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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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| ►NQuantLib | |
| ►Ndetail | |
| CAbcdCoeffHolder | |
| CAbcdInterpolationImpl | |
| CBachelierSpec | |
| CBackwardFlatInterpolationImpl | |
| CBackwardflatLinearInterpolationImpl | |
| Cbase_cubic_spline | |
| Cbase_cubic_splint | |
| CBicubicSplineDerivatives | |
| CBicubicSplineImpl | |
| CBilinearInterpolationImpl | |
| CBlack76Spec | |
| CBlackStyleSwaptionEngine | |
| CBootstrapHelperSorter | |
| CCoefficientHolder | |
| CComboHelper | |
| CConstantGradHelper | |
| CConvexMonotone2Helper | |
| CConvexMonotone3Helper | |
| CConvexMonotone4Helper | |
| CConvexMonotone4MinHelper | |
| CConvexMonotoneImpl | |
| CCubicInterpolationImpl | |
| CD0Interpolator | |
| CData | |
| CData< std::vector< Real >, EmptyArg > | |
| CDataTable | |
| CDataTable< Real > | |
| CEmptyArg | |
| CEmptyDim | |
| CEmptyRes | |
| CEverywhereConstantHelper | |
| Cformatted_date_holder | |
| CForwardFlatInterpolationImpl | |
| CGaussianQuadratureIntegrator | |
| CGsrProcessCore | |
| CHullWhiteCapFloorPricer | |
| CImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
| CInt2Type | |
| CInt2Type< 10 > | |
| CInt2Type< 11 > | |
| CInt2Type< 12 > | |
| CInt2Type< 13 > | |
| CInt2Type< 14 > | |
| CInt2Type< 15 > | |
| CInt2Type< 2 > | |
| CInt2Type< 3 > | |
| CInt2Type< 4 > | |
| CInt2Type< 5 > | |
| CInt2Type< 6 > | |
| CInt2Type< 7 > | |
| CInt2Type< 8 > | |
| CInt2Type< 9 > | |
| CIntegrand | |
| Ciso_date_holder | |
| CKernelInterpolation2DImpl | |
| CKernelInterpolationImpl | |
| CLagrangeInterpolationImpl | |
| CLinearFlatInterpolationImpl | |
| CLinearInterpolationImpl | |
| CLogInterpolationImpl | |
| CLogMixedInterpolationImpl | |
| Clong_date_holder | |
| Clong_period_holder | |
| Clong_weekday_holder | |
| CMixedInterpolationImpl | |
| CmultiplyV | |
| Cn_cubic_spline | |
| Cn_cubic_splint | |
| CNoArbSabrSpecs | |
| Cnull_checker | |
| COdeFctWrapper | |
| Cordinal_holder | |
| CPastFixingsOnly | |
| Cpercent_holder | |
| CPoint | |
| CPoint< base_data_table, EmptyRes > | |
| CPoint< Real, EmptyArg > | |
| CPoint< Real, EmptyRes > | |
| CPoint< Size, EmptyDim > | |
| CPolynomial2DSplineImpl | |
| Cpower_of_two_holder | |
| CQdPlusAddOnValue | |
| CQdPutCallParityEngine | |
| CQuadraticHelper | |
| CQuadraticMinHelper | |
| CRoot | Utility for the numerical time solver |
| CSABRSpecs | |
| CSABRWrapper | |
| CSectionHelper | |
| Csequence_holder | |
| Cshort_date_holder | |
| Cshort_period_holder | |
| Cshort_weekday_holder | |
| Cshortest_weekday_holder | |
| Csimple_event | |
| CSumExponentialsRootSolver | |
| CSviSpecs | |
| CTracing | |
| CUpdatedYInterpolation | |
| CVannaVolgaInterpolationImpl | |
| Cvariant_visitor | |
| CVectorBsmProcessExtractor | |
| CXABRCoeffHolder | |
| ►CXABRInterpolationImpl | |
| CXABRError | |
| CZabrSpecs | |
| ►Ndetails | |
| CLinearFct | |
| CLinearFcts | |
| CAbcd | Abcd interpolation factory and traits |
| CAbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
| ►CAbcdCalibration | |
| CAbcdError | |
| CAbcdParametersTransformation | |
| CAbcdFunction | Abcd functional form for instantaneous volatility |
| CAbcdInterpolation | Abcd interpolation between discrete points |
| CAbcdMathFunction | Abcd functional form |
| CAbcdSquared | |
| CAbcdVol | Abcd-interpolated volatility structure |
| CAccountingEngine | Engine collecting cash flows along a market-model simulation |
| ►CActual360 | Actual/360 day count convention |
| CImpl | |
| ►CActual364 | Actual/364 day count convention |
| CImpl | |
| ►CActual36525 | Actual/365.25 day count convention |
| CImpl | |
| ►CActual365Fixed | Actual/365 (Fixed) day count convention |
| CCA_Impl | |
| CImpl | |
| CNL_Impl | |
| ►CActual366 | Actual/366 day count convention |
| CImpl | |
| ►CActualActual | Actual/Actual day count |
| CAFB_Impl | |
| CISDA_Impl | |
| CISMA_Impl | |
| COld_ISMA_Impl | |
| CAcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
| ►CAdaptedPathPayoff | |
| CValuationData | |
| CAdaptiveInertia | AdaptiveInertia |
| CAdaptiveRungeKutta | |
| CAdditionalBootstrapVariables | |
| CAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
| CAEDCurrency | United Arab Emirates dirham |
| ►CAffineHazardRate | |
| Ccurve | |
| CAffineModel | Affine model class |
| CAkimaCubicInterpolation | |
| CAliMikhailHaqCopula | Ali-Mikhail-Haq copula |
| CAlphaFinder | |
| CAlphaForm | |
| CAlphaFormInverseLinear | |
| CAlphaFormLinearHyperbolic | |
| CAmericanBasketPathPricer | |
| CAmericanExercise | American exercise |
| CAmericanPathPricer | |
| CAmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
| CAmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
| CAmortizingCmsRateBond | Amortizing CMS-rate bond |
| CAmortizingFixedRateBond | Amortizing fixed-rate bond |
| CAmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored) |
| CAmortizingPayment | Amortizing payment |
| CAnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option |
| CAnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
| CAnalyticBinaryBarrierEngine | Analytic pricing engine for American binary barriers options |
| CAnalyticBlackVasicekEngine | |
| CAnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
| CAnalyticCapFloorEngine | Analytic engine for cap/floor |
| CAnalyticCEVEngine | |
| CAnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
| CAnalyticComplexChooserEngine | |
| CAnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae |
| CAnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
| CAnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
| CAnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
| CAnalyticContinuousGeometricAveragePriceAsianHestonEngine | Pricing engine for European continuous geometric average price Asian |
| CAnalyticContinuousPartialFixedLookbackEngine | Pricing engine for European continuous partial-time fixed-strike lookback options |
| CAnalyticContinuousPartialFloatingLookbackEngine | Pricing engine for European continuous partial-time floating-strike lookback option |
| CAnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
| CAnalyticDigitalAmericanKOEngine | Analytic pricing engine for American Knock-out options with digital payoff |
| CAnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
| CAnalyticDiscreteGeometricAveragePriceAsianHestonEngine | Pricing engine for European discrete geometric average price Asian |
| CAnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option |
| CAnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
| CAnalyticDoubleBarrierBinaryEngine | Analytic pricing engine for double barrier binary options |
| CAnalyticDoubleBarrierEngine | Pricing engine for double barrier european options using analytical formulae |
| CAnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
| CAnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option |
| CAnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine |
| CAnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation |
| CAnalyticHaganPricer | CMS-coupon pricer |
| ►CAnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
| CAP_Helper | |
| CIntegration | |
| COptimalAlpha | |
| CAnalyticHestonForwardEuropeanEngine | Analytic Heston engine incl. stochastic interest rates |
| CAnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
| CAnalyticHolderExtensibleOptionEngine | Analytic enging for holder-extensible options |
| CAnalyticPartialTimeBarrierOptionEngine | Analytic engine for partial-time barrier options |
| CAnalyticPDFHestonEngine | Analytic engine for arbitrary European payoffs under the Heston model |
| CAnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
| CAnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine |
| CAnalyticSimpleChooserEngine | Pricing engine for European simple chooser option |
| CAnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets |
| CAnalyticTwoAssetCorrelationEngine | Analytic two-asset correlation option engine |
| CAnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options |
| CAndreasenHugeLocalVolAdapter | |
| CAndreasenHugeVolatilityAdapter | |
| ►CAndreasenHugeVolatilityInterpl | Calibration of a local volatility surface to a sparse grid of options |
| CSingleStepCalibrationResult | |
| CAOACurrency | |
| CAonia | Aonia index |
| ►CArgentina | Argentinian calendars |
| CMervalImpl | |
| CArithmeticAPOHestonPathPricer | |
| CArithmeticAPOPathPricer | |
| CArithmeticASOPathPricer | |
| CArithmeticAveragedOvernightIndexedCouponPricer | |
| CArithmeticAverageOIS | |
| CArithmeticOISRateHelper | |
| CArmijoLineSearch | Armijo line search |
| CArray | 1-D array used in linear algebra |
| CARSCurrency | Argentinian peso |
| CAssetOrNothingPayoff | Binary asset-or-nothing payoff |
| ►CAssetSwap | Bullet bond vs Libor swap |
| Carguments | Arguments for asset swap calculation |
| Cresults | Results from simple swap calculation |
| CAssetSwapHelper | |
| CASX | Main cycle of the Australian Securities Exchange (a.k.a. ASX) months |
| CAtmAdjustedSmileSection | |
| CAtmSmileSection | |
| CAtomicDefault | Atomic (single contractual event) default events |
| CATSCurrency | Austrian shilling |
| CAUCPI | AU CPI index (either quarterly or annual) |
| CAUDCurrency | Australian dollar |
| CAUDLibor | AUD LIBOR rate |
| ►CAustralia | Australian calendar |
| CAsxImpl | |
| CSettlementImpl | |
| CAustraliaRegion | Australia as geographical/economic region |
| ►CAustria | Austrian calendars |
| CExchangeImpl | |
| CSettlementImpl | |
| CAverage | Placeholder for enumerated averaging types |
| CAverageBasketPayoff | |
| CAverageBMACoupon | Average BMA coupon |
| CAverageBMALeg | Helper class building a sequence of average BMA coupons |
| CAveragingMultipleResetsPricer | |
| CBachelierCapFloorEngine | Bachelier-Black-formula cap/floor engine |
| CBachelierSwaptionEngine | Normal Bachelier-formula swaption engine |
| CBachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons |
| CBackwardFlat | Backward-flat interpolation factory and traits |
| CBackwardFlatInterpolation | Backward-flat interpolation between discrete points |
| CBackwardflatLinear | |
| CBackwardflatLinearInterpolation | |
| CBankruptcyEvent | |
| CBaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
| CBarrelUnitOfMeasure | |
| CBarrier | Placeholder for enumerated barrier types |
| ►CBarrierOption | Barrier option on a single asset |
| Carguments | Arguments for barrier option calculation |
| Cengine | Barrier-option engine base class |
| CBarrierPathPricer | |
| CBaseCorrelationLossModel | |
| CBaseCorrelationTermStructure | |
| CBasisIncompleteOrdered | |
| CBasket | |
| ►CBasketGeneratingEngine | |
| CMatchHelper | |
| ►CBasketOption | Basket option on a number of assets |
| Cengine | Basket-option engine base class |
| CBasketPayoff | |
| CBatesDetJumpEngine | |
| CBatesDetJumpModel | |
| CBatesDoubleExpDetJumpEngine | |
| CBatesDoubleExpDetJumpModel | |
| CBatesDoubleExpEngine | |
| CBatesDoubleExpModel | |
| CBatesEngine | Bates model engines based on Fourier transform |
| CBatesModel | Bates stochastic-volatility model |
| CBatesProcess | Square-root stochastic-volatility Bates process |
| CBbsw | Bbsw index |
| CBbsw1M | 1-month Bbsw index |
| CBbsw2M | 2-months Bbsw index |
| CBbsw3M | 3-months Bbsw index |
| CBbsw4M | 4-months Bbsw index |
| CBbsw5M | 5-months Bbsw index |
| CBbsw6M | 6-months Bbsw index |
| CBCHCurrency | Bitcoin Cash |
| CBDTCurrency | Bangladesh taka |
| CBEFCurrency | Belgian franc |
| CBermudanExercise | Bermudan exercise |
| CBermudanSwaptionExerciseValue | |
| CBernsteinPolynomial | Class of Bernstein polynomials |
| ►CBespokeCalendar | Bespoke calendar |
| CImpl | |
| CBetaRisk | |
| CBetaRiskSimulation | |
| CBFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm |
| CBGLCurrency | Bulgarian lev |
| CBGNCurrency | Bulgarian lev |
| CBHDCurrency | Bahraini dinar |
| CBiasedBarrierPathPricer | |
| CBibor | Bibor index |
| CBibor1M | 1-month Bibor index |
| CBibor1Y | 1-year Bibor index |
| CBibor2M | 2-months Bibor index |
| CBibor3M | 3-months Bibor index |
| CBibor6M | 6-months Bibor index |
| CBibor9M | |
| CBiborSW | 1-week Bibor index |
| CBiCGstab | |
| CBiCGStabResult | |
| CBicubic | Bicubic-spline-interpolation factory |
| CBicubicSpline | Bicubic-spline interpolation between discrete points |
| CBilinear | Bilinear-interpolation factory |
| CBilinearInterpolation | bilinear interpolation between discrete points |
| CBinomialBarrierEngine | Pricing engine for barrier options using binomial trees |
| CBinomialConvertibleEngine | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
| CBinomialDistribution | Binomial probability distribution function |
| CBinomialDoubleBarrierEngine | Pricing engine for double barrier options using binomial trees |
| CBinomialLossModel | |
| CBinomialProbabilityOfAtLeastNEvents | Probability of at least N events |
| CBinomialTree | Binomial tree base class |
| CBinomialVanillaEngine | Pricing engine for vanilla options using binomial trees |
| CBisection | Bisection 1-D solver |
| CBivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
| CBivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
| CBivariateCumulativeStudentDistribution | Cumulative Student t-distribution |
| CBjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
| CBjerksundStenslandSpreadEngine | Pricing engine for spread option on two futures |
| CBkbm | Bkbm index |
| CBkbm1M | 1-month Bkbm index |
| CBkbm2M | 2-months Bkbm index |
| CBkbm3M | 3-months Bkbm index |
| CBkbm4M | 4-months Bkbm index |
| CBkbm5M | 5-months Bkbm index |
| CBkbm6M | 6-months Bkbm index |
| CBlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
| CBlackCalculator | Black 1976 calculator class |
| CBlackCalibrationHelper | Liquid Black76 market instrument used during calibration |
| CBlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine |
| CBlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine |
| CBlackCapFloorEngine | Black-formula cap/floor engine |
| CBlackCdsOptionEngine | Black-formula CDS-option engine |
| CBlackConstantVol | Constant Black volatility, no time-strike dependence |
| CBlackDeltaCalculator | Black delta calculator class |
| CBlackDeltaPremiumAdjustedMaxStrikeClass | |
| CBlackDeltaPremiumAdjustedSolverClass | |
| CBlackIborCouponPricer | |
| CBlackIborQuantoCouponPricer | |
| ►CBlackKarasinski | Standard Black-Karasinski model class |
| CDynamics | Short-rate dynamics in the Black-Karasinski model |
| CBlackProcess | Black (1976) stochastic process |
| CBlackScholesCalculator | Black-Scholes 1973 calculator class |
| CBlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model |
| CBlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
| CBlackScholesProcess | Black-Scholes (1973) stochastic process |
| CBlackSwaptionEngine | Shifted Lognormal Black-formula swaption engine |
| CBlackVarianceCurve | Black volatility curve modelled as variance curve |
| CBlackVarianceSurface | Black volatility surface modelled as variance surface |
| CBlackVarianceTermStructure | Black variance term structure |
| CBlackVolatilityTermStructure | Black-volatility term structure |
| CBlackVolSurface | Black volatility (smile) surface |
| CBlackVolTermStructure | Black-volatility term structure |
| CBlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons |
| CBMAIndex | Bond Market Association index |
| CBMASwap | Swap paying Libor against BMA coupons |
| CBMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
| ►CBond | Base bond class |
| Carguments | |
| Cengine | |
| CPrice | Bond price information |
| Cresults | |
| CBondForward | Forward contract on a bond |
| CBondFunctions | Bond adapters of CashFlows functions |
| CBondHelper | Bond helper for curve bootstrap |
| CBootstrapError | Bootstrap error |
| CBootstrapHelper | Base helper class for bootstrapping |
| ►CBotswana | Botswana calendar |
| CImpl | |
| CBoundaryCondition | Abstract boundary condition class for finite difference problems |
| CBoundaryConditionSchemeHelper | |
| ►CBoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
| CImpl | |
| CBoxMullerGaussianRng | Gaussian random number generator |
| ►CBrazil | Brazilian calendar |
| CExchangeImpl | |
| CSettlementImpl | |
| CBrent | Brent 1-D solver |
| CBRLCurrency | Brazilian real |
| CBrownianBridge | Builds Wiener process paths using Gaussian variates |
| CBrownianGenerator | |
| CBrownianGeneratorFactory | |
| CBSMOperator | |
| CBSMRNDCalculator | |
| CBSpline | B-spline basis functions |
| CBTCCurrency | Bitcoin |
| CBTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond |
| CBurley2020SobolBrownianBridgeRsg | |
| CBurley2020SobolBrownianGenerator | |
| CBurley2020SobolBrownianGeneratorFactory | |
| CBurley2020SobolRsg | Scrambled sobol sequence according to Burley, 2020 |
| ►CBusiness252 | Business/252 day count convention |
| CImpl | |
| CBWPCurrency | |
| CBYRCurrency | Belarussian ruble |
| CCADCurrency | Canadian dollar |
| CCADLibor | CAD LIBOR rate |
| CCADLiborON | Overnight CAD Libor index |
| ►CCalendar | calendar class |
| CImpl | Abstract base class for calendar implementations |
| COrthodoxImpl | Partial calendar implementation |
| CWesternImpl | Partial calendar implementation |
| ►CCalibratedModel | Calibrated model class |
| ►CPrivateConstraint | |
| CImpl | |
| CCalibrationHelper | Abstract base class for calibration helpers |
| CCallability | instrument callability |
| ►CCallableBond | Callable bond base class |
| Carguments | |
| Cengine | Base class for callable fixed rate bond engine |
| Cresults | Results for a callable bond calculation |
| CCallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence |
| CCallableBondVolatilityStructure | Callable-bond volatility structure |
| CCallableFixedRateBond | Callable/puttable fixed rate bond |
| CCallableZeroCouponBond | Callable/puttable zero coupon bond |
| CCallSpecifiedMultiProduct | |
| CCallSpecifiedPathwiseMultiProduct | |
| ►CCanada | Canadian calendar |
| CSettlementImpl | |
| CTsxImpl | |
| CCap | Concrete cap class |
| ►CCapFloor | Base class for cap-like instruments |
| Carguments | Arguments for cap/floor calculation |
| Cengine | Base class for cap/floor engines |
| CCapFloorTermVolatilityStructure | Cap/floor term-volatility structure |
| CCapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
| CCapFloorTermVolSurface | Cap/floor smile volatility surface |
| CCapHelper | Calibration helper for ATM cap |
| CCapletVarianceCurve | |
| CCappedFlooredCmsCoupon | |
| CCappedFlooredCmsSpreadCoupon | |
| CCappedFlooredCoupon | Capped and/or floored floating-rate coupon |
| CCappedFlooredIborCoupon | |
| CCappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
| CCapPseudoDerivative | |
| CCashFlow | Base class for cash flows |
| ►CCashFlows | cashflow-analysis functions |
| CIrrFinder | |
| CCashOrNothingPayoff | Binary cash-or-nothing payoff |
| ►CCatBond | |
| Carguments | |
| Cengine | Base class for cat bond engine |
| Cresults | Results for a cat bond calculation |
| CCatRisk | |
| CCatSimulation | |
| CCCTEU | |
| CCDO | Collateralized debt obligation |
| CCdor | CDOR rate |
| CCdsHelper | Base class for CDS helpers |
| ►CCdsOption | CDS option |
| Carguments | Arguments for CDS-option calculation |
| Cengine | Base class for swaption engines |
| Cresults | Results from CDS-option calculation |
| CCeilingTruncation | Ceiling truncation |
| CCEVCalculator | Constant elasticity of variance process (absorbing boundary at f=0) |
| CCEVRNDCalculator | Constant elasticity of variance process (absorbing boundary at f=0) |
| CChebyshevInterpolation | |
| CCHFCurrency | Swiss franc |
| CCHFLibor | CHF LIBOR rate |
| CChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class |
| ►CChile | Chilean calendars |
| CSseImpl | |
| ►CChina | Chinese calendar |
| CIbImpl | |
| CSseImpl | |
| CChoiAsianEngine | Pricing engine for arithmetic Asian options |
| CChoiBasketEngine | Pricing engine for basket option on multiple underlyings |
| CClaim | Claim associated to a default event |
| CClaytonCopula | Clayton copula |
| CClaytonCopulaRng | Clayton copula random-number generator |
| CCLFCurrency | Unidad de Fomento (funds code) |
| CCLGaussianRng | Gaussian random number generator |
| ►CCliquetOption | Cliquet (Ratchet) option |
| Carguments | Arguments for cliquet option calculation |
| Cengine | Cliquet engine base class |
| CClone | Cloning proxy to an underlying object |
| CClosestRounding | Closest rounding |
| CCLPCurrency | Chilean peso |
| CClubsTopology | Clubs Topology |
| CCmsCoupon | CMS coupon class |
| CCmsCouponPricer | Base pricer for vanilla CMS coupons |
| CCmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
| CCmsMarket | Set of CMS quotes |
| CCmsMarketCalibration | |
| CCMSMMDriftCalculator | Drift computation for CMS market models |
| CCmsRateBond | CMS-rate bond |
| CCmsSpreadCoupon | CMS spread coupon class |
| CCmsSpreadCouponPricer | Base pricer for vanilla CMS spread coupons |
| CCmsSpreadLeg | Helper class building a sequence of capped/floored cms-spread-rate coupons |
| CCMSwapCurveState | Curve state for constant-maturity-swap market models |
| CCNHCurrency | Chinese yuan (Hong Kong) |
| CCNYCurrency | Chinese yuan |
| CCollar | Concrete collar class |
| CCommodity | Commodity base class |
| CCommodityCashFlow | |
| CCommodityCurve | Commodity term structure |
| CCommodityIndex | Base class for commodity indexes |
| CCommodityPricingHelper | Commodity index helper |
| CCommoditySettings | Global repository for run-time library settings |
| ►CCommodityType | Commodity type |
| CData | |
| CCommodityUnitCost | |
| ►CComplexChooserOption | Complex chooser option |
| Carguments | Extra arguments for complex chooser option |
| Cengine | Complex-chooser-option engine base class |
| ►CCompositeConstraint | Constraint enforcing both given sub-constraints |
| CImpl | |
| CCompositeInstrument | Composite instrument |
| CCompositeQuote | Market element whose value depends on two other market element |
| CCompositeZeroYieldStructure | |
| CCompoundingMultipleResetsPricer | |
| CCompoundingOvernightIndexedCouponPricer | CompoudAveragedOvernightIndexedCouponPricer pricer |
| ►CCompoundOption | Compound option (i.e., option on option) on a single asset |
| Carguments | |
| Cengine | Compound-option engine base class |
| CConcentrating1dMesher | |
| CConjugateGradient | Multi-dimensional Conjugate Gradient class |
| CConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence |
| CConstantCPIVolatility | Constant surface, no K or T dependence |
| CConstantEstimator | Constant-estimator volatility model |
| CConstantLossLatentmodel | |
| CConstantLossModel | |
| CConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence |
| ►CConstantParameter | Standard constant parameter \( a(t) = a \) |
| CImpl | |
| CConstantRecoveryModel | |
| CConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence |
| CConstantYoYOptionletVolatility | Constant surface, no K or T dependence |
| CConstNotionalCrossCurrencyBasisSwapRateHelper | Rate helper for bootstrapping over constant-notional cross-currency basis swaps |
| CConstrainedEvolver | Constrained market-model evolver |
| ►CConstraint | Base constraint class |
| CImpl | Base class for constraint implementations |
| CContinuousArithmeticAsianLevyEngine | Levy engine for continuously averaged arithmetic Asian options |
| CContinuousArithmeticAsianVecerEngine | Vecer engine for continuous-avaeraging Asian options |
| ►CContinuousAveragingAsianOption | Continuous-averaging Asian option |
| Carguments | Extra arguments for single-asset continuous-average Asian option |
| Cengine | Continuous-averaging Asian engine base class |
| ►CContinuousFixedLookbackOption | Continuous-fixed lookback option |
| Carguments | Arguments for continuous fixed lookback option calculation |
| Cengine | Continuous fixed lookback engine base class |
| ►CContinuousFloatingLookbackOption | Continuous-floating lookback option |
| Carguments | Arguments for continuous floating lookback option calculation |
| Cengine | Continuous floating lookback engine base class |
| ►CContinuousPartialFixedLookbackOption | Continuous-partial-fixed lookback option |
| Carguments | Arguments for continuous partial fixed lookback option calculation |
| Cengine | Continuous partial fixed lookback engine base class |
| ►CContinuousPartialFloatingLookbackOption | Continuous-partial-floating lookback option |
| Carguments | Arguments for continuous partial floating lookback option calculation |
| Cengine | Continuous partial floating lookback engine base class |
| CConvergenceStatistics | Statistics class with convergence table |
| ►CConvertibleBond | Base class for convertible bonds |
| Carguments | |
| Cengine | |
| CConvertibleFixedCouponBond | Convertible fixed-coupon bond |
| CConvertibleFloatingRateBond | Convertible floating-rate bond |
| CConvertibleZeroCouponBond | Convertible zero-coupon bond |
| CConvexMonotone | Convex-monotone interpolation factory and traits |
| CConvexMonotoneInterpolation | Convex monotone yield-curve interpolation method |
| CCOPCurrency | Colombian peso |
| CCorra | |
| CCorrelationTermStructure | |
| CCOSHestonEngine | COS-method Heston engine based on efficient Fourier series expansions |
| CCostFunction | Cost function abstract class for optimization problem |
| CCoterminalSwapCurveState | Curve state for coterminal-swap market models |
| CCotSwapFromFwdCorrelation | |
| CCotSwapToFwdAdapter | |
| CCotSwapToFwdAdapterFactory | |
| CCOUCurrency | Unidad de Valor Real |
| CCounterpartyAdjSwapEngine | |
| CCoupon | coupon accruing over a fixed period |
| CCovarianceDecomposition | Covariance decomposition into correlation and variances |
| ►CCoxIngersollRoss | Cox-Ingersoll-Ross model class |
| CDynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
| CCoxIngersollRossProcess | CoxIngersollRoss process class |
| CCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
| CCPI | |
| CCPIBond | |
| CCPIBondHelper | CPI bond helper for curve bootstrap |
| ►CCPICapFloor | CPI cap or floor |
| Carguments | |
| Cengine | |
| CCPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity) |
| CCPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index |
| CCPICoupon | Coupon paying the performance of a CPI (zero inflation) index |
| CCPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO |
| CCPILeg | Helper class building a sequence of capped/floored CPI coupons |
| ►CCPISwap | Zero-inflation-indexed swap, |
| Carguments | Arguments for swap calculation |
| Cengine | |
| Cresults | Results from swap calculation |
| CCPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
| CCraigSneydScheme | |
| CCrankNicolson | Crank-Nicolson scheme for finite difference methods |
| CCrankNicolsonScheme | |
| ►CCreditDefaultSwap | Credit default swap |
| Carguments | |
| Cengine | |
| Cresults | |
| CCreditRiskPlus | |
| CCrossCurrencyBasisSwapRateHelperBase | Base class for cross-currency basis swap rate helpers |
| CCTSMMCapletAlphaFormCalibration | |
| CCTSMMCapletCalibration | |
| CCTSMMCapletMaxHomogeneityCalibration | |
| CCTSMMCapletOriginalCalibration | |
| CCubic | Cubic interpolation factory and traits |
| CCubicBSplinesFitting | CubicSpline B-splines fitting method |
| CCubicInterpolation | Cubic interpolation between discrete points |
| CCubicNaturalSpline | |
| CCubicSplineOvershootingMinimization1 | |
| CCubicSplineOvershootingMinimization2 | |
| CCumulativeBehrensFisher | Cumulative (generalized) BehrensFisher distribution |
| CCumulativeBinomialDistribution | Cumulative binomial distribution function |
| CCumulativeChiSquareDistribution | |
| CCumulativeGammaDistribution | |
| CCumulativeNormalDistribution | Cumulative normal distribution function |
| CCumulativePoissonDistribution | Cumulative Poisson distribution function |
| CCumulativeStudentDistribution | Cumulative Student t-distribution |
| CCuriouslyRecurringTemplate | Support for the curiously recurring template pattern |
| ►CCurrency | Currency specification |
| CData | |
| CCurveState | Curve state for market-model simulations |
| CCustomIborIndex | |
| CCustomRegion | Custom geographical/economic region |
| CCYPCurrency | Cyprus pound |
| ►CCzechRepublic | Czech calendars |
| CPseImpl | |
| CCZKCurrency | Czech koruna |
| CDailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes |
| CDailyTenorEURLibor | Base class for the one day deposit ICE EUR LIBOR indexes |
| CDailyTenorGBPLibor | Base class for the one day deposit ICE GBP LIBOR indexes |
| CDailyTenorJPYLibor | Base class for the one day deposit ICE JPY LIBOR indexes |
| CDailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones |
| CDailyTenorUSDLibor | Base class for the one day deposit ICE USD LIBOR indexes |
| CDASHCurrency | Dash coin |
| CDate | Concrete date class |
| CDatedOISRateHelper | |
| CDateGeneration | Date-generation rule |
| CDateInterval | Date interval described by a number of a given time unit |
| CDateParser | |
| ►CDayCounter | Day counter class |
| CImpl | Abstract base class for day counter implementations |
| CDecreasingGaussianWalk | Decreasing Random Walk |
| CDecreasingInertia | Decreasing Inertia |
| CDefault | |
| ►CDefaultDensity | Default-density-curve traits |
| Ccurve | |
| CDefaultDensityStructure | Default-density term structure |
| ►CDefaultEvent | Credit event on a bond of a certain seniority(ies)/currency |
| CDefaultSettlement | |
| CDefaultLatentModel | Default event Latent Model |
| CDefaultLogCubic | |
| CDefaultLogMixedLinearCubic | |
| CDefaultLossModel | |
| CDefaultProbabilityTermStructure | Default probability term structure |
| CDefaultProbKey | |
| CDefaultType | Atomic credit-event type |
| CDeltaVolQuote | Class for the quotation of delta vs vol |
| CDEMCurrency | Deutsche mark |
| CDengLiZhouBasketEngine | Pricing engine for basket option on multiple underlyings |
| ►CDenmark | Danish calendar |
| CImpl | |
| CDepositRateHelper | Rate helper for bootstrapping over deposit rates |
| CDerivedQuote | Market quote whose value depends on another quote |
| CDestr | Destr (Denmark Short-Term Rate) index |
| ►CDifferentialEvolution | Differential Evolution configuration object |
| CCandidate | |
| CConfiguration | |
| CDigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
| CDigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
| CDigitalCmsSpreadCoupon | Cms-spread-rate coupon with digital digital call/put option |
| CDigitalCmsSpreadLeg | Helper class building a sequence of digital ibor-rate coupons |
| CDigitalCoupon | Digital-payoff coupon |
| CDigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
| CDigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
| CDigitalNotionalRisk | |
| CDigitalPathPricer | |
| CDigitalReplication | |
| CDirichletBC | Dirichlet boundary condition (i.e., constant value) |
| ►CDiscount | Discount-curve traits |
| Ccurve | |
| CDiscountingBondEngine | Discounting engine for bonds |
| CDiscountingSwapEngine | Discounting engine for swaps |
| CDiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
| ►CDiscreteAveragingAsianOption | Discrete-averaging Asian option |
| Carguments | Extra arguments for single-asset discrete-average Asian option |
| Cengine | Discrete-averaging Asian engine base class |
| CDiscreteSimpsonIntegral | |
| CDiscreteSimpsonIntegrator | |
| CDiscreteTrapezoidIntegral | |
| CDiscreteTrapezoidIntegrator | |
| CDiscretizedAsset | Discretized asset class used by numerical methods |
| CDiscretizedBarrierOption | |
| CDiscretizedCallableFixedRateBond | |
| CDiscretizedCapFloor | |
| CDiscretizedConvertible | |
| CDiscretizedDermanKaniBarrierOption | |
| CDiscretizedDermanKaniDoubleBarrierOption | Derman-Kani-Ergener-Bardhan discretized option helper class |
| CDiscretizedDiscountBond | Useful discretized discount bond asset |
| CDiscretizedDoubleBarrierOption | Standard discretized option helper class |
| CDiscretizedOption | Discretized option on a given asset |
| CDiscretizedSwap | |
| CDiscretizedSwaption | |
| CDiscretizedVanillaOption | |
| CDistribution | |
| CDistributionRandomWalk | Distribution Walk |
| CDividend | Predetermined cash flow |
| CDKKCurrency | Danish krone |
| CDKKLibor | DKK LIBOR rate |
| CDMinus | \( D_{-} \) matricial representation |
| CDoubleBarrier | Placeholder for enumerated barrier types |
| ►CDoubleBarrierOption | Double Barrier option on a single asset |
| Carguments | Arguments for double barrier option calculation |
| Cengine | Double-Barrier-option engine base class |
| CDoubleBarrierPathPricer | |
| CDoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
| CDoublingConvergenceSteps | |
| CDouglasScheme | |
| CDownRounding | Down-rounding |
| CDPlus | \( D_{+} \) matricial representation |
| CDPlusDMinus | \( D_{+}D_{-} \) matricial representation |
| CDuration | duration type |
| CDynProgVPPIntrinsicValueEngine | |
| CDZero | \( D_{0} \) matricial representation |
| Cearlier_than | Compare two objects by date |
| Cearlier_than< CashFlow > | |
| Cearlier_than< DefaultEvent > | |
| Cearlier_than< ext::shared_ptr< T > > | |
| CEarlyExercise | Early-exercise base class |
| CEarlyExercisePathPricer | Base class for early exercise path pricers |
| CEarlyExerciseTraits | |
| CEarlyExerciseTraits< MultiPath > | |
| CEarlyExerciseTraits< Path > | |
| CECB | European Central Bank reserve maintenance dates |
| CEEKCurrency | Estonian kroon |
| CEGPCurrency | Egyptian pound |
| CEndCriteria | Criteria to end optimization process: |
| CEndEulerDiscretization | Euler end-point discretization for stochastic processes |
| CEnergyBasisSwap | Energy basis swap |
| ►CEnergyCommodity | Energy commodity class |
| Carguments | |
| Cengine | |
| Cresults | |
| CEnergyDailyPosition | |
| CEnergyFuture | Energy future |
| CEnergySwap | |
| CEnergyVanillaSwap | Vanilla energy swap |
| CEonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB |
| CEqualJumpsBinomialTree | Base class for equal jumps binomial tree |
| CEqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
| CEquityCashFlow | |
| CEquityCashFlowPricer | |
| CEquityFXVolSurface | Equity/FX volatility (smile) surface |
| CEquityIndex | Base class for equity indexes |
| CEquityQuantoCashFlowPricer | |
| CEquityTotalReturnSwap | Equity total return swap |
| CError | Base error class |
| CErrorFunction | Error function |
| CEscrowedDividendAdjustment | |
| CESPCurrency | Spanish peseta |
| CEstr | ESTR (Euro Short-Term Rate) rate fixed by the ECB |
| CETBCurrency | |
| CETCCurrency | Ethereum Classic |
| CETHCurrency | Ethereum |
| CEUHICP | EU HICP index |
| CEUHICPXT | EU HICPXT index |
| CEulerDiscretization | Euler discretization for stochastic processes |
| CEURCurrency | European Euro |
| CEURegion | European Union as geographical/economic region |
| CEuribor | Euribor index |
| CEuribor10M | |
| CEuribor11M | |
| CEuribor1M | 1-month Euribor index |
| CEuribor1W | 1-week Euribor index |
| CEuribor1Y | 1-year Euribor index |
| CEuribor2M | |
| CEuribor2W | |
| CEuribor365 | Actual/365 Euribor index |
| CEuribor365_10M | |
| CEuribor365_11M | |
| CEuribor365_1M | |
| CEuribor365_1Y | |
| CEuribor365_2M | |
| CEuribor365_2W | |
| CEuribor365_3M | |
| CEuribor365_3W | |
| CEuribor365_4M | |
| CEuribor365_5M | |
| CEuribor365_6M | |
| CEuribor365_7M | |
| CEuribor365_8M | |
| CEuribor365_9M | |
| CEuribor365_SW | |
| CEuribor3M | 3-months Euribor index |
| CEuribor3W | |
| CEuribor4M | |
| CEuribor5M | |
| CEuribor6M | 6-months Euribor index |
| CEuribor7M | |
| CEuribor8M | |
| CEuribor9M | |
| CEuriborSwapIfrFix | EuriborSwapIfrFix index base class |
| CEuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class |
| CEuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class |
| CEURLibor | Base class for all ICE EUR LIBOR indexes but the O/N |
| CEURLibor10M | |
| CEURLibor11M | |
| CEURLibor1M | 1-month EUR Libor index |
| CEURLibor1Y | 1-year EUR Libor index |
| CEURLibor2M | |
| CEURLibor2W | |
| CEURLibor3M | 3-months EUR Libor index |
| CEURLibor4M | |
| CEURLibor5M | |
| CEURLibor6M | 6-months EUR Libor index |
| CEURLibor7M | |
| CEURLibor8M | |
| CEURLibor9M | |
| CEURLiborON | Overnight EUR Libor index |
| CEURLiborSW | |
| CEurLiborSwapIfrFix | EurLiborSwapIfrFix index base class |
| CEurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class |
| CEurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class |
| CEurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
| CEuropeanExercise | European exercise |
| CEuropeanGJRGARCHPathPricer | |
| CEuropeanHestonPathPricer | |
| CEuropeanMultiPathPricer | |
| CEuropeanOption | European option on a single asset |
| CEuropeanPathMultiPathPricer | |
| CEuropeanPathPricer | |
| CEvent | Base class for event |
| CEventPaymentOffset | |
| CEventSet | |
| CEventSetSimulation | |
| CEverestMultiPathPricer | |
| ►CEverestOption | |
| Carguments | |
| Cengine | |
| Cresults | |
| CEvolutionDescription | Market-model evolution description |
| CExchangeContract | |
| CExchangeRate | Exchange rate between two currencies |
| ►CExchangeRateManager | Exchange-rate repository |
| CEntry | |
| CExercise | Base exercise class |
| CExerciseAdapter | |
| CExerciseStrategy | |
| CExplicitEuler | Forward Euler scheme for finite difference methods |
| CExplicitEulerScheme | |
| CExponentialFittingHestonEngine | Analytic Heston-model engine based on |
| CExponentialForwardCorrelation | |
| CExponentialIntensity | Exponential Intensity |
| CExponentialJump1dMesher | |
| CExponentialSplinesFitting | Exponential-splines fitting method |
| CExpSinhIntegral | |
| CExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
| CExtendedBinomialTree | Binomial tree base class |
| CExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process |
| CExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve |
| CExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface |
| ►CExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
| CDynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
| ►CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CImpl | |
| CExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
| CExtendedEqualJumpsBinomialTree | Base class for equal jumps binomial tree |
| CExtendedEqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
| CExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
| CExtendedJoshi4 | |
| CExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach |
| CExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class |
| CExtendedTian | Tian tree: third moment matching, multiplicative approach |
| CExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
| CExtOUWithJumpsProcess | |
| CExtrapolator | Base class for classes possibly allowing extrapolation |
| CFaceValueAccrualClaim | Claim on the notional of a reference security, including accrual |
| CFaceValueClaim | Claim on a notional |
| CFactorial | Factorial numbers calculator |
| CFactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates |
| CFailureToPay | Failure to Pay atomic event type |
| CFailureToPayEvent | |
| CFalsePosition | False position 1-D solver |
| CFarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula |
| CFarlieGumbelMorgensternCopulaRng | Farlie-Gumbel-Morgenstern copula random-number generator |
| CFastFourierTransform | FFT implementation |
| CFaureRsg | Faure low-discrepancy sequence generator |
| CFd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine |
| CFdBatesVanillaEngine | Partial integro finite-differences Bates vanilla option engine |
| CFdBlackScholesAsianEngine | |
| CFdBlackScholesBarrierEngine | Finite-differences Black/Scholes barrier-option engine |
| CFdBlackScholesRebateEngine | Finite-differences Black/Scholes barrier-option rebate helper engine |
| CFdBlackScholesShoutEngine | |
| CFdBlackScholesVanillaEngine | Finite-differences Black Scholes vanilla option engine |
| CFdCEVVanillaEngine | |
| CFdCIRVanillaEngine | Finite-differences CIR vanilla option engine |
| CFdExtOUJumpVanillaEngine | |
| CFdG2SwaptionEngine | |
| CFdHestonBarrierEngine | Finite-differences Heston barrier-option engine |
| CFdHestonDoubleBarrierEngine | Finite-Differences Heston Double Barrier Option engine |
| CFdHestonHullWhiteVanillaEngine | Finite-differences Heston Hull-White vanilla option engine |
| CFdHestonRebateEngine | Finite-differences Heston barrier-option rebate helper engine |
| CFdHestonVanillaEngine | Finite-differences Heston vanilla option engine |
| CFdHullWhiteSwaptionEngine | |
| CFdKlugeExtOUSpreadEngine | |
| CFdm1DimSolver | |
| CFdm1dMesher | |
| CFdm2dBlackScholesOp | |
| CFdm2dBlackScholesSolver | |
| CFdm2DimSolver | |
| CFdm3DimSolver | |
| CFdmAffineModelSwapInnerValue | |
| CFdmAffineModelTermStructure | |
| CFdmAmericanStepCondition | |
| CFdmArithmeticAverageCondition | |
| CFdmBackwardSolver | |
| ►CFdmBatesOp | |
| CIntegroIntegrand | |
| CFdmBatesSolver | |
| CFdmBermudanStepCondition | |
| CFdmBlackScholesFwdOp | |
| CFdmBlackScholesMesher | |
| CFdmBlackScholesMultiStrikeMesher | |
| CFdmBlackScholesOp | |
| CFdmBlackScholesSolver | |
| CFdmCellAveragingInnerValue | |
| CFdmCEV1dMesher | |
| CFdmCEVOp | |
| CFdmCIREquityPart | |
| CFdmCIRMixedPart | |
| CFdmCIROp | |
| CFdmCIRRatesPart | |
| CFdmCIRSolver | |
| CFdmDirichletBoundary | |
| CFdmDiscountDirichletBoundary | |
| CFdmDividendHandler | |
| CFdmDupire1dOp | |
| CFdmEscrowedLogInnerValueCalculator | |
| CFdmExpExtOUInnerValueCalculator | |
| CFdmExtendedOrnsteinUhlenbeckOp | |
| CFdmExtOUJumpModelInnerValue | |
| CFdmExtOUJumpOp | |
| CFdmExtOUJumpSolver | |
| CFdmG2Op | |
| CFdmG2Solver | |
| CFdmHestonEquityPart | |
| CFdmHestonFwdOp | |
| CFdmHestonGreensFct | |
| CFdmHestonHullWhiteEquityPart | |
| CFdmHestonHullWhiteOp | |
| CFdmHestonHullWhiteSolver | |
| CFdmHestonLocalVolatilityVarianceMesher | |
| CFdmHestonOp | |
| CFdmHestonSolver | |
| CFdmHestonVarianceMesher | |
| CFdmHestonVariancePart | |
| CFdmHullWhiteOp | |
| CFdmHullWhiteSolver | |
| CFdmIndicesOnBoundary | |
| CFdmInnerValueCalculator | |
| CFdmKlugeExtOUOp | |
| CFdmKlugeExtOUSolver | |
| CFdmLinearOp | |
| CFdmLinearOpComposite | |
| CFdmLinearOpIterator | |
| CFdmLinearOpLayout | |
| CFdmLocalVolFwdOp | |
| CFdmLogBasketInnerValue | |
| CFdmLogInnerValue | |
| CFdmMesher | |
| CFdmMesherComposite | |
| CFdmMesherIntegral | |
| CFdmNdimSolver | |
| CFdmOrnsteinUhlenbeckOp | |
| CFdmQuantoHelper | |
| CFdmSabrOp | |
| CFdmSchemeDesc | |
| CFdmShoutLogInnerValueCalculator | |
| CFdmSimple2dBSSolver | |
| CFdmSimple2dExtOUSolver | |
| CFdmSimple3dExtOUJumpSolver | |
| CFdmSimpleProcess1dMesher | |
| CFdmSimpleStorageCondition | |
| CFdmSimpleSwingCondition | |
| CFdmSnapshotCondition | |
| CFdmSolverDesc | |
| CFdmSpreadPayoffInnerValue | |
| CFdmSquareRootFwdOp | |
| CFdmStepConditionComposite | |
| CFdmTimeDepDirichletBoundary | |
| CFdmVPPStartLimitStepCondition | |
| CFdmVPPStepCondition | |
| CFdmVPPStepConditionFactory | |
| CFdmVPPStepConditionMesher | |
| CFdmVPPStepConditionParams | |
| CFdmWienerOp | |
| CFdmZabrOp | |
| CFdmZabrUnderlyingPart | |
| CFdmZabrVolatilityPart | |
| CFdmZeroInnerValue | |
| CFdndimBlackScholesVanillaEngine | N-dimensional finite-differences Black Scholes vanilla option engine |
| CFdOrnsteinUhlenbeckVanillaEngine | |
| CFdSabrVanillaEngine | |
| CFdSimpleBSSwingEngine | |
| CFdSimpleExtOUJumpSwingEngine | |
| CFdSimpleExtOUStorageEngine | |
| CFdSimpleKlugeExtOUVPPEngine | |
| CFedFunds | Fed Funds rate fixed by the FED |
| CFFTEngine | Base class for FFT pricing engines for European vanilla options |
| CFFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process |
| CFFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process |
| CFilonIntegral | Integral of a one-dimensional function |
| CFIMCurrency | Finnish markka |
| CFiniteDifferenceModel | Generic finite difference model |
| CFiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives |
| ►CFinland | Finnish calendar |
| CImpl | |
| ►CFireflyAlgorithm | |
| CIntensity | Base intensity class |
| CRandomWalk | Base Random Walk class |
| CFirstDerivativeOp | |
| ►CFittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
| CFittingMethod | Base fitting method used to construct a fitted bond discount curve |
| CFixedDividend | Predetermined cash flow |
| CFixedLocalVolSurface | |
| CFixedRateBond | Fixed-rate bond |
| CFixedRateBondHelper | Fixed-coupon bond helper for curve bootstrap |
| CFixedRateCoupon | Coupon paying a fixed interest rate |
| CFixedRateLeg | Helper class building a sequence of fixed rate coupons |
| ►CFixedVsFloatingSwap | Fixed vs floating swap |
| Carguments | Arguments for simple swap calculation |
| Cengine | |
| Cresults | Results from simple swap calculation |
| ►CFlatExtrapolator2D | |
| CFlatExtrapolator2DImpl | |
| CFlatForward | Flat interest-rate curve |
| CFlatHazardRate | Flat hazard-rate curve |
| CFlatSmileSection | |
| CFlatVol | |
| CFlatVolFactory | |
| ►CFloatFloatSwap | Float float swap |
| Carguments | Arguments for float float swap calculation |
| Cengine | |
| Cresults | Results from float float swap calculation |
| ►CFloatFloatSwaption | Floatfloat swaption class |
| Carguments | Arguments for cms swaption calculation |
| Cengine | Base class for cms swaption engines |
| CFloatingCatBond | Floating-rate cat bond (possibly capped and/or floored) |
| CFloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
| CFloatingRateCoupon | Base floating-rate coupon class |
| CFloatingRateCouponPricer | Generic pricer for floating-rate coupons |
| CFloatingTypePayoff | Payoff based on a floating strike |
| CFloor | Concrete floor class |
| CFloorTruncation | Floor truncation |
| CFordeHestonExpansion | |
| CForward | Abstract base forward class |
| CForwardEuropeanBSPathPricer | |
| CForwardEuropeanHestonPathPricer | |
| CForwardFlat | Forward-flat interpolation factory and traits |
| CForwardFlatInterpolation | Forward-flat interpolation between discrete points |
| CForwardMeasureProcess | Forward-measure stochastic process |
| CForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
| CForwardOptionArguments | Arguments for forward (strike-resetting) option calculation |
| CForwardPerformanceVanillaEngine | Forward performance engine for vanilla options |
| ►CForwardRate | Forward-curve traits |
| Ccurve | |
| CForwardRateAgreement | Forward rate agreement (FRA) class |
| CForwardRateStructure | Forward-rate term structure |
| CForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
| CForwardSwapQuote | Quote for a forward starting swap |
| CForwardTypePayoff | Class for forward type payoffs |
| CForwardValueQuote | quote for the forward value of an index |
| CForwardVanillaEngine | Forward engine for vanilla options |
| CForwardVanillaOption | Forward version of a vanilla option |
| CFractionalDividend | Predetermined cash flow |
| ►CFrance | French calendars |
| CExchangeImpl | |
| CSettlementImpl | |
| CFranceRegion | France as geographical/economic region |
| CFrankCopula | Frank copula |
| CFrankCopulaRng | Frank copula random-number generator |
| CFraRateHelper | Rate helper for bootstrapping over FRA rates |
| CFRFCurrency | French franc |
| CFRHICP | FR HICP index |
| CFritschButlandCubic | |
| CFritschButlandLogCubic | |
| CFrobeniusCostFunction | |
| CFutures | |
| CFuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
| CFuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices |
| CFwdPeriodAdapter | |
| CFwdToCotSwapAdapter | |
| CFwdToCotSwapAdapterFactory | |
| CFxSwapRateHelper | Rate helper for bootstrapping over Fx Swap rates |
| ►CG2 | Two-additive-factor gaussian model class |
| CDynamics | |
| ►CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CImpl | |
| CG2ForwardProcess | Forward G2 stochastic process |
| CG2Process | G2 stochastic process |
| CG2SwaptionEngine | Swaption priced by means of the Black formula |
| CGalambosCopula | Galambos copula |
| CGallonUnitOfMeasure | |
| CGammaFunction | Gamma function class |
| CGapPayoff | Binary gap payoff |
| CGarch11 | GARCH volatility model |
| CGarmanKlassAbstract | Garman-Klass volatility model |
| CGarmanKlassOpenClose | |
| CGarmanKlassSigma1 | |
| CGarmanKlassSigma3 | |
| CGarmanKlassSigma4 | |
| CGarmanKlassSigma5 | |
| CGarmanKlassSigma6 | |
| CGarmanKlassSimpleSigma | |
| CGarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
| CGaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind) |
| CGaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind) |
| CGaussChebyshevIntegration | Gauss-Chebyshev integration |
| CGaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
| CGaussGegenbauerIntegration | Gauss-Gegenbauer integration |
| CGaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
| CGaussHermiteIntegration | Generalized Gauss-Hermite integration |
| CGaussHermitePolynomial | Gauss-Hermite polynomial |
| CGaussHyperbolicIntegration | Gauss-Hyperbolic integration |
| CGaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
| CGaussian1dCapFloorEngine | Gaussian1d cap/floor engine |
| CGaussian1dFloatFloatSwaptionEngine | One factor model float float swaption engine |
| CGaussian1dJamshidianSwaptionEngine | Jamshidian swaption engine |
| ►CGaussian1dModel | |
| CCachedSwapKey | |
| CCachedSwapKeyHasher | |
| CGaussian1dNonstandardSwaptionEngine | One factor model non standard swaption engine |
| CGaussian1dSmileSection | |
| CGaussian1dSwaptionEngine | One factor model swaption engine |
| ►CGaussian1dSwaptionVolatility | |
| CDateHelper | |
| CGaussianCopula | Gaussian copula |
| CGaussianCopulaPolicy | |
| CGaussianKernel | Gaussian kernel function |
| CGaussianLHPLossModel | |
| CGaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
| ►CGaussianQuadMultidimIntegrator | Integrates a vector or scalar function of vector domain |
| CVectorIntegrator | |
| CGaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
| CGaussianRandomDefaultModel | |
| CGaussianWalk | Gaussian Walk |
| CGaussJacobiIntegration | Gauss-Jacobi integration |
| CGaussJacobiPolynomial | Gauss-Jacobi polynomial |
| CGaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
| CGaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
| CGaussLaguerreCosinePolynomial | Gauss-Laguerre Cosine integration |
| CGaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
| CGaussLaguerrePolynomial | Gauss-Laguerre polynomial |
| CGaussLaguerreSinePolynomial | Gauss-Laguerre Sine integration |
| CGaussLaguerreTrigonometricBase | |
| CGaussLegendreIntegration | Gauss-Legendre integration |
| CGaussLegendrePolynomial | Gauss-Legendre polynomial |
| CGaussLobattoIntegral | Integral of a one-dimensional function |
| CGaussNonCentralChiSquaredPolynomial | |
| CGBPCurrency | British pound sterling |
| CGBPLibor | GBP LIBOR rate |
| CGBPLiborON | Overnight GBP Libor index |
| CGbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class |
| CGBSMRNDCalculator | |
| CGELCurrency | Georgian lari |
| CGemanRoncoroniProcess | Geman-Roncoroni process class |
| CGeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
| ►CGeneralizedHullWhite | Generalized Hull-White model class |
| ►CDynamics | Short-rate dynamics in the generalized Hull-White model |
| Cidentity | |
| ►CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CImpl | |
| CGeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class |
| CGeneralLinearLeastSquares | General linear least squares regression |
| CGeneralStatistics | Statistics tool |
| CGenericCPI | Generic CPI index |
| CGenericEngine | Template base class for option pricing engines |
| CGenericGaussianStatistics | Statistics tool for gaussian-assumption risk measures |
| CGenericLowDiscrepancy | |
| CGenericModelEngine | Base class for some pricing engine on a particular model |
| CGenericPseudoRandom | |
| CGenericRegion | Generic geographical/economic region |
| CGenericRiskStatistics | Empirical-distribution risk measures |
| CGenericSequenceStatistics | Statistics analysis of N-dimensional (sequence) data |
| CGenericTimeSetter | |
| CGeometricAPOHestonPathPricer | |
| CGeometricAPOPathPricer | |
| CGeometricBrownianMotionProcess | Geometric brownian-motion process |
| ►CGermany | German calendars |
| CEurexImpl | |
| CEuwaxImpl | |
| CFrankfurtStockExchangeImpl | |
| CSettlementImpl | |
| CXetraImpl | |
| CGFunction | |
| ►CGFunctionFactory | |
| CGFunctionExactYield | |
| CGFunctionStandard | |
| ►CGFunctionWithShifts | |
| CObjectiveFunction | |
| CGHSCurrency | Ghanaian cedi |
| CGJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset |
| CGJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process |
| CGlobalBootstrap | |
| CGlobalTopology | Global Topology |
| CGlued1dMesher | |
| CGMRES | |
| CGMRESResult | |
| CGoldsteinLineSearch | |
| CGRDCurrency | Greek drachma |
| CGreeks | Additional option results |
| CGridModelLocalVolSurface | |
| ►CGsr | One factor gsr model, formulation is in forward measure |
| CReversionObserver | |
| CVolatilityObserver | |
| CGsrProcess | GSR stochastic process |
| CGumbelCopula | Gumbel copula |
| ►CHaganIrregularSwaptionEngine | Pricing engine for irregular swaptions |
| CBasket | |
| CHaganPricer | CMS-coupon pricer |
| CHalley | Halley 1-D solver |
| CHaltonRsg | Halton low-discrepancy sequence generator |
| ►CHandle | Shared handle to an observable |
| CLink | |
| CHarmonicCubic | |
| CHarmonicLogCubic | |
| ►CHazardRate | Hazard-rate-curve traits |
| Ccurve | |
| CHazardRateStructure | Hazard-rate term structure |
| CHestonBlackVolSurface | |
| CHestonExpansion | |
| CHestonExpansionEngine | Heston-model engine for European options based on analytic expansions |
| CHestonHullWhitePathPricer | |
| ►CHestonModel | Heston model for the stochastic volatility of an asset |
| ►CFellerConstraint | |
| CImpl | |
| CHestonModelHelper | Calibration helper for Heston model |
| CHestonProcess | Square-root stochastic-volatility Heston process |
| CHestonRNDCalculator | Risk neutral terminal probability density for the Heston model |
| ►CHestonSLVFDMModel | |
| CLogEntry | |
| CHestonSLVFokkerPlanckFdmParams | |
| CHestonSLVMCModel | |
| CHestonSLVProcess | |
| CHimalayaMultiPathPricer | |
| ►CHimalayaOption | Himalaya option |
| Carguments | |
| Cengine | |
| Cresults | |
| CHistogram | Histogram class |
| CHistoricalForwardRatesAnalysis | |
| CHistoricalForwardRatesAnalysisImpl | Historical correlation class |
| CHistoricalRatesAnalysis | Historical rate analysis class |
| CHKDCurrency | Hong Kong dollar |
| ►CHolderExtensibleOption | Holder-extensible option |
| Carguments | Arguments for holder-extensible option |
| Cengine | Base class for holder-extensible option engine |
| CHomogeneousPoolLossModel | Default loss distribution convolution for finite homogeneous pool |
| ►CHongKong | Hong Kong calendars |
| CHkexImpl | |
| CHouseholderReflection | |
| CHouseholderTransformation | |
| CHRKCurrency | Croatian kuna |
| CHUFCurrency | Hungarian forint |
| ►CHullWhite | Single-factor Hull-White (extended Vasicek) model class |
| CDynamics | Short-rate dynamics in the Hull-White model |
| ►CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CImpl | |
| CHullWhiteForwardProcess | Forward Hull-White stochastic process |
| CHullWhiteProcess | Hull-White stochastic process |
| CHundsdorferScheme | |
| ►CHungary | Hungarian calendar |
| CImpl | |
| CHuslerReissCopula | Husler-Reiss copula |
| CHybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
| CHybridSimulatedAnnealing | |
| ►CIborCoupon | Coupon paying a Libor-type index |
| CSettings | Per-session settings for IborCoupon class |
| CIborCouponPricer | Base pricer for capped/floored Ibor coupons |
| CIborIborBasisSwapRateHelper | Rate helper for bootstrapping over ibor-ibor basis swaps |
| CIborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
| CIborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
| CIborLegCashFlows | |
| ►CIceland | Icelandic calendars |
| CIcexImpl | |
| CIDRCurrency | Indonesian Rupiah |
| CIEPCurrency | Irish punt |
| CILSCurrency | Israeli shekel |
| CIMM | Main cycle of the International Money Market (a.k.a. IMM) months |
| CImplicitEuler | Backward Euler scheme for finite difference methods |
| CImplicitEulerScheme | |
| CImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
| CImpliedTermStructure | Implied term structure at a given date in the future |
| CImpliedVolTermStructure | Implied vol term structure at a given date in the future |
| CIncrementalStatistics | Statistics tool based on incremental accumulation |
| CIndependentCopula | Independent copula |
| CIndex | Purely virtual base class for indexes |
| CIndexedCashFlow | Cash flow dependent on an index ratio |
| ►CIndexManager | Global repository for past index fixings |
| CCaseInsensitiveCompare | |
| ►CIndia | Indian calendars |
| CNseImpl | |
| ►CIndonesia | Indonesian calendars |
| CBejImpl | |
| CInflationCoupon | Base inflation-coupon class |
| CInflationCouponPricer | Base inflation-coupon pricer |
| CInflationIndex | Base class for inflation-rate indexes, |
| CInflationTermStructure | Interface for inflation term structures |
| CInhomogeneousPoolLossModel | Default loss distribution convolution for finite non homogeneous pool |
| CINRCurrency | Indian rupee |
| ►CInstrument | Abstract instrument class |
| Cresults | |
| CIntegralCDOEngine | |
| CIntegralCdsEngine | |
| CIntegralEngine | Pricing engine for European vanilla options using integral approach |
| CIntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine |
| CIntegralNtdEngine | |
| CIntegrationBase | |
| CIntegrationBase< GaussianQuadMultidimIntegrator > | |
| CIntegrationBase< MultidimIntegral > | |
| CIntegrator | |
| CInterestRate | Concrete interest rate class |
| CInterestRateIndex | Base class for interest rate indexes |
| CInterestRateVolSurface | Interest rate volatility (smile) surface |
| CInterpolatedAffineHazardRateCurve | |
| CInterpolatedCPICapFloorTermPriceSurface | |
| CInterpolatedCurve | Helper class to build interpolated term structures |
| CInterpolatedDefaultDensityCurve | DefaultProbabilityTermStructure based on interpolation of default densities |
| CInterpolatedDiscountCurve | YieldTermStructure based on interpolation of discount factors |
| CInterpolatedForwardCurve | YieldTermStructure based on interpolation of forward rates |
| CInterpolatedHazardRateCurve | DefaultProbabilityTermStructure based on interpolation of hazard rates |
| CInterpolatedPiecewiseForwardSpreadedTermStructure | Term structure with an added vector of spreads on the instantaneous forward rate |
| CInterpolatedPiecewiseZeroSpreadedTermStructure | Yield curve with an added vector of spreads on the zero-yield rate |
| CInterpolatedSimpleZeroCurve | YieldTermStructure based on interpolation of zero rates |
| CInterpolatedSmileSection | |
| CInterpolatedSurvivalProbabilityCurve | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
| CInterpolatedSwaptionVolatilityCube | Interpolated Swaption Volatility Cube |
| ►CInterpolatedYoYCapFloorTermPriceSurface | |
| CObjectiveFunction | |
| CInterpolatedYoYInflationCurve | Inflation term structure based on interpolated year-on-year rates |
| ►CInterpolatedYoYOptionletStripper | |
| CObjectiveFunction | |
| CInterpolatedYoYOptionletVolatilityCurve | Interpolated flat smile surface |
| CInterpolatedZeroCurve | YieldTermStructure based on interpolation of zero rates |
| CInterpolatedZeroInflationCurve | Inflation term structure based on the interpolation of zero rates |
| CInterpolatingCPICapFloorEngine | Engine for CPI cap/floors based on a price surface |
| ►CInterpolation | Base class for 1-D interpolations |
| CImpl | Abstract base class for interpolation implementations |
| CtemplateImpl | Basic template implementation |
| ►CInterpolation2D | Base class for 2-D interpolations |
| CImpl | Abstract base class for 2-D interpolation implementations |
| CtemplateImpl | Basic template implementation |
| ►CInterpolationParameter | Parameter that holds an interpolation object |
| CImpl | |
| CIntervalPrice | Interval price |
| CInverseCumulativeBehrensFisher | Inverse of the cumulative of the convolution of odd-T distributions |
| CInverseCumulativeNormal | Inverse cumulative normal distribution function |
| CInverseCumulativePoisson | Inverse cumulative Poisson distribution function |
| CInverseCumulativeRng | Inverse cumulative random number generator |
| CInverseCumulativeRsg | Inverse cumulative random sequence generator |
| CInverseCumulativeStudent | Inverse cumulative Student t-distribution |
| CInverseLawSquareIntensity | Inverse Square Intensity |
| CInverseNonCentralCumulativeChiSquareDistribution | |
| CIQDCurrency | Iraqi dinar |
| CIRRCurrency | Iranian rial |
| CIrregularSettlement | settlement information |
| ►CIrregularSwap | Irregular swap: fixed vs floating leg |
| Carguments | Arguments for irregular-swap calculation |
| Cengine | |
| Cresults | Results from irregular-swap calculation |
| ►CIrregularSwaption | Irregular Swaption class |
| Carguments | Arguments for irregular-swaption calculation |
| Cengine | Base class for irregular-swaption engines |
| CIsdaCdsEngine | |
| CISKCurrency | Icelandic krona |
| CIsotropicRandomWalk | Isotropic random walk |
| ►CIsrael | Israel calendar |
| CTelAvivImpl | |
| CIssuer | |
| ►CItaly | Italian calendars |
| CExchangeImpl | |
| CSettlementImpl | |
| CIterativeBootstrap | Universal piecewise-term-structure boostrapper |
| CITLCurrency | Italian lira |
| CJamshidianSwaptionEngine | Jamshidian swaption engine |
| ►CJapan | Japanese calendar |
| CImpl | |
| CJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
| CJibar | JIBAR rate |
| CJODCurrency | Jordanian dinar |
| ►CJointCalendar | Joint calendar |
| CImpl | |
| ►CJointStochasticProcess | |
| CCachingKey | |
| CJoshi4 | |
| CJPYCurrency | Japanese yen |
| CJPYLibor | JPY LIBOR rate |
| CJpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class |
| CJpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class |
| CJumpDiffusionEngine | Jump-diffusion engine for vanilla options |
| CJuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
| ►CKahaleSmileSection | |
| CaHelper | |
| CcFunction | |
| CsHelper | |
| CsHelper1 | |
| CKerkhofSeasonality | |
| CKernelFunction | |
| CKernelInterpolation | Kernel interpolation between discrete points |
| CKernelInterpolation2D | |
| CKESCurrency | Kenyan shilling |
| CKilolitreUnitOfMeasure | |
| CKInterpolatedYoYOptionletVolatilitySurface | K-interpolated YoY optionlet volatility |
| CKirkEngine | Pricing engine for spread option on two futures |
| CKirkSpreadOptionEngine | |
| CKlugeExtOUProcess | |
| CKNeighbors | K-Neighbor Topology |
| CKnuthUniformRng | Uniform random number generator |
| CKofr | KOFR index |
| CKrugerCubic | |
| CKrugerLog | |
| CKrugerLogCubic | |
| CKrugerLogMixedLinearCubic | |
| CKRWCurrency | South-Korean won |
| CKWDCurrency | Kuwaiti dinar |
| CKZTCurrency | |
| CLagrangeInterpolation | |
| CLaplaceInterpolation | |
| CLastFixingQuote | Quote adapter for the last fixing available of a given Index |
| ►CLatentModel | Generic multifactor latent variable model |
| CFactorSampler | |
| CIntegrationFactory | |
| CLattice | Lattice (tree, finite-differences) base class |
| CLatticeRsg | |
| CLatticeRule | |
| CLatticeShortRateModelEngine | Engine for a short-rate model specialized on a lattice |
| ►CLazyObject | Framework for calculation on demand and result caching |
| CDefaults | Per-session settings for the LazyObject class |
| CUpdateChecker | |
| CLeastSquareFunction | Cost function for least-square problems |
| CLeastSquareProblem | Base class for least square problem |
| CLecuyerUniformRng | Uniform random number generator |
| CLeisenReimer | Leisen & Reimer tree: multiplicative approach |
| CLevenbergMarquardt | Levenberg-Marquardt optimization method |
| ►CLevyFlightDistribution | Levy Flight distribution |
| Cparam_type | |
| CLevyFlightInertia | Levy Flight Inertia |
| CLevyFlightWalk | Levy Flight Random Walk |
| CLfmCovarianceParameterization | Libor market model parameterization |
| CLfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
| CLfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
| CLfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
| CLibor | Base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones |
| CLiborForwardModel | Libor forward model |
| CLiborForwardModelProcess | Libor-forward-model process |
| CLinear | Linear-interpolation factory and traits |
| CLinearFlat | Linear-interpolation with flat-extrapolation factory and traits |
| CLinearFlatInterpolation | Linear interpolation between discrete points with flat extapolation |
| CLinearInterpolation | Linear interpolation between discrete points |
| CLinearLeastSquaresRegression | |
| CLinearRegression | |
| ►CLinearTsrPricer | CMS-coupon pricer |
| CPriceHelper | |
| CSettings | |
| CVegaRatioHelper | |
| CLineSearch | Base class for line search |
| CLineSearchBasedMethod | Line search based method |
| CLitreUnitOfMeasure | |
| CLKRCurrency | Sri Lankan rupee |
| CLmConstWrapperCorrelationModel | |
| CLmConstWrapperVolatilityModel | Caplet const volatility model |
| CLmCorrelationModel | libor forward correlation model |
| CLmExponentialCorrelationModel | Exponential correlation model |
| CLmExtLinearExponentialVolModel | Extended linear exponential volatility model |
| CLmFixedVolatilityModel | |
| CLMIntegration | |
| CLmLinearExponentialCorrelationModel | linear exponential correlation model |
| CLmLinearExponentialVolatilityModel | linear exponential volatility model |
| CLMMCurveState | Curve state for Libor market models |
| CLMMDriftCalculator | Drift computation for log-normal Libor market models |
| CLMMNormalDriftCalculator | Drift computation for normal Libor market models |
| CLmVolatilityModel | Caplet volatility model |
| CLocalBootstrap | Localised-term-structure bootstrapper for most curve types |
| CLocalConstantVol | Constant local volatility, no time-strike dependence |
| CLocalVolatilityEstimator | |
| CLocalVolCurve | Local volatility curve derived from a Black curve |
| CLocalVolRNDCalculator | |
| CLocalVolSurface | Local volatility surface derived from a Black vol surface |
| CLocalVolTermStructure | |
| CLogCubic | Log-cubic interpolation factory and traits |
| CLogCubicInterpolation | log-cubic interpolation between discrete points |
| CLogCubicNaturalSpline | |
| CLogGrid | |
| CLogLinear | Log-linear interpolation factory and traits |
| CLogLinearInterpolation | log-linear interpolation between discrete points |
| CLogMixedLinearCubic | Log-cubic interpolation factory and traits |
| CLogMixedLinearCubicInterpolation | log-mixedlinearcubic interpolation between discrete points |
| CLogMixedLinearCubicNaturalSpline | |
| CLognormalCmsSpreadPricer | CMS spread - coupon pricer |
| CLogNormalCmSwapRatePc | Predictor-Corrector |
| CLogNormalCotSwapRatePc | Predictor-Corrector |
| CLogNormalFwdRateBalland | Iterative Predictor-Corrector |
| CLogNormalFwdRateEuler | Euler |
| CLogNormalFwdRateEulerConstrained | Euler stepping |
| CLogNormalFwdRateiBalland | Iterative Predictor-Corrector |
| CLogNormalFwdRateIpc | Iterative Predictor-Corrector |
| CLogNormalFwdRatePc | Predictor-Corrector |
| CLogParabolic | |
| CLongstaffSchwartzExerciseStrategy | |
| ►CLongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options |
| CPathInfo | |
| CLongstaffSchwartzPathPricer | Longstaff-Schwarz path pricer for early exercise options |
| CLoss | |
| CLossDist | Probability formulas and algorithms |
| CLossDistBinomial | Binomial loss distribution |
| CLossDistBucketing | Loss distribution with Hull-White bucketing |
| CLossDistHomogeneous | Loss Distribution for Homogeneous Pool |
| CLossDistMonteCarlo | Loss distribution with Monte Carlo simulation |
| CLotUnitOfMeasure | |
| CLPP2HestonExpansion | |
| CLPP3HestonExpansion | |
| CLsmBasisSystem | |
| CLTCCurrency | Litecoin |
| CLTLCurrency | Lithuanian litas |
| CLUFCurrency | Luxembourg franc |
| CLVLCurrency | Latvian lat |
| CMADCurrency | Moroccan dirham |
| CMaddockCumulativeNormal | Maddock's cumulative normal distribution class |
| CMaddockInverseCumulativeNormal | Maddock's Inverse cumulative normal distribution class |
| CMakeArithmeticAverageOIS | |
| CMakeCapFloor | Helper class |
| CMakeCms | Helper class for instantiating CMS |
| CMakeCreditDefaultSwap | Helper class |
| CMakeFdBlackScholesVanillaEngine | |
| CMakeFdCIRVanillaEngine | |
| CMakeFdHestonVanillaEngine | |
| CMakeMCAmericanBasketEngine | Monte Carlo American basket-option engine factory |
| CMakeMCAmericanEngine | Monte Carlo American engine factory |
| CMakeMCAmericanPathEngine | Monte Carlo American basket-option engine factory |
| CMakeMCBarrierEngine | Monte Carlo barrier-option engine factory |
| CMakeMCDigitalEngine | Monte Carlo digital engine factory |
| CMakeMCDiscreteArithmeticAPEngine | |
| CMakeMCDiscreteArithmeticAPHestonEngine | |
| CMakeMCDiscreteArithmeticASEngine | |
| CMakeMCDiscreteGeometricAPEngine | |
| CMakeMCDiscreteGeometricAPHestonEngine | |
| CMakeMCDoubleBarrierEngine | Monte Carlo double-barrier-option engine factory |
| CMakeMCEuropeanBasketEngine | Monte Carlo basket-option engine factory |
| CMakeMCEuropeanEngine | Monte Carlo European engine factory |
| CMakeMCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH European engine factory |
| CMakeMCEuropeanHestonEngine | Monte Carlo Heston European engine factory |
| CMakeMCEverestEngine | Monte Carlo Everest-option engine factory |
| CMakeMCForwardEuropeanBSEngine | |
| CMakeMCForwardEuropeanHestonEngine | |
| CMakeMCHestonHullWhiteEngine | Monte Carlo Heston/Hull-White engine factory |
| CMakeMCHimalayaEngine | Monte Carlo Himalaya-option engine factory |
| CMakeMCHullWhiteCapFloorEngine | Monte Carlo Hull-White cap-floor engine factory |
| CMakeMCLookbackEngine | Monte Carlo lookback-option engine factory |
| CMakeMCPagodaEngine | Monte Carlo pagoda-option engine factory |
| CMakeMCPathBasketEngine | Monte Carlo Path Basket engine factory |
| CMakeMCPerformanceEngine | Monte Carlo performance-option engine factory |
| CMakeMCVarianceSwapEngine | Monte Carlo variance-swap engine factory |
| CMakeOIS | Helper class |
| CMakeSchedule | Helper class |
| CMakeSwaption | Helper class |
| CMakeVanillaSwap | Helper class |
| CMakeYoYInflationCapFloor | Helper class |
| CManipulateDistribution | |
| ►CMargrabeOption | Margrabe option on two assets |
| Carguments | Extra arguments for Margrabe option |
| Cengine | Margrabe option engine base class |
| Cresults | Extra results for Margrabe option |
| CMarketModel | Base class for market models |
| CMarketModelBasisSystem | |
| CMarketModelCashRebate | |
| ►CMarketModelComposite | Composition of two or more market-model products |
| CSubProduct | |
| CMarketModelDiscounter | |
| CMarketModelEvolver | Market-model evolver |
| CMarketModelExerciseValue | |
| CMarketModelFactory | Base class for market-model factories |
| ►CMarketModelMultiProduct | Market-model product |
| CCashFlow | |
| CMarketModelNodeDataProvider | |
| CMarketModelParametricExercise | |
| CMarketModelPathwiseCashRebate | |
| CMarketModelPathwiseCoterminalSwaptionsDeflated | |
| CMarketModelPathwiseCoterminalSwaptionsNumericalDeflated | |
| CMarketModelPathwiseDiscounter | |
| CMarketModelPathwiseInverseFloater | |
| CMarketModelPathwiseMultiCaplet | Market-model pathwise caplet |
| CMarketModelPathwiseMultiDeflatedCap | |
| CMarketModelPathwiseMultiDeflatedCaplet | |
| ►CMarketModelPathwiseMultiProduct | Market-model pathwise product |
| CCashFlow | |
| CMarketModelPathwiseSwap | |
| CMarketModelVolProcess | |
| CMarketQuotedOptionPricer | |
| ►CMarkovFunctional | |
| CCalibrationPoint | |
| CCustomSmileFactory | |
| CCustomSmileSection | |
| CModelOutputs | |
| CModelSettings | |
| CZeroHelper | |
| CMarshallOlkinCopula | Marshall-Olkin copula |
| CMatrix | Matrix used in linear algebra |
| CMaxBasketPayoff | |
| CMaxCopula | Max copula |
| CMBUnitOfMeasure | |
| CMCAmericanBasketEngine | Least-square Monte Carlo engine |
| CMCAmericanEngine | American Monte Carlo engine |
| CMCAmericanPathEngine | Least-square Monte Carlo engine |
| CMCBarrierEngine | Pricing engine for barrier options using Monte Carlo simulation |
| CMCDigitalEngine | Pricing engine for digital options using Monte Carlo simulation |
| CMCDiscreteArithmeticAPEngine | Monte Carlo pricing engine for discrete arithmetic average price Asian |
| CMCDiscreteArithmeticAPHestonEngine | Heston MC pricing engine for discrete arithmetic average price Asian |
| CMCDiscreteArithmeticASEngine | Monte Carlo pricing engine for discrete arithmetic average-strike Asian |
| CMCDiscreteAveragingAsianEngineBase | Pricing engine for discrete average Asians using Monte Carlo simulation |
| CMCDiscreteGeometricAPEngine | Monte Carlo pricing engine for discrete geometric average price Asian |
| CMCDiscreteGeometricAPHestonEngine | Heston MC pricing engine for discrete geometric average price Asian |
| CMCDoubleBarrierEngine | |
| CMCEuropeanBasketEngine | Pricing engine for European basket options using Monte Carlo simulation |
| CMCEuropeanEngine | European option pricing engine using Monte Carlo simulation |
| CMCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH-model engine for European options |
| CMCEuropeanHestonEngine | Monte Carlo Heston-model engine for European options |
| CMCEverestEngine | |
| CMCForwardEuropeanBSEngine | |
| CMCForwardEuropeanHestonEngine | |
| CMCForwardVanillaEngine | Monte Carlo engine for forward-starting vanilla options |
| CMCHestonHullWhiteEngine | |
| CMCHimalayaEngine | |
| CMCHullWhiteCapFloorEngine | Monte Carlo Hull-White engine for cap/floors |
| CMCLongstaffSchwartzEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options |
| CMCLongstaffSchwartzPathEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options |
| CMCLookbackEngine | Monte Carlo lookback-option engine |
| CMCPagodaEngine | Pricing engine for pagoda options using Monte Carlo simulation |
| CMCPathBasketEngine | Pricing engine for path dependent basket options using |
| CMCPerformanceEngine | Pricing engine for performance options using Monte Carlo simulation |
| CMcSimulation | Base class for Monte Carlo engines |
| CMCVanillaEngine | Pricing engine for vanilla options using Monte Carlo simulation |
| CMCVarianceSwapEngine | Variance-swap pricing engine using Monte Carlo simulation, |
| CMeanRevertingPricer | |
| CMersenneTwisterUniformRng | Uniform random number generator |
| CMerton76Process | Merton-76 jump-diffusion process |
| CMethodOfLinesScheme | |
| ►CMexico | Mexican calendars |
| CBmvImpl | |
| CMfStateProcess | Markov functional state process class |
| CMidPoint | |
| CMidPointCDOEngine | CDO base engine taking schedule steps |
| CMidPointCdsEngine | |
| CMinBasketPayoff | |
| CMinCopula | Min copula |
| CMixedInterpolation | |
| CMixedLinearCubic | Mixed linear/cubic interpolation factory and traits |
| CMixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points |
| CMixedLinearCubicNaturalSpline | |
| CMixedLinearFritschButlandCubic | |
| CMixedLinearKrugerCubic | |
| CMixedLinearMonotonicCubicNaturalSpline | |
| CMixedLinearMonotonicParabolic | |
| CMixedLinearParabolic | |
| CMixedScheme | Mixed (explicit/implicit) scheme for finite difference methods |
| CModifiedCraigSneydScheme | Modified Craig-Sneyd scheme |
| CModTripleBandLinearOp | |
| CMomentBasedGaussianPolynomial | |
| ►CMoney | Amount of cash |
| CBaseCurrencyProxy | |
| CConversionTypeProxy | |
| CSettings | Per-session settings for the Money class |
| CMonotonicCubicNaturalSpline | |
| CMonotonicLogCubic | |
| CMonotonicLogCubicNaturalSpline | |
| CMonotonicLogMixedLinearCubic | |
| CMonotonicLogParabolic | |
| CMonotonicParabolic | |
| CMonteCarloCatBondEngine | |
| CMonteCarloModel | General-purpose Monte Carlo model for path samples |
| CMoreGreeks | More additional option results |
| CMoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
| CMosprime | MOSPRIME rate |
| CMTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
| CMTBrownianGeneratorFactory | |
| CMTLCurrency | Maltese lira |
| CMtMCrossCurrencyBasisSwapRateHelper | Rate helper for bootstrapping over market-to-market cross-currency basis swaps |
| CMTUnitOfMeasure | |
| ►CMultiAssetOption | Base class for options on multiple assets |
| Cengine | |
| Cresults | Results from multi-asset option calculation |
| CMultiCubicSpline | N-dimensional cubic spline interpolation between discrete points |
| CMultiDimGaussianIntegration | |
| CMultidimIntegral | Integrates a vector or scalar function of vector domain |
| CMultiPath | Correlated multiple asset paths |
| CMultiPathGenerator | Generates a multipath from a random number generator |
| CMultipleResetsCoupon | Multiple-reset coupon |
| CMultipleResetsLeg | Helper class building a sequence of multiple-reset coupons |
| CMultipleResetsPricer | |
| CMultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc) |
| CMultiProductComposite | Composition of one or more market-model products |
| CMultiProductMultiStep | Multiple-step market-model product |
| CMultiProductOneStep | Single-step market-model product |
| CMultiProductPathwiseWrapper | |
| CMultiStepCoinitialSwaps | |
| CMultiStepCoterminalSwaps | |
| CMultiStepCoterminalSwaptions | |
| CMultiStepForwards | |
| CMultiStepInverseFloater | |
| CMultiStepNothing | |
| CMultiStepOptionlets | |
| CMultiStepPeriodCapletSwaptions | |
| CMultiStepRatchet | |
| CMultiStepSwap | |
| CMultiStepSwaption | |
| CMultiStepTarn | |
| CMultiVariate | Default Monte Carlo traits for multi-variate models |
| CMURCurrency | Mauritian rupee |
| CMXNCurrency | Mexican peso |
| CMXVCurrency | Mexican Unidad de Inversion |
| CMYRCurrency | Malaysian Ringgit |
| CNelsonSiegelFitting | Nelson-Siegel fitting method |
| CNeumannBC | Neumann boundary condition (i.e., constant derivative) |
| CNewton | Newton 1-D solver |
| CNewtonSafe | Safe Newton 1-D solver |
| ►CNewZealand | New Zealand calendar |
| CAucklandImpl | |
| CCommonImpl | |
| CWellingtonImpl | |
| CNGNCurrency | Nigerian Naira |
| CNinePointLinearOp | |
| CNLGCurrency | Dutch guilder |
| CNoArbSabr | No arbtrage sabr interpolation factory and traits |
| CNoArbSabrInterpolatedSmileSection | |
| CNoArbSabrInterpolation | No arbitrage sabr smile interpolation between discrete volatility points |
| CNoArbSabrModel | |
| CNoArbSabrSmileSection | |
| ►CNoConstraint | No constraint |
| CImpl | |
| CNodeData | |
| CNoExceptLocalVolSurface | |
| CNOKCurrency | Norwegian krone |
| CNonCentralCumulativeChiSquareDistribution | |
| CNonCentralCumulativeChiSquareSankaranApprox | |
| ►CNonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i |
| CImpl | |
| CNonLinearLeastSquare | Non-linear least-square method |
| ►CNonstandardSwap | Nonstandard swap |
| Carguments | Arguments for nonstandard swap calculation |
| Cengine | |
| Cresults | Results from nonstandard swap calculation |
| ►CNonstandardSwaption | Nonstandard swaption class |
| Carguments | Arguments for nonstandard swaption calculation |
| Cengine | Base class for nonstandard swaption engines |
| CNoOffset | |
| ►CNormalCLVModel | |
| ►CMappingFunction | |
| CInterpolationData | |
| CNormalDistribution | Normal distribution function |
| CNormalFwdRatePc | Predictor-Corrector |
| CNorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt |
| ►CNorway | Norwegian calendar |
| CImpl | |
| CNothingExerciseValue | |
| CNotionalPath | |
| CNotionalRisk | |
| CNPRCurrency | Nepal rupee |
| CNthOrderDerivativeOp | |
| ►CNthToDefault | N-th to default swap |
| Carguments | |
| Cengine | NTD base engine |
| Cresults | |
| CNull | Template class providing a null value for a given type |
| Cnull_deleter | |
| ►CNullCalendar | Calendar for reproducing theoretical calculations |
| CImpl | |
| CNullCommodityType | |
| CNullCondition | null step condition |
| ►CNullParameter | Parameter which is always zero \( a(t) = 0 \) |
| CImpl | |
| CNullPayoff | Dummy payoff class |
| CNumericalDifferentiation | Numerical Differentiation on arbitrarily spaced grids |
| ►CNumericHaganPricer | CMS-coupon pricer |
| CConundrumIntegrand | |
| CFunction | |
| CNZDCurrency | New Zealand dollar |
| CNZDLibor | NZD LIBOR rate |
| CNzocr | Nzocr index |
| CObservable | Object that notifies its changes to a set of observers |
| CObservableSettings | Global repository for run-time library settings |
| CObservableValue | observable and assignable proxy to concrete value |
| CObserver | Object that gets notified when a given observable changes |
| COISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
| COMRCurrency | Omani rial |
| ►COneAssetOption | Base class for options on a single asset |
| Cengine | |
| Cresults | Results from single-asset option calculation |
| ►COneDayCounter | 1/1 day count convention |
| CImpl | |
| COneFactorAffineModel | Single-factor affine base class |
| COneFactorAffineSurvivalStructure | |
| COneFactorCopula | Abstract base class for one-factor copula models |
| COneFactorGaussianCopula | One-factor Gaussian Copula |
| COneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula |
| ►COneFactorModel | Single-factor short-rate model abstract class |
| CShortRateDynamics | Base class describing the short-rate dynamics |
| CShortRateTree | Recombining trinomial tree discretizing the state variable |
| COneFactorStudentCopula | One-factor Double Student t-Copula |
| COneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula |
| COneStepCoinitialSwaps | |
| COneStepCoterminalSwaps | |
| COneStepForwards | |
| COneStepOptionlets | |
| COperatorSplittingSpreadEngine | Pricing engine for spread options with two assets |
| COperatorTraits | |
| COptimizationMethod | Abstract class for constrained optimization method |
| ►COption | Base option class |
| Carguments | Basic option arguments |
| COptionletStripper | |
| COptionletStripper1 | |
| ►COptionletStripper2 | |
| CObjectiveFunction | |
| COptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
| COrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
| COrthogonalizedBumpFinder | |
| COrthogonalProjections | |
| COvernightIborBasisSwapRateHelper | Rate helper for bootstrapping over overnight-ibor basis swaps |
| COvernightIndex | |
| COvernightIndexedCoupon | Overnight coupon |
| COvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate |
| COvernightIndexedSwapIndex | Base class for overnight indexed swap indexes |
| COvernightIndexFuture | |
| COvernightIndexFutureRateHelper | RateHelper for bootstrapping over overnight compounding futures |
| COvernightLeg | Helper class building a sequence of overnight coupons |
| CPagodaMultiPathPricer | |
| ►CPagodaOption | Roofed Asian option on a number of assets |
| Carguments | |
| Cengine | Pagoda-option engine base class |
| CParabolic | |
| ►CParameter | Base class for model arguments |
| CImpl | Base class for model parameter implementation |
| CParametersTransformation | |
| CParametricExercise | |
| CParametricExerciseAdapter | |
| CParkinsonSigma | |
| CPartialBarrier | Choice of time range for partial-time barrier options |
| ►CPartialTimeBarrierOption | Partial-time barrier option |
| Carguments | Arguments for partial-time barrier option calculation |
| Cengine | Base class for partial-time barrier option engines |
| ►CParticleSwarmOptimization | |
| CInertia | Base inertia class used to alter the PSO state |
| CTopology | Base topology class used to determine the personal and global best |
| CPascalTriangle | Pascal triangle coefficients calculator |
| CPath | Single-factor random walk |
| CPathGenerator | Generates random paths using a sequence generator |
| ►CPathMultiAssetOption | Base class for path-dependent options on multiple assets |
| Carguments | Arguments for multi-asset option calculation |
| Cengine | |
| Cresults | Results from multi-asset option calculation |
| CPathPayoff | Abstract base class for path-dependent option payoffs |
| CPathPricer | Base class for path pricers |
| CPathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas |
| CPathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
| CPathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
| ►CPaymentTerm | |
| CData | |
| CPayoff | Abstract base class for option payoffs |
| CPdeBSM | |
| CPdeConstantCoeff | |
| CPdeOperator | |
| CPdeSecondOrderParabolic | |
| CPEHCurrency | Peruvian sol |
| CPEICurrency | Peruvian inti |
| CPenaltyFunction | |
| CPENCurrency | Peruvian nuevo sol |
| CPercentageStrikePayoff | Payoff with strike expressed as percentage |
| CPerformanceOptionPathPricer | |
| CPeriod | |
| CPeriodParser | |
| CPerturbativeBarrierOptionEngine | Perturbative barrier-option engine |
| CPHPCurrency | Philippine peso |
| CPiecewiseConstantAbcdVariance | |
| CPiecewiseConstantCorrelation | |
| ►CPiecewiseConstantParameter | Piecewise-constant parameter |
| CImpl | |
| CPiecewiseConstantVariance | |
| CPiecewiseDefaultCurve | Piecewise default-probability term structure |
| CPiecewiseIntegral | |
| CPiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model |
| CPiecewiseYieldCurve | Piecewise yield term structure |
| CPiecewiseYoYInflationCurve | Piecewise year-on-year inflation term structure |
| CPiecewiseYoYOptionletVolatilityCurve | Piecewise year-on-year inflation volatility term structure |
| CPiecewiseZeroInflationCurve | Piecewise zero-inflation term structure |
| CPillar | |
| CPKRCurrency | Pakistani rupee |
| CPlackettCopula | Plackett copula |
| CPlainVanillaPayoff | Plain-vanilla payoff |
| CPLNCurrency | Polish zloty |
| CPoissonDistribution | Poisson distribution function |
| ►CPoland | Polish calendar |
| CSettlementImpl | |
| CWseImpl | |
| CPolarStudentTRng | Student t random number generator |
| CPolynomial | Polynomial2D-spline-interpolation factory |
| CPolynomial2DSpline | Polynomial2D-spline interpolation between discrete points |
| CPolynomialFunction | Cubic functional form |
| CPool | |
| CPosition | |
| ►CPositiveConstraint | Constraint imposing positivity to all arguments |
| CImpl | |
| CPredefined1dMesher | |
| CPribor | PRIBOR rate |
| ►CPricingEngine | Interface for pricing engines |
| Carguments | |
| Cresults | |
| CPricingError | |
| CPricingPeriod | Time pricingperiod described by a number of a given time unit |
| CPrimeNumbers | Prime numbers calculator |
| CProbabilityAlwaysDownhill | Always Downhill Probability |
| CProbabilityBoltzmann | Boltzmann Probability |
| CProbabilityBoltzmannDownhill | Boltzmann Downhill Probability |
| CProbabilityOfAtLeastNEvents | Probability of at least N events |
| CProbabilityOfNEvents | Probability of N events |
| CProblem | Constrained optimization problem |
| ►CProjectedConstraint | |
| CImpl | |
| CProjectedCostFunction | Parameterized cost function |
| CProjection | |
| CProportionalNotionalRisk | |
| CProtection | Information on a default-protection contract |
| CProxyGreekEngine | |
| CProxyIbor | IborIndex calculated as proxy of some other IborIndex |
| CPseudoRootFacade | |
| CPTECurrency | Portuguese escudo |
| CQARCurrency | Qatari riyal |
| CQdFpAmericanEngine | High performance/precision American engine based on fixed point iteration for the exercise boundary |
| CQdFpIterationScheme | Iteration scheme for fixed-point QD American engine |
| CQdFpLegendreScheme | Gauss-Legendre (l,m,n)-p Scheme |
| CQdFpLegendreTanhSinhScheme | Legendre-Tanh-Sinh (l,m,n)-eps Scheme |
| CQdFpTanhSinhIterationScheme | Tanh-sinh (m,n)-eps Scheme |
| CQdPlusAmericanEngine | American engine based on the QD+ approximation to the exercise boundary |
| Cquadratic | |
| CQuantity | Amount of a commodity |
| CQuantoBarrierOption | Quanto version of a barrier option |
| CQuantoDoubleBarrierOption | Quanto version of a double barrier option |
| CQuantoEngine | Quanto engine |
| CQuantoForwardVanillaOption | Quanto version of a forward vanilla option |
| CQuantoOptionResults | Results from quanto option calculation |
| CQuantoTermStructure | Quanto term structure |
| CQuantoVanillaOption | Quanto version of a vanilla option |
| CQuote | Purely virtual base class for market observables |
| CRandomDefaultLM | |
| CRandomDefaultModel | Base class for random default models |
| CRandomizedLDS | Randomized (random shift) low-discrepancy sequence |
| CRandomLM | |
| CRandomLossLM | |
| CRandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator |
| CRangeAccrualFloatersCoupon | |
| CRangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
| CRangeAccrualPricer | |
| CRangeAccrualPricerByBgm | |
| CRanlux64UniformRng | Uniform random number generator |
| CRatchetMaxPayoff | RatchetMax payoff (double option) |
| CRatchetMinPayoff | RatchetMin payoff (double option) |
| CRatchetPayoff | Ratchet payoff (single option) |
| CRateAveraging | Rate averaging method |
| CRatePseudoRootJacobian | |
| CRatePseudoRootJacobianAllElements | |
| CRatePseudoRootJacobianNumerical | |
| CReannealingFiniteDifferences | Reannealing Finite Difference |
| CReannealingTrivial | Reannealing Trivial |
| CRebatedExercise | Rebated exercise |
| CRecoveryRateModel | |
| CRecoveryRateQuote | Stores a recovery rate market quote and the associated seniority |
| CRecursiveLossModel | |
| CRedemption | Bond redemption |
| ►CRegion | Region class, used for inflation applicability |
| CData | |
| CRelativeDateBootstrapHelper | Bootstrap helper with date schedule relative to global evaluation date |
| CRelinkableHandle | Relinkable handle to an observable |
| CRendistatoBasket | |
| CRendistatoCalculator | |
| CRendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter |
| CRendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter |
| CReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
| CReplication | Digital option replication strategy |
| CRestructuring | Restructuring type |
| CRichardsonExtrapolation | Richardson Extrapolation |
| CRidder | Ridder 1-D solver |
| ►CRiskNeutralDensityCalculator | |
| CInvCDFHelper | |
| CRiskyAssetSwap | Risky asset-swap instrument |
| CRiskyAssetSwapOption | Option on risky asset swap |
| CRiskyBondEngine | Risky pricing engine for bonds |
| CRobor | ROBOR rate |
| CROLCurrency | Romanian leu |
| ►CRomania | Romanian calendars |
| CBVBImpl | |
| CPublicImpl | |
| CRONCurrency | Romanian new leu |
| CRounding | Basic rounding class |
| CRSDCurrency | Serbian dinar |
| CRUBCurrency | Russian ruble |
| ►CRussia | Russian calendars |
| CExchangeImpl | |
| CSettlementImpl | |
| CSABR | SABR interpolation factory and traits |
| CSabrInterpolatedSmileSection | |
| CSABRInterpolation | SABR smile interpolation between discrete volatility points |
| CSabrSmileSection | |
| CSabrVolSurface | SABR volatility (smile) surface |
| CSABRVolTermStructure | |
| ►CSaddlePointLossModel | Saddle point portfolio credit default loss model |
| CSaddleObjectiveFunction | |
| CSaddlePercObjFunction | |
| CSalvagingAlgorithm | Algorithm used for matricial pseudo square root |
| CSample | Weighted sample |
| CSamplerCauchy | Cauchy Sampler |
| CSamplerGaussian | Gaussian Sampler |
| CSamplerLogNormal | Lognormal Sampler |
| CSamplerMirrorGaussian | Gaussian Mirror Sampler |
| CSamplerRingGaussian | Gaussian Ring Sampler |
| CSamplerVeryFastAnnealing | Very Fast Annealing Sampler |
| CSARCurrency | Saudi riyal |
| CSaron | SARON (Swiss Average Rate Overnight) index |
| ►CSaudiArabia | Saudi Arabian calendar |
| CTadawulImpl | |
| CSavedSettings | |
| CSchedule | Payment schedule |
| CSeasonality | A transformation of an existing inflation swap rate |
| CSecant | Secant 1-D solver |
| CSecondDerivativeOp | |
| CSecondOrderMixedDerivativeOp | |
| CSeedGenerator | Random seed generator |
| CSegmentIntegral | Integral of a one-dimensional function |
| CSEKCurrency | Swedish krona |
| CSEKLibor | SEK LIBOR rate |
| ►CSettings | Global repository for run-time library settings |
| CDateProxy | |
| CSettlement | settlement information |
| CSGDCurrency | Singapore dollar |
| CShibor | |
| CShortRateModel | Abstract short-rate model class |
| CsimEvent | |
| CsimEvent< RandomDefaultLM< copulaPolicy, USNG > > | |
| CsimEvent< RandomLossLM< copulaPolicy, USNG > > | |
| CSimpleCashFlow | Predetermined cash flow |
| ►CSimpleChooserOption | Simple chooser option |
| Carguments | Extra arguments for single chooser option |
| Cengine | Simple-chooser-option engine base class |
| CSimpleCostFunction | |
| ►CSimpleDayCounter | Simple day counter for reproducing theoretical calculations |
| CImpl | |
| CSimpleLocalEstimator | Local-estimator volatility model |
| CSimplePolynomialFitting | Simple polynomial fitting method |
| CSimpleQuote | Market element returning a stored value |
| CSimpleQuoteVariables | |
| CSimpleRandomInertia | Simple Random Inertia |
| CSimplex | Multi-dimensional simplex class |
| ►CSimpleZeroYield | Simple Zero-curve traits |
| Ccurve | |
| CSimpsonIntegral | Integral of a one-dimensional function |
| CSimulatedAnnealing | Simulated Annealing |
| ►CSingapore | Singapore calendars |
| CSgxImpl | |
| CSingleFactorBsmBasketEngine | Pricing engine for baskets where all underlyings are driven by one stochastic factor |
| CSingleProductComposite | Composition of one or more market-model products |
| CSingleton | Basic support for the singleton pattern |
| CSingleVariate | Default Monte Carlo traits for single-variate models |
| CSITCurrency | Slovenian tolar |
| CSKKCurrency | Slovak koruna |
| ►CSlovakia | Slovak calendars |
| CBsseImpl | |
| CSmileSection | Interest rate volatility smile section |
| CSmileSectionUtils | |
| CSMMDriftCalculator | Drift computation for coterminal swap market models |
| CSobolBrownianBridgeRsg | |
| CSobolBrownianGenerator | |
| CSobolBrownianGeneratorBase | Sobol Brownian generator for market-model simulations |
| CSobolBrownianGeneratorFactory | |
| CSobolRsg | Sobol low-discrepancy sequence generator |
| CSofr | Sofr (Secured Overnight Financing Rate) index |
| CSofrFutureRateHelper | RateHelper for bootstrapping over CME SOFR futures |
| CSoftCallability | callability leaving to the holder the possibility to convert |
| CSolver1D | Base class for 1-D solvers |
| CSonia | Sonia (Sterling Overnight Index Average) rate |
| ►CSouthAfrica | South-African calendar |
| CImpl | |
| ►CSouthKorea | South Korean calendars |
| CKrxImpl | |
| CSettlementImpl | |
| CSparseILUPreconditioner | |
| CSphereCylinderOptimizer | |
| CSpotRecoveryLatentModel | Random spot recovery rate latent variable portfolio model |
| CSpreadBasketPayoff | |
| CSpreadBlackScholesVanillaEngine | |
| CSpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper |
| CSpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates |
| CSpreadedOptionletVolatility | |
| CSpreadedSmileSection | |
| CSpreadedSwaptionVolatility | |
| CSpreadFittingMethod | Spread fitting method helper |
| ►CSpreadOption | |
| Cengine | |
| CSquareRootAndersen | |
| ►CSquareRootCLVModel | |
| CMappingFunction | |
| CSquareRootProcess | Square-root process class |
| CSquareRootProcessRNDCalculator | |
| CStatsHolder | Helper class for precomputed distributions |
| CSteepestDescent | Multi-dimensional steepest-descent class |
| Cstep_iterator | Iterator advancing in constant steps |
| CStepCondition | Condition to be applied at every time step |
| CStickyMaxPayoff | StickyMax payoff (double option) |
| CStickyMinPayoff | StickyMin payoff (double option) |
| CStickyPayoff | Sticky payoff (single option) |
| CStochasticCollocationInvCDF | Stochastic collocation inverse cumulative distribution function |
| ►CStochasticProcess | Multi-dimensional stochastic process class |
| Cdiscretization | Discretization of a stochastic process over a given time interval |
| ►CStochasticProcess1D | 1-dimensional stochastic process |
| Cdiscretization | Discretization of a 1-D stochastic process |
| CStochasticProcessArray | Array of correlated 1-D stochastic processes |
| CStock | Simple stock class |
| CStrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
| CStrippedCappedFlooredCoupon | |
| CStrippedCappedFlooredCouponLeg | |
| CStrippedOptionlet | |
| CStrippedOptionletAdapter | |
| CStrippedOptionletBase | |
| CStudentDistribution | Student t-distribution |
| CStulzEngine | Pricing engine for 2D European Baskets |
| CSubPeriodsLeg | |
| CSuoWangDoubleBarrierEngine | Pricing engine for barrier options using analytical formulae |
| CSuperFundPayoff | Binary supershare and superfund payoffs |
| CSuperSharePayoff | Binary supershare payoff |
| ►CSurvivalProbability | Survival-Probability-curve traits |
| Ccurve | |
| CSurvivalProbabilityStructure | Hazard-rate term structure |
| CSVD | Singular value decomposition |
| CSVDDFwdRatePc | |
| CSvenssonFitting | Svensson Fitting method |
| CSvi | Svi interpolation factory and traits |
| CSviInterpolatedSmileSection | |
| CSviInterpolation | Svi smile interpolation between discrete volatility points |
| CSviSmileSection | Stochastic Volatility Inspired Smile Section |
| ►CSwap | Interest rate swap |
| Carguments | |
| Cengine | |
| Cresults | |
| CSwapBasisSystem | |
| CSwapCashFlows | |
| CSwapForwardBasisSystem | |
| CSwapForwardMappings | |
| CSwapIndex | Base class for swap-rate indexes |
| CSwapRateHelper | Rate helper for bootstrapping over swap rates |
| CSwapRateTrigger | |
| CSwapSpreadIndex | Class for swap-rate spread indexes |
| ►CSwaption | Swaption class |
| Carguments | Arguments for swaption calculation |
| Cengine | Base class for swaption engines |
| CSwaptionCashFlows | |
| CSwaptionHelper | Calibration helper for interest-rate swaptions |
| CSwaptionPseudoDerivative | |
| CSwaptionVolatilityCube | Swaption-volatility cube |
| CSwaptionVolatilityDiscrete | |
| CSwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
| CSwaptionVolatilityStructure | Swaption-volatility structure |
| CSwaptionVolCubeNoArbSabrModel | |
| CSwaptionVolCubeSabrModel | Swaption Volatility Cube SABR |
| ►CSweden | Swedish calendar |
| CImpl | |
| CSwestr | Swestr (Swedish krona Short Term Rate) index |
| CSwingExercise | Swing exercise |
| ►CSwitzerland | Swiss calendar |
| CImpl | |
| CSymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
| ►CSyntheticCDO | Synthetic Collateralized Debt Obligation |
| Carguments | |
| Cengine | CDO base engine |
| Cresults | |
| CTabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
| ►CTaiwan | Taiwanese calendars |
| CTsecImpl | |
| CTanhSinhIntegral | |
| ►CTARGET | TARGET calendar |
| CImpl | |
| ►CTCopulaPolicy | Student-T Latent Model's copula policy |
| CinitTraits | |
| CTemperatureBoltzmann | Temperature Boltzmann |
| CTemperatureCauchy | Temperature Cauchy |
| CTemperatureCauchy1D | |
| CTemperatureExponential | |
| CTemperatureVeryFastAnnealing | Temperature Very Fast Annealing |
| ►CTenorOptionletVTS | |
| CCorrelationStructure | |
| CTenorOptionletSmileSection | |
| CTwoParameterCorrelation | |
| ►CTenorSwaptionVTS | |
| CTenorSwaptionSmileSection | |
| CTermStructure | Basic term-structure functionality |
| CTermStructureConsistentModel | Term-structure consistent model class |
| ►CTermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
| CNumericalImpl | |
| ►CThailand | Thailand calendars |
| CSetImpl | |
| CTHBCurrency | Thai baht |
| CTHBFIX | THB THBFIX rate |
| ►CThirty360 | 30/360 day count convention |
| CEU_Impl | |
| CISDA_Impl | |
| CISMA_Impl | |
| CIT_Impl | |
| CNASD_Impl | |
| CThirty360_Impl | |
| CUS_Impl | |
| ►CThirty365 | 30/365 day count convention |
| CImpl | |
| CTian | Tian tree: third moment matching, multiplicative approach |
| CTibor | JPY TIBOR index |
| CTimeBasket | Distribution over a number of dates |
| CTimeGrid | Time grid class |
| CTimeHomogeneousForwardCorrelation | |
| ►CTimeSeries | Container for historical data |
| Creverse | |
| Creverse< container, std::bidirectional_iterator_tag > | |
| CTNDCurrency | Tunisian dinar |
| CTokyoKilolitreUnitOfMeasure | |
| CTona | TONA index |
| CTqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
| CTransformedGrid | |
| CTrapezoidIntegral | Integral of a one-dimensional function |
| CTRBDF2 | TR-BDF2 scheme for finite difference methods |
| CTrBDF2Scheme | |
| CTree | Tree approximating a single-factor diffusion |
| CTreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds |
| CTreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds |
| CTreeCapFloorEngine | Numerical lattice engine for cap/floors |
| CTreeLattice | Tree-based lattice-method base class |
| CTreeLattice1D | One-dimensional tree-based lattice |
| CTreeLattice2D | Two-dimensional tree-based lattice |
| CTreeSwaptionEngine | Numerical lattice engine for swaptions |
| CTreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
| ►CTridiagonalOperator | Base implementation for tridiagonal operator |
| CTimeSetter | Encapsulation of time-setting logic |
| CTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
| CTriggeredSwapExercise | |
| ►CTrinomialTree | Recombining trinomial tree class |
| CBranching | |
| CTripleBandLinearOp | |
| CTrivialInertia | Trivial Inertia |
| CTRLCurrency | Turkish lira |
| CTRLibor | TRY LIBOR rate |
| CTRYCurrency | New Turkish lira |
| CTsiveriotisFernandesLattice | Binomial lattice approximating the Tsiveriotis-Fernandes model |
| CTTDCurrency | Trinidad & Tobago dollar |
| ►CTurkey | Turkish calendar |
| CImpl | |
| CTurnbullWakemanAsianEngine | |
| CTWDCurrency | Taiwan dollar |
| ►CTwoAssetBarrierOption | Barrier option on two assets |
| Carguments | Arguments for two-asset barrier option calculation |
| Cengine | Two-asset barrier-option engine base class |
| ►CTwoAssetCorrelationOption | Two-asset correlation option |
| Carguments | Arguments for two-asset correlation option |
| Cengine | Base class for two-asset correlation option engines |
| CTwoDimensionalIntegral | Integral of a two-dimensional function |
| ►CTwoFactorModel | Abstract base-class for two-factor models |
| CShortRateDynamics | Class describing the dynamics of the two state variables |
| CShortRateTree | Recombining two-dimensional tree discretizing the state variable |
| CTypePayoff | Intermediate class for put/call payoffs |
| CUAHCurrency | Ukrainian hryvnia |
| CUGXCurrency | Ugandan shilling |
| CUKHICP | UK HICP index |
| ►CUkraine | Ukrainian calendars |
| CUseImpl | |
| CUKRegion | United Kingdom as geographical/economic region |
| CUKRPI | UK Retail Price Inflation Index |
| CUltimateForwardTermStructure | Ultimate forward term structure |
| CUniform1dMesher | |
| CUniformGridMesher | |
| CUnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
| ►CUnitedKingdom | United Kingdom calendars |
| CExchangeImpl | |
| CMetalsImpl | |
| CSettlementImpl | |
| ►CUnitedStates | United States calendars |
| CFederalReserveImpl | |
| CGovernmentBondImpl | |
| CLiborImpactImpl | |
| CNercImpl | |
| CNyseImpl | |
| CSettlementImpl | |
| CSofrImpl | |
| ►CUnitOfMeasure | Unit of measure specification |
| CData | |
| ►CUnitOfMeasureConversion | |
| CData | |
| CUnitOfMeasureConversionManager | Repository of conversion factors between units of measure |
| CUpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper |
| CUpperBoundEngine | Market-model engine for upper-bound estimation |
| CUpRounding | Up-rounding |
| CUSCPI | US CPI index |
| CUSDCurrency | U.S. dollar |
| CUSDLibor | USD LIBOR rate |
| CUSDLiborON | Overnight USD Libor index |
| CUsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class |
| CUsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class |
| CUSRegion | USA as geographical/economic region |
| CUYUCurrency | Uruguayan peso |
| CVanillaForwardPayoff | |
| CVanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
| CVanillaOptionPricer | |
| ►CVanillaStorageOption | Base option class |
| Carguments | |
| CVanillaSwap | Plain-vanilla swap: fix vs ibor leg |
| ►CVanillaSwingOption | Base option class |
| Carguments | |
| ►CVanillaVPPOption | |
| Carguments | |
| CVannaVolga | VannaVolga-interpolation factory and traits |
| CVannaVolgaBarrierEngine | Vanna/Volga barrier option engine |
| CVannaVolgaDoubleBarrierEngine | Vanna Volga double-barrier option engine |
| CVannaVolgaInterpolation | Vanna Volga interpolation between discrete points |
| CVarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach |
| CVarianceGammaModel | Variance Gamma model |
| CVarianceGammaProcess | Variance gamma process |
| ►CVarianceOption | Variance option |
| Carguments | Arguments for forward fair-variance calculation |
| Cengine | Base class for variance-option engines |
| Cresults | Results from variance-option calculation |
| CVariancePathPricer | |
| ►CVarianceSwap | Variance swap |
| Carguments | Arguments for forward fair-variance calculation |
| Cengine | Base class for variance-swap engines |
| Cresults | Results from variance-swap calculation |
| ►CVasicek | Vasicek model class |
| CDynamics | Short-rate dynamics in the Vasicek model |
| CVEBCurrency | Venezuelan bolivar |
| CVegaBumpCluster | |
| CVegaBumpCollection | |
| CVegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests |
| CVisitor | Visitor for a specific class |
| CVNDCurrency | Vietnamese Dong |
| ►CVolatilityBumpInstrumentJacobian | |
| CCap | |
| CSwaption | |
| CVolatilityCompositor | |
| CVolatilityCube | |
| CVolatilityInterpolationSpecifier | |
| CVolatilityInterpolationSpecifierabcd | |
| CVolatilityTermStructure | Volatility term structure |
| ►CWeekendsOnly | Weekends-only calendar |
| CImpl | |
| CWibor | WIBOR rate |
| ►CWriterExtensibleOption | Writer-extensible option |
| Carguments | Additional arguments for writer-extensible options |
| Cengine | Base engine for writer-extensible options |
| ►CXabrSwaptionVolatilityCube | XABR Swaption Volatility Cube |
| CCube | |
| CPrivateObserver | |
| CXOFCurrency | |
| CXoshiro256StarStarUniformRng | Uniform random number generator |
| CXRPCurrency | Ripple |
| ►CYearOnYearInflationSwap | Year-on-year inflation-indexed swap |
| Carguments | Arguments for YoY swap calculation |
| Cengine | |
| Cresults | Results from YoY swap calculation |
| CYearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper |
| CYieldTermStructure | Interest-rate term structure |
| CYoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure |
| CYoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
| CYoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
| CYoYInflationCap | Concrete YoY Inflation cap class |
| ►CYoYInflationCapFloor | Base class for yoy inflation cap-like instruments |
| Carguments | Arguments for YoY Inflation cap/floor calculation |
| Cengine | Base class for cap/floor engines |
| CYoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
| CYoYInflationCollar | Concrete YoY Inflation collar class |
| CYoYInflationCoupon | Coupon paying a YoY-inflation type index |
| CYoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
| CYoYInflationFloor | Concrete YoY Inflation floor class |
| CYoYInflationIndex | Base class for year-on-year inflation indices |
| CyoyInflationLeg | Helper class building a sequence of capped/floored yoy inflation coupons |
| CYoYInflationTermStructure | Base class for year-on-year inflation term structures |
| CYoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
| CYoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
| CYoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap |
| CYoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper |
| CYoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces |
| CYoYOptionletVolatilitySurface | |
| CYYAUCPI | Quoted year-on-year AU CPI (i.e. not a ratio) |
| CYYEUHICP | Quoted year-on-year EU HICP (i.e. not a ratio of EU HICP) |
| CYYEUHICPXT | Quoted year-on-year EU HICPXT |
| CYYFRHICP | Quoted year-on-year FR HICP (i.e. not a ratio) |
| CYYGenericCPI | Quoted year-on-year Generic CPI (i.e. not a ratio) |
| CYYUKRPI | Quoted year-on-year UK RPI (i.e. not a ratio of UK RPI) |
| CYYUSCPI | Quoted year-on-year US CPI (i.e. not a ratio of US CPI) |
| CYYZACPI | Quoted year-on-year South African CPI (i.e. not a ratio of ZA CPI) |
| CZabr | No arbtrage sabr interpolation factory and traits |
| CZabrFullFd | |
| CZabrInterpolatedSmileSection | |
| CZabrInterpolation | Zabr smile interpolation between discrete volatility points |
| CZabrLocalVolatility | |
| CZabrModel | |
| CZabrShortMaturityLognormal | |
| CZabrShortMaturityNormal | |
| CZabrSmileSection | |
| CZACPI | South African Consumer Price Inflation Index |
| CZARCurrency | South-African rand |
| CZARegion | South Africa as geographical/economic region |
| CZECCurrency | Zcash |
| CZeroCondition | Zero exercise condition |
| CZeroCouponBond | Zero-coupon bond |
| ►CZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
| Carguments | |
| Cengine | |
| CZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper |
| CZeroCouponSwap | Zero-coupon interest rate swap |
| CZeroInflationCashFlow | Cash flow dependent on a zero inflation index ratio |
| CZeroInflationIndex | Base class for zero inflation indices |
| CZeroInflationTermStructure | Interface for zero inflation term structures |
| CZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
| CZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
| ►CZeroYield | Zero-curve traits |
| Ccurve | |
| CZeroYieldStructure | Zero-yield term structure |
| CZibor | CHF ZIBOR rate |
| CZiggurat | |
| CZigguratGaussianRng | Gaussian random number generator |
| CZigguratRng | Ziggurat random-number generator |
| CZMWCurrency | Zambian kwacha |
| ►Nstd | STL namespace |
| Chash< boost::shared_ptr< T > > | |
| Chash< QuantLib::Date > | |
| CI_T | |
| CS | |
| CStat |