QuantLib
A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
Namespaces | Classes | Typedefs | Enumerations | Functions | Variables
QuantLib Namespace Reference

Namespaces

 detail
 
 details
 
 dsd
 
 exponential_integrals_helper
 
 ExponentialIntegral
 
 ext
 
 ForwardForwardMappings
 
 initializers
 
 io
 
 LatentModelIntegrationType
 
 MINPACK
 

Classes

class  Abcd
 Abcd interpolation factory and traits More...
 
class  AbcdAtmVolCurve
 Abcd-interpolated at-the-money (no-smile) volatility curve. More...
 
class  AbcdCalibration
 
class  AbcdFunction
 Abcd functional form for instantaneous volatility More...
 
class  AbcdInterpolation
 Abcd interpolation between discrete points. More...
 
class  AbcdMathFunction
 Abcd functional form More...
 
class  AbcdSquared
 
class  AbcdVol
 Abcd-interpolated volatility structure More...
 
class  AccountingEngine
 Engine collecting cash flows along a market-model simulation. More...
 
class  Actual360
 Actual/360 day count convention. More...
 
class  Actual364
 Actual/364 day count convention. More...
 
class  Actual365Fixed
 Actual/365 (Fixed) day count convention. More...
 
class  ActualActual
 Actual/Actual day count. More...
 
class  AcyclicVisitor
 degenerate base class for the Acyclic Visitor pattern More...
 
class  AdaptedPathPayoff
 
class  AdaptiveInertia
 AdaptiveInertia. More...
 
class  AdaptiveRungeKutta
 
class  add
 
class  AdditiveEQPBinomialTree
 Additive equal probabilities binomial tree. More...
 
struct  AffineHazardRate
 
class  AffineModel
 Affine model class. More...
 
class  AkimaCubicInterpolation
 
class  AliMikhailHaqCopula
 Ali-Mikhail-Haq copula. More...
 
class  AlphaFinder
 
class  AlphaForm
 
class  AlphaFormInverseLinear
 
class  AlphaFormLinearHyperbolic
 
class  AmericanBasketPathPricer
 
class  AmericanCondition
 American exercise condition. More...
 
class  AmericanExercise
 American exercise. More...
 
class  AmericanPathPricer
 
class  AmericanPayoffAtExpiry
 Analytic formula for American exercise payoff at-expiry options. More...
 
class  AmericanPayoffAtHit
 Analytic formula for American exercise payoff at-hit options. More...
 
class  AmortizingCmsRateBond
 amortizing CMS-rate bond More...
 
class  AmortizingFixedRateBond
 amortizing fixed-rate bond More...
 
class  AmortizingFloatingRateBond
 amortizing floating-rate bond (possibly capped and/or floored) More...
 
class  AmortizingPayment
 Amortizing payment. More...
 
class  AnalyticAmericanMargrabeEngine
 Analytic engine for American Margrabe option. More...
 
class  AnalyticBarrierEngine
 Pricing engine for barrier options using analytical formulae. More...
 
class  AnalyticBinaryBarrierEngine
 Analytic pricing engine for American binary barriers options. More...
 
class  AnalyticBlackVasicekEngine
 
class  AnalyticBSMHullWhiteEngine
 analytic european option pricer including stochastic interest rates More...
 
class  AnalyticCapFloorEngine
 Analytic engine for cap/floor. More...
 
class  AnalyticCEVEngine
 
class  AnalyticCliquetEngine
 Pricing engine for Cliquet options using analytical formulae. More...
 
class  AnalyticComplexChooserEngine
 
class  AnalyticCompoundOptionEngine
 Pricing engine for compound options using analytical formulae. More...
 
class  AnalyticContinuousFixedLookbackEngine
 Pricing engine for European continuous fixed-strike lookback. More...
 
class  AnalyticContinuousFloatingLookbackEngine
 Pricing engine for European continuous floating-strike lookback. More...
 
class  AnalyticContinuousGeometricAveragePriceAsianEngine
 Pricing engine for European continuous geometric average price Asian. More...
 
class  AnalyticContinuousGeometricAveragePriceAsianHestonEngine
 Pricing engine for European continuous geometric average price Asian. More...
 
class  AnalyticContinuousPartialFixedLookbackEngine
 Pricing engine for European continuous partial-time fixed-strike lookback options. More...
 
class  AnalyticContinuousPartialFloatingLookbackEngine
 Pricing engine for European continuous partial-time floating-strike lookback option. More...
 
class  AnalyticDigitalAmericanEngine
 Analytic pricing engine for American vanilla options with digital payoff. More...
 
class  AnalyticDigitalAmericanKOEngine
 Analytic pricing engine for American Knock-out options with digital payoff. More...
 
class  AnalyticDiscreteGeometricAveragePriceAsianEngine
 Pricing engine for European discrete geometric average price Asian. More...
 
class  AnalyticDiscreteGeometricAveragePriceAsianHestonEngine
 Pricing engine for European discrete geometric average price Asian. More...
 
class  AnalyticDiscreteGeometricAverageStrikeAsianEngine
 Pricing engine for European discrete geometric average-strike Asian option. More...
 
class  AnalyticDividendEuropeanEngine
 Analytic pricing engine for European options with discrete dividends. More...
 
class  AnalyticDoubleBarrierBinaryEngine
 Analytic pricing engine for double barrier binary options. More...
 
class  AnalyticDoubleBarrierEngine
 Pricing engine for double barrier european options using analytical formulae. More...
 
class  AnalyticEuropeanEngine
 Pricing engine for European vanilla options using analytical formulae. More...
 
class  AnalyticEuropeanMargrabeEngine
 Analytic engine for European Margrabe option. More...
 
class  AnalyticGJRGARCHEngine
 GJR-GARCH(1,1) engine. More...
 
class  AnalyticH1HWEngine
 Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
 
class  AnalyticHaganPricer
 CMS-coupon pricer. More...
 
class  AnalyticHestonEngine
 analytic Heston-model engine based on Fourier transform More...
 
class  AnalyticHestonForwardEuropeanEngine
 Analytic Heston engine incl. stochastic interest rates. More...
 
class  AnalyticHestonHullWhiteEngine
 Analytic Heston engine incl. stochastic interest rates. More...
 
class  AnalyticHolderExtensibleOptionEngine
 
class  AnalyticPartialTimeBarrierOptionEngine
 
class  AnalyticPDFHestonEngine
 Analytic engine for arbitrary European payoffs under the Heston model. More...
 
class  AnalyticPerformanceEngine
 Pricing engine for performance options using analytical formulae. More...
 
class  AnalyticPTDHestonEngine
 analytic piecewise constant time dependent Heston-model engine More...
 
class  AnalyticSimpleChooserEngine
 Pricing engine for European Simple Chooser option. More...
 
class  AnalyticTwoAssetBarrierEngine
 Analytic engine for barrier option on two assets. More...
 
class  AnalyticTwoAssetCorrelationEngine
 Analytic two-asset correlation option engine. More...
 
class  AnalyticWriterExtensibleOptionEngine
 Analytic engine for writer-extensible options. More...
 
class  AndreasenHugeLocalVolAdapter
 
class  AndreasenHugeVolatilityAdapter
 
class  AndreasenHugeVolatilityInterpl
 Calibration of a local volatility surface to a sparse grid of options. More...
 
class  Aonia
 Aonia index More...
 
class  Argentina
 Argentinian calendars. More...
 
class  ArithmeticAPOHestonPathPricer
 
class  ArithmeticAPOPathPricer
 
class  ArithmeticASOPathPricer
 
class  ArithmeticAveragedOvernightIndexedCouponPricer
 
class  ArithmeticAverageOIS
 Arithemtic Average OIS: fix vs arithmetic average of overnight rate. More...
 
class  ArithmeticOISRateHelper
 Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
 
class  ArmijoLineSearch
 Armijo line search. More...
 
class  Array
 1-D array used in linear algebra. More...
 
class  ARSCurrency
 Argentinian peso. More...
 
class  AssetOrNothingPayoff
 Binary asset-or-nothing payoff. More...
 
class  AssetSwap
 Bullet bond vs Libor swap. More...
 
class  AssetSwapHelper
 
struct  ASX
 Main cycle of the Australian Securities Exchange (a.k.a. ASX) months. More...
 
class  AtmAdjustedSmileSection
 
class  AtmSmileSection
 
struct  AtomicDefault
 Atomic (single contractual event) default events. More...
 
class  ATSCurrency
 Austrian shilling. More...
 
class  AUCPI
 AU CPI index (either quarterly or annual) More...
 
class  AUDCurrency
 Australian dollar. More...
 
class  AUDLibor
 AUD LIBOR rate More...
 
class  Australia
 Australian calendar. More...
 
class  AustraliaRegion
 Australia as geographical/economic region. More...
 
class  Austria
 Austrian calendars. More...
 
struct  Average
 Placeholder for enumerated averaging types. More...
 
class  AverageBasketPayoff
 
class  AverageBMACoupon
 Average BMA coupon. More...
 
class  AverageBMALeg
 helper class building a sequence of average BMA coupons More...
 
class  AveragingRatePricer
 
class  BachelierCapFloorEngine
 Bachelier-Black-formula cap/floor engine. More...
 
class  BachelierSwaptionEngine
 Normal Bachelier-formula swaption engine. More...
 
class  BachelierYoYInflationCouponPricer
 Bachelier-formula pricer for capped/floored yoy inflation coupons. More...
 
class  BackwardFlat
 Backward-flat interpolation factory and traits. More...
 
class  BackwardFlatInterpolation
 Backward-flat interpolation between discrete points. More...
 
class  BackwardflatLinear
 
class  BackwardflatLinearInterpolation
 
class  BankruptcyEvent
 
class  BaroneAdesiWhaleyApproximationEngine
 Barone-Adesi and Whaley pricing engine for American options (1987) More...
 
class  BarrelUnitOfMeasure
 
struct  Barrier
 Placeholder for enumerated barrier types. More...
 
class  BarrierOption
 Barrier option on a single asset. More...
 
class  BarrierPathPricer
 
class  BaseCorrelationLossModel
 
class  BaseCorrelationTermStructure
 
class  BasisIncompleteOrdered
 
class  Basket
 
class  BasketGeneratingEngine
 
class  BasketOption
 Basket option on a number of assets. More...
 
class  BasketPayoff
 
class  BatesDetJumpEngine
 
class  BatesDetJumpModel
 
class  BatesDoubleExpDetJumpEngine
 
class  BatesDoubleExpDetJumpModel
 
class  BatesDoubleExpEngine
 
class  BatesDoubleExpModel
 
class  BatesEngine
 Bates model engines based on Fourier transform. More...
 
class  BatesModel
 Bates stochastic-volatility model. More...
 
class  BatesProcess
 Square-root stochastic-volatility Bates process. More...
 
class  Bbsw
 Bbsw index More...
 
class  Bbsw1M
 1-month Bbsw index More...
 
class  Bbsw2M
 2-months Bbsw index More...
 
class  Bbsw3M
 3-months Bbsw index More...
 
class  Bbsw4M
 4-months Bbsw index More...
 
class  Bbsw5M
 5-months Bbsw index More...
 
class  Bbsw6M
 6-months Bbsw index More...
 
class  BCHCurrency
 Bitcoin Cash. More...
 
class  BDTCurrency
 Bangladesh taka. More...
 
class  BEFCurrency
 Belgian franc. More...
 
class  BermudanExercise
 Bermudan exercise. More...
 
class  BermudanSwaptionExerciseValue
 
class  BernsteinPolynomial
 class of Bernstein polynomials More...
 
class  BespokeCalendar
 Bespoke calendar. More...
 
class  BetaRisk
 
class  BetaRiskSimulation
 
class  BFGS
 Broyden-Fletcher-Goldfarb-Shanno algorithm. More...
 
class  BGLCurrency
 Bulgarian lev. More...
 
class  BiasedBarrierPathPricer
 
class  Bibor
 Bibor index More...
 
class  Bibor1M
 1-month Euribor index More...
 
class  Bibor1Y
 1-year Bibor index More...
 
class  Bibor2M
 2-months Euribor index More...
 
class  Bibor3M
 3-months Bibor index More...
 
class  Bibor6M
 6-months Bibor index More...
 
class  Bibor9M
 9-months Bibor index More...
 
class  BiborSW
 1-week Bibor index More...
 
class  BiCGstab
 
struct  BiCGStabResult
 
class  Bicubic
 bicubic-spline-interpolation factory More...
 
class  BicubicSpline
 bicubic-spline interpolation between discrete points More...
 
class  Bilinear
 bilinear-interpolation factory More...
 
class  BilinearInterpolation
 bilinear interpolation between discrete points More...
 
class  binary_compose3_function
 
class  BinomialBarrierEngine
 Pricing engine for barrier options using binomial trees. More...
 
class  BinomialConvertibleEngine
 Binomial Tsiveriotis-Fernandes engine for convertible bonds. More...
 
class  BinomialDistribution
 Binomial probability distribution function. More...
 
class  BinomialDoubleBarrierEngine
 Pricing engine for double barrier options using binomial trees. More...
 
class  BinomialLossModel
 
class  BinomialProbabilityOfAtLeastNEvents
 Probability of at least N events. More...
 
class  BinomialTree
 Binomial tree base class. More...
 
class  BinomialVanillaEngine
 Pricing engine for vanilla options using binomial trees. More...
 
class  Bisection
 Bisection 1-D solver More...
 
class  BivariateCumulativeNormalDistributionDr78
 Cumulative bivariate normal distribution function. More...
 
class  BivariateCumulativeNormalDistributionWe04DP
 Cumulative bivariate normal distibution function (West 2004) More...
 
class  BivariateCumulativeStudentDistribution
 Cumulative Student t-distribution. More...
 
class  BjerksundStenslandApproximationEngine
 Bjerksund and Stensland pricing engine for American options (1993) More...
 
class  Bkbm
 Bkbm index More...
 
class  Bkbm1M
 1-month Bkbm index More...
 
class  Bkbm2M
 2-months Bkbm index More...
 
class  Bkbm3M
 3-months Bkbm index More...
 
class  Bkbm4M
 4-months Bkbm index More...
 
class  Bkbm5M
 5-months Bkbm index More...
 
class  Bkbm6M
 6-months Bkbm index More...
 
class  BlackAtmVolCurve
 Black at-the-money (no-smile) volatility curve. More...
 
class  BlackCalculator
 Black 1976 calculator class. More...
 
class  BlackCalibrationHelper
 liquid Black76 market instrument used during calibration More...
 
class  BlackCallableFixedRateBondEngine
 Black-formula callable fixed rate bond engine. More...
 
class  BlackCallableZeroCouponBondEngine
 Black-formula callable zero coupon bond engine. More...
 
class  BlackCapFloorEngine
 Black-formula cap/floor engine. More...
 
class  BlackCdsOptionEngine
 Black-formula CDS-option engine. More...
 
class  BlackConstantVol
 Constant Black volatility, no time-strike dependence. More...
 
class  BlackDeltaCalculator
 Black delta calculator class. More...
 
class  BlackDeltaPremiumAdjustedMaxStrikeClass
 
class  BlackDeltaPremiumAdjustedSolverClass
 
class  BlackIborCouponPricer
 
class  BlackIborQuantoCouponPricer
 
class  BlackKarasinski
 Standard Black-Karasinski model class. More...
 
class  BlackProcess
 Black (1976) stochastic process. More...
 
class  BlackScholesCalculator
 Black-Scholes 1973 calculator class. More...
 
class  BlackScholesLattice
 Simple binomial lattice approximating the Black-Scholes model. More...
 
class  BlackScholesMertonProcess
 Merton (1973) extension to the Black-Scholes stochastic process. More...
 
class  BlackScholesProcess
 Black-Scholes (1973) stochastic process. More...
 
class  BlackSwaptionEngine
 Shifted Lognormal Black-formula swaption engine. More...
 
class  BlackVanillaOptionPricer
 
class  BlackVarianceCurve
 Black volatility curve modelled as variance curve. More...
 
class  BlackVarianceSurface
 Black volatility surface modelled as variance surface. More...
 
class  BlackVarianceTermStructure
 Black variance term structure. More...
 
class  BlackVolatilityTermStructure
 Black-volatility term structure. More...
 
class  BlackVolSurface
 Black volatility (smile) surface. More...
 
class  BlackVolTermStructure
 Black-volatility term structure. More...
 
class  BlackYoYInflationCouponPricer
 Black-formula pricer for capped/floored yoy inflation coupons. More...
 
class  BMAIndex
 Bond Market Association index. More...
 
class  BMASwap
 swap paying Libor against BMA coupons More...
 
class  BMASwapRateHelper
 Rate helper for bootstrapping over BMA swap rates. More...
 
class  Bond
 Base bond class. More...
 
struct  BondFunctions
 Bond adapters of CashFlows functions. More...
 
class  BondHelper
 Bond helper for curve bootstrap. More...
 
class  BootstrapError
 bootstrap error More...
 
class  BootstrapHelper
 Base helper class for bootstrapping. More...
 
class  Botswana
 Botswana calendar. More...
 
class  BoundaryCondition
 Abstract boundary condition class for finite difference problems. More...
 
class  BoundaryConditionSchemeHelper
 
class  BoundaryConditionSet
 
class  BoundaryConstraint
 Constraint imposing all arguments to be in [low,high] More...
 
class  BoxMullerGaussianRng
 Gaussian random number generator. More...
 
class  Brazil
 Brazilian calendar. More...
 
class  Brent
 Brent 1-D solver More...
 
class  BRLCurrency
 Brazilian real. More...
 
class  BrownianBridge
 Builds Wiener process paths using Gaussian variates. More...
 
class  BrownianGenerator
 
class  BrownianGeneratorFactory
 
class  BSMOperator
 Black-Scholes-Merton differential operator. More...
 
class  BSMRNDCalculator
 
class  BSpline
 B-spline basis functions. More...
 
class  BTCCurrency
 Bitcoin. More...
 
class  BTP
 Italian BTP (Buono Poliennali del Tesoro) fixed rate bond. More...
 
class  Business252
 Business/252 day count convention. More...
 
class  BYRCurrency
 Belarussian ruble. More...
 
class  CADCurrency
 Canadian dollar. More...
 
class  CADLibor
 CAD LIBOR rate More...
 
class  CADLiborON
 Overnight CAD Libor index. More...
 
class  Calendar
 calendar class More...
 
class  CalibratedModel
 Calibrated model class. More...
 
class  CalibrationHelper
 abstract base class for calibration helpers More...
 
class  Callability
 instrument callability More...
 
class  CallableBond
 Callable bond base class. More...
 
class  CallableBondConstantVolatility
 Constant callable-bond volatility, no time-strike dependence. More...
 
class  CallableBondVolatilityStructure
 Callable-bond volatility structure. More...
 
class  CallableFixedRateBond
 callable/puttable fixed rate bond More...
 
class  CallableZeroCouponBond
 callable/puttable zero coupon bond More...
 
class  CallSpecifiedMultiProduct
 
class  CallSpecifiedPathwiseMultiProduct
 
class  Canada
 Canadian calendar. More...
 
class  Cap
 Concrete cap class. More...
 
class  CapFloor
 Base class for cap-like instruments. More...
 
class  CapFloorTermVolatilityStructure
 Cap/floor term-volatility structure. More...
 
class  CapFloorTermVolCurve
 Cap/floor at-the-money term-volatility vector. More...
 
class  CapFloorTermVolSurface
 Cap/floor smile volatility surface. More...
 
class  CapHelper
 calibration helper for ATM cap More...
 
class  CapletVarianceCurve
 
class  CappedFlooredCmsCoupon
 
class  CappedFlooredCmsSpreadCoupon
 
class  CappedFlooredCoupon
 Capped and/or floored floating-rate coupon. More...
 
class  CappedFlooredIborCoupon
 
class  CappedFlooredYoYInflationCoupon
 Capped or floored inflation coupon. More...
 
class  CapPseudoDerivative
 
class  CashFlow
 Base class for cash flows. More...
 
class  CashFlows
 cashflow-analysis functions More...
 
class  CashOrNothingPayoff
 Binary cash-or-nothing payoff. More...
 
class  CatBond
 
class  CatRisk
 
class  CatSimulation
 
class  CCTEU
 
class  CDO
 collateralized debt obligation More...
 
class  Cdor
 CDOR rate More...
 
class  CdsHelper
 Base class for CDS helpers. More...
 
class  CdsOption
 CDS option. More...
 
class  CeilingTruncation
 Ceiling truncation. More...
 
class  CEVCalculator
 constant elasticity of variance process (absorbing boundary at f=0) More...
 
class  CEVRNDCalculator
 constant elasticity of variance process (absorbing boundary at f=0) More...
 
class  CHFCurrency
 Swiss franc. More...
 
class  CHFLibor
 CHF LIBOR rate More...
 
class  ChfLiborSwapIsdaFix
 ChfLiborSwapIsdaFix index base class More...
 
class  China
 Chinese calendar. More...
 
class  Claim
 Claim associated to a default event. More...
 
class  ClaytonCopula
 Clayton copula. More...
 
class  ClaytonCopulaRng
 Clayton copula random-number generator. More...
 
class  CLGaussianRng
 Gaussian random number generator. More...
 
class  clipped_function
 
class  CliquetOption
 cliquet (Ratchet) option More...
 
class  Clone
 cloning proxy to an underlying object More...
 
class  ClosestRounding
 Closest rounding. More...
 
class  CLPCurrency
 Chilean peso. More...
 
class  ClubsTopology
 Clubs Topology. More...
 
class  CmsCoupon
 CMS coupon class. More...
 
class  CmsCouponPricer
 base pricer for vanilla CMS coupons More...
 
class  CmsLeg
 helper class building a sequence of capped/floored cms-rate coupons More...
 
class  CmsMarket
 set of CMS quotes More...
 
class  CmsMarketCalibration
 
class  CMSMMDriftCalculator
 Drift computation for CMS market models. More...
 
class  CmsRateBond
 CMS-rate bond. More...
 
class  CmsSpreadCoupon
 CMS spread coupon class. More...
 
class  CmsSpreadCouponPricer
 base pricer for vanilla CMS spread coupons More...
 
class  CmsSpreadLeg
 helper class building a sequence of capped/floored cms-spread-rate coupons More...
 
class  CMSwapCurveState
 Curve state for constant-maturity-swap market models More...
 
class  CNYCurrency
 Chinese yuan. More...
 
class  Collar
 Concrete collar class. More...
 
class  Commodity
 Commodity base class. More...
 
class  CommodityCashFlow
 
class  CommodityCurve
 Commodity term structure. More...
 
class  CommodityIndex
 base class for commodity indexes More...
 
class  CommodityPricingHelper
 commodity index helper More...
 
class  CommoditySettings
 global repository for run-time library settings More...
 
class  CommodityType
 commodity type More...
 
class  CommodityUnitCost
 
class  ComplexChooserOption
 
class  composed_function
 
class  Composite
 Composite pattern. More...
 
class  CompositeConstraint
 Constraint enforcing both given sub-constraints More...
 
class  CompositeInstrument
 Composite instrument More...
 
class  CompositeQuote
 market element whose value depends on two other market element More...
 
class  CompositeZeroYieldStructure
 
class  CompoundingRatePricer
 
class  CompoundOption
 Compound option on a single asset. More...
 
class  Concentrating1dMesher
 
class  ConjugateGradient
 Multi-dimensional Conjugate Gradient class. More...
 
class  constant
 
class  ConstantCapFloorTermVolatility
 Constant caplet volatility, no time-strike dependence. More...
 
class  ConstantCPIVolatility
 Constant surface, no K or T dependence. More...
 
class  ConstantEstimator
 Constant-estimator volatility model. More...
 
class  ConstantLossLatentmodel
 
class  ConstantLossModel
 
class  ConstantOptionletVolatility
 Constant caplet volatility, no time-strike dependence. More...
 
class  ConstantParameter
 Standard constant parameter \( a(t) = a \). More...
 
class  ConstantRecoveryModel
 
class  ConstantSwaptionVolatility
 Constant swaption volatility, no time-strike dependence. More...
 
class  ConstantYoYOptionletVolatility
 Constant surface, no K or T dependence. More...
 
class  ConstrainedEvolver
 Constrained market-model evolver. More...
 
class  Constraint
 Base constraint class. More...
 
class  ContinuousArithmeticAsianLevyEngine
 
class  ContinuousArithmeticAsianVecerEngine
 Vecer engine for continuous-avaeraging Asian options. More...
 
class  ContinuousAveragingAsianOption
 Continuous-averaging Asian option. More...
 
class  ContinuousFixedLookbackOption
 Continuous-fixed lookback option. More...
 
class  ContinuousFloatingLookbackOption
 Continuous-floating lookback option. More...
 
class  ContinuousPartialFixedLookbackOption
 Continuous-partial-fixed lookback option. More...
 
class  ContinuousPartialFloatingLookbackOption
 Continuous-partial-floating lookback option. More...
 
class  ConvergenceStatistics
 statistics class with convergence table More...
 
class  ConvertibleBond
 base class for convertible bonds More...
 
class  ConvertibleFixedCouponBond
 convertible fixed-coupon bond More...
 
class  ConvertibleFloatingRateBond
 convertible floating-rate bond More...
 
class  ConvertibleZeroCouponBond
 convertible zero-coupon bond More...
 
class  ConvexMonotone
 Convex-monotone interpolation factory and traits. More...
 
class  ConvexMonotoneInterpolation
 Convex monotone yield-curve interpolation method. More...
 
class  COPCurrency
 Colombian peso. More...
 
class  CorrelationTermStructure
 
class  COSHestonEngine
 COS-method Heston engine based on efficient Fourier series expansions. More...
 
class  CostFunction
 Cost function abstract class for optimization problem. More...
 
class  CoterminalSwapCurveState
 Curve state for coterminal-swap market models More...
 
class  CotSwapFromFwdCorrelation
 
class  CotSwapToFwdAdapter
 
class  CotSwapToFwdAdapterFactory
 
class  CounterpartyAdjSwapEngine
 
class  Coupon
 coupon accruing over a fixed period More...
 
class  CovarianceDecomposition
 Covariance decomposition into correlation and variances. More...
 
class  CoxIngersollRoss
 Cox-Ingersoll-Ross model class. More...
 
class  CoxIngersollRossProcess
 CoxIngersollRoss process class. More...
 
class  CoxRossRubinstein
 Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
 
struct  CPI
 
class  CPIBond
 
class  CPIBondHelper
 CPI bond helper for curve bootstrap. More...
 
class  CPICapFloor
 CPI cap or floor. More...
 
class  CPICapFloorTermPriceSurface
 Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More...
 
class  CPICashFlow
 Cash flow paying the performance of a CPI (zero inflation) index. More...
 
class  CPICoupon
 Coupon paying the performance of a CPI (zero inflation) index More...
 
class  CPICouponPricer
 base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More...
 
class  CPILeg
 Helper class building a sequence of capped/floored CPI coupons. More...
 
class  CPISwap
 zero-inflation-indexed swap, More...
 
class  CPIVolatilitySurface
 zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More...
 
class  CraigSneydScheme
 
class  CrankNicolson
 Crank-Nicolson scheme for finite difference methods. More...
 
class  CrankNicolsonScheme
 
class  CreditDefaultSwap
 Credit default swap. More...
 
class  CreditRiskPlus
 
class  CrossCurrencyBasisSwapRateHelper
 Rate helper for bootstrapping over XCCY basis swap rates. More...
 
class  CTSMMCapletAlphaFormCalibration
 
class  CTSMMCapletCalibration
 
class  CTSMMCapletMaxHomogeneityCalibration
 
class  CTSMMCapletOriginalCalibration
 
class  cube
 
class  Cubic
 Cubic interpolation factory and traits More...
 
class  CubicBSplinesFitting
 CubicSpline B-splines fitting method. More...
 
class  CubicInterpolation
 Cubic interpolation between discrete points. More...
 
class  CubicNaturalSpline
 
class  CubicSplineOvershootingMinimization1
 
class  CubicSplineOvershootingMinimization2
 
class  CumulativeBehrensFisher
 Cumulative (generalized) BehrensFisher distribution. More...
 
class  CumulativeBinomialDistribution
 Cumulative binomial distribution function. More...
 
class  CumulativeChiSquareDistribution
 
class  CumulativeGammaDistribution
 
class  CumulativeNormalDistribution
 Cumulative normal distribution function. More...
 
class  CumulativePoissonDistribution
 Cumulative Poisson distribution function. More...
 
class  CumulativeStudentDistribution
 Cumulative Student t-distribution. More...
 
class  CuriouslyRecurringTemplate
 Support for the curiously recurring template pattern. More...
 
class  Currency
 Currency specification More...
 
class  Curve
 abstract curve class More...
 
class  CurveDependentStepCondition
 
class  CurveState
 Curve state for market-model simulations More...
 
class  CustomRegion
 Custom geographical/economic region. More...
 
class  CYPCurrency
 Cyprus pound. More...
 
class  CzechRepublic
 Czech calendars. More...
 
class  CZKCurrency
 Czech koruna. More...
 
class  DailyTenorCHFLibor
 base class for the one day deposit BBA CHF LIBOR indexes More...
 
class  DailyTenorEURLibor
 base class for the one day deposit ICE EUR LIBOR indexes More...
 
class  DailyTenorGBPLibor
 Base class for the one day deposit ICE GBP LIBOR indexes. More...
 
class  DailyTenorJPYLibor
 base class for the one day deposit ICE JPY LIBOR indexes More...
 
class  DailyTenorLibor
 base class for all O/N-S/N BBA LIBOR indexes but the EUR ones More...
 
class  DailyTenorUSDLibor
 base class for the one day deposit ICE USD LIBOR indexes More...
 
class  DASHCurrency
 Dash coin. More...
 
class  Date
 Concrete date class. More...
 
class  DatedOISRateHelper
 Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
 
struct  DateGeneration
 Date-generation rule. More...
 
class  DateInterval
 Date interval described by a number of a given time unit. More...
 
class  DateParser
 
class  DayCounter
 day counter class More...
 
class  DecreasingGaussianWalk
 Decreasing Random Walk. More...
 
class  DecreasingInertia
 Decreasing Inertia. More...
 
struct  Default
 
struct  DefaultDensity
 Default-density-curve traits. More...
 
class  DefaultDensityStructure
 Default-density term structure. More...
 
class  DefaultEvent
 Credit event on a bond of a certain seniority(ies)/currency. More...
 
class  DefaultLatentModel
 Default event Latent Model. More...
 
class  DefaultLogCubic
 
class  DefaultLogMixedLinearCubic
 
class  DefaultLossModel
 
class  DefaultProbabilityTermStructure
 Default probability term structure. More...
 
class  DefaultProbKey
 
class  DefaultType
 Atomic credit-event type. More...
 
class  DeltaVolQuote
 Class for the quotation of delta vs vol. More...
 
class  DEMCurrency
 Deutsche mark. More...
 
class  Denmark
 Danish calendar. More...
 
class  DepositRateHelper
 Rate helper for bootstrapping over deposit rates. More...
 
class  DerivedQuote
 market quote whose value depends on another quote More...
 
class  DifferentialEvolution
 Differential Evolution configuration object. More...
 
class  DigitalCmsCoupon
 Cms-rate coupon with digital digital call/put option. More...
 
class  DigitalCmsLeg
 helper class building a sequence of digital ibor-rate coupons More...
 
class  DigitalCmsSpreadCoupon
 Cms-spread-rate coupon with digital digital call/put option. More...
 
class  DigitalCmsSpreadLeg
 helper class building a sequence of digital ibor-rate coupons More...
 
class  DigitalCoupon
 Digital-payoff coupon. More...
 
class  DigitalIborCoupon
 Ibor rate coupon with digital digital call/put option. More...
 
class  DigitalIborLeg
 helper class building a sequence of digital ibor-rate coupons More...
 
class  DigitalNotionalRisk
 
class  DigitalPathPricer
 
class  DigitalReplication
 
class  DirichletBC
 Neumann boundary condition (i.e., constant value) More...
 
struct  Discount
 Discount-curve traits. More...
 
class  DiscountingBondEngine
 
class  DiscountingSwapEngine
 
class  DiscrepancyStatistics
 Statistic tool for sequences with discrepancy calculation. More...
 
class  DiscreteAveragingAsianOption
 Discrete-averaging Asian option. More...
 
class  DiscreteSimpsonIntegral
 
class  DiscreteSimpsonIntegrator
 
class  DiscreteTrapezoidIntegral
 
class  DiscreteTrapezoidIntegrator
 
class  DiscretizedAsset
 Discretized asset class used by numerical methods. More...
 
class  DiscretizedBarrierOption
 
class  DiscretizedCallableFixedRateBond
 
class  DiscretizedCapFloor
 
class  DiscretizedConvertible
 
class  DiscretizedDermanKaniBarrierOption
 
class  DiscretizedDermanKaniDoubleBarrierOption
 Derman-Kani-Ergener-Bardhan discretized option helper class. More...
 
class  DiscretizedDiscountBond
 Useful discretized discount bond asset. More...
 
class  DiscretizedDoubleBarrierOption
 Standard discretized option helper class. More...
 
class  DiscretizedOption
 Discretized option on a given asset. More...
 
class  DiscretizedSwap
 
class  DiscretizedSwaption
 
class  DiscretizedVanillaOption
 
class  Distribution
 
class  DistributionRandomWalk
 Distribution Walk. More...
 
class  divide
 
class  divide_by
 
class  Dividend
 Predetermined cash flow. More...
 
class  DividendBarrierOption
 Single-asset barrier option with discrete dividends. More...
 
class  DividendVanillaOption
 Single-asset vanilla option (no barriers) with discrete dividends. More...
 
class  DKKCurrency
 Danish krone. More...
 
class  DKKLibor
 DKK LIBOR rate More...
 
class  DMinus
 \( D_{-} \) matricial representation More...
 
struct  DoubleBarrier
 Placeholder for enumerated barrier types. More...
 
class  DoubleBarrierOption
 Double Barrier option on a single asset. More...
 
class  DoubleBarrierPathPricer
 
class  DoubleStickyRatchetPayoff
 Intermediate class for single/double sticky/ratchet payoffs. More...
 
class  DoublingConvergenceSteps
 
class  DouglasScheme
 
class  DownRounding
 Down-rounding. More...
 
class  DPlus
 \( D_{+} \) matricial representation More...
 
class  DPlusDMinus
 \( D_{+}D_{-} \) matricial representation More...
 
class  DriftTermStructure
 Drift term structure. More...
 
struct  Duration
 duration type More...
 
class  DynProgVPPIntrinsicValueEngine
 
class  DZero
 \( D_{0} \) matricial representation More...
 
struct  earlier_than
 compare two objects by date More...
 
struct  earlier_than< CashFlow >
 
struct  earlier_than< DefaultEvent >
 
struct  earlier_than< ext::shared_ptr< T > >
 
class  EarlyExercise
 Early-exercise base class. More...
 
class  EarlyExercisePathPricer
 base class for early exercise path pricers More...
 
class  EarlyExerciseTraits
 
class  EarlyExerciseTraits< MultiPath >
 
class  EarlyExerciseTraits< Path >
 
struct  ECB
 European Central Bank reserve maintenance dates. More...
 
class  EEKCurrency
 Estonian kroon. More...
 
class  EndCriteria
 Criteria to end optimization process: More...
 
class  EndEulerDiscretization
 Euler end-point discretization for stochastic processes. More...
 
class  EnergyBasisSwap
 Energy basis swap. More...
 
class  EnergyCommodity
 Energy commodity class. More...
 
struct  EnergyDailyPosition
 
class  EnergyFuture
 Energy future. More...
 
class  EnergySwap
 
class  EnergyVanillaSwap
 Vanilla energy swap. More...
 
class  Eonia
 Eonia (Euro Overnight Index Average) rate fixed by the ECB. More...
 
class  equal_within
 
class  EqualJumpsBinomialTree
 Base class for equal jumps binomial tree. More...
 
class  EqualProbabilitiesBinomialTree
 Base class for equal probabilities binomial tree. More...
 
class  EquityFXVolSurface
 Equity/FX volatility (smile) surface. More...
 
class  Error
 Base error class. More...
 
class  ErrorFunction
 Error function More...
 
class  EscrowedDividendAdjustment
 
class  ESPCurrency
 Spanish peseta. More...
 
class  ETCCurrency
 Ethereum Classic. More...
 
class  ETHCurrency
 Ethereum. More...
 
class  EUHICP
 EU HICP index. More...
 
class  EUHICPXT
 EU HICPXT index. More...
 
class  EulerDiscretization
 Euler discretization for stochastic processes. More...
 
class  EURCurrency
 European Euro. More...
 
class  EURegion
 European Union as geographical/economic region. More...
 
class  Euribor
 Euribor index More...
 
class  Euribor10M
 10-months Euribor index More...
 
class  Euribor11M
 11-months Euribor index More...
 
class  Euribor1M
 1-month Euribor index More...
 
class  Euribor1Y
 1-year Euribor index More...
 
class  Euribor2M
 2-months Euribor index More...
 
class  Euribor2W
 2-weeks Euribor index More...
 
class  Euribor365
 Actual/365 Euribor index. More...
 
class  Euribor365_10M
 10-months Euribor365 index More...
 
class  Euribor365_11M
 11-months Euribor365 index More...
 
class  Euribor365_1M
 1-month Euribor365 index More...
 
class  Euribor365_1Y
 1-year Euribor365 index More...
 
class  Euribor365_2M
 2-months Euribor365 index More...
 
class  Euribor365_2W
 2-weeks Euribor365 index More...
 
class  Euribor365_3M
 3-months Euribor365 index More...
 
class  Euribor365_3W
 3-weeks Euribor365 index More...
 
class  Euribor365_4M
 4-months Euribor365 index More...
 
class  Euribor365_5M
 5-months Euribor365 index More...
 
class  Euribor365_6M
 6-months Euribor365 index More...
 
class  Euribor365_7M
 7-months Euribor365 index More...
 
class  Euribor365_8M
 8-months Euribor365 index More...
 
class  Euribor365_9M
 9-months Euribor365 index More...
 
class  Euribor365_SW
 1-week Euribor365 index More...
 
class  Euribor3M
 3-months Euribor index More...
 
class  Euribor3W
 3-weeks Euribor index More...
 
class  Euribor4M
 4-months Euribor index More...
 
class  Euribor5M
 5-months Euribor index More...
 
class  Euribor6M
 6-months Euribor index More...
 
class  Euribor7M
 7-months Euribor index More...
 
class  Euribor8M
 8-months Euribor index More...
 
class  Euribor9M
 9-months Euribor index More...
 
class  EuriborSW
 1-week Euribor index More...
 
class  EuriborSwapIfrFix
 EuriborSwapIfrFix index base class More...
 
class  EuriborSwapIsdaFixA
 EuriborSwapIsdaFixA index base class More...
 
class  EuriborSwapIsdaFixB
 EuriborSwapIsdaFixB index base class More...
 
class  EURLibor
 base class for all ICE EUR LIBOR indexes but the O/N More...
 
class  EURLibor10M
 10-months EUR Libor index More...
 
class  EURLibor11M
 11-months EUR Libor index More...
 
class  EURLibor1M
 1-month EUR Libor index More...
 
class  EURLibor1Y
 1-year EUR Libor index More...
 
class  EURLibor2M
 2-months EUR Libor index More...
 
class  EURLibor2W
 2-weeks EUR Libor index More...
 
class  EURLibor3M
 3-months EUR Libor index More...
 
class  EURLibor4M
 4-months EUR Libor index More...
 
class  EURLibor5M
 5-months EUR Libor index More...
 
class  EURLibor6M
 6-months EUR Libor index More...
 
class  EURLibor7M
 7-months EUR Libor index More...
 
class  EURLibor8M
 8-months EUR Libor index More...
 
class  EURLibor9M
 9-months EUR Libor index More...
 
class  EURLiborON
 Overnight EUR Libor index. More...
 
class  EURLiborSW
 1-week EUR Libor index More...
 
class  EurLiborSwapIfrFix
 EurLiborSwapIfrFix index base class More...
 
class  EurLiborSwapIsdaFixA
 EurLiborSwapIsdaFixA index base class More...
 
class  EurLiborSwapIsdaFixB
 EurLiborSwapIsdaFixB index base class More...
 
class  EurodollarFuturesImpliedStdDevQuote
 quote for the Eurodollar-future implied standard deviation More...
 
class  EuropeanExercise
 European exercise. More...
 
class  EuropeanGJRGARCHPathPricer
 
class  EuropeanHestonPathPricer
 
class  EuropeanMultiPathPricer
 
class  EuropeanOption
 European option on a single asset. More...
 
class  EuropeanPathMultiPathPricer
 
class  EuropeanPathPricer
 
class  Event
 Base class for event. More...
 
class  EventPaymentOffset
 
class  EventSet
 
class  EventSetSimulation
 
class  EverestMultiPathPricer
 
class  EverestOption
 
class  everywhere
 
class  EvolutionDescription
 Market-model evolution description. More...
 
class  ExchangeContract
 
class  ExchangeRate
 exchange rate between two currencies More...
 
class  ExchangeRateManager
 exchange-rate repository More...
 
class  Exercise
 Base exercise class. More...
 
class  ExerciseAdapter
 
class  ExerciseStrategy
 
class  ExplicitEuler
 Forward Euler scheme for finite difference methods More...
 
class  ExplicitEulerScheme
 
class  ExponentialFittingHestonEngine
 analytic Heston-model engine based on More...
 
class  ExponentialForwardCorrelation
 
class  ExponentialIntensity
 Exponential Intensity. More...
 
class  ExponentialJump1dMesher
 
class  ExponentialSplinesFitting
 Exponential-splines fitting method. More...
 
class  ExtendedAdditiveEQPBinomialTree
 Additive equal probabilities binomial tree. More...
 
class  ExtendedBinomialTree
 Binomial tree base class. More...
 
class  ExtendedBlackScholesMertonProcess
 experimental Black-Scholes-Merton stochastic process More...
 
class  ExtendedBlackVarianceCurve
 Black volatility curve modelled as variance curve. More...
 
class  ExtendedBlackVarianceSurface
 Black volatility surface modelled as variance surface. More...
 
class  ExtendedCoxIngersollRoss
 Extended Cox-Ingersoll-Ross model class. More...
 
class  ExtendedCoxRossRubinstein
 Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
 
class  ExtendedEqualJumpsBinomialTree
 Base class for equal jumps binomial tree. More...
 
class  ExtendedEqualProbabilitiesBinomialTree
 Base class for equal probabilities binomial tree. More...
 
class  ExtendedJarrowRudd
 Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
 
class  ExtendedJoshi4
 
class  ExtendedLeisenReimer
 Leisen & Reimer tree: multiplicative approach. More...
 
class  ExtendedOrnsteinUhlenbeckProcess
 Extended Ornstein-Uhlenbeck process class. More...
 
class  ExtendedTian
 Tian tree: third moment matching, multiplicative approach More...
 
class  ExtendedTrigeorgis
 Trigeorgis (additive equal jumps) binomial tree More...
 
class  ExtOUWithJumpsProcess
 
class  Extrapolator
 base class for classes possibly allowing extrapolation More...
 
class  FaceValueAccrualClaim
 Claim on the notional of a reference security, including accrual. More...
 
class  FaceValueClaim
 Claim on a notional. More...
 
class  Factorial
 Factorial numbers calculator More...
 
class  FactorSpreadedHazardRateCurve
 Default-probability structure with a multiplicative spread on hazard rates. More...
 
class  FailureToPay
 Failure to Pay atomic event type. More...
 
class  FailureToPayEvent
 
class  FalsePosition
 False position 1-D solver. More...
 
class  FarlieGumbelMorgensternCopula
 Farlie-Gumbel-Morgenstern copula. More...
 
class  FarlieGumbelMorgensternCopulaRng
 Farlie-Gumbel-Morgenstern copula random-number generator. More...
 
class  FastFourierTransform
 FFT implementation. More...
 
class  FaureRsg
 Faure low-discrepancy sequence generator. More...
 
class  Fd2dBlackScholesVanillaEngine
 Two dimensional finite-differences Black Scholes vanilla option engine. More...
 
class  FDAmericanCondition
 
class  FdBatesVanillaEngine
 Partial Integro FiniteDifferences Bates Vanilla Option engine. More...
 
class  FdBlackScholesAsianEngine
 
class  FdBlackScholesBarrierEngine
 Finite-Differences Black Scholes barrier option engine. More...
 
class  FdBlackScholesRebateEngine
 Finite-Differences Black Scholes barrier option rebate helper engine. More...
 
class  FdBlackScholesShoutEngine
 
class  FdBlackScholesVanillaEngine
 
class  FdCEVVanillaEngine
 
class  FdCIRVanillaEngine
 
class  FDDividendEngine
 
class  FDDividendEngineBase
 Abstract base class for dividend engines. More...
 
class  FDDividendEngineMerton73
 Finite-differences pricing engine for dividend options using escowed dividends model. More...
 
class  FDDividendEngineShiftScale
 Finite-differences engine for dividend options using shifted dividends. More...
 
class  FDDividendShoutEngine
 Finite-differences shout engine with dividends. More...
 
class  FDDividendShoutEngineMerton73
 
class  FDDividendShoutEngineShiftScale
 
class  FDEngineAdapter
 
class  FdExtOUJumpVanillaEngine
 
class  FdG2SwaptionEngine
 
class  FdHestonBarrierEngine
 Finite-Differences Heston Barrier Option engine. More...
 
class  FdHestonDoubleBarrierEngine
 Finite-Differences Heston Double Barrier Option engine. More...
 
class  FdHestonHullWhiteVanillaEngine
 Finite-Differences Heston Hull-White Vanilla Option engine. More...
 
class  FdHestonRebateEngine
 Finite-Differences Heston Barrier Option rebate helper engine. More...
 
class  FdHestonVanillaEngine
 
class  FdHullWhiteSwaptionEngine
 
class  FdKlugeExtOUSpreadEngine
 
class  Fdm1DimSolver
 
class  Fdm1dMesher
 
class  Fdm2dBlackScholesOp
 
class  Fdm2dBlackScholesSolver
 
class  Fdm2DimSolver
 
class  Fdm3DimSolver
 
class  FdmAffineModelSwapInnerValue
 
class  FdmAffineModelTermStructure
 
class  FdmAmericanStepCondition
 
class  FdmArithmeticAverageCondition
 
class  FdmBackwardSolver
 
class  FdmBatesOp
 
class  FdmBatesSolver
 
class  FdmBermudanStepCondition
 
class  FdmBlackScholesFwdOp
 
class  FdmBlackScholesMesher
 
class  FdmBlackScholesMultiStrikeMesher
 
class  FdmBlackScholesOp
 
class  FdmBlackScholesSolver
 
class  FdmCellAveragingInnerValue
 
class  FdmCEV1dMesher
 
class  FdmCEVOp
 
class  FdmCIREquityPart
 
class  FdmCIRMixedPart
 
class  FdmCIROp
 
class  FdmCIRRatesPart
 
class  FdmCIRSolver
 
class  FdmDirichletBoundary
 
class  FdmDiscountDirichletBoundary
 
class  FdmDividendHandler
 
class  FdmDupire1dOp
 
class  FdmEscrowedLogInnerValueCalculator
 
class  FdmExpExtOUInnerValueCalculator
 
class  FdmExtendedOrnsteinUhlenbeckOp
 
class  FdmExtOUJumpModelInnerValue
 
class  FdmExtOUJumpOp
 
class  FdmExtOUJumpSolver
 
class  FdmG2Op
 
class  FdmG2Solver
 
class  FdmHestonEquityPart
 
class  FdmHestonFwdOp
 
class  FdmHestonGreensFct
 
class  FdmHestonHullWhiteEquityPart
 
class  FdmHestonHullWhiteOp
 
class  FdmHestonHullWhiteSolver
 
class  FdmHestonLocalVolatilityVarianceMesher
 
class  FdmHestonOp
 
class  FdmHestonSolver
 
class  FdmHestonVarianceMesher
 
class  FdmHestonVariancePart
 
class  FdmHullWhiteOp
 
class  FdmHullWhiteSolver
 
class  FdmIndicesOnBoundary
 
class  FdmInnerValueCalculator
 
class  FdmKlugeExtOUOp
 
class  FdmKlugeExtOUSolver
 
class  FdmLinearOp
 
class  FdmLinearOpComposite
 
class  FdmLinearOpIterator
 
class  FdmLinearOpLayout
 
class  FdmLocalVolFwdOp
 
class  FdmLogBasketInnerValue
 
class  FdmLogInnerValue
 
class  FdmMesher
 
class  FdmMesherComposite
 
class  FdmMesherIntegral
 
class  FdmNdimSolver
 
class  FdmOrnsteinUhlenbeckOp
 
class  FdmQuantoHelper
 
class  FdmSabrOp
 
struct  FdmSchemeDesc
 
class  FdmShoutLogInnerValueCalculator
 
class  FdmSimple2dBSSolver
 
class  FdmSimple2dExtOUSolver
 
class  FdmSimple3dExtOUJumpSolver
 
class  FdmSimpleProcess1dMesher
 
class  FdmSimpleStorageCondition
 
class  FdmSimpleSwingCondition
 
class  FdmSnapshotCondition
 
struct  FdmSolverDesc
 
class  FdmSpreadPayoffInnerValue
 
class  FdmSquareRootFwdOp
 
class  FdmStepConditionComposite
 
class  FdmTimeDepDirichletBoundary
 
class  FDMultiPeriodEngine
 
class  FdmVPPStartLimitStepCondition
 
class  FdmVPPStepCondition
 
class  FdmVPPStepConditionFactory
 
struct  FdmVPPStepConditionMesher
 
struct  FdmVPPStepConditionParams
 
class  FdmZabrOp
 
class  FdmZabrUnderlyingPart
 
class  FdmZabrVolatilityPart
 
class  FdmZeroInnerValue
 
class  FdOrnsteinUhlenbeckVanillaEngine
 
class  FdSabrVanillaEngine
 
class  FDShoutCondition
 
class  FDShoutEngine
 Finite-differences pricing engine for shout vanilla options. More...
 
class  FdSimpleBSSwingEngine
 
class  FdSimpleExtOUJumpSwingEngine
 
class  FdSimpleExtOUStorageEngine
 
class  FdSimpleKlugeExtOUVPPEngine
 
class  FDStepConditionEngine
 Finite-differences pricing engine for American-style vanilla options. More...
 
class  FDVanillaEngine
 Finite-differences pricing engine for BSM one asset options. More...
 
class  FedFunds
 Fed Funds rate fixed by the FED. More...
 
class  FFTEngine
 Base class for FFT pricing engines for European vanilla options. More...
 
class  FFTVanillaEngine
 FFT Pricing engine vanilla options under a Black Scholes process. More...
 
class  FFTVarianceGammaEngine
 FFT engine for vanilla options under a Variance Gamma process. More...
 
class  FilonIntegral
 Integral of a one-dimensional function. More...
 
class  FIMCurrency
 Finnish markka. More...
 
class  FiniteDifferenceModel
 Generic finite difference model. More...
 
class  FiniteDifferenceNewtonSafe
 safe Newton 1-D solver with finite difference derivatives More...
 
class  Finland
 Finnish calendar. More...
 
class  FireflyAlgorithm
 
class  FirstDerivativeOp
 
class  FittedBondDiscountCurve
 Discount curve fitted to a set of fixed-coupon bonds. More...
 
class  FixedDividend
 Predetermined cash flow. More...
 
class  FixedLocalVolSurface
 
class  FixedRateBond
 fixed-rate bond More...
 
class  FixedRateBondForward
 Forward contract on a fixed-rate bond More...
 
class  FixedRateBondHelper
 Fixed-coupon bond helper for curve bootstrap. More...
 
class  FixedRateCoupon
 Coupon paying a fixed interest rate More...
 
class  FixedRateLeg
 helper class building a sequence of fixed rate coupons More...
 
class  FlatExtrapolator2D
 
class  FlatForward
 Flat interest-rate curve. More...
 
class  FlatHazardRate
 Flat hazard-rate curve. More...
 
class  FlatSmileSection
 
class  FlatVol
 
class  FlatVolFactory
 
class  FloatFloatSwap
 float float swap More...
 
class  FloatFloatSwaption
 floatfloat swaption class More...
 
class  FloatingCatBond
 floating-rate cat bond (possibly capped and/or floored) More...
 
class  FloatingRateBond
 floating-rate bond (possibly capped and/or floored) More...
 
class  FloatingRateCoupon
 base floating-rate coupon class More...
 
class  FloatingRateCouponPricer
 generic pricer for floating-rate coupons More...
 
class  FloatingTypePayoff
 Payoff based on a floating strike More...
 
class  Floor
 Concrete floor class. More...
 
class  FloorTruncation
 Floor truncation. More...
 
class  FordeHestonExpansion
 
class  Forward
 Abstract base forward class. More...
 
class  ForwardEuropeanBSPathPricer
 
class  ForwardEuropeanHestonPathPricer
 
class  ForwardFlat
 Forward-flat interpolation factory and traits. More...
 
class  ForwardFlatInterpolation
 Forward-flat interpolation between discrete points. More...
 
class  ForwardMeasureProcess
 forward-measure stochastic process More...
 
class  ForwardMeasureProcess1D
 forward-measure 1-D stochastic process More...
 
class  ForwardOptionArguments
 Arguments for forward (strike-resetting) option calculation More...
 
class  ForwardPerformanceVanillaEngine
 Forward performance engine for vanilla options More...
 
struct  ForwardRate
 Forward-curve traits. More...
 
class  ForwardRateAgreement
 Forward rate agreement (FRA) class More...
 
class  ForwardRateStructure
 Forward-rate term structure More...
 
class  ForwardSpreadedTermStructure
 Term structure with added spread on the instantaneous forward rate. More...
 
class  ForwardSwapQuote
 Quote for a forward starting swap. More...
 
class  ForwardTypePayoff
 Class for forward type payoffs. More...
 
class  ForwardValueQuote
 quote for the forward value of an index More...
 
class  ForwardVanillaEngine
 Forward engine for vanilla options More...
 
class  ForwardVanillaOption
 Forward version of a vanilla option More...
 
class  fourth_power
 
class  FractionalDividend
 Predetermined cash flow. More...
 
class  France
 French calendars. More...
 
class  FranceRegion
 France as geographical/economic region. More...
 
class  FrankCopula
 Frank copula. More...
 
class  FrankCopulaRng
 Frank copula random-number generator. More...
 
class  FraRateHelper
 Rate helper for bootstrapping over FRA rates. More...
 
class  FRFCurrency
 French franc. More...
 
class  FRHICP
 FR HICP index. More...
 
class  FritschButlandCubic
 
class  FritschButlandLogCubic
 
class  FrobeniusCostFunction
 
struct  Futures
 
class  FuturesConvAdjustmentQuote
 quote for the futures-convexity adjustment of an index More...
 
class  FuturesRateHelper
 Rate helper for bootstrapping over IborIndex futures prices. More...
 
class  FwdPeriodAdapter
 
class  FwdToCotSwapAdapter
 
class  FwdToCotSwapAdapterFactory
 
class  FxSwapRateHelper
 Rate helper for bootstrapping over Fx Swap rates. More...
 
class  G2
 Two-additive-factor gaussian model class. More...
 
class  G2ForwardProcess
 Forward G2 stochastic process More...
 
class  G2Process
 G2 stochastic process More...
 
class  G2SwaptionEngine
 Swaption priced by means of the Black formula More...
 
class  GalambosCopula
 Galambos copula. More...
 
class  GallonUnitOfMeasure
 
class  GammaFunction
 Gamma function class. More...
 
class  GapPayoff
 Binary gap payoff. More...
 
class  Garch11
 GARCH volatility model. More...
 
class  GarmanKlassAbstract
 Garman-Klass volatility model. More...
 
class  GarmanKlassOpenClose
 
class  GarmanKlassSigma1
 
class  GarmanKlassSigma3
 
class  GarmanKlassSigma4
 
class  GarmanKlassSigma5
 
class  GarmanKlassSigma6
 
class  GarmanKlassSimpleSigma
 
class  GarmanKohlagenProcess
 Garman-Kohlhagen (1983) stochastic process. More...
 
class  GaussChebyshev2ndIntegration
 Gauss-Chebyshev integration (second kind) More...
 
class  GaussChebyshev2ndPolynomial
 Gauss-Chebyshev polynomial (second kind) More...
 
class  GaussChebyshevIntegration
 Gauss-Chebyshev integration. More...
 
class  GaussChebyshevPolynomial
 Gauss-Chebyshev polynomial. More...
 
class  GaussGegenbauerIntegration
 Gauss-Gegenbauer integration. More...
 
class  GaussGegenbauerPolynomial
 Gauss-Gegenbauer polynomial. More...
 
class  GaussHermiteIntegration
 generalized Gauss-Hermite integration More...
 
class  GaussHermitePolynomial
 Gauss-Hermite polynomial. More...
 
class  GaussHyperbolicIntegration
 Gauss-Hyperbolic integration. More...
 
class  GaussHyperbolicPolynomial
 Gauss hyperbolic polynomial. More...
 
class  Gaussian1dCapFloorEngine
 Gaussian1d cap/floor engine. More...
 
class  Gaussian1dFloatFloatSwaptionEngine
 One factor model float float swaption engine. More...
 
class  Gaussian1dJamshidianSwaptionEngine
 Jamshidian swaption engine. More...
 
class  Gaussian1dModel
 
class  Gaussian1dNonstandardSwaptionEngine
 One factor model non standard swaption engine. More...
 
class  Gaussian1dSmileSection
 
class  Gaussian1dSwaptionEngine
 One factor model swaption engine. More...
 
class  Gaussian1dSwaptionVolatility
 
class  GaussianCopula
 Gaussian copula. More...
 
struct  GaussianCopulaPolicy
 
class  GaussianKernel
 Gaussian kernel function. More...
 
class  GaussianLHPLossModel
 
class  GaussianOrthogonalPolynomial
 orthogonal polynomial for Gaussian quadratures More...
 
class  GaussianQuadMultidimIntegrator
 Integrates a vector or scalar function of vector domain. More...
 
class  GaussianQuadrature
 Integral of a 1-dimensional function using the Gauss quadratures method. More...
 
class  GaussianRandomDefaultModel
 
class  GaussianWalk
 Gaussian Walk. More...
 
class  GaussJacobiIntegration
 Gauss-Jacobi integration. More...
 
class  GaussJacobiPolynomial
 Gauss-Jacobi polynomial. More...
 
class  GaussKronrodAdaptive
 Integral of a 1-dimensional function using the Gauss-Kronrod methods. More...
 
class  GaussKronrodNonAdaptive
 Integral of a 1-dimensional function using the Gauss-Kronrod methods. More...
 
class  GaussLaguerreCosinePolynomial
 Gauss-Laguerre Cosine integration. More...
 
class  GaussLaguerreIntegration
 generalized Gauss-Laguerre integration More...
 
class  GaussLaguerrePolynomial
 Gauss-Laguerre polynomial. More...
 
class  GaussLaguerreSinePolynomial
 Gauss-Laguerre Sine integration. More...
 
class  GaussLaguerreTrigonometricBase
 
class  GaussLegendreIntegration
 Gauss-Legendre integration. More...
 
class  GaussLegendrePolynomial
 Gauss-Legendre polynomial. More...
 
class  GaussLobattoIntegral
 Integral of a one-dimensional function. More...
 
class  GaussNonCentralChiSquaredPolynomial
 
class  GBPCurrency
 British pound sterling. More...
 
class  GBPLibor
 GBP LIBOR rate More...
 
class  GBPLiborON
 Overnight GBP Libor index. More...
 
class  GbpLiborSwapIsdaFix
 GbpLiborSwapIsdaFix index base class More...
 
class  GBSMRNDCalculator
 
class  GemanRoncoroniProcess
 Geman-Roncoroni process class. More...
 
class  GeneralizedBlackScholesProcess
 Generalized Black-Scholes stochastic process. More...
 
class  GeneralizedHullWhite
 Generalized Hull-White model class. More...
 
class  GeneralizedOrnsteinUhlenbeckProcess
 Piecewise linear Ornstein-Uhlenbeck process class. More...
 
class  GeneralLinearLeastSquares
 general linear least squares regression More...
 
class  GeneralStatistics
 Statistics tool. More...
 
class  GenericCPI
 Generic CPI index. More...
 
class  GenericEngine
 template base class for option pricing engines More...
 
class  GenericGaussianStatistics
 Statistics tool for gaussian-assumption risk measures. More...
 
struct  GenericLowDiscrepancy
 
class  GenericModelEngine
 Base class for some pricing engine on a particular model. More...
 
struct  GenericPseudoRandom
 
class  GenericRegion
 Generic geographical/economic region. More...
 
class  GenericRiskStatistics
 empirical-distribution risk measures More...
 
class  GenericSequenceStatistics
 Statistics analysis of N-dimensional (sequence) data. More...
 
class  GenericTimeSetter
 
class  GeometricAPOHestonPathPricer
 
class  GeometricAPOPathPricer
 
class  GeometricBrownianMotionProcess
 Geometric brownian-motion process. More...
 
class  Germany
 German calendars. More...
 
class  GFunction
 
class  GFunctionFactory
 
class  GJRGARCHModel
 GJR-GARCH model for the stochastic volatility of an asset. More...
 
class  GJRGARCHProcess
 Stochastic-volatility GJR-GARCH(1,1) process. More...
 
class  GlobalBootstrap
 Global boostrapper, with additional restrictions. More...
 
class  GlobalTopology
 Global Topology. More...
 
class  Glued1dMesher
 
class  GMRES
 
struct  GMRESResult
 
class  GoldsteinLineSearch
 
class  GRDCurrency
 Greek drachma. More...
 
class  greater_or_equal_to
 
class  greater_than
 
class  Greeks
 additional option results More...
 
class  GridModelLocalVolSurface
 
class  Gsr
 One factor gsr model, formulation is in forward measure. More...
 
class  GsrProcess
 GSR stochastic process. More...
 
class  GumbelCopula
 Gumbel copula. More...
 
class  HaganIrregularSwaptionEngine
 Pricing engine for irregular swaptions. More...
 
class  HaganPricer
 CMS-coupon pricer. More...
 
class  HaltonRsg
 Halton low-discrepancy sequence generator. More...
 
class  Handle
 Shared handle to an observable. More...
 
class  HarmonicCubic
 
class  HarmonicLogCubic
 
struct  HazardRate
 Hazard-rate-curve traits. More...
 
class  HazardRateStructure
 Hazard-rate term structure. More...
 
class  HestonBlackVolSurface
 
class  HestonExpansion
 
class  HestonExpansionEngine
 Heston-model engine for European options based on analytic expansions. More...
 
class  HestonHullWhitePathPricer
 
class  HestonModel
 Heston model for the stochastic volatility of an asset. More...
 
class  HestonModelHelper
 calibration helper for Heston model More...
 
class  HestonProcess
 Square-root stochastic-volatility Heston process. More...
 
class  HestonRNDCalculator
 Risk neutral terminal probability density for the Heston model. More...
 
class  HestonSLVFDMModel
 
struct  HestonSLVFokkerPlanckFdmParams
 
class  HestonSLVMCModel
 
class  HestonSLVProcess
 
class  HimalayaMultiPathPricer
 
class  HimalayaOption
 Himalaya option. More...
 
class  Histogram
 Histogram class. More...
 
class  HistoricalForwardRatesAnalysis
 
class  HistoricalForwardRatesAnalysisImpl
 Historical correlation class More...
 
class  HistoricalRatesAnalysis
 Historical rate analysis class More...
 
class  HKDCurrency
 Hong Kong dollar. More...
 
class  HolderExtensibleOption
 
class  HomogeneousPoolLossModel
 Default loss distribution convolution for finite homogeneous pool. More...
 
class  HongKong
 Hong Kong calendars. More...
 
class  HUFCurrency
 Hungarian forint. More...
 
class  HullWhite
 Single-factor Hull-White (extended Vasicek) model class. More...
 
class  HullWhiteForwardProcess
 Forward Hull-White stochastic process More...
 
class  HullWhiteProcess
 Hull-White stochastic process. More...
 
class  HundsdorferScheme
 
class  Hungary
 Hungarian calendar. More...
 
class  HuslerReissCopula
 Husler-Reiss copula. More...
 
class  HybridHestonHullWhiteProcess
 Hybrid Heston Hull-White stochastic process. More...
 
class  HybridSimulatedAnnealing
 
class  IborCoupon
 Coupon paying a Libor-type index More...
 
class  IborCouponPricer
 base pricer for capped/floored Ibor coupons More...
 
class  IborIndex
 base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More...
 
class  IborLeg
 helper class building a sequence of capped/floored ibor-rate coupons More...
 
class  IborLegCashFlows
 
class  Iceland
 Icelandic calendars. More...
 
class  identity
 
class  IDRCurrency
 Indonesian Rupiah. More...
 
class  IEPCurrency
 Irish punt. More...
 
class  ILSCurrency
 Israeli shekel. More...
 
struct  IMM
 Main cycle of the International Money Market (a.k.a. IMM) months. More...
 
class  ImplicitEuler
 Backward Euler scheme for finite difference methods. More...
 
class  ImplicitEulerScheme
 
class  ImpliedStdDevQuote
 quote for the implied standard deviation of an underlying More...
 
class  ImpliedTermStructure
 Implied term structure at a given date in the future. More...
 
class  ImpliedVolTermStructure
 Implied vol term structure at a given date in the future. More...
 
class  IncrementalStatistics
 Statistics tool based on incremental accumulation. More...
 
class  IndependentCopula
 independent copula More...
 
class  Index
 purely virtual base class for indexes More...
 
class  IndexedCashFlow
 Cash flow dependent on an index ratio. More...
 
class  IndexManager
 global repository for past index fixings More...
 
class  India
 Indian calendars. More...
 
class  Indonesia
 Indonesian calendars More...
 
class  InflationCoupon
 Base inflation-coupon class. More...
 
class  InflationCouponPricer
 Base inflation-coupon pricer. More...
 
class  InflationIndex
 Base class for inflation-rate indexes,. More...
 
class  InflationTermStructure
 Interface for inflation term structures. More...
 
class  InhomogeneousPoolLossModel
 Default loss distribution convolution for finite non homogeneous pool. More...
 
class  INRCurrency
 Indian rupee. More...
 
class  Instrument
 Abstract instrument class. More...
 
class  IntegralCDOEngine
 
class  IntegralCdsEngine
 
class  IntegralEngine
 Pricing engine for European vanilla options using integral approach. More...
 
class  IntegralHestonVarianceOptionEngine
 integral Heston-model variance-option engine More...
 
class  IntegralNtdEngine
 
class  IntegrationBase
 
class  IntegrationBase< GaussianQuadMultidimIntegrator >
 
class  IntegrationBase< MultidimIntegral >
 
class  Integrator
 
class  InterestRate
 Concrete interest rate class. More...
 
class  InterestRateIndex
 base class for interest rate indexes More...
 
class  InterestRateVolSurface
 Interest rate volatility (smile) surface. More...
 
class  InterpolatedAffineHazardRateCurve
 
class  InterpolatedCPICapFloorTermPriceSurface
 
class  InterpolatedCurve
 Helper class to build interpolated term structures. More...
 
class  InterpolatedDefaultDensityCurve
 DefaultProbabilityTermStructure based on interpolation of default densities. More...
 
class  InterpolatedDiscountCurve
 YieldTermStructure based on interpolation of discount factors. More...
 
class  InterpolatedForwardCurve
 YieldTermStructure based on interpolation of forward rates. More...
 
class  InterpolatedHazardRateCurve
 DefaultProbabilityTermStructure based on interpolation of hazard rates. More...
 
class  InterpolatedPiecewiseZeroSpreadedTermStructure
 Yield curve with an added vector of spreads on the zero-yield rate. More...
 
class  InterpolatedSimpleZeroCurve
 YieldTermStructure based on interpolation of zero rates. More...
 
class  InterpolatedSmileSection
 
class  InterpolatedSurvivalProbabilityCurve
 DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...
 
class  InterpolatedYoYCapFloorTermPriceSurface
 
class  InterpolatedYoYInflationCurve
 Inflation term structure based on interpolated year-on-year rates. More...
 
class  InterpolatedYoYOptionletStripper
 
class  InterpolatedYoYOptionletVolatilityCurve
 Interpolated flat smile surface. More...
 
class  InterpolatedZeroCurve
 YieldTermStructure based on interpolation of zero rates. More...
 
class  InterpolatedZeroInflationCurve
 Inflation term structure based on the interpolation of zero rates. More...
 
class  InterpolatingCPICapFloorEngine
 
class  Interpolation
 base class for 1-D interpolations. More...
 
class  Interpolation2D
 base class for 2-D interpolations. More...
 
class  InterpolationParameter
 Parameter that holds an interpolation object. More...
 
class  IntervalPrice
 interval price More...
 
class  InverseCumulativeBehrensFisher
 Inverse of the cumulative of the convolution of odd-T distributions. More...
 
class  InverseCumulativeNormal
 Inverse cumulative normal distribution function. More...
 
class  InverseCumulativePoisson
 Inverse cumulative Poisson distribution function. More...
 
class  InverseCumulativeRng
 Inverse cumulative random number generator. More...
 
class  InverseCumulativeRsg
 Inverse cumulative random sequence generator. More...
 
class  InverseCumulativeStudent
 Inverse cumulative Student t-distribution. More...
 
class  InverseLawSquareIntensity
 Inverse Square Intensity. More...
 
class  InverseNonCentralCumulativeChiSquareDistribution
 
class  IQDCurrency
 Iraqi dinar. More...
 
class  IRRCurrency
 Iranian rial. More...
 
struct  IrregularSettlement
 settlement information More...
 
class  IrregularSwap
 Irregular swap: fixed vs floating leg. More...
 
class  IrregularSwaption
 Irregular Swaption class. More...
 
class  IsdaCdsEngine
 
class  ISKCurrency
 Icelandic krona. More...
 
class  IsotropicRandomWalk
 Isotropic random walk. More...
 
class  Israel
 Israel calendar. More...
 
class  Issuer
 
class  Italy
 Italian calendars. More...
 
class  IterativeBootstrap
 Universal piecewise-term-structure boostrapper. More...
 
class  ITLCurrency
 Italian lira. More...
 
class  JamshidianSwaptionEngine
 Jamshidian swaption engine. More...
 
class  Japan
 Japanese calendar. More...
 
class  JarrowRudd
 Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
 
class  Jibar
 JIBAR rate More...
 
class  JointCalendar
 Joint calendar. More...
 
class  JointStochasticProcess
 
class  Joshi4
 
class  JPYCurrency
 Japanese yen. More...
 
class  JPYLibor
 JPY LIBOR rate More...
 
class  JpyLiborSwapIsdaFixAm
 JpyLiborSwapIsdaFixAm index base class More...
 
class  JpyLiborSwapIsdaFixPm
 JpyLiborSwapIsdaFixPm index base class More...
 
class  JumpDiffusionEngine
 Jump-diffusion engine for vanilla options. More...
 
class  JuQuadraticApproximationEngine
 Pricing engine for American options with Ju quadratic approximation. More...
 
class  KahaleSmileSection
 
class  KerkhofSeasonality
 
class  KernelFunction
 
class  KernelInterpolation
 Kernel interpolation between discrete points. More...
 
class  KernelInterpolation2D
 
class  KilolitreUnitOfMeasure
 
class  KInterpolatedYoYOptionletVolatilitySurface
 K-interpolated YoY optionlet volatility. More...
 
class  KirkEngine
 Pricing engine for spread option on two futures. More...
 
class  KirkSpreadOptionEngine
 Kirk approximation for European spread option on futures. More...
 
class  KlugeExtOUProcess
 
class  KNeighbors
 K-Neighbor Topology. More...
 
class  KnuthUniformRng
 Uniform random number generator. More...
 
class  KrugerCubic
 
class  KrugerLog
 
class  KrugerLogCubic
 
class  KrugerLogMixedLinearCubic
 
class  KRWCurrency
 South-Korean won. More...
 
class  KWDCurrency
 Kuwaiti dinar. More...
 
class  KZTCurrency
 
class  LagrangeInterpolation
 
class  LastFixingQuote
 Quote adapter for the last fixing available of a given Index. More...
 
class  LatentModel
 Generic multifactor latent variable model. More...
 
class  Lattice
 Lattice (tree, finite-differences) base class More...
 
class  LatticeRsg
 
class  LatticeRule
 
class  LatticeShortRateModelEngine
 Engine for a short-rate model specialized on a lattice. More...
 
class  LazyObject
 Framework for calculation on demand and result caching. More...
 
class  LeastSquareFunction
 Cost function for least-square problems. More...
 
class  LeastSquareProblem
 Base class for least square problem. More...
 
class  LecuyerUniformRng
 Uniform random number generator. More...
 
class  LeisenReimer
 Leisen & Reimer tree: multiplicative approach. More...
 
class  less_than
 
class  LevenbergMarquardt
 Levenberg-Marquardt optimization method. More...
 
class  LevyFlightDistribution
 Levy Flight distribution as needed by Boost Random. More...
 
class  LevyFlightInertia
 Levy Flight Inertia. More...
 
class  LevyFlightWalk
 Levy Flight Random Walk. More...
 
class  LexicographicalView
 Lexicographical 2-D view of a contiguous set of data. More...
 
class  LfmCovarianceParameterization
 Libor market model parameterization More...
 
class  LfmCovarianceProxy
 proxy for a libor forward model covariance parameterization More...
 
class  LfmHullWhiteParameterization
 Libor market model parameterization based on Hull White paper More...
 
class  LfmSwaptionEngine
 Libor forward model swaption engine based on Black formula More...
 
class  Libor
 base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones More...
 
class  LiborForwardModel
 Libor forward model More...
 
class  LiborForwardModelProcess
 libor-forward-model process More...
 
class  Linear
 Linear-interpolation factory and traits More...
 
class  LinearFlat
 Linear-interpolation with flat-extrapolation factory and traits More...
 
class  LinearFlatInterpolation
 Linear interpolation between discrete points with flat extapolation More...
 
class  LinearInterpolation
 Linear interpolation between discrete points More...
 
class  LinearLeastSquaresRegression
 
class  LinearRegression
 
class  LinearTsrPricer
 CMS-coupon pricer. More...
 
class  LineSearch
 Base class for line search. More...
 
class  LineSearchBasedMethod
 Line search based method. More...
 
class  LitreUnitOfMeasure
 
class  LmConstWrapperCorrelationModel
 
class  LmConstWrapperVolatilityModel
 caplet const volatility model More...
 
class  LmCorrelationModel
 libor forward correlation model More...
 
class  LmExponentialCorrelationModel
 exponential correlation model More...
 
class  LmExtLinearExponentialVolModel
 extended linear exponential volatility model More...
 
class  LmFixedVolatilityModel
 
class  LMIntegration
 
class  LmLinearExponentialCorrelationModel
 linear exponential correlation model More...
 
class  LmLinearExponentialVolatilityModel
 linear exponential volatility model More...
 
class  LMMCurveState
 Curve state for Libor market models More...
 
class  LMMDriftCalculator
 Drift computation for log-normal Libor market models. More...
 
class  LMMNormalDriftCalculator
 Drift computation for normal Libor market models. More...
 
class  LmVolatilityModel
 caplet volatility model More...
 
class  LocalBootstrap
 Localised-term-structure bootstrapper for most curve types. More...
 
class  LocalConstantVol
 Constant local volatility, no time-strike dependence. More...
 
class  LocalVolatilityEstimator
 
class  LocalVolCurve
 Local volatility curve derived from a Black curve. More...
 
class  LocalVolRNDCalculator
 
class  LocalVolSurface
 Local volatility surface derived from a Black vol surface. More...
 
class  LocalVolTermStructure
 
class  LogCubic
 log-cubic interpolation factory and traits More...
 
class  LogCubicInterpolation
 log-cubic interpolation between discrete points More...
 
class  LogCubicNaturalSpline
 
class  LogGrid
 
class  LogLinear
 log-linear interpolation factory and traits More...
 
class  LogLinearInterpolation
 log-linear interpolation between discrete points More...
 
class  LogMixedLinearCubic
 log-cubic interpolation factory and traits More...
 
class  LogMixedLinearCubicInterpolation
 log-mixedlinearcubic interpolation between discrete points More...
 
class  LogMixedLinearCubicNaturalSpline
 
class  LognormalCmsSpreadPricer
 CMS spread - coupon pricer. More...
 
class  LogNormalCmSwapRatePc
 Predictor-Corrector. More...
 
class  LogNormalCotSwapRatePc
 Predictor-Corrector. More...
 
class  LogNormalFwdRateBalland
 Iterative Predictor-Corrector. More...
 
class  LogNormalFwdRateEuler
 Euler. More...
 
class  LogNormalFwdRateEulerConstrained
 euler stepping More...
 
class  LogNormalFwdRateiBalland
 Iterative Predictor-Corrector. More...
 
class  LogNormalFwdRateIpc
 Iterative Predictor-Corrector. More...
 
class  LogNormalFwdRatePc
 Predictor-Corrector. More...
 
class  LogParabolic
 
class  LongstaffSchwartzExerciseStrategy
 
class  LongstaffSchwartzMultiPathPricer
 Longstaff-Schwarz path pricer for early exercise options. More...
 
class  LongstaffSchwartzPathPricer
 Longstaff-Schwarz path pricer for early exercise options. More...
 
class  Loss
 
class  LossDist
 Probability formulas and algorithms. More...
 
class  LossDistBinomial
 Binomial loss distribution. More...
 
class  LossDistBucketing
 Loss distribution with Hull-White bucketing. More...
 
class  LossDistHomogeneous
 Loss Distribution for Homogeneous Pool. More...
 
class  LossDistMonteCarlo
 Loss distribution with Monte Carlo simulation. More...
 
class  LotUnitOfMeasure
 
class  LPP2HestonExpansion
 
class  LPP3HestonExpansion
 
class  LsmBasisSystem
 
class  LTCCurrency
 Litecoin. More...
 
class  LTLCurrency
 Lithuanian litas. More...
 
class  LUFCurrency
 Luxembourg franc. More...
 
class  LVLCurrency
 Latvian lat. More...
 
class  MaddockCumulativeNormal
 Maddock's cumulative normal distribution class. More...
 
class  MaddockInverseCumulativeNormal
 Maddock's Inverse cumulative normal distribution class. More...
 
class  MakeArithmeticAverageOIS
 helper class More...
 
class  MakeCapFloor
 helper class More...
 
class  MakeCms
 helper class for instantiating CMS More...
 
class  MakeCreditDefaultSwap
 helper class More...
 
class  MakeFdBlackScholesVanillaEngine
 
class  MakeFdCIRVanillaEngine
 
class  MakeFdHestonVanillaEngine
 
class  MakeMCAmericanBasketEngine
 Monte Carlo American basket-option engine factory. More...
 
class  MakeMCAmericanEngine
 Monte Carlo American engine factory. More...
 
class  MakeMCAmericanPathEngine
 Monte Carlo American basket-option engine factory. More...
 
class  MakeMCBarrierEngine
 Monte Carlo barrier-option engine factory. More...
 
class  MakeMCDigitalEngine
 Monte Carlo digital engine factory. More...
 
class  MakeMCDiscreteArithmeticAPEngine
 
class  MakeMCDiscreteArithmeticAPHestonEngine
 
class  MakeMCDiscreteArithmeticASEngine
 
class  MakeMCDiscreteGeometricAPEngine
 
class  MakeMCDiscreteGeometricAPHestonEngine
 
class  MakeMCDoubleBarrierEngine
 Monte Carlo double-barrier-option engine factory. More...
 
class  MakeMCEuropeanBasketEngine
 Monte Carlo basket-option engine factory. More...
 
class  MakeMCEuropeanEngine
 Monte Carlo European engine factory. More...
 
class  MakeMCEuropeanGJRGARCHEngine
 Monte Carlo GJR-GARCH European engine factory. More...
 
class  MakeMCEuropeanHestonEngine
 Monte Carlo Heston European engine factory. More...
 
class  MakeMCEverestEngine
 Monte Carlo Everest-option engine factory. More...
 
class  MakeMCForwardEuropeanBSEngine
 
class  MakeMCForwardEuropeanHestonEngine
 
class  MakeMCHestonHullWhiteEngine
 Monte Carlo Heston/Hull-White engine factory. More...
 
class  MakeMCHimalayaEngine
 Monte Carlo Himalaya-option engine factory. More...
 
class  MakeMCHullWhiteCapFloorEngine
 Monte Carlo Hull-White cap-floor engine factory. More...
 
class  MakeMCLookbackEngine
 Monte Carlo lookback-option engine factory. More...
 
class  MakeMCPagodaEngine
 Monte Carlo pagoda-option engine factory. More...
 
class  MakeMCPathBasketEngine
 Monte Carlo Path Basket engine factory. More...
 
class  MakeMCPerformanceEngine
 Monte Carlo performance-option engine factory. More...
 
class  MakeMCVarianceSwapEngine
 Monte Carlo variance-swap engine factory. More...
 
class  MakeOIS
 helper class More...
 
class  MakeSchedule
 helper class More...
 
class  MakeSwaption
 helper class More...
 
class  MakeVanillaSwap
 helper class More...
 
class  MakeYoYInflationCapFloor
 helper class More...
 
class  ManipulateDistribution
 
class  MargrabeOption
 Margrabe option on two assets. More...
 
class  MarketModel
 base class for market models More...
 
class  MarketModelBasisSystem
 
class  MarketModelCashRebate
 
class  MarketModelComposite
 Composition of two or more market-model products. More...
 
class  MarketModelDiscounter
 
class  MarketModelEvolver
 Market-model evolver. More...
 
class  MarketModelExerciseValue
 
class  MarketModelFactory
 base class for market-model factories More...
 
class  MarketModelMultiProduct
 market-model product More...
 
class  MarketModelNodeDataProvider
 
class  MarketModelParametricExercise
 
class  MarketModelPathwiseCashRebate
 
class  MarketModelPathwiseCoterminalSwaptionsDeflated
 
class  MarketModelPathwiseCoterminalSwaptionsNumericalDeflated
 
class  MarketModelPathwiseDiscounter
 
class  MarketModelPathwiseInverseFloater
 
class  MarketModelPathwiseMultiCaplet
 market-model pathwise caplet More...
 
class  MarketModelPathwiseMultiDeflatedCap
 
class  MarketModelPathwiseMultiDeflatedCaplet
 
class  MarketModelPathwiseMultiProduct
 market-model pathwise product More...
 
class  MarketModelPathwiseSwap
 
class  MarketModelVolProcess
 
class  MarkovFunctional
 
class  MarshallOlkinCopula
 Marshall-Olkin copula. More...
 
class  Matrix
 Matrix used in linear algebra. More...
 
class  MaxBasketPayoff
 
class  MaxCopula
 max copula More...
 
class  MBUnitOfMeasure
 
class  MCAmericanBasketEngine
 least-square Monte Carlo engine More...
 
class  MCAmericanEngine
 American Monte Carlo engine. More...
 
class  MCAmericanPathEngine
 least-square Monte Carlo engine More...
 
class  MCBarrierEngine
 Pricing engine for barrier options using Monte Carlo simulation. More...
 
class  MCDigitalEngine
 Pricing engine for digital options using Monte Carlo simulation. More...
 
class  MCDiscreteArithmeticAPEngine
 Monte Carlo pricing engine for discrete arithmetic average price Asian. More...
 
class  MCDiscreteArithmeticAPHestonEngine
 Heston MC pricing engine for discrete arithmetic average price Asian. More...
 
class  MCDiscreteArithmeticASEngine
 Monte Carlo pricing engine for discrete arithmetic average-strike Asian. More...
 
class  MCDiscreteAveragingAsianEngine
 Pricing engine for discrete average Asians using Monte Carlo simulation. More...
 
class  MCDiscreteAveragingAsianEngineBase
 Pricing engine for discrete average Asians using Monte Carlo simulation. More...
 
class  MCDiscreteGeometricAPEngine
 Monte Carlo pricing engine for discrete geometric average price Asian. More...
 
class  MCDiscreteGeometricAPHestonEngine
 Heston MC pricing engine for discrete geometric average price Asian. More...
 
class  MCDoubleBarrierEngine
 
class  MCEuropeanBasketEngine
 Pricing engine for European basket options using Monte Carlo simulation. More...
 
class  MCEuropeanEngine
 European option pricing engine using Monte Carlo simulation. More...
 
class  MCEuropeanGJRGARCHEngine
 Monte Carlo GJR-GARCH-model engine for European options. More...
 
class  MCEuropeanHestonEngine
 Monte Carlo Heston-model engine for European options. More...
 
class  MCEverestEngine
 
class  MCForwardEuropeanBSEngine
 
class  MCForwardEuropeanHestonEngine
 
class  MCForwardVanillaEngine
 Monte Carlo engine for forward-starting vanilla options. More...
 
class  MCHestonHullWhiteEngine
 
class  MCHimalayaEngine
 
class  MCHullWhiteCapFloorEngine
 Monte Carlo Hull-White engine for cap/floors. More...
 
class  MCLongstaffSchwartzEngine
 Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
 
class  MCLongstaffSchwartzPathEngine
 Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
 
class  MCLookbackEngine
 Monte Carlo lookback-option engine. More...
 
class  MCPagodaEngine
 Pricing engine for pagoda options using Monte Carlo simulation. More...
 
class  MCPathBasketEngine
 Pricing engine for path dependent basket options using. More...
 
class  MCPerformanceEngine
 Pricing engine for performance options using Monte Carlo simulation. More...
 
class  McSimulation
 base class for Monte Carlo engines More...
 
class  MCVanillaEngine
 Pricing engine for vanilla options using Monte Carlo simulation. More...
 
class  MCVarianceSwapEngine
 Variance-swap pricing engine using Monte Carlo simulation,. More...
 
class  MeanRevertingPricer
 
class  MersenneTwisterUniformRng
 Uniform random number generator. More...
 
class  Merton76Process
 Merton-76 jump-diffusion process. More...
 
class  MethodOfLinesScheme
 
class  Mexico
 Mexican calendars More...
 
class  MfStateProcess
 Markov functional state process class. More...
 
struct  MidPoint
 
class  MidPointCDOEngine
 CDO base engine taking schedule steps. More...
 
class  MidPointCdsEngine
 
class  MinBasketPayoff
 
class  MinCopula
 min copula More...
 
struct  MixedInterpolation
 
class  MixedLinearCubic
 mixed linear/cubic interpolation factory and traits More...
 
class  MixedLinearCubicInterpolation
 mixed linear/cubic interpolation between discrete points More...
 
class  MixedLinearCubicNaturalSpline
 
class  MixedLinearFritschButlandCubic
 
class  MixedLinearKrugerCubic
 
class  MixedLinearMonotonicCubicNaturalSpline
 
class  MixedLinearMonotonicParabolic
 
class  MixedLinearParabolic
 
class  MixedScheme
 Mixed (explicit/implicit) scheme for finite difference methods. More...
 
class  ModifiedCraigSneydScheme
 modified Craig-Sneyd scheme More...
 
class  ModTripleBandLinearOp
 
class  MomentBasedGaussianPolynomial
 
class  Money
 amount of cash More...
 
class  MonotonicCubicNaturalSpline
 
class  MonotonicLogCubic
 
class  MonotonicLogCubicNaturalSpline
 
class  MonotonicLogMixedLinearCubic
 
class  MonotonicLogParabolic
 
class  MonotonicParabolic
 
class  MonteCarloCatBondEngine
 
class  MonteCarloModel
 General-purpose Monte Carlo model for path samples. More...
 
class  MoreGreeks
 more additional option results More...
 
class  MoroInverseCumulativeNormal
 Moro Inverse cumulative normal distribution class. More...
 
class  Mosprime
 MOSPRIME rate More...
 
class  MTBrownianGenerator
 Mersenne-twister Brownian generator for market-model simulations. More...
 
class  MTBrownianGeneratorFactory
 
class  MTLCurrency
 Maltese lira. More...
 
class  MTUnitOfMeasure
 
class  MultiAssetOption
 Base class for options on multiple assets. More...
 
class  MultiCubicSpline
 N-dimensional cubic spline interpolation between discrete points. More...
 
class  MultiCurveSensitivities
 Multi curve sensitivities. More...
 
class  MultidimIntegral
 Integrates a vector or scalar function of vector domain. More...
 
class  MultiPath
 Correlated multiple asset paths. More...
 
class  MultiPathGenerator
 Generates a multipath from a random number generator. More...
 
class  MultiplicativePriceSeasonality
 Multiplicative seasonality in the price index (CPI/RPI/HICP/etc). More...
 
class  multiply_by
 
class  MultiProductComposite
 Composition of one or more market-model products. More...
 
class  MultiProductMultiStep
 Multiple-step market-model product. More...
 
class  MultiProductOneStep
 Single-step market-model product. More...
 
class  MultiProductPathwiseWrapper
 
class  MultiStepCoinitialSwaps
 
class  MultiStepCoterminalSwaps
 
class  MultiStepCoterminalSwaptions
 
class  MultiStepForwards
 
class  MultiStepInverseFloater
 
class  MultiStepNothing
 
class  MultiStepOptionlets
 
class  MultiStepPeriodCapletSwaptions
 
class  MultiStepRatchet
 
class  MultiStepSwap
 
class  MultiStepSwaption
 
class  MultiStepTarn
 
struct  MultiVariate
 default Monte Carlo traits for multi-variate models More...
 
class  MXNCurrency
 Mexican peso. More...
 
class  MYRCurrency
 Malaysian Ringgit. More...
 
class  NelsonSiegelFitting
 Nelson-Siegel fitting method. More...
 
class  NeumannBC
 Neumann boundary condition (i.e., constant derivative) More...
 
class  Newton
 Newton 1-D solver More...
 
class  NewtonSafe
 safe Newton 1-D solver More...
 
class  NewZealand
 New Zealand calendar. More...
 
class  NGNCurrency
 
class  NinePointLinearOp
 
class  NLGCurrency
 Dutch guilder. More...
 
class  NoArbSabr
 no arbtrage sabr interpolation factory and traits More...
 
class  NoArbSabrInterpolatedSmileSection
 
class  NoArbSabrInterpolation
 no arbitrage sabr smile interpolation between discrete volatility points. More...
 
class  NoArbSabrModel
 
class  NoArbSabrSmileSection
 
class  NoConstraint
 No constraint. More...
 
struct  NodeData
 
class  NoExceptLocalVolSurface
 
class  NOKCurrency
 Norwegian krone. More...
 
class  NonCentralCumulativeChiSquareDistribution
 
class  NonCentralCumulativeChiSquareSankaranApprox
 
class  NonhomogeneousBoundaryConstraint
 Constraint imposing i-th argument to be in [low_i,high_i] for all i More...
 
class  NonLinearLeastSquare
 Non-linear least-square method. More...
 
class  NonstandardSwap
 nonstandard swap More...
 
class  NonstandardSwaption
 nonstandard swaption class More...
 
class  NoOffset
 
class  NormalCLVModel
 
class  NormalDistribution
 Normal distribution function. More...
 
class  NormalFwdRatePc
 Predictor-Corrector. More...
 
class  NorthAmericaCorpDefaultKey
 ISDA standard default contractual key for corporate US debt. More...
 
class  Norway
 Norwegian calendar. More...
 
class  not_null
 
class  not_zero
 
class  NothingExerciseValue
 
class  NotionalPath
 
class  NotionalRisk
 
class  nowhere
 
class  NPRCurrency
 Nepal rupee. More...
 
class  NthOrderDerivativeOp
 
class  NthToDefault
 N-th to default swap. More...
 
class  Null
 template class providing a null value for a given type. More...
 
class  Null< Array >
 specialization of null template for this class More...
 
class  Null< Date >
 specialization of Null template for the Date class More...
 
class  Null< IntervalPrice >
 
struct  null_deleter
 
class  NullCalendar
 Calendar for reproducing theoretical calculations. More...
 
class  NullCommodityType
 
class  NullCondition
 null step condition More...
 
class  NullParameter
 Parameter which is always zero \( a(t) = 0 \) More...
 
class  NullPayoff
 Dummy payoff class. More...
 
class  NumericalDifferentiation
 Numerical Differentiation on arbitrarily spaced grids. More...
 
class  NumericHaganPricer
 CMS-coupon pricer. More...
 
class  NZDCurrency
 New Zealand dollar. More...
 
class  NZDLibor
 NZD LIBOR rate More...
 
class  Nzocr
 Nzocr index More...
 
class  Observable
 Object that notifies its changes to a set of observers. More...
 
class  ObservableSettings
 global repository for run-time library settings More...
 
class  ObservableValue
 observable and assignable proxy to concrete value More...
 
class  Observer
 Object that gets notified when a given observable changes. More...
 
class  OISRateHelper
 Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
 
class  OneAssetOption
 Base class for options on a single asset. More...
 
class  OneDayCounter
 1/1 day count convention More...
 
class  OneFactorAffineModel
 Single-factor affine base class. More...
 
class  OneFactorAffineSurvivalStructure
 
class  OneFactorCopula
 Abstract base class for one-factor copula models. More...
 
class  OneFactorGaussianCopula
 One-factor Gaussian Copula. More...
 
class  OneFactorGaussianStudentCopula
 One-factor Gaussian-Student t-Copula. More...
 
class  OneFactorModel
 Single-factor short-rate model abstract class. More...
 
class  OneFactorStudentCopula
 One-factor Double Student t-Copula. More...
 
class  OneFactorStudentGaussianCopula
 One-factor Student t - Gaussian Copula. More...
 
class  OneStepCoinitialSwaps
 
class  OneStepCoterminalSwaps
 
class  OneStepForwards
 
class  OneStepOptionlets
 
class  OperatorTraits
 
class  OptimizationMethod
 Abstract class for constrained optimization method. More...
 
class  Option
 base option class More...
 
class  OptionletStripper
 
class  OptionletStripper1
 
class  OptionletStripper2
 
class  OptionletVolatilityStructure
 Optionlet (caplet/floorlet) volatility structure. More...
 
class  OrnsteinUhlenbeckProcess
 Ornstein-Uhlenbeck process class. More...
 
class  OrthogonalizedBumpFinder
 
class  OrthogonalProjections
 
class  OvernightIndex
 
class  OvernightIndexedCoupon
 overnight coupon More...
 
class  OvernightIndexedSwap
 Overnight indexed swap: fix vs compounded overnight rate. More...
 
class  OvernightIndexedSwapIndex
 base class for overnight indexed swap indexes More...
 
class  OvernightIndexFuture
 
class  OvernightIndexFutureRateHelper
 RateHelper for bootstrapping over overnight compounding futures. More...
 
class  OvernightLeg
 helper class building a sequence of overnight coupons More...
 
class  PagodaMultiPathPricer
 
class  PagodaOption
 Roofed Asian option on a number of assets. More...
 
class  Parabolic
 
class  ParallelEvolver
 
class  ParallelEvolverTraits
 
class  Parameter
 Base class for model arguments. More...
 
class  ParametersTransformation
 
class  ParametricExercise
 
class  ParametricExerciseAdapter
 
class  ParkinsonSigma
 
struct  PartialBarrier
 
class  PartialTimeBarrierOption
 
class  ParticleSwarmOptimization
 
class  PascalTriangle
 Pascal triangle coefficients calculator. More...
 
class  Path
 single-factor random walk More...
 
class  PathGenerator
 Generates random paths using a sequence generator. More...
 
class  PathMultiAssetOption
 Base class for path-dependent options on multiple assets. More...
 
class  PathPayoff
 Abstract base class for path-dependent option payoffs. More...
 
class  PathPricer
 base class for path pricers More...
 
class  PathwiseAccountingEngine
 Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More...
 
class  PathwiseVegasAccountingEngine
 Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...
 
class  PathwiseVegasOuterAccountingEngine
 Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...
 
class  PaymentTerm
 
class  Payoff
 Abstract base class for option payoffs. More...
 
class  PdeBSM
 
class  PdeConstantCoeff
 
class  PdeOperator
 
class  PdeSecondOrderParabolic
 
class  PdeShortRate
 
class  PEHCurrency
 Peruvian sol. More...
 
class  PEICurrency
 Peruvian inti. More...
 
class  PenaltyFunction
 
class  PENCurrency
 Peruvian nuevo sol. More...
 
class  PercentageStrikePayoff
 Payoff with strike expressed as percentage More...
 
class  PerformanceOptionPathPricer
 
class  Period
 
class  PeriodParser
 
class  PerturbativeBarrierOptionEngine
 perturbative barrier-option engine More...
 
class  PiecewiseConstantAbcdVariance
 
class  PiecewiseConstantCorrelation
 
class  PiecewiseConstantParameter
 Piecewise-constant parameter. More...
 
class  PiecewiseConstantVariance
 
class  PiecewiseDefaultCurve
 Piecewise default-probability term structure. More...
 
class  PiecewiseIntegral
 
class  PiecewiseTimeDependentHestonModel
 Piecewise time dependent Heston model. More...
 
class  PiecewiseYieldCurve
 Piecewise yield term structure. More...
 
class  PiecewiseYoYInflationCurve
 Piecewise year-on-year inflation term structure. More...
 
class  PiecewiseYoYOptionletVolatilityCurve
 Piecewise year-on-year inflation volatility term structure. More...
 
class  PiecewiseZeroInflationCurve
 Piecewise zero-inflation term structure. More...
 
struct  Pillar
 
class  PKRCurrency
 Pakistani rupee. More...
 
class  PlackettCopula
 Plackett copula. More...
 
class  PlainVanillaPayoff
 Plain-vanilla payoff. More...
 
class  PLNCurrency
 Polish zloty. More...
 
class  PoissonDistribution
 Poisson distribution function. More...
 
class  Poland
 Polish calendar. More...
 
class  PolarStudentTRng
 Student t random number generator. More...
 
class  Polynomial
 polynomial2D-spline-interpolation factory More...
 
class  Polynomial2DSpline
 polynomial2D-spline interpolation between discrete points More...
 
class  PolynomialFunction
 Cubic functional form More...
 
class  Pool
 
struct  Position
 
class  PositiveConstraint
 Constraint imposing positivity to all arguments More...
 
class  Predefined1dMesher
 
class  Pribor
 PRIBOR rate More...
 
class  PricingEngine
 interface for pricing engines More...
 
struct  PricingError
 
class  PricingPeriod
 Time pricingperiod described by a number of a given time unit. More...
 
class  PrimeNumbers
 Prime numbers calculator. More...
 
struct  ProbabilityAlwaysDownhill
 Always Downhill Probability. More...
 
class  ProbabilityBoltzmann
 Boltzmann Probability. More...
 
class  ProbabilityBoltzmannDownhill
 Boltzmann Downhill Probability. More...
 
class  ProbabilityOfAtLeastNEvents
 Probability of at least N events. More...
 
class  ProbabilityOfNEvents
 Probability of N events. More...
 
class  Problem
 Constrained optimization problem. More...
 
class  ProjectedConstraint
 
class  ProjectedCostFunction
 Parameterized cost function. More...
 
class  Projection
 
class  ProportionalNotionalRisk
 
struct  Protection
 information on a default-protection contract More...
 
class  ProxyGreekEngine
 
class  ProxyIbor
 IborIndex calculated as proxy of some other IborIndex. More...
 
class  PseudoRootFacade
 
class  PTECurrency
 Portuguese escudo. More...
 
class  quadratic
 
class  Quantity
 Amount of a commodity. More...
 
class  QuantoBarrierOption
 Quanto version of a barrier option. More...
 
class  QuantoDoubleBarrierOption
 Quanto version of a double barrier option. More...
 
class  QuantoEngine
 Quanto engine. More...
 
class  QuantoForwardVanillaOption
 Quanto version of a forward vanilla option. More...
 
class  QuantoOptionResults
 Results from quanto option calculation More...
 
class  QuantoTermStructure
 Quanto term structure. More...
 
class  QuantoVanillaOption
 quanto version of a vanilla option More...
 
class  Quote
 purely virtual base class for market observables More...
 
class  RandomDefaultLM
 
class  RandomDefaultModel
 Base class for random default models. More...
 
class  RandomizedLDS
 Randomized (random shift) low-discrepancy sequence. More...
 
class  RandomLM
 
class  RandomLossLM
 
class  RandomSequenceGenerator
 Random sequence generator based on a pseudo-random number generator. More...
 
class  RangeAccrualFloatersCoupon
 
class  RangeAccrualLeg
 helper class building a sequence of range-accrual floating-rate coupons More...
 
class  RangeAccrualPricer
 
class  RangeAccrualPricerByBgm
 
class  Ranlux3UniformRng
 Uniform random number generator. More...
 
class  Ranlux4UniformRng
 
class  RatchetMaxPayoff
 RatchetMax payoff (double option) More...
 
class  RatchetMinPayoff
 RatchetMin payoff (double option) More...
 
class  RatchetPayoff
 Ratchet payoff (single option) More...
 
struct  RateAveraging
 rate averaging method More...
 
class  RatePseudoRootJacobian
 
class  RatePseudoRootJacobianAllElements
 
class  RatePseudoRootJacobianNumerical
 
class  ReannealingFiniteDifferences
 Reannealing Finite Difference. More...
 
struct  ReannealingTrivial
 Reannealing Trivial. More...
 
class  RebatedExercise
 Rebated exercise. More...
 
class  RecoveryRateModel
 
class  RecoveryRateQuote
 Stores a recovery rate market quote and the associated seniority. More...
 
class  RecursiveLossModel
 
class  Redemption
 Bond redemption. More...
 
class  Region
 Region class, used for inflation applicability. More...
 
class  RelativeDateBootstrapHelper
 Bootstrap helper with date schedule relative to global evaluation date. More...
 
class  RelinkableHandle
 Relinkable handle to an observable. More...
 
class  RendistatoBasket
 
class  RendistatoCalculator
 
class  RendistatoEquivalentSwapLengthQuote
 RendistatoCalculator equivalent swap lenth Quote adapter. More...
 
class  RendistatoEquivalentSwapSpreadQuote
 RendistatoCalculator equivalent swap spread Quote adapter. More...
 
class  ReplicatingVarianceSwapEngine
 Variance-swap pricing engine using replicating cost,. More...
 
struct  Replication
 Digital option replication strategy. More...
 
struct  Restructuring
 Restructuring type. More...
 
class  RichardsonExtrapolation
 Richardson Extrapolation. More...
 
class  Ridder
 Ridder 1-D solver More...
 
class  RiskNeutralDensityCalculator
 
class  RiskyAssetSwap
 Risky asset-swap instrument. More...
 
class  RiskyAssetSwapOption
 Option on risky asset swap More...
 
class  RiskyBond
 
class  RiskyFixedBond
 
class  RiskyFloatingBond
 
class  Robor
 ROBOR rate More...
 
class  ROLCurrency
 Romanian leu. More...
 
class  Romania
 Romanian calendars. More...
 
class  RONCurrency
 Romanian new leu. More...
 
class  Rounding
 basic rounding class More...
 
class  RUBCurrency
 Russian ruble. More...
 
class  Russia
 Russian calendars. More...
 
class  SABR
 SABR interpolation factory and traits More...
 
class  SabrInterpolatedSmileSection
 
class  SABRInterpolation
 SABR smile interpolation between discrete volatility points. More...
 
class  SabrSmileSection
 
class  SabrVolSurface
 SABR volatility (smile) surface. More...
 
class  SABRVolTermStructure
 
class  SaddlePointLossModel
 Saddle point portfolio credit default loss model. More...
 
struct  SalvagingAlgorithm
 algorithm used for matricial pseudo square root More...
 
struct  Sample
 weighted sample More...
 
class  SampledCurve
 This class contains a sampled curve. More...
 
class  SamplerCauchy
 Cauchy Sampler. More...
 
class  SamplerGaussian
 Gaussian Sampler. More...
 
class  SamplerLogNormal
 Lognormal Sampler. More...
 
class  SamplerMirrorGaussian
 Gaussian Mirror Sampler. More...
 
class  SamplerRingGaussian
 Gaussian Ring Sampler. More...
 
class  SamplerVeryFastAnnealing
 Very Fast Annealing Sampler. More...
 
class  SARCurrency
 Saudi riyal. More...
 
class  SaudiArabia
 Saudi Arabian calendar. More...
 
class  SavedSettings
 
class  Schedule
 Payment schedule. More...
 
class  Seasonality
 A transformation of an existing inflation swap rate. More...
 
class  Secant
 Secant 1-D solver More...
 
class  SecondDerivativeOp
 
class  SecondOrderMixedDerivativeOp
 
class  SeedGenerator
 Random seed generator. More...
 
class  SegmentIntegral
 Integral of a one-dimensional function. More...
 
class  SEKCurrency
 Swedish krona. More...
 
class  SEKLibor
 SEK LIBOR rate More...
 
class  Settings
 global repository for run-time library settings More...
 
struct  Settlement
 settlement information More...
 
class  SGDCurrency
 Singapore dollar More...
 
class  Shibor
 
class  ShortRateModel
 Abstract short-rate model class. More...
 
class  ShoutCondition
 Shout option condition. More...
 
struct  simEvent
 
struct  simEvent< RandomDefaultLM< copulaPolicy, USNG > >
 
struct  simEvent< RandomLossLM< copulaPolicy, USNG > >
 
class  SimpleCashFlow
 Predetermined cash flow. More...
 
class  SimpleChooserOption
 Simple chooser option. More...
 
class  SimpleDayCounter
 Simple day counter for reproducing theoretical calculations. More...
 
class  SimpleLocalEstimator
 Local-estimator volatility model. More...
 
class  SimplePolynomialFitting
 Simple polynomial fitting method. More...
 
class  SimpleQuote
 market element returning a stored value More...
 
class  SimpleRandomInertia
 Simple Random Inertia. More...
 
class  Simplex
 Multi-dimensional simplex class. More...
 
struct  SimpleZeroYield
 Simple Zero-curve traits. More...
 
class  SimpsonIntegral
 Integral of a one-dimensional function. More...
 
class  SimulatedAnnealing
 Simulated Annealing. More...
 
class  Singapore
 Singapore calendars More...
 
class  SingleProductComposite
 Composition of one or more market-model products. More...
 
class  Singleton
 Basic support for the singleton pattern. More...
 
struct  SingleVariate
 default Monte Carlo traits for single-variate models More...
 
class  SITCurrency
 Slovenian tolar. More...
 
class  SKKCurrency
 Slovak koruna. More...
 
class  Slovakia
 Slovak calendars. More...
 
class  SmileSection
 interest rate volatility smile section More...
 
class  SmileSectionUtils
 
class  SMMDriftCalculator
 Drift computation for coterminal swap market models. More...
 
class  SobolBrownianBridgeRsg
 
class  SobolBrownianGenerator
 Sobol Brownian generator for market-model simulations. More...
 
class  SobolBrownianGeneratorFactory
 
class  SobolRsg
 Sobol low-discrepancy sequence generator. More...
 
class  Sofr
 Sofr (Secured Overnight Financing Rate) index. More...
 
class  SofrFutureRateHelper
 RateHelper for bootstrapping over CME SOFR futures. More...
 
class  SoftCallability
 callability leaving to the holder the possibility to convert More...
 
class  Solver1D
 Base class for 1-D solvers. More...
 
class  Sonia
 Sonia (Sterling Overnight Index Average) rate. More...
 
class  SouthAfrica
 South-African calendar. More...
 
class  SouthKorea
 South Korean calendars. More...
 
class  SparseILUPreconditioner
 
class  SphereCylinderOptimizer
 
class  SpotRecoveryLatentModel
 Random spot recovery rate latent variable portfolio model. More...
 
class  SpreadBasketPayoff
 
class  SpreadCdsHelper
 Spread-quoted CDS hazard rate bootstrap helper. More...
 
class  SpreadedHazardRateCurve
 Default-probability structure with an additive spread on hazard rates. More...
 
class  SpreadedOptionletVolatility
 
class  SpreadedSmileSection
 
class  SpreadedSwaptionVolatility
 
class  SpreadFittingMethod
 Spread fitting method helper. More...
 
class  SpreadOption
 Spread option on two assets. More...
 
class  square
 
class  SquareRootAndersen
 
class  SquareRootCLVModel
 
class  SquareRootProcess
 Square-root process class. More...
 
class  SquareRootProcessRNDCalculator
 
class  StatsHolder
 Helper class for precomputed distributions. More...
 
class  SteepestDescent
 Multi-dimensional steepest-descent class. More...
 
class  step_iterator
 Iterator advancing in constant steps. More...
 
class  StepCondition
 condition to be applied at every time step More...
 
class  StepConditionSet
 Parallel evolver for multiple arrays. More...
 
class  StickyMaxPayoff
 StickyMax payoff (double option) More...
 
class  StickyMinPayoff
 StickyMin payoff (double option) More...
 
class  StickyPayoff
 Sticky payoff (single option) More...
 
class  StochasticCollocationInvCDF
 Stochastic collocation inverse cumulative distribution function. More...
 
class  StochasticProcess
 multi-dimensional stochastic process class. More...
 
class  StochasticProcess1D
 1-dimensional stochastic process More...
 
class  StochasticProcessArray
 Array of correlated 1-D stochastic processes More...
 
class  Stock
 Simple stock class. More...
 
class  StrikedTypePayoff
 Intermediate class for payoffs based on a fixed strike. More...
 
class  StrippedCappedFlooredCoupon
 
class  StrippedCappedFlooredCouponLeg
 
class  StrippedOptionlet
 
class  StrippedOptionletAdapter
 
class  StrippedOptionletBase
 
class  StudentDistribution
 Student t-distribution. More...
 
class  StulzEngine
 Pricing engine for 2D European Baskets. More...
 
class  SubPeriodsCoupon
 sub-periods coupon More...
 
class  SubPeriodsLeg
 helper class building a sequence of overnight coupons More...
 
class  SubPeriodsPricer
 
class  subtract
 
class  subtract_from
 
class  SuperFundPayoff
 Binary supershare and superfund payoffs. More...
 
class  SuperSharePayoff
 Binary supershare payoff. More...
 
struct  SurvivalProbability
 Survival-Probability-curve traits. More...
 
class  SurvivalProbabilityStructure
 Hazard-rate term structure. More...
 
class  SVD
 Singular value decomposition. More...
 
class  SVDDFwdRatePc
 
class  SvenssonFitting
 Svensson Fitting method. More...
 
class  Svi
 Svi interpolation factory and traits More...
 
class  SviInterpolatedSmileSection
 
class  SviInterpolation
 Svi smile interpolation between discrete volatility points. More...
 
class  SviSmileSection
 
class  Swap
 Interest rate swap. More...
 
class  SwapBasisSystem
 
class  SwapCashFlows
 
class  SwapForwardBasisSystem
 
class  SwapForwardMappings
 
class  SwapIndex
 base class for swap-rate indexes More...
 
class  SwapRateHelper
 Rate helper for bootstrapping over swap rates. More...
 
class  SwapRateTrigger
 
class  SwapSpreadIndex
 class for swap-rate spread indexes More...
 
class  Swaption
 Swaption class More...
 
class  SwaptionCashFlows
 
class  SwaptionHelper
 calibration helper for ATM swaption More...
 
class  SwaptionPseudoDerivative
 
class  SwaptionVolatilityCube
 swaption-volatility cube More...
 
class  SwaptionVolatilityDiscrete
 
class  SwaptionVolatilityMatrix
 At-the-money swaption-volatility matrix. More...
 
class  SwaptionVolatilityStructure
 Swaption-volatility structure More...
 
class  SwaptionVolCube1x
 
class  SwaptionVolCube2
 
struct  SwaptionVolCubeNoArbSabrModel
 
struct  SwaptionVolCubeSabrModel
 
class  Sweden
 Swedish calendar. More...
 
class  SwingExercise
 Swing exercise. More...
 
class  Switzerland
 Swiss calendar. More...
 
class  SymmetricSchurDecomposition
 symmetric threshold Jacobi algorithm. More...
 
class  SyntheticCDO
 Synthetic Collateralized Debt Obligation. More...
 
class  TabulatedGaussLegendre
 tabulated Gauss-Legendre quadratures More...
 
class  Taiwan
 Taiwanese calendars. More...
 
class  TARGET
 TARGET calendar More...
 
class  TCopulaPolicy
 Student-T Latent Model's copula policy. More...
 
class  TemperatureBoltzmann
 Temperature Boltzmann. More...
 
class  TemperatureCauchy
 Temperature Cauchy. More...
 
class  TemperatureCauchy1D
 
class  TemperatureExponential
 
class  TemperatureVeryFastAnnealing
 Temperature Very Fast Annealing. More...
 
class  TenorOptionletVTS
 
class  TenorSwaptionVTS
 
class  TermStructure
 Basic term-structure functionality. More...
 
class  TermStructureConsistentModel
 Term-structure consistent model class. More...
 
class  TermStructureFittingParameter
 Deterministic time-dependent parameter used for yield-curve fitting. More...
 
class  Thailand
 Thailand calendars More...
 
class  THBCurrency
 Thai baht. More...
 
class  THBFIX
 THB THBFIX rate More...
 
class  Thirty360
 30/360 day count convention More...
 
class  Thirty365
 30/365 day count convention More...
 
class  Tian
 Tian tree: third moment matching, multiplicative approach More...
 
class  Tibor
 JPY TIBOR index More...
 
class  TimeBasket
 Distribution over a number of dates. More...
 
class  TimeGrid
 time grid class More...
 
class  TimeHomogeneousForwardCorrelation
 
class  TimeSeries
 Container for historical data. More...
 
class  TokyoKilolitreUnitOfMeasure
 
class  TqrEigenDecomposition
 tridiag. QR eigen decomposition with explicite shift aka Wilkinson More...
 
class  TransformedGrid
 transformed grid More...
 
class  TrapezoidIntegral
 Integral of a one-dimensional function. More...
 
class  TRBDF2
 TR-BDF2 scheme for finite difference methods. More...
 
class  TrBDF2Scheme
 
class  Tree
 Tree approximating a single-factor diffusion More...
 
class  TreeCallableFixedRateBondEngine
 Numerical lattice engine for callable fixed rate bonds. More...
 
class  TreeCallableZeroCouponBondEngine
 Numerical lattice engine for callable zero coupon bonds. More...
 
class  TreeCapFloorEngine
 Numerical lattice engine for cap/floors. More...
 
class  TreeLattice
 Tree-based lattice-method base class. More...
 
class  TreeLattice1D
 One-dimensional tree-based lattice. More...
 
class  TreeLattice2D
 Two-dimensional tree-based lattice. More...
 
class  TreeSwaptionEngine
 Numerical lattice engine for swaptions. More...
 
class  TreeVanillaSwapEngine
 Numerical lattice engine for simple swaps. More...
 
class  TridiagonalOperator
 Base implementation for tridiagonal operator. More...
 
class  Trigeorgis
 Trigeorgis (additive equal jumps) binomial tree More...
 
class  TriggeredSwapExercise
 
class  TrinomialTree
 Recombining trinomial tree class. More...
 
class  TripleBandLinearOp
 
class  TrivialInertia
 Trivial Inertia. More...
 
class  TRLCurrency
 Turkish lira. More...
 
class  TRLibor
 TRY LIBOR rate More...
 
class  TRYCurrency
 New Turkish lira. More...
 
class  TsiveriotisFernandesLattice
 Binomial lattice approximating the Tsiveriotis-Fernandes model. More...
 
class  TTDCurrency
 Trinidad & Tobago dollar. More...
 
class  Turkey
 Turkish calendar. More...
 
class  TWDCurrency
 Taiwan dollar More...
 
class  TwoAssetBarrierOption
 Barrier option on two assets More...
 
class  TwoAssetCorrelationOption
 
class  TwoDimensionalIntegral
 Integral of a two-dimensional function. More...
 
class  TwoFactorModel
 Abstract base-class for two-factor models. More...
 
class  TypePayoff
 Intermediate class for put/call payoffs. More...
 
class  UAHCurrency
 Ukrainian hryvnia. More...
 
class  Ukraine
 Ukrainian calendars. More...
 
class  UKRegion
 United Kingdom as geographical/economic region. More...
 
class  UKRPI
 UK Retail Price Inflation Index. More...
 
class  UltimateForwardTermStructure
 Ultimate forward term structure. More...
 
class  Uniform1dMesher
 
class  UniformGridMesher
 
class  UnitDisplacedBlackYoYInflationCouponPricer
 Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More...
 
class  UnitedKingdom
 United Kingdom calendars. More...
 
class  UnitedStates
 United States calendars. More...
 
class  UnitOfMeasure
 Unit of measure specification More...
 
class  UnitOfMeasureConversion
 
class  UnitOfMeasureConversionManager
 repository of conversion factors between units of measure More...
 
class  UpfrontCdsHelper
 Upfront-quoted CDS hazard rate bootstrap helper. More...
 
class  UpperBoundEngine
 Market-model engine for upper-bound estimation. More...
 
class  UpRounding
 Up-rounding. More...
 
class  USCPI
 US CPI index. More...
 
class  USDCurrency
 U.S. dollar. More...
 
class  USDLibor
 USD LIBOR rate More...
 
class  USDLiborON
 Overnight USD Libor index. More...
 
class  UsdLiborSwapIsdaFixAm
 UsdLiborSwapIsdaFixAm index base class More...
 
class  UsdLiborSwapIsdaFixPm
 UsdLiborSwapIsdaFixPm index base class More...
 
class  USRegion
 USA as geographical/economic region. More...
 
class  VanillaForwardPayoff
 
class  VanillaOption
 Vanilla option (no discrete dividends, no barriers) on a single asset. More...
 
class  VanillaOptionPricer
 
class  VanillaStorageOption
 base option class More...
 
class  VanillaSwap
 Plain-vanilla swap: fix vs floating leg. More...
 
class  VanillaSwingOption
 base option class More...
 
class  VanillaVPPOption
 
class  VannaVolga
 VannaVolga-interpolation factory and traits More...
 
class  VannaVolgaBarrierEngine
 Vanna Volga barrier option engine. More...
 
class  VannaVolgaDoubleBarrierEngine
 Vanna Volga double-barrier option engine. More...
 
class  VannaVolgaInterpolation
 Vanna Volga interpolation between discrete points More...
 
class  VarianceGammaEngine
 Variance Gamma Pricing engine for European vanilla options using integral approach. More...
 
class  VarianceGammaModel
 Variance Gamma model. More...
 
class  VarianceGammaProcess
 Variance gamma process. More...
 
class  VarianceOption
 Variance option. More...
 
class  VariancePathPricer
 
class  VarianceSwap
 Variance swap. More...
 
class  Vasicek
 Vasicek model class More...
 
class  VEBCurrency
 Venezuelan bolivar. More...
 
class  VegaBumpCluster
 
class  VegaBumpCollection
 
class  VegaStressedBlackScholesProcess
 Black-Scholes process which supports local vega stress tests. More...
 
class  Visitor
 Visitor for a specific class More...
 
class  VNDCurrency
 Vietnamese Dong. More...
 
class  VolatilityBumpInstrumentJacobian
 
class  VolatilityCompositor
 
class  VolatilityCube
 
class  VolatilityInterpolationSpecifier
 
class  VolatilityInterpolationSpecifierabcd
 
class  VolatilityTermStructure
 Volatility term structure. More...
 
class  WeekendsOnly
 Weekends-only calendar. More...
 
class  Wibor
 WIBOR rate More...
 
class  WriterExtensibleOption
 Writer-extensible option. More...
 
class  WulinYongDoubleBarrierEngine
 Pricing engine for barrier options using analytical formulae. More...
 
class  XRPCurrency
 Ripple. More...
 
class  YearOnYearInflationSwap
 Year-on-year inflation-indexed swap. More...
 
class  YearOnYearInflationSwapHelper
 Year-on-year inflation-swap bootstrap helper. More...
 
class  YieldTermStructure
 Interest-rate term structure. More...
 
class  YoYCapFloorTermPriceSurface
 Abstract base class, inheriting from InflationTermStructure. More...
 
class  YoYInflationBachelierCapFloorEngine
 Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
 
class  YoYInflationBlackCapFloorEngine
 Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
 
class  YoYInflationCap
 Concrete YoY Inflation cap class. More...
 
class  YoYInflationCapFloor
 Base class for yoy inflation cap-like instruments. More...
 
class  YoYInflationCapFloorEngine
 Base YoY inflation cap/floor engine. More...
 
class  YoYInflationCollar
 Concrete YoY Inflation collar class. More...
 
class  YoYInflationCoupon
 Coupon paying a YoY-inflation type index More...
 
class  YoYInflationCouponPricer
 base pricer for capped/floored YoY inflation coupons More...
 
class  YoYInflationFloor
 Concrete YoY Inflation floor class. More...
 
class  YoYInflationIndex
 Base class for year-on-year inflation indices. More...
 
class  yoyInflationLeg
 
class  YoYInflationTermStructure
 Base class for year-on-year inflation term structures. More...
 
class  YoYInflationTraits
 Bootstrap traits to use for PiecewiseZeroInflationCurve. More...
 
class  YoYInflationUnitDisplacedBlackCapFloorEngine
 Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
 
class  YoYInflationVolatilityTraits
 traits for inflation-volatility bootstrap More...
 
class  YoYOptionletHelper
 Year-on-year inflation-volatility bootstrap helper. More...
 
class  YoYOptionletStripper
 Interface for inflation cap stripping, i.e. from price surfaces. More...
 
class  YoYOptionletVolatilitySurface
 
class  YYAUCPI
 Genuine year-on-year AU CPI (i.e. not a ratio) More...
 
class  YYAUCPIr
 Fake year-on-year AUCPI (i.e. a ratio) More...
 
class  YYEUHICP
 Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) More...
 
class  YYEUHICPr
 Fake year-on-year EU HICP (i.e. a ratio of EU HICP) More...
 
class  YYEUHICPXT
 Genuine year-on-year EU HICPXT. More...
 
class  YYFRHICP
 Genuine year-on-year FR HICP (i.e. not a ratio) More...
 
class  YYFRHICPr
 Fake year-on-year FR HICP (i.e. a ratio) More...
 
class  YYGenericCPI
 Genuine year-on-year Generic CPI (i.e. not a ratio) More...
 
class  YYGenericCPIr
 Fake year-on-year GenericCPI (i.e. a ratio) More...
 
class  YYUKRPI
 Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) More...
 
class  YYUKRPIr
 Fake year-on-year UK RPI (i.e. a ratio of UK RPI) More...
 
class  YYUSCPI
 Genuine year-on-year US CPI (i.e. not a ratio of US CPI) More...
 
class  YYUSCPIr
 Fake year-on-year US CPI (i.e. a ratio of US CPI) More...
 
class  YYZACPI
 Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI) More...
 
class  YYZACPIr
 Fake year-on-year South African CPI (i.e. a ratio of ZA CPI) More...
 
class  Zabr
 no arbtrage sabr interpolation factory and traits More...
 
struct  ZabrFullFd
 
class  ZabrInterpolatedSmileSection
 
class  ZabrInterpolation
 zabr smile interpolation between discrete volatility points. More...
 
struct  ZabrLocalVolatility
 
class  ZabrModel
 
struct  ZabrShortMaturityLognormal
 
struct  ZabrShortMaturityNormal
 
class  ZabrSmileSection
 
class  ZACPI
 South African Comsumer Price Inflation Index. More...
 
class  ZARCurrency
 South-African rand. More...
 
class  ZARegion
 South Africa as geographical/economic region. More...
 
class  ZECCurrency
 Zcash. More...
 
class  ZeroCondition
 Zero exercise condition. More...
 
class  ZeroCouponBond
 zero-coupon bond More...
 
class  ZeroCouponInflationSwap
 Zero-coupon inflation-indexed swap. More...
 
class  ZeroCouponInflationSwapHelper
 Zero-coupon inflation-swap bootstrap helper. More...
 
class  ZeroInflationIndex
 Base class for zero inflation indices. More...
 
class  ZeroInflationTermStructure
 Interface for zero inflation term structures. More...
 
class  ZeroInflationTraits
 Bootstrap traits to use for PiecewiseZeroInflationCurve. More...
 
class  ZeroSpreadedTermStructure
 Term structure with an added spread on the zero yield rate. More...
 
struct  ZeroYield
 Zero-curve traits. More...
 
class  ZeroYieldStructure
 Zero-yield term structure. More...
 
class  Zibor
 CHF ZIBOR rate More...
 
struct  Ziggurat
 
class  ZigguratRng
 Ziggurat random-number generator. More...
 

Typedefs

typedef std::vector< ext::shared_ptr< CashFlow > > Leg
 Sequence of cash-flows. More...
 
typedef TenorOptionletVTS::CorrelationStructure TenorOptionletVTSCorrelationStructure
 
typedef std::map< std::string, boost::any > SecondaryCosts
 
typedef std::map< std::string, MoneySecondaryCostAmounts
 
typedef std::vector< PricingErrorPricingErrors
 
typedef std::map< Date, ext::shared_ptr< CommodityCashFlow > > CommodityCashFlows
 
typedef std::map< Date, EnergyDailyPositionEnergyDailyPositions
 
typedef std::map< Date, ExchangeContractExchangeContracts
 
typedef std::vector< ext::shared_ptr< PricingPeriod > > PricingPeriods
 
typedef BaseCorrelationLossModel< GaussianLHPLossModel, BilinearInterpolationGaussianLHPFlatBCLM
 
typedef BinomialLossModel< GaussianConstantLossLMGaussianBinomialLossModel
 
typedef BinomialLossModel< TConstantLossLMTBinomialLossModel
 
typedef ConstantLossLatentmodel< GaussianCopulaPolicyGaussianConstantLossLM
 
typedef ConstantLossLatentmodel< TCopulaPolicyTConstantLossLM
 
typedef DefaultLatentModel< GaussianCopulaPolicyGaussianDefProbLM
 
typedef DefaultLatentModel< TCopulaPolicyTDefProbLM
 
typedef HomogeneousPoolLossModel< GaussianCopulaPolicyHomogGaussPoolLossModel
 
typedef HomogeneousPoolLossModel< TCopulaPolicyHomogTPoolLossModel
 
typedef InhomogeneousPoolLossModel< GaussianCopulaPolicyIHGaussPoolLossModel
 
typedef InhomogeneousPoolLossModel< TCopulaPolicyIHStudentPoolLossModel
 
typedef std::set< ext::shared_ptr< DefaultEvent >, earlier_than< ext::shared_ptr< DefaultEvent > > > DefaultEventSet
 
typedef RandomDefaultLM< GaussianCopulaPolicyGaussianRandomDefaultLM
 
typedef RandomDefaultLM< TCopulaPolicyTRandomDefaultLM
 
typedef RandomLossLM< GaussianCopulaPolicyGaussianRandomLossLM
 
typedef RandomLossLM< TCopulaPolicyTRandomLossLM
 
typedef RecursiveLossModel< GaussianCopulaPolicyRecursiveGaussLossModel
 
typedef SpotRecoveryLatentModel< GaussianCopulaPolicyGaussianSpotLossLM
 
typedef SpotRecoveryLatentModel< TCopulaPolicyTSpotLossLM
 
typedef HybridSimulatedAnnealing< SamplerGaussian, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingTrivialGaussianSimulatedAnnealing
 
typedef HybridSimulatedAnnealing< SamplerLogNormal, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingTrivialLogNormalSimulatedAnnealing
 
typedef HybridSimulatedAnnealing< SamplerMirrorGaussian, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingTrivialMirrorGaussianSimulatedAnnealing
 
typedef HybridSimulatedAnnealing< SamplerGaussian, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingFiniteDifferencesGaussianSimulatedReAnnealing
 
typedef HybridSimulatedAnnealing< SamplerVeryFastAnnealing, ProbabilityBoltzmannDownhill, TemperatureVeryFastAnnealing, ReannealingTrivialVeryFastSimulatedAnnealing
 
typedef HybridSimulatedAnnealing< SamplerVeryFastAnnealing, ProbabilityBoltzmannDownhill, TemperatureVeryFastAnnealing, ReannealingFiniteDifferencesVeryFastSimulatedReAnnealing
 
typedef SwaptionVolCube1x< SwaptionVolCubeNoArbSabrModelSwaptionVolCube1a
 
typedef std::vector< ext::shared_ptr< Callability > > CallabilitySchedule
 
typedef std::vector< ext::shared_ptr< Dividend > > DividendSchedule
 
typedef BivariateCumulativeNormalDistributionWe04DP BivariateCumulativeNormalDistribution
 default bivariate implementation More...
 
typedef NormalDistribution GaussianDistribution
 
typedef InverseCumulativeNormal InvCumulativeNormalDistribution
 
typedef detail::SplineGrid SplineGrid
 
typedef boost::numeric::ublas::compressed_matrix< RealSparseMatrix
 
typedef boost::numeric::ublas::matrix_reference< SparseMatrixSparseMatrixReference
 
typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativeNormalPseudoRandom
 default traits for pseudo-random number generation More...
 
typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativePoissonPoissonPseudoRandom
 traits for Poisson-distributed pseudo-random number generation More...
 
typedef GenericLowDiscrepancy< SobolRsg, InverseCumulativeNormalLowDiscrepancy
 default traits for low-discrepancy sequence generation More...
 
typedef SampledCurve SampledCurveSet
 
typedef GenericGaussianStatistics< GeneralStatisticsGaussianStatistics
 default gaussian statistic tool More...
 
typedef GenericRiskStatistics< GaussianStatisticsRiskStatistics
 default risk measures tool More...
 
typedef GenericSequenceStatistics< StatisticsSequenceStatistics
 default multi-dimensional statistics tool More...
 
typedef GenericSequenceStatistics< IncrementalStatisticsSequenceStatisticsInc
 
typedef RiskStatistics Statistics
 default statistics tool More...
 
typedef PdeOperator< PdeBSMBSMTermOperator
 Black-Scholes-Merton differential operator. More...
 
typedef FiniteDifferenceModel< CrankNicolson< TridiagonalOperator > > StandardFiniteDifferenceModel
 default choice for finite-difference model More...
 
typedef FiniteDifferenceModel< ParallelEvolver< CrankNicolson< TridiagonalOperator > > > StandardSystemFiniteDifferenceModel
 default choice for parallel finite-difference model More...
 
typedef StepCondition< ArrayStandardStepCondition
 default choice for step condition More...
 
typedef OperatorTraits< FdmLinearOp >::bc_set FdmBoundaryConditionSet
 
typedef MarketModelMultiProduct::CashFlow CashFlow
 
typedef Integer ThreadKey
 
typedef BootstrapHelper< DefaultProbabilityTermStructureDefaultProbabilityHelper
 alias for default-probability bootstrap helpers More...
 
typedef RelativeDateBootstrapHelper< DefaultProbabilityTermStructureRelativeDateDefaultProbabilityHelper
 
typedef InterpolatedYoYInflationCurve< LinearYoYInflationCurve
 
typedef InterpolatedZeroInflationCurve< LinearZeroInflationCurve
 
typedef SwaptionVolCube1x< SwaptionVolCubeSabrModelSwaptionVolCube1
 
typedef InterpolatedDiscountCurve< LogLinearDiscountCurve
 Term structure based on log-linear interpolation of discount factors. More...
 
typedef InterpolatedForwardCurve< BackwardFlatForwardCurve
 Term structure based on flat interpolation of forward rates. More...
 
typedef InterpolatedPiecewiseZeroSpreadedTermStructure< LinearPiecewiseZeroSpreadedTermStructure
 Piecewise zero-spreaded yield curve based on linear interpolation of zero rates. More...
 
typedef BootstrapHelper< YieldTermStructureRateHelper
 
typedef RelativeDateBootstrapHelper< YieldTermStructureRelativeDateRateHelper
 
typedef InterpolatedZeroCurve< LinearZeroCurve
 Term structure based on linear interpolation of zero yields. More...
 
typedef Integer Day
 Day number. More...
 
typedef Integer Year
 Year number. More...
 
typedef QL_INTEGER Integer
 integer number More...
 
typedef QL_BIG_INTEGER BigInteger
 large integer number More...
 
typedef unsigned QL_INTEGER Natural
 positive integer More...
 
typedef unsigned QL_BIG_INTEGER BigNatural
 large positive integer More...
 
typedef QL_REAL Real
 real number More...
 
typedef Real Decimal
 decimal number More...
 
typedef std::size_t Size
 size of a container More...
 
typedef Real Time
 continuous quantity with 1-year units More...
 
typedef Real DiscountFactor
 discount factor between dates More...
 
typedef Real Rate
 interest rates More...
 
typedef Real Spread
 spreads on interest rates More...
 
typedef Real Volatility
 volatility More...
 
typedef Real Probability
 probability More...
 
template<class T >
using Disposable = T
 

Enumerations

enum  Compounding {
  Simple = 0, Compounded = 1, Continuous = 2, SimpleThenCompounded,
  CompoundedThenSimple
}
 Interest rate coumpounding rule. More...
 
enum  Seniority {
  SecDom = 0, SnrFor, SubLT2, JrSubT2,
  PrefT1, NoSeniority, SeniorSec = SecDom, SeniorUnSec = SnrFor,
  SubTier1 = PrefT1, SubUpperTier2 = JrSubT2, SubLoweTier2 = SubLT2
}
 Seniority of a bond. More...
 
enum  SensitivityAnalysis { OneSide, Centered }
 Finite differences calculation. More...
 
enum  PriceType {
  Bid, Ask, Last, Close,
  Mid, MidEquivalent, MidSafe
}
 Price types. More...
 
enum  VolatilityType { ShiftedLognormal, Normal }
 
enum  BusinessDayConvention {
  Following, ModifiedFollowing, Preceding, ModifiedPreceding,
  Unadjusted, HalfMonthModifiedFollowing, Nearest
}
 Business Day conventions. More...
 
enum  JointCalendarRule { JoinHolidays, JoinBusinessDays }
 rules for joining calendars More...
 
enum  Month {
  January = 1, February = 2, March = 3, April = 4,
  May = 5, June = 6, July = 7, August = 8,
  September = 9, October = 10, November = 11, December = 12,
  Jan = 1, Feb = 2, Mar = 3, Apr = 4,
  Jun = 6, Jul = 7, Aug = 8, Sep = 9,
  Oct = 10, Nov = 11, Dec = 12
}
 Month names. More...
 
enum  Frequency {
  NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2,
  EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12,
  EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365,
  OtherFrequency = 999
}
 Frequency of events. More...
 
enum  TimeUnit {
  Days, Weeks, Months, Years,
  Hours, Minutes, Seconds, Milliseconds,
  Microseconds
}
 Units used to describe time periods. More...
 
enum  Weekday {
  Sunday = 1, Monday = 2, Tuesday = 3, Wednesday = 4,
  Thursday = 5, Friday = 6, Saturday = 7, Sun = 1,
  Mon = 2, Tue = 3, Wed = 4, Thu = 5,
  Fri = 6, Sat = 7
}
 

Functions

template<typename InterestRateIndexType , typename FloatingCouponType , typename CappedFlooredCouponType >
Leg FloatingLeg (const Schedule &schedule, const std::vector< Real > &nominals, const ext::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero, Natural paymentLag=0, Calendar paymentCalendar=Calendar(), Period exCouponPeriod=Period(), Calendar exCouponCalendar=Calendar(), BusinessDayConvention exCouponAdjustment=Unadjusted, bool exCouponEndOfMonth=false)
 
template<typename InterestRateIndexType , typename FloatingCouponType , typename DigitalCouponType >
Leg FloatingDigitalLeg (const Schedule &schedule, const std::vector< Real > &nominals, const ext::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const ext::shared_ptr< DigitalReplication > &replication, bool nakedOption=false)
 
std::ostream & operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type)
 
void setCouponPricer (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &pricer)
 
void setCouponPricers (const Leg &leg, const std::vector< ext::shared_ptr< FloatingRateCouponPricer > > &pricers)
 
void setCouponPricers (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &p1, const ext::shared_ptr< FloatingRateCouponPricer > &p2)
 
void setCouponPricers (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &p1, const ext::shared_ptr< FloatingRateCouponPricer > &p2, const ext::shared_ptr< FloatingRateCouponPricer > &p3)
 
void setCouponPricers (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &p1, const ext::shared_ptr< FloatingRateCouponPricer > &p2, const ext::shared_ptr< FloatingRateCouponPricer > &p3, const ext::shared_ptr< FloatingRateCouponPricer > &p4)
 
std::vector< ext::shared_ptr< Dividend > > DividendVector (const std::vector< Date > &dividendDates, const std::vector< Real > &dividends)
 helper function building a sequence of fixed dividends More...
 
std::ostream & operator<< (std::ostream &out, Duration::Type d)
 
void setCouponPricer (const Leg &leg, const ext::shared_ptr< InflationCouponPricer > &p)
 
std::ostream & operator<< (std::ostream &out, Replication::Type r)
 
std::ostream & operator<< (std::ostream &out, const Currency &c)
 
bool operator== (const Currency &c1, const Currency &c2)
 
bool operator!= (const Currency &c1, const Currency &c2)
 
std::ostream & operator<< (std::ostream &out, DoubleBarrier::Type type)
 
std::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts)
 
std::ostream & operator<< (std::ostream &out, const PricingError &error)
 
std::ostream & operator<< (std::ostream &out, const PricingErrors &errors)
 
std::ostream & operator<< (std::ostream &out, const CommodityCashFlows &cashFlows)
 
std::ostream & operator<< (std::ostream &out, const CommodityCurve &curve)
 
bool operator== (const CommodityCurve &c1, const CommodityCurve &c2)
 
std::ostream & operator<< (std::ostream &out, const CommodityIndex &index)
 
bool operator== (const CommodityIndex &i1, const CommodityIndex &i2)
 
std::ostream & operator<< (std::ostream &out, const CommodityType &c)
 
bool operator== (const CommodityType &c1, const CommodityType &c2)
 
bool operator!= (const CommodityType &c1, const CommodityType &c2)
 
std::ostream & operator<< (std::ostream &out, const CommodityUnitCost &unitCost)
 
std::ostream & operator<< (std::ostream &out, const DateInterval &di)
 
std::ostream & operator<< (std::ostream &out, const EnergyDailyPositions &dailyPositions)
 
std::ostream & operator<< (std::ostream &out, const PaymentTerm &c)
 
bool operator== (const PaymentTerm &c1, const PaymentTerm &c2)
 
bool operator!= (const PaymentTerm &c1, const PaymentTerm &c2)
 
Real operator/ (const Quantity &m1, const Quantity &m2)
 
bool operator== (const Quantity &m1, const Quantity &m2)
 
bool operator< (const Quantity &m1, const Quantity &m2)
 
bool operator<= (const Quantity &m1, const Quantity &m2)
 
bool close (const Quantity &m1, const Quantity &m2, Size n)
 
bool close_enough (const Quantity &m1, const Quantity &m2, Size n)
 
std::ostream & operator<< (std::ostream &out, const Quantity &quantity)
 
Quantity operator+ (const Quantity &m1, const Quantity &m2)
 
Quantity operator- (const Quantity &m1, const Quantity &m2)
 
Quantity operator* (const Quantity &m, Real x)
 
Quantity operator* (Real x, const Quantity &m)
 
Quantity operator/ (const Quantity &m, Real x)
 
bool operator!= (const Quantity &m1, const Quantity &m2)
 
bool operator> (const Quantity &m1, const Quantity &m2)
 
bool operator>= (const Quantity &m1, const Quantity &m2)
 
std::ostream & operator<< (std::ostream &out, const UnitOfMeasure &c)
 
bool operator== (const UnitOfMeasure &c1, const UnitOfMeasure &c2)
 
bool operator!= (const UnitOfMeasure &c1, const UnitOfMeasure &c2)
 
bool operator== (const DefaultEvent &lhs, const DefaultEvent &rhs)
 
bool operator!= (const DefaultEvent &lhs, const DefaultEvent &rhs)
 
bool operator== (const DefaultProbKey &lhs, const DefaultProbKey &rhs)
 
bool operator== (const DefaultType &lhs, const DefaultType &rhs)
 
bool operator< (const Loss &l1, const Loss &l2)
 
bool operator> (const Loss &l1, const Loss &l2)
 
bool operator== (const