QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes
Financial instruments

Classes

class  DigitalCoupon
 Digital-payoff coupon. More...
 
class  QuantoDoubleBarrierOption
 Quanto version of a double barrier option. More...
 
class  CallableBond
 Callable bond base class. More...
 
class  CallableFixedRateBond
 callable/puttable fixed rate bond More...
 
class  CallableZeroCouponBond
 callable/puttable zero coupon bond More...
 
class  FloatingCatBond
 floating-rate cat bond (possibly capped and/or floored) More...
 
class  Commodity
 Commodity base class. More...
 
class  EnergyCommodity
 Energy commodity class. More...
 
class  EnergyFuture
 Energy future. More...
 
class  PagodaOption
 Roofed Asian option on a number of assets. More...
 
class  TwoAssetBarrierOption
 Barrier option on two assets More...
 
class  IrregularSwaption
 Irregular Swaption class. More...
 
class  VarianceOption
 Variance option. More...
 
class  ContinuousAveragingAsianOption
 Continuous-averaging Asian option. More...
 
class  DiscreteAveragingAsianOption
 Discrete-averaging Asian option. More...
 
class  AssetSwap
 Bullet bond vs Libor swap. More...
 
class  BarrierOption
 Barrier option on a single asset. More...
 
class  BasketOption
 Basket option on a number of assets. More...
 
class  Bond
 Base bond class. More...
 
class  BondForward
 Forward contract on a bond More...
 
class  CCTEU
 
class  BTP
 Italian BTP (Buono Poliennali del Tesoro) fixed rate bond. More...
 
class  CmsRateBond
 CMS-rate bond. More...
 
class  CPIBond
 
class  FixedRateBond
 fixed-rate bond More...
 
class  FloatingRateBond
 floating-rate bond (possibly capped and/or floored) More...
 
class  ZeroCouponBond
 zero-coupon bond More...
 
class  CapFloor
 Base class for cap-like instruments. More...
 
class  Cap
 Concrete cap class. More...
 
class  Floor
 Concrete floor class. More...
 
class  Collar
 Concrete collar class. More...
 
class  CliquetOption
 cliquet (Ratchet) option More...
 
class  CompositeInstrument
 Composite instrument More...
 
class  CompoundOption
 Compound option (i.e., option on option) on a single asset. More...
 
class  CreditDefaultSwap
 Credit default swap. More...
 
class  DoubleBarrierOption
 Double Barrier option on a single asset. More...
 
class  EuropeanOption
 European option on a single asset. More...
 
class  FixedVsFloatingSwap
 Fixed vs floating swap. More...
 
class  FloatFloatSwaption
 floatfloat swaption class More...
 
class  Forward
 Abstract base forward class. More...
 
class  ForwardRateAgreement
 Forward rate agreement (FRA) class More...
 
class  ForwardVanillaOption
 Forward version of a vanilla option More...
 
class  YoYInflationCapFloor
 Base class for yoy inflation cap-like instruments. More...
 
class  YoYInflationCap
 Concrete YoY Inflation cap class. More...
 
class  YoYInflationFloor
 Concrete YoY Inflation floor class. More...
 
class  YoYInflationCollar
 Concrete YoY Inflation collar class. More...
 
class  ContinuousFloatingLookbackOption
 Continuous-floating lookback option. More...
 
class  ContinuousFixedLookbackOption
 Continuous-fixed lookback option. More...
 
class  ContinuousPartialFloatingLookbackOption
 Continuous-partial-floating lookback option. More...
 
class  ContinuousPartialFixedLookbackOption
 Continuous-partial-fixed lookback option. More...
 
class  MargrabeOption
 Margrabe option on two assets. More...
 
class  NonstandardSwaption
 nonstandard swaption class More...
 
class  QuantoBarrierOption
 Quanto version of a barrier option. More...
 
class  QuantoForwardVanillaOption
 Quanto version of a forward vanilla option. More...
 
class  QuantoVanillaOption
 quanto version of a vanilla option More...
 
class  Stock
 Simple stock class. More...
 
class  Swap
 Interest rate swap. More...
 
class  Swaption
 Swaption class More...
 
class  VanillaOption
 Vanilla option (no discrete dividends, no barriers) on a single asset. More...
 
class  VanillaSwap
 Plain-vanilla swap: fix vs ibor leg. More...
 
class  VarianceSwap
 Variance swap. More...
 

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