default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h...
Extend QuantLib African currencies.
USD-AMBOR index for 30D and 90D terms.
interface for amc calculator
AMERIBOR overnight index, https://ameribor.net.
Extend QuantLib American currencies.
Analytic barrier option engines.
pricing engine for cash settled European vanilla options.
analytic cc lgm fx option engine
Wrapper of QuantLib analytic digital American option engine to allow for flipping back some of the ad...
analytic dk cpi cap floor engine
Wrapper of QuantLib analytic double barrier binary engine to allow for flipping back some of the addi...
Analytic barrier option engines.
Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional result...
Analytic European engine providing sensitivities.
Analytic European Forward engine.
Analytic Jarrow Yildrim (JY) CPI cap floor engine.
Analytic Jarrow Yildrim (JY) year on year cap floor engine.
analytic lgm cds option engine
analytic engine for european swaptions in the LGM model
analytic cross-asset lgm eq option engine
base class for annuity mapping functions used in TSR models
Average future price option surface derived from future option surface.
Extend QuantLib Asian currencies.
Price helper for average of future settlement prices over a period.
Price helper for average of off-peak electricity prices over a period.
Swap of arithmetic average overnight index against fixed.
Rate helpers to facilitate usage of AverageOIS in bootstrapping.
coupon paying the weighted average of the daily overnight rate
Pricer for average overnight indexed coupons.
Price helper for average of spot price over a period.
backward derivatives computation
Balance Guaranteed Swap instrument.
Barone-Adesi and Whaley approximation engine.
wrapper around base correlation term structure for given detachment point
abstract base correlation structure and an 2d-interpolated base correlation structure
basic compute env implementation using the cpu
Libor basis swap helper as two swaps.
basket of issuers and related notionals
binomial engine for convertible bonds
black average bma coupon pricer for capped / floored BMA coupons
Black bond option engine.
Black credit default swap option engine.
utilities to calculate strikes from deltas and atm strikes on smiles
Black index credit default swap option engine.
Black volatility surface that inverts an existing surface.
Black volatility surface that monotonises the variance in an existing surface.
Simple Black European swaption engine.
black coupon pricer for capped / floored ON indexed coupons
wrapper around a vector of BS processes
Swaption engine providing analytical deltas for vanilla swaps.
Black volatility surface that implies an ATM vol based on triangulation.
Black volatility curve modeled as variance curve.
Black volatility surface based on forward moneyness.
Black volatility surface modeled as variance surface.
Black volatility surface modeled as variance surface.
surface that combines an ATM curve and vol spreads from a surface
Black volatility surface based on absolute quotes.
Black volatility surface based on bf/rr quotes.
Black volatility surface based on delta.
Wrapper class for a BlackVolTermStructure when using proxy vols.
Wrapper class for a BlackVolTermStructure that easily exposes ATM vols.
inverse of a matrix using a block formula
wrapper class for bmaindex, for the purpose of providing iborindex inheritance.
Bank of England base rate index, https://www.bankrate.com/uk/mortgages/bank-of-england-base-rate/.
Basket of defaultable bonds.
bond index class representing historical and forward bond prices
cashflow paying the total return of a bond
term structure provided yield curve shifted by bond spread
Coupon pricer for a BRL CDI coupon.
Rate helper based on standard BRL CDI swap.
brownian bridge path interpolator
Deals with a bucketed distribution.
Helper for bootstrapping optionlet volatilities from cap floor volatilities.
Cap floor at-the-money term volatility curve.
Cap/floor smile volatility surface.
coupon paying a capped / floored average bma rate
arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005)
class holding cashflow-related results
additional cash-flow analysis functions
Cashflow table to store cashflow calculation results.
cash settled european vanilla option.
collateralized bond obligation instrument
collateralized bond obligation pricing engine
Monte Carlo pricing engine for the cashflow CDO instrument.
CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care o...
cds option calibration helper
Swiss Average Rate Overnight (SARON)
Swiss Franc T/N rate on Reuters page CHFTOIS.
constant CIR ++ parametrization
constant CIR ++ parametrization
default probability structure implied by a CIRPP model
Constant Maturity Bond yield coupon.
CME Group exchange calendars.
CNY-CNREPOFIX=CFXS-Reuters index.
some commodity related utilities.
commodity average price option engine
A commodity price curve created from an averaged base curve and a collection of basis quotes.
commodity basis future index class for holding price histories and forwarding.
A commodity price curve created from a base price curve and a collection of basis quotes.
A commodity price curve created from a generic price curve and a basis curve.
An interface for a commodity price curve created from a base price curve and a collection of basis qu...
Some data and logic shared among commodity cashflows.
Instrument representing a commodity forward contract.
commodity index class for holding commodity spot and futures price histories and forwarding.
Cash flow dependent on the average commodity spot price or future's settlement price over a period....
Cash flow dependent on a single commodity spot price or future's settlement price.
Commodity model base class.
commodity future options priced in the Schwartz model
Schwartz (1997) one-factor model of the commodity price termstructure.
Schwartz commodity model parametrization.
COM state process for the one-factor Schwartz model.
commodity spread option engine
commodity swaption engine
equity index converting the original equity currency to another currency
index representing a weighted sum of underlying indices
applies a function of a vector of quotes
interface to compute envs
Constant CPI Volatility Surface.
flat interpolation decorator
Canadian Overnight Repo Rate Average (CORRA) index class.
Term structure of correlations.
Utility functions for setting coupon pricers on legs.
methods to make a symmetric matrix positive semidefinite
CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as norm...
CPI cap/floor engine using the Black pricing formula and interpreting the volatility data as lognorma...
Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing.
CPI Cap Floor calibration helper.
CPI leg builder extending QuantLib's to handle caps and floors.
CPI cash flow and coupon pricers that handle caps/floors using a CpiCapFloorEngine.
interpolated correlation term structure
CIR++ credit model class.
CIR++ model state process.
wrapper for default curves, adding (index) reference data
credit linked swap instrument
Credit Linear Gaussian Markov 1 factor parametrization.
analytics for the cross asset model
basic functions for analytics in the cross asset model
dynamic black volatility term structure
dynamic black volatility term structure
crossasset model state process
Cross currency basis swap instrument with MTM reset.
Cross currency basis swap helper with MTM reset.
Cross currency basis swap instrument.
Cross currency basis swap helper.
Cross currency fix float swap instrument with MTM reset.
Cross currency fixed vs float swap instrument.
Cross currency fixed vs. float swap helper.
Swap instrument with legs involving two currencies.
Cross currency swap engine.
Price term structure in a given currency derived from a price term structure in another currency.
credit state parametrization
Compare currencies by currency code.
Interest rate swap with extended interface.
Stripped optionlet surface with fixed reference date.
StrippedOptionlet Adapter.
abstract class for optionlet surface with fixed reference date
helper functions for date operations
German CPI inflation index.
functions to compute delta or delta-gamma VaR numbers
Multithreaded version of QL class.
Engine to value a Bond TRS.
Engine to value a commodity forward contract.
credit linked swap pricing engine
discounting currency swap engine
discounting currency swap engine providing analytical deltas and gammas for vanilla swaps
Engine to value an Equity Forward contract.
Engine to value a Forward Bond contract.
Engine to value an FX Forward off two yield curves.
Engine to value an FX Forward off two yield curves.
Swap engine providing analytical deltas and gammas for vanilla swaps.
Swap engine employing assumptions to speed up calculation.
discount curve modified by the ratio of two other discount curves
Discretized probability density and cumulative probability.
year on year inflation term structure implied by a Dodgson Kainth (DK) model
zero inflation term structure implied by a Dodgson Kainth (DK) model
cms coupon scaled by a duration number
tsr coupon pricer for duration adjusted cms coupon
dynamic black volatility term structure
dynamic zero inflation volatility structure
dynamic optionlet volatility structure
dynamics type definitions
dynamic swaption volatility matrix
dynamic yoy inflation optionlet volatility structure
Constant equity model parametrization.
EQ Black Scholes parametrization.
piecewise constant model parametrization
Imply equity or commodity volatility surface from put/call price surfaces.
A common base class for the FX and Equity Indices. Provides a forecast fixing method for time so the ...
coupon paying the return on an equity
Pricer for equity coupons.
Imply equity forwards from option put/call parity.
equity index class for holding equity fixing histories and forwarding.
coupon paying the return on an equity
Pricer for equity margin coupons.
Extend QuantLib European currencies.
implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017
throws exception when called
ops for external randomvariables
wrapper class for ibor index managing the fallback rules
wrapper class for overnight index managing the fallback rules
extended version of the QuantLib class, see the documentation for details
extended version of the QuantLib class, see the documentation for details
finite difference operator LGM model
extended version of the QuantLib class, see the documentation for details
functions to fill a "not-completely-populated" matrix.
fixed vs averaged bma swap
Coupon paying a fixed rate but with an FX linked notional.
Term structure of flat correlations.
Term structure for a forward dividend curve. If extrapolation is set we extrapolate with the forecast...
Flexi-Swap instrument with global notional bounds.
Coupon paying a Libor-type index.
Nominal flow associated with a floating annuity coupon.
Coupon paying a Libor-type index but with an FX linked notional.
forward derivatives computation
French CPI inflation index.
Base class for classes that perform date calculations for future contracts.
calibration helper for Black-Scholes options
FX Black volatility surface that incorporates an FxSmile.
Constant FX model parametrization.
FX Black Scholes parametrization.
piecewise constant model parametrization
calibration helper for Black-Scholes options
defaultable fxforward instrument
FX smile section assuming a strike/volatility space.
FX smile section assuming a strike/volatility space using vanna volga method.
adaptor class that extracts one irlgm1f component
Default curve implied from a single generator matrix.
generic index class for storing price histories
adds a constant hazard rate spread to a default term structure
probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulati...
Hull White n factor parametrization with constant reversion and vol.
hull white n Factor model class
Hull White n factor parametrization.
projection curve for ibor fallback indices
coupon representing an forward rate agreement
ibor index wrapper with fixings
Intercontinental Exchange calendars.
utilities for implied bond credit spread calculation
implied default term structure
Index CDS option instrument.
Base class for index cds option pricing engines.
Index CDS tranche pricing engine.
Index Credit default swap.
coupon with an indexed notional
Inflation Dodgson Kainth parametrization.
Jarrow Yildrim inflation parameterization.
some inflation related utilities.
Inflation cap/floor engines from QuantLib, with optional external discount curve.
inflation index observer class
wrapper classes for inflation yoy and interpolation
interpolated correlation term structure
interpolated correlation term structure
zero inflation volatility structure interpolated on a expiry/strike matrix of quotes
interpolated discount term structure
interpolated discount term structure
interpolated hazard-rate term structure (with the option to disable the negative rates check)
interpolated survival-probability term structure (with the option to disable the check for negative h...
Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTer...
intrinsic engine for Ascots
ir hw model state process
constant model parametrization
Interest Rate Linear Gaussian Markov 1 factor parametrization.
adaptor to emulate piecewise constant Hull White parameters
piecewise constant model parametrization
piecewise linear model parametrization
ir LGM 1f model state process
Islamic weekends-only calendar.
Israel calendar extension to cover TELBOR publication days.
Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes.
year on year inflation term structure implied by a Jarrow Yildrim (JY) model
zero inflation term structure implied by a Jarrow Yildrim (JY) model
Jarrow Yildrim (JY) pricer for capped or floored year on year (YoY) inflation coupons.
Kendall's rank correlation coefficient computation.
Adaption of VBA code by Jörg Kienitz, 2017, to create a SABR density with PDE methods.
fixed version of ql class (see patch 1,2,3 in the comments below)
interface for LGM1F backward solver
info data on how a lgm model was calibrated
numeric convolution solver for the LGM model using RandoMVariable
numeric convolution solver for the LGM model
default probability structure implied by a LGM model
yield term structure implied by a LGM model
vectorised lgm model calculations
linear annuity mapping function f(S) = a*S+b
calibrated model class with linkable parameters
cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and nor...
log-quadratic interpolation between discrete points
stores log of quote for log-linear interpolation
Helper class to instantiate standard average ON indexed swaps.
Helper class to instantiate standard market cds.
helper class to instantiate standard market OIS cap / floors
helper class for model builders that observes market ts
MC CAM engine for currency swaps.
MC CAM engine for FX Forward instrument.
MC CAM engine for FX Option instrument.
base MC engine for multileg (option) instruments
MC engine for multi leg option instrument.
Abstract multithreaded optimization method class.
Mid-point engine for credit default swaps.
Model builder base class.
price term structure implied by a COM model
yield term structure implied by an IR model
multi leg option instrument
base class for multi path generators
multi path generators returning the generating N(0,1) variates, this is very much in parallel to the ...
default curve with an instantaneous hazard rate given by a vector of underlying curves in specific da...
Nadaraya-Watson regression.
pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s...
capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta)...
normal SABR model implied volatility approximation
normal SABR interpolation interpolation between discrete points
normal sabr smile section class
Norwegian Overnight Weighted Average (NOWA) index class.
A null instrument that always returns an NPV of 0.
numerical integration index credit default swap option engine.
numeric engine for balance guaranteed swaps using a flexi swap proxy in the LGM model
numeric engine for flexi swaps in the LGM model
commodity future index for off peak power prices.
Cross currency overnight index swap paying compounded overnight vs. float.
Overnight Indexed Cross Currency Basis Swap Engine.
Overnight Indexed Cross Currency Basis Swap helpers.
Helper for bootstrapping optionlet volatilties from ois cap floor volatilities.
Overnight Indexed Swap (aka OIS) rate helpers.
opencl compute env implementation
Interpolated one-dimensional curve of optionlet volatilities.
Optionlet (caplet/floorlet) volatility strippers.
ATM optionlet (caplet/floorlet) volatility stripper.
optionlet (caplet/floorlet) volatility stripper
Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities...
Surface to store option prices.
coupon paying the compounded daily overnight rate, copy of QL class, added includeSpread flag
pairwise variance swap engine
cross-asset, generic volatility structure
base class for model parametrizations
base class and standard implementation for path generator factories
Single payment discounting engine.
Create optionlet volatility structure from at-the-money cap floor term volatility curve.
helper classes for piecewise constant parametrizations
One-dimensional curve of bootstrapped optionlet volatilities.
Strip optionlet volatility surface from cap floor volatility term surface.
Piecewise interpolated price term structure.
Piecewise interpolated zero inflation term structure.
Interpolated price curve.
Term structure of prices.
PriceTermStructure adapter.
default probability bootstrap traits for QuantExt
Abstract optimization problem class (for multithreaded optimization methods)
multi path generator projecting paths from a buffered state processr
path generator factory that builds a projected path generator
cross asset model projection utils
multi path generator projecting variates from another variate generator
path generator factory that builds a projected path generator
moneyness-adjusted optionlet vol for normal vols
moneyness-adjusted swaption vol for normal vols
parameter giving access to calibration machinery
quadratic interpolation between discrete points
ops for type randomvariable
ql utility class for random variables
more flexible version of ql class
Region, i.e. geographical area, specification.
representative fx option matcher
representative swaption matcher
RPA instrument for tlock underlyings.
Russian calendar, modified QuantLib Russia to extend MOEX before 2012.
sabr volatility structure
Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model.
Coupon / Cashflow paying scaled amounts.
Singapore Overnight Average Rate (sora)
Spreaded Black volatility curve.
Spreaded Black volatility surface based on moneyness.
Spreaded correlation curve.
spreaded discount term structure
spreaded inflation term structure
Optionlet volatility with overlayed bilinearly interpolated spread surface.
Adds floor to QuantLib::SpreadedOptionletVolatility.
Spreaded Term structure of prices.
smile section with linear interpolated vol spreads
Adds floor to QuantLib::SmileSection.
spreaded default term structure
swaption cube defined via atm vol spreads over another cube
Numerically stabilised general linear least squares.
Statically corrected yield term structure.
compute stop light bounds for overlapping and correlated PL
strips the embedded option from cap floored cpi coupons
strips the embedded option from cap floored yoy inflation coupons
zero inflation volatility structure implied from a cpi cap/floor price surface
StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrap...
Convert a StrippedOptionletBase in to an OptionletVolatilityStructure.
Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and op...
Coupon with a number of sub-periods.
Pricer for sub-period coupons.
Single currency sub periods swap instrument.
Single currency sub periods swap helper.
interpolated survival probability term structure
SABR Swaption volatility cube.
Convert swaption volatilities from one type to another.
swaption cube that combines an ATM matrix and vol spreads from a cube
Swaption volatility cube, fit-later-interpolate-early approach.
Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols.
Synthetic Collateralized Debt Obligation and pricing engines.
Single currency tenor basis swap instrument.
Single currency tenor basis swap helper.
default curve interpolating between two term curves
ibor index class to represent term rates like SOFR-1M, 3M, 6M, 12M
Binomial Tsiveriotis-Fernandes tree model.
Tokyo Overnight Average Rate (TONAR)
trace of a quadratic matrix
utility functions for transition matrices and generators
cashflow paying the total return of an asset
some cashflow related utilities.
Vanilla forward option on a single asset.
yield term structure given as a weighted average of yield term structures
WMR calendar - Thomson Reuters QM/Reuters Spot.
day counter that returns the nearest integer yearfraction
yield term structure given as a yield ts plus weighted sum of default term structures
Year on year inflation cap floor calibration helper.
Observable inflation term structure with floating reference date based on the interpolation of zero r...
Observable inflation term structure with fixed reference date based on the interpolation of yoy rate ...
year-on-year inflation term structure implied by a cross asset model
YoY Inflation Optionlet (caplet/floorlet) volatility strippers.
Year on year inflation swap calibration helper.
Nominal flow associated with a floating annuity coupon.
Observable inflation term structure based on the interpolation of zero rate quotes,...
Observable inflation term structure based on the interpolation of zero rate quotes.
zero inflation term structure implied by a cross asset model
