixa.hppEurliborSwapFixA indexes
ql/indexes/swap/eurliborswapfixb.hppEurliborSwapFixB indexes
ql/indexes/swap/eurliborswapfixifr.hppEurliborSwapFixIFR indexes
ql/instruments/asianoption.hppAsian option on a single asset
ql/instruments/assetswap.hppBullet bond vs Libor swap
ql/instruments/barrieroption.hppBarrier option on a single asset
ql/instruments/basketoption.hppBasket option on a number of assets
ql/instruments/bond.hppConcrete bond class
ql/instruments/callabilityschedule.hppSchedule of put/call dates
ql/instruments/capfloor.hppCap and floor class
ql/instruments/cliquetoption.hppCliquet option
ql/instruments/cmsratebond.hppCMS-rate bond
ql/instruments/compositeinstrument.hppComposite instrument class
ql/instruments/convertiblebond.hppConvertible bond class
ql/instruments/dividendschedule.hppSchedule of dividend dates
ql/instruments/dividendvanillaoption.hppVanilla option on a single asset with discrete dividends
ql/instruments/europeanoption.hppEuropean option on a single asset
ql/instruments/fixedratebond.hppFixed-rate bond
ql/instruments/fixedratebondforward.hppForward contract on a fixed-rate bond
ql/instruments/floatingratebond.hppFloating-rate bond
ql/instruments/forward.hppBase forward class
ql/instruments/forwardrateagreement.hppForward rate agreement
ql/instruments/forwardvanillaoption.hppForward version of a vanilla option
ql/instruments/lookbackoption.hppLookback option on a single asset
ql/instruments/makecapfloor.hppHelper class to instantiate standard market cap/floor
ql/instruments/makecms.hppHelper class to instantiate standard market CMS
ql/instruments/makevanillaswap.hppHelper class to instantiate standard market swaps
ql/instruments/multiassetoption.hppOption on multiple assets
ql/instruments/oneassetoption.hppOption on a single asset
ql/instruments/oneassetstrikedoption.hppOption on a single asset with striked payoff
ql/instruments/payoffs.hppPayoffs for various options
ql/instruments/quantoforwardvanillaoption.hppQuanto version of a forward vanilla option
ql/instruments/quantovanillaoption.hppQuanto version of a vanilla option
ql/instruments/stickyratchet.hppPayoffs for double nested options of sticky or ratchet type
ql/instruments/stock.hppConcrete stock class
ql/instruments/swap.hppInterest rate swap
ql/instruments/swaption.hppSwaption class
ql/instruments/vanillaoption.hppVanilla option on a single asset
ql/instruments/vanillaswap.hppSimple fixed-rate vs Libor swap
ql/instruments/varianceswap.hppVariance swap
ql/instruments/zerocouponbond.hppZero-coupon bond
ql/legacy/libormarketmodels/lfmcovarproxy.hppProxy for libor forward covariance parameterization
ql/legacy/libormarketmodels/liborforwardmodel.hppLibor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices
ql/legacy/libormarketmodels/lmconstwrappercorrmodel.hppConst wrapper for correlation model for libor market models
ql/legacy/libormarketmodels/lmconstwrappervolmodel.hppConst wrapper for a volatility model for libor market models
ql/legacy/libormarketmodels/lmcorrmodel.hppCorrelation model for libor market models
ql/legacy/libormarketmodels/lmexpcorrmodel.hppExponential correlation model for libor market models
ql/legacy/libormarketmodels/lmextlinexpvolmodel.hppVolatility model for libor market models
ql/legacy/libormarketmodels/lmfixedvolmodel.hppModel of constant volatilities for libor market models
ql/legacy/libormarketmodels/lmlinexpcorrmodel.hppExponential correlation model for libor market models
ql/legacy/libormarketmodels/lmlinexpvolmodel.hppVolatility model for libor market models
ql/legacy/libormarketmodels/lmvolmodel.hppVolatility model for libor market models
ql/legacy/pricers/discretegeometricaso.hppDiscrete geometric average-strike Asian option
ql/legacy/pricers/mccliquetoption.hppCliquet option priced with Monte Carlo simulation
ql/legacy/pricers/mcdiscretearithmeticaso.hppDiscrete arithmetic average-strike Asian option
ql/legacy/pricers/mceverest.hppEverest-type option pricer
ql/legacy/pricers/mchimalaya.hppHimalayan-type option pricer
ql/legacy/pricers/mcmaxbasket.hppMax-basket Monte Carlo pricer
ql/legacy/pricers/mcpagoda.hppRoofed multi asset Asian option
ql/legacy/pricers/mcperformanceoption.hppPerformance option priced with Monte Carlo simulation
ql/legacy/pricers/mcpricer.hppBase class for Monte Carlo pricers
ql/legacy/pricers/singleassetoption.hppCommon code for option evaluation
ql/math/array.hpp1-D array used in linear algebra
ql/math/beta.hppBeta and beta incomplete functions
ql/math/comparison.hppFloating-point comparisons
ql/math/curve.hppCurve
ql/math/domain.hppDomain
ql/math/errorfunction.hppError function
ql/math/factorial.hppFactorial numbers calculator
ql/math/functional.hppFunctionals and combinators not included in the STL
ql/math/incompletegamma.hppIncomplete Gamma function
ql/math/interpolation.hppBase class for 1-D interpolations
ql/math/lexicographicalview.hppLexicographical 2-D view of a contiguous set of data
ql/math/linearleastsquaresregression.hppGeneral linear least square regression
ql/math/matrix.hppMatrix used in linear algebra
ql/math/primenumbers.hppPrime numbers calculator
ql/math/rounding.hppRounding implementation
ql/math/sampledcurve.hppClass that contains a sampled curve
ql/math/solver1d.hppAbstract 1-D solver class
ql/math/surface.hppSurface
ql/math/transformedgrid.hppEncapuslates a grid
ql/math/distributions/binomialdistribution.hppBinomial distribution
ql/math/distributions/bivariatenormaldistribution.hppBivariate cumulative normal distribution
ql/math/distributions/chisquaredistribution.hppChi-square (central and non-central) distributions
ql/math/distributions/gammadistribution.hppGamma distribution
ql/math/distributions/normaldistribution.hppNormal, cumulative and inverse cumulative distributions
ql/math/distributions/poissondistribution.hppPoisson distribution
ql/math/integrals/gaussianorthogonalpolynomial.hppOrthogonal polynomials for gaussian quadratures
ql/math/integrals/gaussianquadratures.hppIntegral of a 1-dimensional function using the Gauss quadratures
ql/math/integrals/integral.hppIntegrators base class definition
ql/math/integrals/kronrodintegral.hppIntegral of a 1-dimensional function using the Gauss-Kronrod method
ql/math/integrals/segmentintegral.hppIntegral of a one-dimensional function using segment algorithm
ql/math/integrals/simpsonintegral.hppIntegral of a one-dimensional function using Simpson formula
ql/math/integrals/trapezoidintegral.hppIntegral of a one-dimensional function using the trapezoid formula
ql/math/interpolations/backwardflatinterpolation.hppBackward-flat interpolation between discrete points
ql/math/interpolations/bicubicsplineinterpolation.hppBicubic spline interpolation between discrete points
ql/math/interpolations/bilinearinterpolation.hppBilinear interpolation between discrete points
ql/math/interpolations/cubicspline.hppCubic spline interpolation between discrete points
ql/math/interpolations/extrapolation.hppClass-wide extrapolation settings
ql/math/interpolations/flatextrapolation2d.hppAbstract base classes for 2-D flat extrapolations
ql/math/interpolations/forwardflatinterpolation.hppForward-flat interpolation between discrete points
ql/math/interpolations/interpolation2d.hppAbstract base classes for 2-D interpolations
ql/math/interpolations/linearinterpolation.hppLinear interpolation between discrete points
ql/math/interpolations/loglinearinterpolation.hppLog-linear interpolation between discrete points
ql/math/interpolations/multicubicspline.hppN-dimensional cubic spline interpolation between discrete points
ql/math/interpolations/sabrinterpolation.hppSABR interpolation interpolation between discrete points
ql/math/matrixutilities/choleskydecomposition.hppCholesky decomposition
ql/math/matrixutilities/getcovariance.hppCovariance matrix calculation
ql/math/matrixutilities/pseudosqrt.hppPseudo square root of a real symmetric matrix
ql/math/matrixutilities/svd.hppSingular value decomposition
ql/math/matrixutilities/symmetricschurdecomposition.hppEigenvalues/eigenvectors of a real symmetric matrix
ql/math/matrixutilities/tqreigendecomposition.hppTridiag. QR eigen decomposition with explicite shift aka Wilkinson
ql/math/optimization/armijo.hppArmijo line-search class
ql/math/optimization/conjugategradient.hppConjugate gradient optimization method
ql/math/optimization/constraint.hppAbstract constraint class
ql/math/optimization/costfunction.hppOptimization cost function class
ql/math/optimization/endcriteria.hppOptimization criteria class
ql/math/optimization/leastsquare.hppLeast square cost function
ql/math/optimization/levenbergmarquardt.hppLevenberg-Marquardt optimization method
ql/math/optimization/linesearch.hppLine search abstract class
ql/math/optimization/linesearchbasedmethod.hppAbstract optimization method class
ql/math/optimization/lmdif.hppWrapper for MINPACK minimization routine
ql/math/optimization/method.hppAbstract optimization method class
ql/math/optimization/problem.hppAbstract optimization problem class
ql/math/optimization/projectedcostfunction.hppCost function utility
ql/math/optimization/simplex.hppSimplex optimization method
ql/math/optimization/steepestdescent.hppSteepest descent optimization method
ql/math/randomnumbers/boxmullergaussianrng.hppBox-Muller Gaussian random-number generator
ql/math/randomnumbers/centrallimitgaussianrng.hppCentral limit Gaussian random-number generator
ql/math/randomnumbers/faurersg.hppFaure low-discrepancy sequence generator
ql/math/randomnumbers/haltonrsg.hppHalton low-discrepancy sequence generator
ql/math/randomnumbers/inversecumulativerng.hppInverse cumulative Gaussian random-number generator
ql/math/randomnumbers/inversecumulativersg.hppInverse cumulative random sequence generator
ql/math/randomnumbers/knuthuniformrng.hppKnuth uniform random number generator
ql/math/randomnumbers/lecuyeruniformrng.hppL'Ecuyer uniform random number generator
ql/math/randomnumbers/mt19937uniformrng.hppMersenne Twister uniform random number generator
ql/math/randomnumbers/randomizedlds.hppRandomized low-discrepancy sequence
ql/math/randomnumbers/randomsequencegenerator.hppRandom sequence generator based on a pseudo-random number generator
ql/math/randomnumbers/rngtraits.hppRandom-number generation policies
ql/math/randomnumbers/seedgenerator.hppRandom seed generator
ql/math/randomnumbers/sobolrsg.hppSobol low-discrepancy sequence generator
ql/math/solvers1d/bisection.hppBisection 1-D solver
ql/math/solvers1d/brent.hppBrent 1-D solver
ql/math/solvers1d/falseposition.hppFalse-position 1-D solver
ql/math/solvers1d/newton.hppNewton 1-D solver
ql/math/solvers1d/newtonsafe.hppSafe (bracketed) Newton 1-D solver
ql/math/solvers1d/ridder.hppRidder 1-D solver
ql/math/solvers1d/secant.hppSecant 1-D solver
ql/math/statistics/convergencestatistics.hppStatistics tool with risk measures
ql/math/statistics/discrepancystatistics.hppStatistic tool for sequences with discrepancy calculation
ql/math/statistics/gaussianstatistics.hppStatistics tool for gaussian-assumption risk measures
ql/math/statistics/generalstatistics.hppStatistics tool
ql/math/statistics/incrementalstatistics.hppStatistics tool based on incremental accumulation
ql/math/statistics/riskstatistics.hppEmpirical-distribution risk measures
ql/math/statistics/sequencestatistics.hppStatistics tools for sequence (vector, list, array) samples
ql/math/statistics/statistics.hppStatistics tool with risk measures
ql/methods/finitedifferences/americancondition.hppAmerican option exercise condition
ql/methods/finitedifferences/boundarycondition.hppBoundary conditions for differential operators
ql/methods/finitedifferences/bsmoperator.hppDifferential operator for Black-Scholes-Merton equation
ql/methods/finitedifferences/bsmtermoperator.hppDifferential operator for Black-Scholes-Merton equation
ql/methods/finitedifferences/cranknicolson.hppCrank-Nicolson scheme for finite difference methods
ql/methods/finitedifferences/dminus.hpp$ D_{-} $ matricial representation
ql/methods/finitedifferences/dplus.hpp$ D_{+} $ matricial representation
ql/methods/finitedifferences/dplusdminus.hpp$ D_{+}D_{-} $ matricial representation
ql/methods/finitedifferences/dzero.hpp$ D_{0} $ matricial representation
ql/methods/finitedifferences/expliciteuler.hppExplicit Euler scheme for finite difference methods
ql/methods/finitedifferences/fdtypedefs.hppDefault choices for template instantiations
ql/methods/finitedifferences/finitedifferencemodel.hppGeneric finite difference model
ql/methods/finitedifferences/impliciteuler.hppImplicit Euler scheme for finite difference methods
ql/methods/finitedifferences/mixedscheme.hppMixed (explicit/implicit) scheme for finite difference methods
ql/methods/finitedifferences/onefactoroperator.hppGeneral differential operator for one-factor interest rate models
ql/methods/finitedifferences/operatorfactory.hppFactory for finite difference operators
ql/methods/finitedifferences/operatortraits.hppDifferential operator traits
ql/methods/finitedifferences/parallelevolver.hppParallel evolver for multiple arrays
ql/methods/finitedifferences/pde.hppGeneral class for one dimensional PDE's
ql/methods/finitedifferences/pdebsm.hppBlack-Scholes-Merton PDE
ql/methods/finitedifferences/pdeshortrate.hppAdapter to short rate
ql/methods/finitedifferences/shoutcondition.hppShout option exercise condition
ql/methods/finitedifferences/stepcondition.hppConditions to be applied at every time step
ql/methods/finitedifferences/tridiagonaloperator.hppTridiagonal operator
ql/methods/finitedifferences/zerocondition.hppZero option exercise condition
ql/methods/lattices/binomialtree.hppBinomial tree class
ql/methods/lattices/bsmlattice.hppBinomial trees under the BSM model
ql/methods/lattices/lattice.hppTree-based lattice-method class
ql/methods/lattices/lattice1d.hppOne-dimensional lattice class
ql/methods/lattices/lattice2d.hppTwo-dimensional lattice class
ql/methods/lattices/tflattice.hppBinomial Tsiveriotis-Fernandes tree model
ql/methods/lattices/tree.hppTree class
ql/methods/lattices/trinomialtree.hppTrinomial tree class
ql/methods/montecarlo/brownianbridge.hppBrowian bridge
ql/methods/montecarlo/earlyexercisepathpricer.hppBase class for early exercise single-path pricers
ql/methods/montecarlo/longstaffschwartzpathpricer.hppLongstaff-Schwarz path pricer for early exercise options
ql/methods/montecarlo/lsmbasissystem.hppUtility classes for Longstaff-Schwartz early-exercise Monte Carlo
ql/methods/montecarlo/mctraits.hppMonte Carlo policies
ql/methods/montecarlo/montecarlomodel.hppGeneral-purpose Monte Carlo model
ql/methods/montecarlo/multipath.hppCorrelated multiple asset paths
ql/methods/montecarlo/multipathgenerator.hppGenerates a multi path from a random-array generator
ql/methods/montecarlo/path.hppSingle factor random walk
ql/methods/montecarlo/pathgenerator.hppGenerates random paths using a sequence generator
ql/methods/montecarlo/pathpricer.hppBase class for single-path pricers
ql/methods/montecarlo/sample.hppWeighted sample
ql/models/calibrationhelper.hppCalibration helper class
ql/models/model.hppAbstract interest rate model class
ql/models/parameter.hppModel parameter classes
ql/models/equity/batesmodel.hppExtended versions of the Heston model
ql/models/equity/hestonmodel.hppHeston model for the stochastic volatility of an asset
ql/models/equity/hestonmodelhelper.hppHeston-model calibration helper
ql/models/marketmodels/swapforwardmappings.hppUtility functions for mapping between swap rate and forward rate
ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hppDrift computation for CMS market model
ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hppDrift computation for Libor market model
ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hppDrift computation for normal Libor market model
ql/models/marketmodels/driftcomputation/smmdriftcalculator.hppDrift computation for coterminal-swap market model
ql/models/shortrate/onefactormodel.hppAbstract one-factor interest rate model class
ql/models/shortrate/twofactormodel.hppAbstract two-factor interest rate model class
ql/models/shortrate/calibrationhelpers/caphelper.hppCapHelper calibration helper
ql/models/shortrate/calibrationhelpers/swaptionhelper.hppSwaption calibration helper
ql/models/shortrate/onefactormodels/blackkarasinski.hppBlack-Karasinski model
ql/models/shortrate/onefactormodels/coxingersollross.hppCox-Ingersoll-Ross model
ql/models/shortrate/onefactormodels/extendedcoxingersollross.hppExtended Cox-Ingersoll-Ross model
ql/models/shortrate/onefactormodels/hullwhite.hppHull & White (HW) model
ql/models/shortrate/onefactormodels/vasicek.hppVasicek model class
ql/models/shortrate/twofactormodels/g2.hppTwo-factor additive Gaussian Model G2++
ql/models/volatility/constantestimator.hppConstant volatility estimator
ql/models/volatility/garch.hppGARCH volatility model
ql/models/volatility/garmanklass.hppVolatility estimators using high low data
ql/models/volatility/simplelocalestimator.hppConstant volatility estimator
ql/patterns/composite.hppComposite pattern
ql/patterns/curiouslyrecurring.hppCuriously recurring template pattern
ql/patterns/lazyobject.hppFramework for calculation on demand and result caching
ql/patterns/observable.hppObserver/observable pattern
ql/patterns/singleton.hppBasic support for the singleton pattern
ql/patterns/visitor.hppDegenerate base class for the Acyclic Visitor pattern
ql/pricingengines/americanpayoffatexpiry.hppAnalytical formulae for american exercise with payoff at expiry
ql/pricingengines/americanpayoffathit.hppAnalytical formulae for american exercise with payoff at hit
ql/pricingengines/blackcalculator.hppBlack-formula calculator class
ql/pricingengines/blackformula.hppBlack formula
ql/pricingengines/blackscholescalculator.hppBlack-Scholes formula calculator class
ql/pricingengines/genericmodelengine.hppGeneric option engine based on a model
ql/pricingengines/greeks.hppDefault greek calculations
ql/pricingengines/latticeshortratemodelengine.hppEngine for a short-rate model specialized on a lattice
ql/pricingengines/mclongstaffschwartzengine.hppLongstaff Schwartz Monte Carlo engine for early exercise options
ql/pricingengines/mcsimulation.hppFramework for Monte Carlo engines
ql/pricingengines/asian/analytic_cont_geom_av_price.hppAnalytic engine for continuous geometric average price Asian
ql/pricingengines/asian/analytic_discr_geom_av_price.hppAnalytic engine for discrete geometric average price Asian
ql/pricingengines/asian/mc_discr_arith_av_price.hppMonte Carlo engine for discrete arithmetic average price Asian
ql/pricingengines/asian/mc_discr_geom_av_price.hppMonte Carlo engine for discrete geometric average price Asian
ql/pricingengines/asian/mcdiscreteasianengine.hppMonte Carlo pricing engine for discrete average Asians
ql/pricingengines/barrier/analyticbarrierengine.hppAnalytic barrier option engines
ql/pricingengines/barrier/mcbarrierengine.hppMonte Carlo barrier option engines
ql/pricingengines/basket/mcamericanbasketengine.hppLeast-square Monte Carlo engines
ql/pricingengines/basket/mcbasketengine.hppEuropean basket MC Engine
ql/pricingengines/basket/stulzengine.hpp2D European Basket formulae, due to Stulz (1982)
ql/pricingengines/capfloor/analyticcapfloorengine.hppAnalytic engine for caps/floors
ql/pricingengines/capfloor/blackcapfloorengine.hppBlack-formula cap/floor engine
ql/pricingengines/capfloor/discretizedcapfloor.hppDiscretized cap/floor
ql/pricingengines/capfloor/marketmodelcapfloorengine.hppMarket-model cap/floor engine
ql/pricingengines/capfloor/mchullwhiteengine.hppMonte Carlo Hull-White engine for cap/floors
ql/pricingengines/capfloor/treecapfloorengine.hppNumerical lattice engine for cap/floors
ql/pricingengines/cliquet/analyticcliquetengine.hppAnalytic Cliquet engine
ql/pricingengines/cliquet/analyticperformanceengine.hppAnalytic performance engine
ql/pricingengines/forward/forwardengine.hppForward (strike-resetting) option engine
ql/pricingengines/forward/forwardperformanceengine.hppForward (strike-resetting) performance option engines
ql/pricingengines/forward/mcvarianceswapengine.hppMonte Carlo variance-swap engine
ql/pricingengines/forward/replicatingvarianceswapengine.hppReplicating engine for variance swaps
ql/pricingengines/hybrid/binomialconvertibleengine.hppBinomial engine for convertible bonds
ql/pricingengines/hybrid/discretizedconvertible.hppDiscretized convertible
ql/pricingengines/lookback/analyticcontinuousfixedlookback.hppAnalytic engine for continuous fixed-strike lookback
ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hppAnalytic engine for continuous floating-strike lookback
ql/pricingengines/quanto/quantoengine.hppQuanto option engine
ql/pricingengines/swaption/blackswaptionengine.hppBlack-formula swaption engine
ql/pricingengines/swaption/discretizedswaption.hppDiscretized swaption class
ql/pricingengines/swaption/g2swaptionengine.hppSwaption pricing engine for two-factor additive Gaussian Model G2++
ql/pricingengines/swaption/jamshidianswaptionengine.hppSwaption engine using Jamshidian's decomposition
ql/pricingengines/swaption/lfmswaptionengine.hppLibor forward model swaption engine based on black formula
ql/pricingengines/swaption/treeswaptionengine.hppNumerical lattice engines for swaps and swaptions
ql/pricingengines/vanilla/analyticdigitalamericanengine.hppAnalytic digital American option engine
ql/pricingengines/vanilla/analyticdividendeuropeanengine.hppAnalytic discrete-dividend European engine
ql/pricingengines/vanilla/analyticeuropeanengine.hppAnalytic European engine
ql/pricingengines/vanilla/analytichestonengine.hppAnalytic Heston-model engine
ql/pricingengines/vanilla/baroneadesiwhaleyengine.hppBarone-Adesi and Whaley approximation engine
ql/pricingengines/vanilla/batesengine.hppAnalytic Bates model engine
ql/pricingengines/vanilla/binomialengine.hppBinomial option engine
ql/pricingengines/vanilla/bjerksundstenslandengine.hppBjerksund and Stensland approximation engine
ql/pricingengines/vanilla/discretizedvanillaoption.hppDiscretized vanilla option
ql/pricingengines/vanilla/fdamericanengine.hppFinite-differences American option engine
ql/pricingengines/vanilla/fdbermudanengine.hppFinite-difference Bermudan engine
ql/pricingengines/vanilla/fdconditions.hppFinite-difference templates to generate engines
ql/pricingengines/vanilla/fddividendamericanengine.hppAmerican engine with discrete deterministic dividends
ql/pricingengines/vanilla/fddividendengine.hppBase engine for option with dividends
ql/pricingengines/vanilla/fddividendeuropeanengine.hppFinite-differences engine for European option with dividends
ql/pricingengines/vanilla/fddividendshoutengine.hppBase class for shout engine with dividends
ql/pricingengines/vanilla/fdeuropeanengine.hppFinite-difference European engine
ql/pricingengines/vanilla/fdmultiperiodengine.hppBase engine for options with events happening at specific times
ql/pricingengines/vanilla/fdshoutengine.hppFinite-differences shout engine
ql/pricingengines/vanilla/fdstepconditionengine.hppFinite-differences step-condition engine
ql/pricingengines/vanilla/fdvanillaengine.hppFinite-differences vanilla-option engine
ql/pricingengines/vanilla/integralengine.hppIntegral option engine
ql/pricingengines/vanilla/jumpdiffusionengine.hppJump diffusion (Merton 1976) engine
ql/pricingengines/vanilla/juquadraticengine.hppJu quadratic (1999) approximation engine
ql/pricingengines/vanilla/mcamericanengine.hppAmerican Monte Carlo engine
ql/pricingengines/vanilla/mcdigitalengine.hppDigital option Monte Carlo engine
ql/pricingengines/vanilla/mceuropeanengine.hppMonte Carlo European option engine
ql/pricingengines/vanilla/mceuropeanhestonengine.hppMonte Carlo Heston-model engine for European options
ql/pricingengines/vanilla/mcvanillaengine.hppMonte Carlo vanilla option engine
ql/processes/blackscholesprocess.hppBlack-Scholes processes
ql/processes/eulerdiscretization.hppEuler discretization for stochastic processes
ql/processes/forwardmeasureprocess.hppForward-measure stochastic processes
ql/processes/g2process.hppG2 stochastic processes
ql/processes/geometricbrownianprocess.hppGeometric Brownian-motion process
ql/processes/hestonprocess.hppHeston stochastic process
ql/processes/hullwhiteprocess.hppHull-White stochastic processes
ql/processes/lfmcovarparam.hppVolatility & correlation function for libor forward model process
ql/processes/lfmhullwhiteparam.hppLibor market model parameterization based on Hull White
ql/processes/lfmprocess.hppStochastic process of a libor forward model
ql/processes/merton76process.hppMerton-76 process
ql/processes/ornsteinuhlenbeckprocess.hppOrnstein-Uhlenbeck process
ql/processes/squarerootprocess.hppSquare-root process
ql/processes/stochasticprocessarray.hppArray of correlated 1-D stochastic processes
ql/quotes/compositequote.hppPurely virtual base class for market observables
ql/quotes/derivedquote.hppMarket quote whose value depends on another quote
ql/quotes/eurodollarfuturesquote.hppQuote for the Eurodollar-future implied standard deviation
ql/quotes/forwardvaluequote.hppQuote for the forward value of an index
ql/quotes/futuresconvadjustmentquote.hppQuote for the futures-convexity adjustment of an index
ql/quotes/impliedstddevquote.hppQuote for the implied standard deviation of an underlying
ql/quotes/simplequote.hppSimple quote class
ql/termstructures/volatilities/blackconstantvol.hppBlack constant volatility, no time dependence, no strike dependence
ql/termstructures/volatilities/blackvariancecurve.hppBlack volatility curve modelled as variance curve
ql/termstructures/volatilities/blackvariancesurface.hppBlack volatility surface modelled as variance surface
ql/termstructures/volatilities/capflatvolvector.hppCap/floor at-the-money flat volatility vector
ql/termstructures/volatilities/capletconstantvol.hppConstant caplet volatility
ql/termstructures/volatilities/capletvariancecurve.hppCaplet variance curve
ql/termstructures/volatilities/capletvolatilitiesstructures.hppCaplet Volatilities Structures used during bootstrapping procedure
ql/termstructures/volatilities/capstripper.hppCaplet volatility stripper
ql/termstructures/volatilities/cmsmarket.hppSet of CMS quotes
ql/termstructures/volatilities/impliedvoltermstructure.hppImplied Black Vol Term Structure
ql/termstructures/volatilities/interpolatedsmilesection.hppInterpolated smile section class
ql/termstructures/volatilities/localconstantvol.hppLocal constant volatility, no time dependence, no asset dependence
ql/termstructures/volatilities/localvolcurve.hppLocal volatility curve derived from a Black curve
ql/termstructures/volatilities/localvolsurface.hppLocal volatility surface derived from a Black vol surface
ql/termstructures/volatilities/sabr.hppSABR functions
ql/termstructures/volatilities/sabrinterpolatedsmilesection.hppInterpolated smile section class
ql/termstructures/volatilities/smilesection.hppSwaption volatility structure
ql/termstructures/volatilities/swaptionconstantvol.hppConstant swaption volatility
ql/termstructures/volatilities/swaptionvolcube.hppSwaption volatility cube
ql/termstructures/volatilities/swaptionvolcube1.hppSwaption volatility cube, fit-early-interpolate-later approach
ql/termstructures/volatilities/swaptionvolcube2.hppSwaption volatility cube, fit-later-interpolate-early approach
ql/termstructures/volatilities/swaptionvoldiscrete.hppDiscretized swaption volatility
ql/termstructures/volatilities/swaptionvolmatrix.hppSwaption at-the-money volatility matrix
ql/termstructures/yieldcurves/bondhelpers.hppBond rate helpers
ql/termstructures/yieldcurves/bootstraptraits.hppBootstrap traits
ql/termstructures/yieldcurves/compoundforward.hppCompounded forward term structure
ql/termstructures/yieldcurves/discountcurve.hppInterpolated discount factor structure
ql/termstructures/yieldcurves/drifttermstructure.hppDrift term structure
ql/termstructures/yieldcurves/extendeddiscountcurve.hppDiscount factor structure with detailed compound-forward calculation
ql/termstructures/yieldcurves/flatforward.hppFlat forward rate term structure
ql/termstructures/yieldcurves/forwardcurve.hppInterpolated forward-rate structure
ql/termstructures/yieldcurves/forwardspreadedtermstructure.hppForward-spreaded term structure
ql/termstructures/yieldcurves/forwardstructure.hppForward-based yield term structure
ql/termstructures/yieldcurves/impliedtermstructure.hppImplied term structure
ql/termstructures/yieldcurves/piecewiseyieldcurve.hppPiecewise-interpolated term structure
ql/termstructures/yieldcurves/piecewisezerospreadedtermstructure.hppPiecewise-zero-spreaded term structure
ql/termstructures/yieldcurves/quantotermstructure.hppQuanto term structure
ql/termstructures/yieldcurves/ratehelpers.hppDeposit, FRA, futures, and swap rate helpers
ql/termstructures/yieldcurves/zerocurve.hppInterpolated zero-rates structure
ql/termstructures/yieldcurves/zerospreadedtermstructure.hppZero spreaded term structure
ql/termstructures/yieldcurves/zeroyieldstructure.hppZero-yield based term structure
ql/time/businessdayconvention.hppBusinessDayConvention enumeration
ql/time/calendar.hppcalendar class
ql/time/date.hppDate- and time-related classes, typedefs and enumerations
ql/time/frequency.hppFrequency enumeration
ql/time/imm.hppIMM-related date functions
ql/time/period.hppPeriod- and frequency-related classes and enumerations
ql/time/schedule.hppDate schedule
ql/time/timeunit.hppTimeUnit enumeration
ql/time/weekday.hppWeekday enumeration
ql/time/calendars/argentina.hppArgentinian calendars
ql/time/calendars/australia.hppAustralian calendar
ql/time/calendars/brazil.hppBrazilian calendar
ql/time/calendars/canada.hppCanadian calendar
ql/time/calendars/china.hppChinese calendar
ql/time/calendars/czechrepublic.hppCzech calendars
ql/time/calendars/denmark.hppDanish calendar
ql/time/calendars/finland.hppFinnish calendar
ql/time/calendars/germany.hppGerman calendars
ql/time/calendars/hongkong.hppHong Kong calendars
ql/time/calendars/hungary.hppHungarian calendar
ql/time/calendars/iceland.hppIcelandic calendars
ql/time/calendars/india.hppIndian calendars
ql/time/calendars/indonesia.hppIndonesian calendars
ql/time/calendars/italy.hppItalian calendars
ql/time/calendars/japan.hppJapanese calendar
ql/time/calendars/jointcalendar.hppJoint calendar
ql/time/calendars/mexico.hppMexican calendars
ql/time/calendars/newzealand.hppNew Zealand calendar
ql/time/calendars/norway.hppNorwegian calendar
ql/time/calendars/nullcalendar.hppCalendar for reproducing theoretical calculations
ql/time/calendars/poland.hppPolish calendar
ql/time/calendars/saudiarabia.hppSaudi Arabian calendar
ql/time/calendars/singapore.hppSingapore calendars
ql/time/calendars/slovakia.hppSlovak calendars
ql/time/calendars/southafrica.hppSouth-African calendar
ql/time/calendars/southkorea.hppSouth Korean calendars
ql/time/calendars/sweden.hppSwedish calendar
ql/time/calendars/switzerland.hppSwiss calendar
ql/time/calendars/taiwan.hppTaiwanese calendars
ql/time/calendars/target.hppTARGET calendar
ql/time/calendars/turkey.hppTurkish calendar
ql/time/calendars/ukraine.hppUkrainian calendars
ql/time/calendars/unitedkingdom.hppUK calendars
ql/time/calendars/unitedstates.hppUS calendars
ql/time/daycounters/actual360.hppAct/360 day counter
ql/time/daycounters/actual365fixed.hppActual/365 (Fixed) day counter
ql/time/daycounters/actualactual.hppAct/act day counters
ql/time/daycounters/business252.hppBusiness/252 day counter
ql/time/daycounters/one.hpp1/1 day counter
ql/time/daycounters/simpledaycounter.hppSimple day counter for reproducing theoretical calculations
ql/time/daycounters/thirty360.hpp30/360 day counters
ql/utilities/clone.hppCloning proxy to an underlying object
ql/utilities/dataformatters.hppOutput manipulators
ql/utilities/dataparsers.hppClasses used to parse data for input
ql/utilities/disposable.hppGeneric disposable object with move semantics
ql/utilities/null.hppNull values
ql/utilities/observablevalue.hppObservable and assignable proxy to concrete value
ql/utilities/steppingiterator.hppIterator advancing in constant steps
ql/utilities/tracing.hppTracing facilities