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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | |
| class | VarianceGammaEngine |
| Variance Gamma Pricing engine for European vanilla options using integral approach. 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 | AnalyticBSMHullWhiteEngine |
| analytic european option pricer including stochastic interest rates 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 | AnalyticDividendEuropeanEngine |
| Analytic pricing engine for European options with discrete dividends. More... | |
| class | AnalyticEuropeanEngine |
| Pricing engine for European vanilla options using analytical formulae. More... | |
| class | AnalyticH1HWEngine |
| Analytic Heston-Hull-White engine based on the H1-HW approximation. More... | |
| class | AnalyticHestonEngine |
| analytic Heston-model engine based on Fourier transform More... | |
| class | AnalyticHestonHullWhiteEngine |
| Analytic Heston engine incl. stochastic interest rates. More... | |
| class | AnalyticPTDHestonEngine |
| analytic piecewise constant time dependent Heston-model engine More... | |
| class | BaroneAdesiWhaleyApproximationEngine |
| Barone-Adesi and Whaley pricing engine for American options (1987) More... | |
| class | BatesEngine |
| Bates model engines based on Fourier transform. More... | |
| class | BinomialVanillaEngine< T > |
| Pricing engine for vanilla options using binomial trees. More... | |
| class | BjerksundStenslandApproximationEngine |
| Bjerksund and Stensland pricing engine for American options (1993) More... | |
| class | COSHestonEngine |
| COS-method Heston engine based on efficient Fourier series expansions. More... | |
| class | FdBatesVanillaEngine |
| Partial integro finite-differences Bates vanilla option engine. More... | |
| class | FdBlackScholesVanillaEngine |
| Finite-differences Black Scholes vanilla option engine. More... | |
| class | FdCIRVanillaEngine |
| Finite-differences CIR vanilla option engine. More... | |
| class | FdHestonHullWhiteVanillaEngine |
| Finite-differences Heston Hull-White vanilla option engine. More... | |
| class | FdHestonVanillaEngine |
| Finite-differences Heston vanilla option engine. More... | |
| class | HestonExpansionEngine |
| Heston-model engine for European options based on analytic expansions. More... | |
| class | IntegralEngine |
| Pricing engine for European vanilla options using integral approach. More... | |
| class | JumpDiffusionEngine |
| Jump-diffusion engine for vanilla options. More... | |
| class | JuQuadraticApproximationEngine |
| Pricing engine for American options with Ju quadratic approximation. More... | |
| class | MCAmericanEngine< RNG, S, RNG_Calibration > |
| American Monte Carlo engine. More... | |
| class | MCDigitalEngine< RNG, S > |
| Pricing engine for digital options using Monte Carlo simulation. More... | |
| class | MCEuropeanEngine< RNG, S > |
| European option pricing engine using Monte Carlo simulation. More... | |
| class | MCEuropeanGJRGARCHEngine< RNG, S > |
| Monte Carlo GJR-GARCH-model engine for European options. More... | |
| class | MCEuropeanHestonEngine< RNG, S, P > |
| Monte Carlo Heston-model engine for European options. More... | |
| class | MCVanillaEngine< MC, RNG, S, Inst > |
| Pricing engine for vanilla options using Monte Carlo simulation. More... | |