File List

Here is a list of all files with brief descriptions:

[detail level 123456]

► pages
authors.docs
config.docs
coreclasses.docs
currencies.docs
datetime.docs
engines.docs
examples.docs
findiff.docs
fixedincome.docs
history.docs
index.docs
install.docs
instruments.docs
lattices.docs
license.docs
math.docs
mcarlo.docs
patterns.docs
processes.docs
resources.docs
termstructures.docs
usage.docs
where.docs
► ql
► cashflows
averagebmacoupon.cpp
averagebmacoupon.hpp	Coupon paying a weighted average of BMA-index fixings
capflooredcoupon.cpp
capflooredcoupon.hpp	Floating rate coupon with additional cap/floor
capflooredinflationcoupon.cpp
capflooredinflationcoupon.hpp	Caplet and floorlet pricing for YoY inflation coupons
cashflows.cpp
cashflows.hpp	Cash-flow analysis functions
cashflowvectors.cpp
cashflowvectors.hpp	Cash flow vector builders
cmscoupon.cpp
cmscoupon.hpp	CMS coupon
conundrumpricer.cpp
conundrumpricer.hpp	CMS-coupon pricer
coupon.cpp
coupon.hpp	Coupon accruing over a fixed period
couponpricer.cpp
couponpricer.hpp	Coupon pricers
cpicoupon.cpp
cpicoupon.hpp	Coupon paying a zero-inflation index
cpicouponpricer.cpp
cpicouponpricer.hpp	Zero inflation-coupon pricer
digitalcmscoupon.cpp
digitalcmscoupon.hpp	Cms-rate coupon with digital call/put option
digitalcoupon.cpp
digitalcoupon.hpp	Floating-rate coupon with digital call/put option
digitaliborcoupon.cpp
digitaliborcoupon.hpp	Ibor-rate coupon with digital call/put option
dividend.cpp
dividend.hpp	A stock dividend
duration.cpp
duration.hpp	Duration type enumeration
equitycashflow.cpp
equitycashflow.hpp	Equity cash flow
fixedratecoupon.cpp
fixedratecoupon.hpp	Coupon paying a fixed annual rate
floatingratecoupon.cpp
floatingratecoupon.hpp	Coupon paying a variable index-based rate
iborcoupon.cpp
iborcoupon.hpp	Coupon paying a Libor-type index
indexedcashflow.cpp
indexedcashflow.hpp	Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals)
inflationcoupon.cpp
inflationcoupon.hpp	Coupon paying a variable index-based rate
inflationcouponpricer.cpp
inflationcouponpricer.hpp	Inflation-coupon pricers
lineartsrpricer.cpp
lineartsrpricer.hpp	Linear terminal swap rate model for cms coupon pricing
overnightindexedcoupon.cpp
overnightindexedcoupon.hpp	Coupon paying the compounded daily overnight rate
rangeaccrual.cpp
rangeaccrual.hpp	Range-accrual coupon
rateaveraging.hpp	Rate-averaging method
replication.cpp
replication.hpp	Sub, Central, or Super replication
simplecashflow.cpp
simplecashflow.hpp	Predetermined cash flow
subperiodcoupon.cpp
subperiodcoupon.hpp	Averaging coupons
timebasket.cpp
timebasket.hpp	Distribution over a number of date ranges
yoyinflationcoupon.cpp
yoyinflationcoupon.hpp	Coupon paying a yoy inflation index
zeroinflationcashflow.cpp
zeroinflationcashflow.hpp	Cash flow dependent on an inflation index ratio (NOT a coupon, i.e. no accruals)
► currencies
africa.cpp
africa.hpp	African currencies
america.cpp
america.hpp	American currencies
asia.cpp
asia.hpp	Asian currencies
crypto.cpp
crypto.hpp	Crypto currencies
europe.cpp
europe.hpp	European currencies
exchangeratemanager.cpp
exchangeratemanager.hpp	Exchange-rate repository
oceania.cpp
oceania.hpp	Oceanian currencies
► experimental
► asian
analytic_cont_geom_av_price_heston.cpp
analytic_cont_geom_av_price_heston.hpp	Analytic engine for continuous geometric average price Asian in the Heston model
analytic_discr_geom_av_price_heston.cpp
analytic_discr_geom_av_price_heston.hpp	Analytic engine for discrete geometric average price Asian in the Heston model
► averageois
arithmeticaverageois.cpp
arithmeticaverageois.hpp	Overnight index swap paying arithmetic average of overnight vs. fixed
arithmeticoisratehelper.cpp
arithmeticoisratehelper.hpp	Arithmetic Average Overnight Indexed Swap rate helpers
averageoiscouponpricer.cpp
averageoiscouponpricer.hpp	Pricer for arithmetically-averaged overnight-indexed coupons
makearithmeticaverageois.cpp
makearithmeticaverageois.hpp	Helper class to instantiate overnight indexed swaps
► barrieroption
binomialdoublebarrierengine.hpp	Binomial Double Barrier option engine
discretizeddoublebarrieroption.cpp
discretizeddoublebarrieroption.hpp	Discretized double barrier option
mcdoublebarrierengine.cpp
mcdoublebarrierengine.hpp	Monte Carlo barrier option engines
perturbativebarrieroptionengine.cpp
perturbativebarrieroptionengine.hpp	Perturbative barrier-option engine
quantodoublebarrieroption.cpp
quantodoublebarrieroption.hpp	Quanto version of a double barrier option
suowangdoublebarrierengine.cpp
suowangdoublebarrierengine.hpp	Wulin Suo, Yong Wang double-barrier option engine
vannavolgabarrierengine.cpp
vannavolgabarrierengine.hpp	Vanna/Volga barrier option engine
vannavolgadoublebarrierengine.hpp	Vanna/Volga double-barrier option engine
vannavolgainterpolation.hpp	Vanna/Volga interpolation between discrete points
► basismodels
swaptioncfs.cpp	Translate swaption into deterministic fixed and float cash flows
swaptioncfs.hpp	Translate swaption into deterministic fixed and float cash flows
tenoroptionletvts.cpp	Caplet volatility term structure based on volatility transformation
tenoroptionletvts.hpp	Caplet volatility term structure based on volatility transformation
tenorswaptionvts.cpp	Swaption volatility term structure based on volatility transformation
tenorswaptionvts.hpp	Swaption volatility term structure based on volatility transformation
► callablebonds
blackcallablebondengine.cpp
blackcallablebondengine.hpp	Black-formula callable bond engines
callablebond.cpp
callablebond.hpp	Callable bond classes
callablebondconstantvol.cpp
callablebondconstantvol.hpp	Constant callable-bond volatility
callablebondvolstructure.cpp
callablebondvolstructure.hpp	Callable-bond volatility structure
discretizedcallablefixedratebond.cpp
discretizedcallablefixedratebond.hpp	Discretized callable fixed-rate bond class
treecallablebondengine.cpp
treecallablebondengine.hpp	Numerical lattice engines for callable/puttable bonds
► catbonds
catbond.cpp
catbond.hpp	Cat bond class
catrisk.cpp
catrisk.hpp	Classes that encapsulate catastrophe risk
montecarlocatbondengine.cpp
montecarlocatbondengine.hpp	Monte Carlo pricing engine for cat bonds
riskynotional.cpp
riskynotional.hpp	Classes to track the notional of a cat bond
► commodities
commodity.cpp
commodity.hpp	Commodity base class
commoditycashflow.cpp
commoditycashflow.hpp	Commodity cash flow
commoditycurve.cpp
commoditycurve.hpp	Commodity curve
commodityindex.cpp
commodityindex.hpp	Commodity index
commoditypricinghelpers.cpp
commoditypricinghelpers.hpp	Commodity pricing helpers
commoditysettings.cpp
commoditysettings.hpp	Commodity settings
commoditytype.cpp
commoditytype.hpp	Commodity type
commodityunitcost.cpp
commodityunitcost.hpp	Commodity unit cost
dateinterval.cpp
dateinterval.hpp	Date interval
energybasisswap.cpp
energybasisswap.hpp	Energy basis swap
energycommodity.cpp
energycommodity.hpp	Energy commodity
energyfuture.cpp
energyfuture.hpp	Energy future
energyswap.cpp
energyswap.hpp	Energy swap
energyvanillaswap.cpp
energyvanillaswap.hpp	Vanilla energy swap
exchangecontract.hpp	Exchange contract
paymentterm.cpp
paymentterm.hpp	Payment term
petroleumunitsofmeasure.hpp	Petroleum units of measure
pricingperiod.hpp	Pricing period
quantity.cpp
quantity.hpp	Amount of a commodity
unitofmeasure.cpp
unitofmeasure.hpp	Unit of measure
unitofmeasureconversion.cpp
unitofmeasureconversion.hpp	Unit of measure conversion
unitofmeasureconversionmanager.cpp
unitofmeasureconversionmanager.hpp	Unit-of-measure conversion manager
► coupons
cmsspreadcoupon.cpp
cmsspreadcoupon.hpp	CMS spread coupon
digitalcmsspreadcoupon.cpp
digitalcmsspreadcoupon.hpp	Cms-spread-rate coupon with digital call/put option
lognormalcmsspreadpricer.cpp
lognormalcmsspreadpricer.hpp	Cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998
proxyibor.cpp
proxyibor.hpp	IborIndex calculated as proxy of some other IborIndex
quantocouponpricer.cpp
quantocouponpricer.hpp	Quanto-adjusted coupon
strippedcapflooredcoupon.cpp
strippedcapflooredcoupon.hpp	Strips the embedded option from cap floored coupons
swapspreadindex.cpp
swapspreadindex.hpp	Swap-rate spread indexes
► credit
basecorrelationlossmodel.hpp
basecorrelationstructure.cpp
basecorrelationstructure.hpp
basket.cpp
basket.hpp	Basket of issuers and related notionals
binomiallossmodel.hpp
blackcdsoptionengine.cpp
blackcdsoptionengine.hpp	Black credit default swap option engine
cdo.cpp
cdo.hpp	Collateralized debt obligation
cdsoption.cpp
cdsoption.hpp	CDS option
constantlosslatentmodel.hpp
correlationstructure.cpp
correlationstructure.hpp
defaultevent.cpp
defaultevent.hpp	Classes for default-event description
defaultlossmodel.hpp
defaultprobabilitykey.cpp
defaultprobabilitykey.hpp	Classes for default-event description
defaultprobabilitylatentmodel.hpp
defaulttype.cpp
defaulttype.hpp	Classes for default-event description
distribution.cpp	Discretized probability density and cumulative probability
distribution.hpp	Discretized probability density and cumulative probability
factorspreadedhazardratecurve.hpp	Default-probability structure with a multiplicative spread on hazard rates
gaussianlhplossmodel.cpp
gaussianlhplossmodel.hpp
homogeneouspooldef.hpp
inhomogeneouspooldef.hpp
integralcdoengine.cpp
integralcdoengine.hpp
integralntdengine.cpp
integralntdengine.hpp
interpolatedaffinehazardratecurve.hpp
issuer.cpp
issuer.hpp	Classes for credit-name handling
loss.hpp	Pair of loss time and amount, sortable by loss time
lossdistribution.cpp
lossdistribution.hpp	Loss distributions and probability of n defaults
midpointcdoengine.cpp
midpointcdoengine.hpp
nthtodefault.cpp
nthtodefault.hpp	N-th to default swap
onefactoraffinesurvival.hpp
onefactorcopula.cpp
onefactorcopula.hpp	One-factor copula base class
onefactorgaussiancopula.cpp
onefactorgaussiancopula.hpp	One-factor Gaussian copula
onefactorstudentcopula.cpp
onefactorstudentcopula.hpp	One-factor Student-t copula
pool.cpp
pool.hpp	Pool of issuers
randomdefaultlatentmodel.hpp
randomdefaultmodel.cpp
randomdefaultmodel.hpp	Random default-time scenarios for a pool of credit names
randomlosslatentmodel.hpp
recoveryratemodel.cpp
recoveryratemodel.hpp
recoveryratequote.cpp
recoveryratequote.hpp
recursivelossmodel.hpp
riskyassetswap.cpp
riskyassetswap.hpp	Risky asset-swap instrument
riskyassetswapoption.cpp
riskyassetswapoption.hpp	Option on risky asset swap
saddlepointlossmodel.hpp
spotlosslatentmodel.hpp
spreadedhazardratecurve.hpp	Default-probability structure with an additive spread on hazard rates
syntheticcdo.cpp
syntheticcdo.hpp	Synthetic Collateralized Debt Obligation and pricing engines
► exoticoptions
analyticamericanmargrabeengine.hpp
analyticcomplexchooserengine.hpp
analyticcompoundoptionengine.hpp
analyticeuropeanmargrabeengine.hpp
analyticholderextensibleoptionengine.cpp
analyticholderextensibleoptionengine.hpp	Analytic engine for holder-extensible options
analyticpartialtimebarrieroptionengine.cpp
analyticpartialtimebarrieroptionengine.hpp	Analytic engine for partial-time barrier options
analyticpdfhestonengine.cpp	Analytic engine for arbitrary European payoffs under the Heston model
analyticpdfhestonengine.hpp	Analytic engine for arbitrary European payoffs under the Heston model
analyticsimplechooserengine.hpp
analytictwoassetbarrierengine.cpp
analytictwoassetbarrierengine.hpp	Analytic engine for barrier option on two assets
analytictwoassetcorrelationengine.cpp
analytictwoassetcorrelationengine.hpp	Analytic engine for two-asset correlation options
analyticwriterextensibleoptionengine.cpp
analyticwriterextensibleoptionengine.hpp	Analytic engine for writer-extensible options
complexchooseroption.hpp
compoundoption.hpp
continuousarithmeticasianlevyengine.cpp
continuousarithmeticasianlevyengine.hpp	Levy engine for continuous arithmetic Asian options
continuousarithmeticasianvecerengine.cpp
continuousarithmeticasianvecerengine.hpp	Vecer engine for continuous arithmetic Asian options
everestoption.cpp
everestoption.hpp	Everest option on a number of assets
himalayaoption.cpp
himalayaoption.hpp	Himalaya option on a number of assets
holderextensibleoption.cpp
holderextensibleoption.hpp	Holder-extensible option
kirkspreadoptionengine.cpp
kirkspreadoptionengine.hpp	Kirk approximation for European spread option on futures
margrabeoption.hpp
mceverestengine.cpp
mceverestengine.hpp	Monte Carlo engine for Everest options
mchimalayaengine.cpp
mchimalayaengine.hpp	Monte Carlo engine for Himalaya options
mcpagodaengine.cpp
mcpagodaengine.hpp	Monte Carlo engine for pagoda options
pagodaoption.cpp
pagodaoption.hpp	Roofed Asian option on a number of assets
partialtimebarrieroption.cpp
partialtimebarrieroption.hpp	Partial-time barrier option
simplechooseroption.hpp
spreadoption.hpp	Spread option on two assets
twoassetbarrieroption.cpp
twoassetbarrieroption.hpp	Barrier option on two assets
twoassetcorrelationoption.cpp
twoassetcorrelationoption.hpp	Two-asset correlation option
writerextensibleoption.cpp
writerextensibleoption.hpp	Writer-extensible option
► finitedifferences
dynprogvppintrinsicvalueengine.cpp
dynprogvppintrinsicvalueengine.hpp	Intrinsic value engine using dynamic programming
fdextoujumpvanillaengine.cpp
fdextoujumpvanillaengine.hpp	Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options
fdklugeextouspreadengine.cpp
fdklugeextouspreadengine.hpp	FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option
fdmdupire1dop.cpp
fdmdupire1dop.hpp	Dupire local volatility pricing operator Note that time is reversed in order to make backward solvers work
fdmexpextouinnervaluecalculator.hpp	Inner value calculator for an exponential extended Ornstein Uhlenbeck grid
fdmextendedornsteinuhlenbeckop.cpp
fdmextendedornsteinuhlenbeckop.hpp	Ornstein Uhlenbeck process plus jumps (Kluge Model)
fdmextoujumpmodelinnervalue.hpp	Inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model)
fdmextoujumpop.cpp
fdmextoujumpop.hpp	Ornstein Uhlenbeck process plus jumps (Kluge Model)
fdmextoujumpsolver.cpp
fdmextoujumpsolver.hpp
fdmklugeextouop.cpp
fdmklugeextouop.hpp	Kluge process (power) plus Ornstein Uhlenbeck process (gas)
fdmklugeextousolver.hpp	Kluge/extended Ornstein-Uhlenbeck FDM solver
fdmsimple2dextousolver.hpp	Solver for simple swing options based on ext OU process
fdmsimple3dextoujumpsolver.hpp	Solver for simple swing options based on ext OU-Jump (Kluge) Model
fdmspreadpayoffinnervalue.hpp	Inner value calculator for a spread payoff
fdmvppstartlimitstepcondition.cpp
fdmvppstartlimitstepcondition.hpp	VPP incl start limit step condition for FD models
fdmvppstepcondition.cpp
fdmvppstepcondition.hpp	VPP step condition for FD models
fdmvppstepconditionfactory.cpp
fdmvppstepconditionfactory.hpp	Factory for VPP step conditions for FD models
fdmzabrop.cpp
fdmzabrop.hpp	Zabr linear pricing operator
fdornsteinuhlenbeckvanillaengine.cpp
fdornsteinuhlenbeckvanillaengine.hpp	Finite-Differences Ornstein Uhlenbeck vanilla option engine
fdsimpleextoujumpswingengine.cpp	Finite Differences engine for simple swing options
fdsimpleextoujumpswingengine.hpp	Finite Differences engine for simple swing options
fdsimpleextoustorageengine.cpp	Finite Differences extended OU engine for simple storage options
fdsimpleextoustorageengine.hpp	Finite Differences extended OU engine for simple storage options
fdsimpleklugeextouvppengine.cpp
fdsimpleklugeextouvppengine.hpp	Finite Differences engine for simple vpp options
glued1dmesher.cpp	One-dimensional grid mesher combining two existing ones
glued1dmesher.hpp	One-dimensional grid mesher combining two existing ones
vanillavppoption.cpp
vanillavppoption.hpp	Vanilla virtual power plant option
► forward
analytichestonforwardeuropeanengine.cpp
analytichestonforwardeuropeanengine.hpp	Analytic heston engine for forward-starting european options
► fx
blackdeltacalculator.cpp
blackdeltacalculator.hpp	Black-Scholes formula delta calculator class
deltavolquote.cpp
deltavolquote.hpp	Class for the quotation of delta vs vol
► inflation
cpicapfloorengines.cpp
cpicapfloorengines.hpp	Engines for CPI options
cpicapfloortermpricesurface.cpp
cpicapfloortermpricesurface.hpp	Cpi inflation cap and floor term price structure
genericindexes.hpp	Generic inflation indexes
interpolatedyoyoptionletstripper.hpp	Interpolated yoy inflation-cap stripping
kinterpolatedyoyoptionletvolatilitysurface.hpp	K-interpolated yoy optionlet volatility
piecewiseyoyoptionletvolatility.hpp	Piecewise yoy inflation volatility term structure
polynomial2Dspline.hpp	Polynomial interpolation in the y-direction, spline interpolation x-direction
yoycapfloortermpricesurface.cpp
yoycapfloortermpricesurface.hpp	Yoy inflation cap and floor term-price structure
yoyinflationoptionletvolatilitystructure2.hpp	Experimental yoy inflation volatility structures
yoyoptionlethelpers.cpp
yoyoptionlethelpers.hpp	Helpers for YoY inflation-volatility bootstrap
yoyoptionletstripper.hpp	Yoy inflation-cap stripping
► lattices
extendedbinomialtree.cpp
extendedbinomialtree.hpp	Time-dependent binomial tree class
► math
claytoncopularng.hpp	Clayton copula random-number generator
convolvedstudentt.cpp
convolvedstudentt.hpp
farliegumbelmorgensterncopularng.hpp	Farlie-Gumbel-Morgenstern copula random-number generator
fireflyalgorithm.cpp
fireflyalgorithm.hpp	Implementation based on: Yang, Xin-She (2009) Firefly Algorithm, Levy Flights and Global Optimization. Research and Development in Intelligent Systems XXVI, pp 209-218. http://arxiv.org/pdf/1003.1464.pdf
frankcopularng.hpp	Frank copula random-number generator
gaussiancopulapolicy.cpp
gaussiancopulapolicy.hpp
gaussiannoncentralchisquaredpolynomial.cpp
gaussiannoncentralchisquaredpolynomial.hpp	Non central chi squared polynomials for Gaussian quadratures
hybridsimulatedannealing.hpp	Implementation based on: Very Fast Simulated Re-Annealing, Lester Ingber, Mathl. Comput. Modelling, 967-973, 1989
hybridsimulatedannealingfunctors.hpp	Functors for use on HybridSimulatedAnnealing
isotropicrandomwalk.hpp	Isotropic random walk
laplaceinterpolation.cpp
laplaceinterpolation.hpp	Laplace interpolation of missing values
latentmodel.hpp	Generic multifactor latent variable model
levyflightdistribution.hpp	Levy Flight, aka Pareto Type I, distribution
moorepenroseinverse.hpp	Moore Penrose inverse of a real matrix
multidimintegrator.cpp
multidimintegrator.hpp
multidimquadrature.cpp
multidimquadrature.hpp
particleswarmoptimization.cpp
particleswarmoptimization.hpp	Implementation based on: Clerc, M., Kennedy, J. (2002) The particle swarm-explosion, stability and convergence in a multidimensional complex space. IEEE Transactions on Evolutionary Computation, 6(2): 58–73
piecewisefunction.hpp	Utility macro for piecewise functions
piecewiseintegral.cpp
piecewiseintegral.hpp	Integral of a piecewise well behaved function using a custom integrator for the pieces. It can be forced that the function is integrated only over intervals strictly not containing the critical points
polarstudenttrng.hpp	Polar Student t random-number generator
tcopulapolicy.cpp
tcopulapolicy.hpp
zigguratrng.cpp
zigguratrng.hpp	Ziggurat random-number generator
► mcbasket
adaptedpathpayoff.cpp
adaptedpathpayoff.hpp	Adapted Option payoff classes
longstaffschwartzmultipathpricer.cpp
longstaffschwartzmultipathpricer.hpp
mcamericanpathengine.hpp
mclongstaffschwartzpathengine.hpp
mcpathbasketengine.cpp
mcpathbasketengine.hpp	Path-dependent European basket MC engine
pathmultiassetoption.cpp
pathmultiassetoption.hpp	Option on multiple assets
pathpayoff.hpp	Option payoff classes
► models
normalclvmodel.cpp
normalclvmodel.hpp	CLV model with a normally distributed kernel process
squarerootclvmodel.cpp	CLV model with a square root kernel process
squarerootclvmodel.hpp	CLV model with a square root kernel process
► processes
extendedblackscholesprocess.cpp
extendedblackscholesprocess.hpp	Experimental Black-Scholes-Merton process
extendedornsteinuhlenbeckprocess.cpp
extendedornsteinuhlenbeckprocess.hpp	Extended Ornstein-Uhlenbeck process
extouwithjumpsprocess.cpp
extouwithjumpsprocess.hpp	Ornstein Uhlenbeck process plus exp jumps (Kluge Model)
gemanroncoroniprocess.cpp	Geman-Roncoroni process
gemanroncoroniprocess.hpp	Geman-Roncoroni process
klugeextouprocess.cpp
klugeextouprocess.hpp	Joint Kluge process an d Ornstein Uhlenbeck process
vegastressedblackscholesprocess.cpp
vegastressedblackscholesprocess.hpp	Black-Scholes process which supports local vega stress tests
► risk
creditriskplus.cpp
creditriskplus.hpp	Extended CreditRisk+ Model
sensitivityanalysis.cpp
sensitivityanalysis.hpp	Sensitivity analysis function
► shortrate
generalizedhullwhite.cpp
generalizedhullwhite.hpp	Generalized Hull-White model
generalizedornsteinuhlenbeckprocess.cpp
generalizedornsteinuhlenbeckprocess.hpp	Ornstein-Uhlenbeck process with piecewise linear coefficients
► swaptions
haganirregularswaptionengine.cpp
haganirregularswaptionengine.hpp	Engine for pricing irregular swaptions via super-replication
irregularswap.cpp
irregularswap.hpp	Irregular fixed-rate vs Libor swap
irregularswaption.cpp
irregularswaption.hpp	Irregular swaption class
► termstructures
basisswapratehelpers.cpp
basisswapratehelpers.hpp	Ibor-ibor and ois-ibor basis swap rate helpers
crosscurrencyratehelpers.cpp
crosscurrencyratehelpers.hpp	FX and cross currency basis swaps rate helpers
multicurvesensitivities.hpp
► variancegamma
analyticvariancegammaengine.cpp
analyticvariancegammaengine.hpp	Analytic Variance Gamma option engine for vanilla options
fftengine.cpp
fftengine.hpp	Base class for FFT option pricing engines
fftvanillaengine.cpp
fftvanillaengine.hpp	FFT engine for vanilla options under a Black Scholes process
fftvariancegammaengine.cpp
fftvariancegammaengine.hpp	FFT engine for vanilla options under a Variance Gamma process
variancegammamodel.cpp
variancegammamodel.hpp	Variance Gamma model
variancegammaprocess.cpp
variancegammaprocess.hpp	Variance Gamma stochastic process
► varianceoption
integralhestonvarianceoptionengine.cpp
integralhestonvarianceoptionengine.hpp	Integral Heston-model variance-option engine
varianceoption.cpp
varianceoption.hpp	Variance option
► volatility
abcdatmvolcurve.cpp
abcdatmvolcurve.hpp	Abcd-interpolated at-the-money (no-smile) interest rate vol curve
blackatmvolcurve.cpp
blackatmvolcurve.hpp	Black at-the-money (no-smile) volatility curve base class
blackvolsurface.cpp
blackvolsurface.hpp	Black volatility (smile) surface
equityfxvolsurface.cpp
equityfxvolsurface.hpp	Equity/FX vol (smile) surface
extendedblackvariancecurve.cpp
extendedblackvariancecurve.hpp	Black volatility curve modelled as variance curve
extendedblackvariancesurface.cpp
extendedblackvariancesurface.hpp	Black volatility surface modelled as variance surface
interestratevolsurface.cpp
interestratevolsurface.hpp	Interest rate volatility (smile) surface
noarbsabr.cpp
noarbsabr.hpp	No-arbitrage SABR
noarbsabrabsprobs.cpp	Absorbtion probabilities in the SABR model This file is to be included from noarbsabr.cpp only The numbers are taken from http://cid-45980dfcc6f0d6c9.skydrive.live.com/self.aspx/.Public/AbsProbs.csv For the paper reference see noarbsabr.hpp
noarbsabrinterpolatedsmilesection.cpp
noarbsabrinterpolatedsmilesection.hpp	Noarb sabr interpolating smile section
noarbsabrinterpolation.hpp	Noabr sabr interpolation between discrete points
noarbsabrsmilesection.cpp
noarbsabrsmilesection.hpp	No arbitrage sabr smile section
noarbsabrswaptionvolatilitycube.hpp	Swaption volatility cube, fit-early-interpolate-later approach using the No Arbitrage Sabr model (Doust)
sabrvolsurface.cpp
sabrvolsurface.hpp	SABR volatility (smile) surface
sabrvoltermstructure.hpp	Implied vol surface backed by a SABR model
sviinterpolatedsmilesection.cpp
sviinterpolatedsmilesection.hpp	Svi interpolating smile section
sviinterpolation.hpp	Svi interpolation interpolation between discrete points
svismilesection.cpp
svismilesection.hpp	Svi smile section
volcube.cpp
volcube.hpp	Interest rate (optionlet/swaption) volatility cube
zabr.cpp
zabr.hpp	ZABR functions Reference: Andreasen, Huge: ZABR - Expansions for the masses, Preliminary Version, December 2011, http://ssrn.com/abstract=1980726
zabrinterpolatedsmilesection.hpp	Zabr interpolating smile section
zabrinterpolation.hpp	ZABR interpolation interpolation between discrete points
zabrsmilesection.hpp	Zabr smile section
► indexes
► ibor
aonia.hpp	Aonia index
audlibor.hpp	AUD LIBOR rate
bbsw.hpp	Bbsw index
bibor.cpp
bibor.hpp	Bangkok Interbank Offered Rate index
bkbm.hpp	Bkbm index
cadlibor.hpp	CAD LIBOR rate
cdor.hpp	CDOR rate
chflibor.hpp	CHF LIBOR rate
corra.cpp
corra.hpp
destr.hpp	DESTR index
dkklibor.hpp	DKK LIBOR rate
eonia.cpp
eonia.hpp	Eonia index
estr.cpp
estr.hpp	ESTR index
euribor.cpp
euribor.hpp	Euribor index
eurlibor.cpp
eurlibor.hpp	EUR LIBOR rate
fedfunds.cpp
fedfunds.hpp	FedFunds index
gbplibor.hpp	GBP LIBOR rate
jibar.hpp	JIBAR rate
jpylibor.hpp	JPY LIBOR rate
libor.cpp
libor.hpp	Base class for BBA LIBOR indexes
mosprime.hpp	MOSPRIME rate
nzdlibor.hpp	NZD LIBOR rate
nzocr.hpp	NZOCR index
pribor.hpp	PRIBOR rate
robor.hpp	ROBOR rate
seklibor.hpp	SEK LIBOR rate
shibor.cpp
shibor.hpp	China Shibor indexes
sofr.cpp
sofr.hpp	SOFR index
sonia.cpp
sonia.hpp	Sonia index
swestr.hpp	SWESTR index
thbfix.hpp	THB THBFIX rate
tibor.hpp	JPY TIBOR rate
tona.hpp	TONA index
trlibor.hpp	TRY LIBOR rate
usdlibor.hpp	USD LIBOR rate
wibor.hpp	WIBOR rate
zibor.hpp	CHF ZIBOR rate
► inflation
aucpi.hpp	Australian CPI inflation indexes
euhicp.hpp	EU HICP index
frhicp.hpp	French HICP inflation indexes
ukhicp.hpp	UK HICP index
ukrpi.hpp	UKRPI index
uscpi.hpp	US CPI index
zacpi.hpp	ZACPI index
► swap
chfliborswap.cpp
chfliborswap.hpp	CHF Libor Swap indexes
euriborswap.cpp
euriborswap.hpp	Euribor Swap indexes
eurliborswap.cpp
eurliborswap.hpp	EUR Libor Swap indexes
gbpliborswap.cpp
gbpliborswap.hpp	GBP Libor Swap indexes
jpyliborswap.cpp
jpyliborswap.hpp	JPY Libor Swap indexes
usdliborswap.cpp
usdliborswap.hpp	USD Libor Swap indexes
bmaindex.cpp
bmaindex.hpp	Bond Market Association index
equityindex.cpp
equityindex.hpp	Base class for equity indexes
iborindex.cpp
iborindex.hpp	Base class for Inter-Bank-Offered-Rate indexes
indexmanager.cpp
indexmanager.hpp	Global repository for past index fixings
inflationindex.cpp
inflationindex.hpp	Base classes for inflation indexes
interestrateindex.cpp
interestrateindex.hpp	Base class for interest rate indexes
region.cpp
region.hpp	Region, i.e. geographical area, specification
swapindex.cpp
swapindex.hpp	Swap-rate indexes
► instruments
► bonds
amortizingcmsratebond.cpp
amortizingcmsratebond.hpp	Amortizing CMS-rate bond
amortizingfixedratebond.cpp
amortizingfixedratebond.hpp	Amortizing fixed-rate bond
amortizingfloatingratebond.cpp
amortizingfloatingratebond.hpp	Amortizing floating-rate bond
btp.cpp
btp.hpp	Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond
cmsratebond.cpp
cmsratebond.hpp	CMS-rate bond
convertiblebonds.cpp
convertiblebonds.hpp	Convertible bond class
cpibond.cpp
cpibond.hpp	Zero-inflation-indexed-ratio-with-base bond
fixedratebond.cpp
fixedratebond.hpp	Fixed-rate bond
floatingratebond.cpp
floatingratebond.hpp	Floating-rate bond
zerocouponbond.cpp
zerocouponbond.hpp	Zero-coupon bond
asianoption.cpp
asianoption.hpp	Asian option on a single asset
assetswap.cpp
assetswap.hpp	Bullet bond vs Libor swap
averagetype.cpp
averagetype.hpp	Averaging algorithm enumeration
barrieroption.cpp
barrieroption.hpp	Barrier option on a single asset
barriertype.cpp
barriertype.hpp	Barrier type
basketoption.cpp
basketoption.hpp	Basket option on a number of assets
bmaswap.cpp
bmaswap.hpp	Swap paying Libor against BMA coupons
bond.cpp
bond.hpp	Concrete bond class
bondforward.cpp
bondforward.hpp	Forward contract on a bond
callabilityschedule.hpp	Schedule of put/call dates
capfloor.cpp
capfloor.hpp	Cap and floor class
claim.cpp
claim.hpp	Classes for default-event claims
cliquetoption.cpp
cliquetoption.hpp	Cliquet option
complexchooseroption.cpp
complexchooseroption.hpp	Complex chooser option
compositeinstrument.cpp
compositeinstrument.hpp	Composite instrument class
compoundoption.cpp
compoundoption.hpp	Compound option on a single asset
cpicapfloor.cpp
cpicapfloor.hpp	Zero-inflation-indexed-ratio-with-base option
cpiswap.cpp
cpiswap.hpp	Zero-inflation-indexed-ratio-with-base swap
creditdefaultswap.cpp
creditdefaultswap.hpp	Credit default swap
dividendbarrieroption.hpp
dividendschedule.hpp	Schedule of dividend dates
dividendvanillaoption.hpp
doublebarrieroption.cpp
doublebarrieroption.hpp	Double Barrier european option on a single asset
doublebarriertype.cpp
doublebarriertype.hpp	Double Barrier type
equitytotalreturnswap.cpp
equitytotalreturnswap.hpp	Equity total return swap
europeanoption.cpp
europeanoption.hpp	European option on a single asset
fixedratebondforward.hpp	Forward contract on a fixed-rate bond
fixedvsfloatingswap.cpp
fixedvsfloatingswap.hpp	Fixed-rate vs floating-rate swap
floatfloatswap.cpp
floatfloatswap.hpp	Swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves
floatfloatswaption.cpp
floatfloatswaption.hpp	Floatfloatswaption class
forward.cpp
forward.hpp	Base forward class
forwardrateagreement.cpp
forwardrateagreement.hpp	Forward rate agreement
forwardvanillaoption.cpp
forwardvanillaoption.hpp	Forward version of a vanilla option
futures.cpp
futures.hpp	Futures
impliedvolatility.cpp
impliedvolatility.hpp	Utilities for implied-volatility calculation
inflationcapfloor.cpp
inflationcapfloor.hpp	Inflation cap and floor class, just year-on-year variety for now
lookbackoption.cpp
lookbackoption.hpp	Lookback option on a single asset
makecapfloor.cpp
makecapfloor.hpp	Helper class to instantiate standard market cap/floor
makecds.cpp
makecds.hpp	Helper class to instantiate standard market cds
makecms.cpp
makecms.hpp	Helper class to instantiate standard market CMS
makeois.cpp
makeois.hpp	Helper class to instantiate overnight indexed swaps
makeswaption.cpp
makeswaption.hpp	Helper class to instantiate standard market swaption
makevanillaswap.cpp
makevanillaswap.hpp	Helper class to instantiate standard market swaps
makeyoyinflationcapfloor.cpp
makeyoyinflationcapfloor.hpp	Helper class to instantiate standard yoy inflation cap/floor
margrabeoption.cpp
margrabeoption.hpp	Margrabe option on two assets
multiassetoption.cpp
multiassetoption.hpp	Option on multiple assets
nonstandardswap.cpp
nonstandardswap.hpp	Vanilla swap but possibly with period dependent nominal and strike
nonstandardswaption.cpp
nonstandardswaption.hpp	Nonstandard swap option class
oneassetoption.cpp
oneassetoption.hpp	Option on a single asset
overnightindexedswap.cpp
overnightindexedswap.hpp	Overnight index swap paying compounded overnight vs. fixed
overnightindexfuture.cpp
overnightindexfuture.hpp	Overnight Index Future
payoffs.cpp
payoffs.hpp	Payoffs for various options
quantobarrieroption.cpp
quantobarrieroption.hpp	Quanto version of a barrier option
quantoforwardvanillaoption.cpp
quantoforwardvanillaoption.hpp	Quanto version of a forward vanilla option
quantovanillaoption.cpp
quantovanillaoption.hpp	Quanto version of a vanilla option
simplechooseroption.cpp
simplechooseroption.hpp	Simple chooser option on a single asset
simplifynotificationgraph.cpp
simplifynotificationgraph.hpp	Utility functions to reduce number of notifications sent by observables
stickyratchet.cpp
stickyratchet.hpp	Payoffs for double nested options of sticky or ratchet type
stock.cpp
stock.hpp	Concrete stock class
swap.cpp
swap.hpp	Interest rate swap
swaption.cpp
swaption.hpp	Swaption class
vanillaoption.cpp
vanillaoption.hpp	Vanilla option on a single asset
vanillastorageoption.hpp	Vanilla storage option class
vanillaswap.cpp
vanillaswap.hpp	Simple fixed-rate vs Libor swap
vanillaswingoption.cpp	Vanilla swing option class
vanillaswingoption.hpp	Vanilla swing option class
varianceswap.cpp
varianceswap.hpp	Variance swap
yearonyearinflationswap.cpp
yearonyearinflationswap.hpp	Year-on-year inflation-indexed swap
zerocouponinflationswap.cpp
zerocouponinflationswap.hpp	Zero-coupon inflation-indexed swap
zerocouponswap.cpp
zerocouponswap.hpp	Zero-coupon interest rate swap
► legacy
► libormarketmodels
lfmcovarparam.cpp
lfmcovarparam.hpp	Volatility & correlation function for libor forward model process
lfmcovarproxy.cpp
lfmcovarproxy.hpp	Proxy for libor forward covariance parameterization
lfmhullwhiteparam.cpp
lfmhullwhiteparam.hpp	Libor market model parameterization based on Hull White
lfmprocess.cpp
lfmprocess.hpp	Stochastic process of a libor forward model
lfmswaptionengine.cpp
lfmswaptionengine.hpp	Libor forward model swaption engine based on black formula
liborforwardmodel.cpp
liborforwardmodel.hpp	Libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices
lmconstwrappercorrmodel.hpp	Const wrapper for correlation model for libor market models
lmconstwrappervolmodel.hpp	Const wrapper for a volatility model for libor market models
lmcorrmodel.cpp
lmcorrmodel.hpp	Correlation model for libor market models
lmexpcorrmodel.cpp
lmexpcorrmodel.hpp	Exponential correlation model for libor market models
lmextlinexpvolmodel.cpp
lmextlinexpvolmodel.hpp	Volatility model for libor market models
lmfixedvolmodel.cpp
lmfixedvolmodel.hpp	Model of constant volatilities for libor market models
lmlinexpcorrmodel.cpp
lmlinexpcorrmodel.hpp	Exponential correlation model for libor market models
lmlinexpvolmodel.cpp
lmlinexpvolmodel.hpp	Volatility model for libor market models
lmvolmodel.cpp
lmvolmodel.hpp	Volatility model for libor market models
► math
► copulas
alimikhailhaqcopula.cpp
alimikhailhaqcopula.hpp	Ali-Mikhail-Haq copula
claytoncopula.cpp
claytoncopula.hpp	Clayton copula
farliegumbelmorgensterncopula.cpp
farliegumbelmorgensterncopula.hpp	Farlie-Gumbel-Morgenstern copula
frankcopula.cpp
frankcopula.hpp	Frank copula
galamboscopula.cpp
galamboscopula.hpp	Galambos copula
gaussiancopula.cpp
gaussiancopula.hpp	Gaussian copula
gumbelcopula.cpp
gumbelcopula.hpp	Gumbel copula
huslerreisscopula.cpp
huslerreisscopula.hpp	Husler-Reiss copula
independentcopula.cpp
independentcopula.hpp	Independent copula
marshallolkincopula.cpp
marshallolkincopula.hpp	Marshall-Olkin copula
maxcopula.cpp
maxcopula.hpp	Max copula
mincopula.cpp
mincopula.hpp	Min copula
plackettcopula.cpp
plackettcopula.hpp	Plackett copula
► distributions
binomialdistribution.hpp	Binomial distribution
bivariatenormaldistribution.cpp
bivariatenormaldistribution.hpp	Bivariate cumulative normal distribution
bivariatestudenttdistribution.cpp
bivariatestudenttdistribution.hpp	Bivariate Student t-distribution
chisquaredistribution.cpp
chisquaredistribution.hpp	Chi-square (central and non-central) distributions
gammadistribution.cpp
gammadistribution.hpp	Gamma distribution
normaldistribution.cpp
normaldistribution.hpp	Normal, cumulative and inverse cumulative distributions
poissondistribution.hpp	Poisson distribution
studenttdistribution.cpp
studenttdistribution.hpp	Student's t-distribution
► integrals
discreteintegrals.cpp
discreteintegrals.hpp	Integrals on non uniform grids
exponentialintegrals.cpp
exponentialintegrals.hpp
expsinhintegral.hpp
filonintegral.cpp	Filon's formulae for sine and cosine Integrals
filonintegral.hpp	Filon's formulae for sine and cosine Integrals
gaussianorthogonalpolynomial.cpp
gaussianorthogonalpolynomial.hpp	Orthogonal polynomials for gaussian quadratures
gaussianquadratures.cpp
gaussianquadratures.hpp	Integral of a 1-dimensional function using the Gauss quadratures
gausslaguerrecosinepolynomial.hpp	Laguerre-Cosine Gaussian quadrature
gausslobattointegral.cpp
gausslobattointegral.hpp	Integral of a one-dimensional function using the adaptive Gauss-Lobatto integral
integral.cpp
integral.hpp	Integrators base class definition
kronrodintegral.cpp
kronrodintegral.hpp	Integral of a 1-dimensional function using the Gauss-Kronrod method
momentbasedgaussianpolynomial.hpp	Gaussian quadrature defined by the moments of the distribution
segmentintegral.cpp
segmentintegral.hpp	Integral of a one-dimensional function using segment algorithm
simpsonintegral.hpp	Integral of a one-dimensional function using Simpson formula
tanhsinhintegral.hpp
trapezoidintegral.hpp	Integral of a one-dimensional function using the trapezoid formula
twodimensionalintegral.hpp	Two dimensional integration
► interpolations
abcdinterpolation.hpp	Abcd interpolation interpolation between discrete points
backwardflatinterpolation.hpp	Backward-flat interpolation between discrete points
backwardflatlinearinterpolation.hpp	Backflat interpolation in first component, linear in second component
bicubicsplineinterpolation.hpp	Bicubic spline interpolation between discrete points
bilinearinterpolation.hpp	Bilinear interpolation between discrete points
chebyshevinterpolation.cpp
chebyshevinterpolation.hpp	Chebyshev interpolation between discrete Chebyshev nodes
convexmonotoneinterpolation.hpp	Convex monotone interpolation method
cubicinterpolation.hpp	Cubic interpolation between discrete points
extrapolation.hpp	Class-wide extrapolation settings
flatextrapolation2d.hpp	Abstract base classes for 2-D flat extrapolations
forwardflatinterpolation.hpp	Forward-flat interpolation between discrete points
interpolation2d.hpp	Abstract base classes for 2-D interpolations
kernelinterpolation.hpp	Kernel interpolation
kernelinterpolation2d.hpp	2D Kernel interpolation
lagrangeinterpolation.hpp
linearinterpolation.hpp	Linear interpolation between discrete points
loginterpolation.hpp	Log-linear and log-cubic interpolation between discrete points
mixedinterpolation.hpp	Mixed interpolation between discrete points
multicubicspline.hpp	N-dimensional cubic spline interpolation between discrete points
sabrinterpolation.hpp	SABR interpolation interpolation between discrete points
xabrinterpolation.hpp	Generic interpolation class for sabr style underlying models like the Hagan 2002 expansion, Doust's no arbitrage sabr, Andreasen's zabr expansion for the masses and similar
► matrixutilities
basisincompleteordered.cpp
basisincompleteordered.hpp
bicgstab.cpp	Bi-conjugated gradient stableized algorithm
bicgstab.hpp	Biconjugate gradient stabilized method
choleskydecomposition.cpp
choleskydecomposition.hpp	Cholesky decomposition
expm.cpp	Matrix exponential
expm.hpp	Matrix exponential
factorreduction.cpp
factorreduction.hpp	Single factor correlation reduction
getcovariance.cpp
getcovariance.hpp	Covariance matrix calculation
gmres.cpp	Generalized minimal residual method
gmres.hpp	Generalized minimal residual method
pseudosqrt.cpp
pseudosqrt.hpp	Pseudo square root of a real symmetric matrix
qrdecomposition.cpp	QR decomposition
qrdecomposition.hpp	QR decomposition
sparseilupreconditioner.cpp
sparseilupreconditioner.hpp	Preconditioner using the Incomplete LU algorithm and sparse matrices
sparsematrix.hpp	Typedef for boost sparse matrix class
svd.cpp
svd.hpp	Singular value decomposition
symmetricschurdecomposition.cpp
symmetricschurdecomposition.hpp	Eigenvalues/eigenvectors of a real symmetric matrix
tapcorrelations.cpp
tapcorrelations.hpp
tqreigendecomposition.cpp
tqreigendecomposition.hpp	Tridiag. QR eigen decompositions with implicit shift
► ode
adaptiverungekutta.hpp	Runge-Kutta ODE integration
► optimization
armijo.cpp
armijo.hpp	Armijo line-search class
bfgs.cpp
bfgs.hpp	Broyden-Fletcher-Goldfarb-Shanno optimization method
conjugategradient.cpp
conjugategradient.hpp	Conjugate gradient optimization method
constraint.cpp
constraint.hpp	Abstract constraint class
costfunction.hpp	Optimization cost function class
differentialevolution.cpp
differentialevolution.hpp	Differential Evolution optimization method
endcriteria.cpp
endcriteria.hpp	Optimization criteria class
goldstein.cpp
goldstein.hpp	Goldstein and Price line-search class
leastsquare.cpp
leastsquare.hpp	Least square cost function
levenbergmarquardt.cpp
levenbergmarquardt.hpp	Levenberg-Marquardt optimization method
linesearch.cpp
linesearch.hpp	Line search abstract class
linesearchbasedmethod.cpp
linesearchbasedmethod.hpp	Abstract optimization method class
lmdif.cpp
lmdif.hpp	Wrapper for MINPACK minimization routine
method.hpp	Abstract optimization method class
problem.hpp	Abstract optimization problem class
projectedconstraint.hpp	Projected constraint
projectedcostfunction.cpp
projectedcostfunction.hpp	Cost function utility
projection.cpp
projection.hpp	Parameter projection
simplex.cpp
simplex.hpp	Simplex optimization method
simulatedannealing.hpp	Numerical Recipes in C (second edition), Chapter 10.9, with the original exit criterion in f(x) replaced by one in x (see simplex.cpp for a reference to GSL concerning this)
spherecylinder.cpp
spherecylinder.hpp	Find closest point of the intersection of a sphere and cylinder to a given point
steepestdescent.cpp
steepestdescent.hpp	Steepest descent optimization method
► randomnumbers
boxmullergaussianrng.hpp	Box-Muller Gaussian random-number generator
burley2020sobolrsg.cpp
burley2020sobolrsg.hpp	Scrambled Sobol sequence following Burley, 2020
centrallimitgaussianrng.hpp	Central limit Gaussian random-number generator
faurersg.cpp
faurersg.hpp	Faure low-discrepancy sequence generator
haltonrsg.cpp
haltonrsg.hpp	Halton low-discrepancy sequence generator
inversecumulativerng.hpp	Inverse cumulative Gaussian random-number generator
inversecumulativersg.hpp	Inverse cumulative random sequence generator
knuthuniformrng.cpp
knuthuniformrng.hpp	Knuth uniform random number generator
latticersg.cpp	Lattice rule code for low discrepancy numbers
latticersg.hpp	Lattice rule code for low discrepancy numbers
latticerules.cpp
latticerules.hpp
lecuyeruniformrng.cpp
lecuyeruniformrng.hpp	L'Ecuyer uniform random number generator
mt19937uniformrng.cpp
mt19937uniformrng.hpp	Mersenne Twister uniform random number generator
primitivepolynomials.cpp
primitivepolynomials.hpp
randomizedlds.hpp	Randomized low-discrepancy sequence
randomsequencegenerator.hpp	Random sequence generator based on a pseudo-random number generator
ranluxuniformrng.hpp	"Luxury" random number generator
rngtraits.hpp	Random-number generation policies
seedgenerator.cpp
seedgenerator.hpp	Random seed generator
sobolbrownianbridgersg.cpp
sobolbrownianbridgersg.hpp	Interface class to map the functionality of SobolBrownianGenerator to the "conventional" sequence generator interface
sobolrsg.cpp
sobolrsg.hpp	Sobol low-discrepancy sequence generator
stochasticcollocationinvcdf.cpp
stochasticcollocationinvcdf.hpp
xoshiro256starstaruniformrng.cpp
xoshiro256starstaruniformrng.hpp	Xoshiro256** uniform random number generator
zigguratgaussianrng.hpp	Ziggurat Gaussian random-number generator
► solvers1d
bisection.hpp	Bisection 1-D solver
brent.hpp	Brent 1-D solver
falseposition.hpp	False-position 1-D solver
finitedifferencenewtonsafe.hpp	Safe (bracketed) Newton 1-D solver with finite difference derivatives
newton.hpp	Newton 1-D solver
newtonsafe.hpp	Safe (bracketed) Newton 1-D solver
ridder.hpp	Ridder 1-D solver
secant.hpp	Secant 1-D solver
► statistics
convergencestatistics.hpp	Statistics tool with risk measures
discrepancystatistics.cpp
discrepancystatistics.hpp	Statistic tool for sequences with discrepancy calculation
gaussianstatistics.hpp	Statistics tool for gaussian-assumption risk measures
generalstatistics.cpp
generalstatistics.hpp	Statistics tool
histogram.cpp
histogram.hpp	Statistics tool for generating histogram of given data
incrementalstatistics.cpp
incrementalstatistics.hpp	Statistics tool based on incremental accumulation in the meantime, this is just a wrapper to the boost accumulator library, kept for backward compatibility
riskstatistics.hpp	Empirical-distribution risk measures
sequencestatistics.hpp	Statistics tools for sequence (vector, list, array) samples
statistics.hpp	Statistics tool with risk measures
abcdmathfunction.cpp
abcdmathfunction.hpp
array.hpp	1-D array used in linear algebra
autocovariance.hpp	Autocovariance and convolution calculation
bernsteinpolynomial.cpp
bernsteinpolynomial.hpp	Bernstein polynomials
beta.cpp
beta.hpp	Beta and beta incomplete functions
bspline.cpp
bspline.hpp	B-spline basis functions
comparison.hpp	Floating-point comparisons
curve.hpp
errorfunction.cpp
errorfunction.hpp	Error function
expm1.cpp
expm1.hpp	Complex versions of expm1 and logp1
factorial.cpp
factorial.hpp	Factorial numbers calculator
fastfouriertransform.hpp	Fast Fourier Transform
functional.hpp	Functionals and combinators not included in the STL
generallinearleastsquares.hpp	General linear least square regression
incompletegamma.cpp
incompletegamma.hpp	Incomplete Gamma function
interpolation.hpp	Base class for 1-D interpolations
kernelfunctions.hpp	Kernel functions
lexicographicalview.hpp
linearleastsquaresregression.hpp	General linear least square regression
matrix.cpp
matrix.hpp	Matrix used in linear algebra
modifiedbessel.cpp	Modified Bessel functions of first and second kind
modifiedbessel.hpp	Modified Bessel functions of first and second kind
pascaltriangle.cpp
pascaltriangle.hpp	Pascal triangle coefficients calculator
polynomialmathfunction.cpp
polynomialmathfunction.hpp
primenumbers.cpp
primenumbers.hpp	Prime numbers calculator
quadratic.cpp
quadratic.hpp	Quadratic formula
richardsonextrapolation.cpp
richardsonextrapolation.hpp
rounding.cpp
rounding.hpp	Rounding implementation
sampledcurve.cpp
sampledcurve.hpp	Class that contains a sampled curve
solver1d.hpp	Abstract 1-D solver class
transformedgrid.hpp	Encapuslates a grid
► methods
► finitedifferences
► meshers
concentrating1dmesher.cpp	One-dimensional grid mesher concentrating around critical points
concentrating1dmesher.hpp	One-dimensional grid mesher concentrating around critical points
exponentialjump1dmesher.cpp	Mesher for a exponential jump mesher with high mean reversion rate and low jump intensity
exponentialjump1dmesher.hpp	Mesher for a exponential jump mesher with high mean reversion rate and low jump intensity
fdm1dmesher.hpp	One-dimensional simple FDM mesher object working on an index
fdmblackscholesmesher.cpp	1-d mesher for the Black-Scholes process (in ln(S))
fdmblackscholesmesher.hpp	1-d mesher for the Black-Scholes process (in ln(S))
fdmblackscholesmultistrikemesher.cpp	1-d mesher for the Black-Scholes process (in ln(S))
fdmblackscholesmultistrikemesher.hpp	1-d mesher for the Black-Scholes process (in ln(S))
fdmcev1dmesher.cpp
fdmcev1dmesher.hpp	One-dimensional mesher for the CEV model
fdmhestonvariancemesher.cpp
fdmhestonvariancemesher.hpp	One-dimensional grid mesher for the variance part of the Heston model
fdmmesher.hpp	Mesher for a fdm grid
fdmmeshercomposite.cpp
fdmmeshercomposite.hpp	FdmMesher which is a composite of Fdm1dMesher
fdmsimpleprocess1dmesher.cpp
fdmsimpleprocess1dmesher.hpp	One-dimensional grid mesher
predefined1dmesher.hpp	One-dimensional mesher build from a given set of points
uniform1dmesher.hpp	One-dimensional simple uniform grid mesher
uniformgridmesher.cpp
uniformgridmesher.hpp	Uniform grid mesher
► operators
fdm2dblackscholesop.cpp
fdm2dblackscholesop.hpp
fdmbatesop.cpp	Bates linear operator
fdmbatesop.hpp	Bates linear operator
fdmblackscholesfwdop.cpp
fdmblackscholesfwdop.hpp	Black Scholes linear operator for the Fokker-Planck forward equation
fdmblackscholesop.cpp
fdmblackscholesop.hpp	Black Scholes linear operator
fdmcevop.cpp
fdmcevop.hpp	FDM operator for the Constant Elasticity of Variance (CEV) model
fdmcirop.cpp
fdmcirop.hpp	CIR linear operator
fdmg2op.cpp
fdmg2op.hpp	FDM G2 operator
fdmhestonfwdop.cpp
fdmhestonfwdop.hpp	Heston Fokker-Planck forward operator
fdmhestonhullwhiteop.cpp
fdmhestonhullwhiteop.hpp	Heston Hull White linear operator
fdmhestonop.cpp
fdmhestonop.hpp	Heston linear operator
fdmhullwhiteop.cpp
fdmhullwhiteop.hpp	FDM operator for the Hull-White interest rate model
fdmlinearop.hpp	Linear operator to model a multi dimensinal pde system
fdmlinearopcomposite.hpp	Composite pattern for linear operators
fdmlinearopiterator.hpp	Iterator for a linear fdm operator
fdmlinearoplayout.cpp
fdmlinearoplayout.hpp	Memory layout of a fdm linear operator
fdmlocalvolfwdop.cpp
fdmlocalvolfwdop.hpp	Local volatility linear operator for the Fokker-Planck forward equation
fdmornsteinuhlenbeckop.cpp
fdmornsteinuhlenbeckop.hpp	Ornstein Uhlenbeck process
fdmsabrop.cpp	FDM operator for the SABR model
fdmsabrop.hpp	FDM operator for the SABR model
fdmsquarerootfwdop.cpp	Fokker-Planck forward operator for an square root process
fdmsquarerootfwdop.hpp	Square root linear operator for the Fokker-Planck forward equation
firstderivativeop.cpp
firstderivativeop.hpp	First derivative linear operator
modtriplebandlinearop.hpp	Modifiable triple band linear operator
ninepointlinearop.cpp
ninepointlinearop.hpp	Nine point linear operator
nthorderderivativeop.cpp	N-th order derivative linear operator
nthorderderivativeop.hpp	N-th order derivative linear operator
numericaldifferentiation.cpp
numericaldifferentiation.hpp	Numerical differentiation of arbitrary order and on irregular grids
secondderivativeop.cpp
secondderivativeop.hpp	Second derivative operator
secondordermixedderivativeop.cpp
secondordermixedderivativeop.hpp	Second order mixed derivative linear operator
triplebandlinearop.cpp
triplebandlinearop.hpp	General triple band linear operator
► schemes
boundaryconditionschemehelper.hpp
craigsneydscheme.cpp
craigsneydscheme.hpp	Craig-Sneyd operator splitting
cranknicolsonscheme.cpp
cranknicolsonscheme.hpp	Crank-Nicolson scheme
douglasscheme.cpp
douglasscheme.hpp	Douglas operator splitting
expliciteulerscheme.cpp
expliciteulerscheme.hpp	Explicit-Euler scheme
hundsdorferscheme.cpp
hundsdorferscheme.hpp	Hundsdorfer operator splitting
impliciteulerscheme.cpp
impliciteulerscheme.hpp	Implicit-Euler scheme
methodoflinesscheme.cpp
methodoflinesscheme.hpp	Method of Lines scheme
modifiedcraigsneydscheme.cpp
modifiedcraigsneydscheme.hpp	Modified Craig-Sneyd operator splitting
trbdf2scheme.hpp	Trapezoidal BDF2 scheme
► solvers
fdm1dimsolver.cpp
fdm1dimsolver.hpp
fdm2dblackscholessolver.cpp
fdm2dblackscholessolver.hpp
fdm2dimsolver.cpp
fdm2dimsolver.hpp
fdm3dimsolver.cpp
fdm3dimsolver.hpp
fdmbackwardsolver.cpp
fdmbackwardsolver.hpp
fdmbatessolver.cpp
fdmbatessolver.hpp
fdmblackscholessolver.cpp
fdmblackscholessolver.hpp
fdmcirsolver.cpp
fdmcirsolver.hpp
fdmg2solver.cpp
fdmg2solver.hpp
fdmhestonhullwhitesolver.cpp
fdmhestonhullwhitesolver.hpp
fdmhestonsolver.cpp
fdmhestonsolver.hpp
fdmhullwhitesolver.cpp
fdmhullwhitesolver.hpp
fdmndimsolver.hpp
fdmsimple2dbssolver.cpp
fdmsimple2dbssolver.hpp
fdmsolverdesc.hpp
► stepconditions
fdmamericanstepcondition.cpp
fdmamericanstepcondition.hpp	American step condition for multi dimensional problems
fdmarithmeticaveragecondition.cpp	Step condition to handle arithmetic average
fdmarithmeticaveragecondition.hpp	Step condition to handle arithmetic average
fdmbermudanstepcondition.cpp
fdmbermudanstepcondition.hpp	Bermudan step condition for multi dimensional problems
fdmsimplestoragecondition.cpp
fdmsimplestoragecondition.hpp	Simple storage step condition
fdmsimpleswingcondition.cpp
fdmsimpleswingcondition.hpp	Simple swing step condition
fdmsnapshotcondition.cpp
fdmsnapshotcondition.hpp	Step condition for value inspection
fdmstepconditioncomposite.cpp
fdmstepconditioncomposite.hpp	Composite of fdm step conditions
► utilities
bsmrndcalculator.cpp
bsmrndcalculator.hpp	Risk neutral terminal density calculator for the Black-Scholes-Merton model with constant volatility
cevrndcalculator.cpp
cevrndcalculator.hpp	Risk neutral density calculator for the constant elasticity of variance (CEV) model
escroweddividendadjustment.cpp
escroweddividendadjustment.hpp
fdmaffinemodelswapinnervalue.cpp
fdmaffinemodelswapinnervalue.hpp
fdmaffinemodeltermstructure.cpp
fdmaffinemodeltermstructure.hpp
fdmboundaryconditionset.hpp
fdmdirichletboundary.cpp
fdmdirichletboundary.hpp	Dirichlet boundary conditions for differential operators
fdmdiscountdirichletboundary.cpp
fdmdiscountdirichletboundary.hpp	Discounted value on Dirichlet boundary conditions
fdmdividendhandler.cpp
fdmdividendhandler.hpp	Dividend handler for fdm method for one equity direction
fdmescrowedloginnervaluecalculator.cpp
fdmescrowedloginnervaluecalculator.hpp	Inner value for a escrowed dividend model
fdmhestongreensfct.cpp
fdmhestongreensfct.hpp	Heston Fokker-Planck Green's function
fdmindicesonboundary.cpp
fdmindicesonboundary.hpp	Helper class to extract the indices on a boundary
fdminnervaluecalculator.cpp	Layer of abstraction to calculate the inner value
fdminnervaluecalculator.hpp	Layer of abstraction to calculate the inner value
fdmmesherintegral.cpp
fdmmesherintegral.hpp	Mesher based integral over target function
fdmquantohelper.cpp	Quanto helper to store market data needed for the quanto adjustment
fdmquantohelper.hpp	Helper class storing market data needed for the quanto adjustment
fdmshoutloginnervaluecalculator.cpp
fdmshoutloginnervaluecalculator.hpp	Inner value for a shout option
fdmtimedepdirichletboundary.cpp
fdmtimedepdirichletboundary.hpp	Time dependent Dirichlet boundary conditions
gbsmrndcalculator.cpp
gbsmrndcalculator.hpp	Risk neutral terminal density calculator for the Black-Scholes-Merton model with skew dependent volatility
hestonrndcalculator.cpp
hestonrndcalculator.hpp	Risk neutral terminal density calculator for the Heston stochastic volatility model
localvolrndcalculator.cpp
localvolrndcalculator.hpp	Local volatility risk neutral terminal density calculation
riskneutraldensitycalculator.cpp
riskneutraldensitycalculator.hpp	Interface for a single asset risk neutral terminal density calculation
squarerootprocessrndcalculator.cpp
squarerootprocessrndcalculator.hpp	Risk neutral terminal density calculator for the square root process
boundarycondition.cpp
boundarycondition.hpp	Boundary conditions for differential operators
bsmoperator.cpp
bsmoperator.hpp	Differential operator for Black-Scholes-Merton equation
bsmtermoperator.hpp	Differential operator for Black-Scholes-Merton equation
cranknicolson.hpp	Crank-Nicolson scheme for finite difference methods
dminus.hpp	$D_{-}$ matricial representation
dplus.hpp	$D_{+}$ matricial representation
dplusdminus.hpp	$D_{+}D_{-}$ matricial representation
dzero.hpp	$D_{0}$ matricial representation
expliciteuler.hpp	Explicit Euler scheme for finite difference methods
fdtypedefs.hpp	Default choices for template instantiations
finitedifferencemodel.hpp	Generic finite difference model
impliciteuler.hpp	Implicit Euler scheme for finite difference methods
mixedscheme.hpp	Mixed (explicit/implicit) scheme for finite difference methods
operatortraits.hpp	Differential operator traits
parallelevolver.hpp	Parallel evolver for multiple arrays
pde.hpp	General class for one dimensional PDE's
pdebsm.hpp	Black-Scholes-Merton PDE
pdeshortrate.hpp
shoutcondition.hpp
stepcondition.hpp	Conditions to be applied at every time step
trbdf2.hpp	TR-BDF2 scheme for finite difference methods
tridiagonaloperator.cpp
tridiagonaloperator.hpp	Tridiagonal operator
zerocondition.hpp	Zero option exercise condition
► lattices
binomialtree.cpp
binomialtree.hpp	Binomial tree class
bsmlattice.hpp	Binomial trees under the BSM model
lattice.hpp	Tree-based lattice-method class
lattice1d.hpp	One-dimensional lattice class
lattice2d.hpp	Two-dimensional lattice class
tflattice.hpp	Binomial Tsiveriotis-Fernandes tree model
tree.hpp	Tree class
trinomialtree.cpp
trinomialtree.hpp	Trinomial tree class
► montecarlo
brownianbridge.cpp
brownianbridge.hpp	Browian bridge
earlyexercisepathpricer.hpp	Base class for early exercise single-path pricers
exercisestrategy.hpp
genericlsregression.cpp
genericlsregression.hpp
longstaffschwartzpathpricer.hpp	Longstaff-Schwarz path pricer for early exercise options
lsmbasissystem.cpp	Utility classes for longstaff schwartz early exercise Monte Carlo
lsmbasissystem.hpp	Utility classes for Longstaff-Schwartz early-exercise Monte Carlo
mctraits.hpp	Monte Carlo policies
montecarlomodel.hpp	General-purpose Monte Carlo model
multipath.hpp	Correlated multiple asset paths
multipathgenerator.hpp	Generates a multi path from a random-array generator
nodedata.hpp
parametricexercise.cpp
parametricexercise.hpp
path.hpp	Single factor random walk
pathgenerator.hpp	Generates random paths using a sequence generator
pathpricer.hpp	Base class for single-path pricers
sample.hpp	Weighted sample
► models
► equity
batesmodel.cpp
batesmodel.hpp	Extended versions of the Heston model
gjrgarchmodel.cpp
gjrgarchmodel.hpp	GJR-GARCH model for the stochastic volatility of an asset
hestonmodel.cpp
hestonmodel.hpp	Heston model for the stochastic volatility of an asset
hestonmodelhelper.cpp
hestonmodelhelper.hpp	Heston-model calibration helper
hestonslvfdmmodel.cpp
hestonslvfdmmodel.hpp	Heston stochastic local volatility model
hestonslvmcmodel.cpp
hestonslvmcmodel.hpp	Calibration of a Heston stochastic local volatility model based on MC
piecewisetimedependenthestonmodel.cpp
piecewisetimedependenthestonmodel.hpp	Piecewise constant time dependent Heston-model
► marketmodels
► browniangenerators
mtbrowniangenerator.cpp
mtbrowniangenerator.hpp
sobolbrowniangenerator.cpp
sobolbrowniangenerator.hpp
► callability
bermudanswaptionexercisevalue.cpp
bermudanswaptionexercisevalue.hpp
collectnodedata.cpp
collectnodedata.hpp
exercisevalue.hpp
lsstrategy.cpp
lsstrategy.hpp
marketmodelbasissystem.hpp
marketmodelparametricexercise.hpp
nodedataprovider.hpp
nothingexercisevalue.cpp
nothingexercisevalue.hpp
parametricexerciseadapter.cpp
parametricexerciseadapter.hpp
swapbasissystem.cpp
swapbasissystem.hpp
swapforwardbasissystem.cpp
swapforwardbasissystem.hpp
swapratetrigger.cpp
swapratetrigger.hpp
triggeredswapexercise.cpp
triggeredswapexercise.hpp
upperboundengine.cpp
upperboundengine.hpp
► correlations
cotswapfromfwdcorrelation.cpp
cotswapfromfwdcorrelation.hpp
expcorrelations.cpp
expcorrelations.hpp	Exponential correlation matrix
timehomogeneousforwardcorrelation.cpp
timehomogeneousforwardcorrelation.hpp
► curvestates
cmswapcurvestate.cpp
cmswapcurvestate.hpp
coterminalswapcurvestate.cpp
coterminalswapcurvestate.hpp
lmmcurvestate.cpp
lmmcurvestate.hpp
► driftcomputation
cmsmmdriftcalculator.cpp
cmsmmdriftcalculator.hpp	Drift computation for CMS market model
lmmdriftcalculator.cpp
lmmdriftcalculator.hpp	Drift computation for Libor market model
lmmnormaldriftcalculator.cpp
lmmnormaldriftcalculator.hpp	Drift computation for normal Libor market model
smmdriftcalculator.cpp
smmdriftcalculator.hpp	Drift computation for coterminal-swap market model
► evolvers
► volprocesses
squarerootandersen.cpp
squarerootandersen.hpp
lognormalcmswapratepc.cpp
lognormalcmswapratepc.hpp
lognormalcotswapratepc.cpp
lognormalcotswapratepc.hpp
lognormalfwdrateballand.cpp
lognormalfwdrateballand.hpp
lognormalfwdrateeuler.cpp
lognormalfwdrateeuler.hpp
lognormalfwdrateeulerconstrained.cpp
lognormalfwdrateeulerconstrained.hpp
lognormalfwdrateiballand.cpp
lognormalfwdrateiballand.hpp
lognormalfwdrateipc.cpp
lognormalfwdrateipc.hpp
lognormalfwdratepc.cpp
lognormalfwdratepc.hpp
marketmodelvolprocess.hpp
normalfwdratepc.cpp
normalfwdratepc.hpp
svddfwdratepc.cpp
svddfwdratepc.hpp
► models
abcdvol.cpp
abcdvol.hpp
alphafinder.cpp
alphafinder.hpp
alphaform.hpp
alphaformconcrete.cpp
alphaformconcrete.hpp
capletcoterminalalphacalibration.cpp
capletcoterminalalphacalibration.hpp
capletcoterminalmaxhomogeneity.cpp
capletcoterminalmaxhomogeneity.hpp
capletcoterminalperiodic.cpp
capletcoterminalperiodic.hpp
capletcoterminalswaptioncalibration.cpp
capletcoterminalswaptioncalibration.hpp
cotswaptofwdadapter.cpp
cotswaptofwdadapter.hpp
ctsmmcapletcalibration.cpp
ctsmmcapletcalibration.hpp
flatvol.cpp
flatvol.hpp
fwdperiodadapter.cpp
fwdperiodadapter.hpp
fwdtocotswapadapter.cpp
fwdtocotswapadapter.hpp
piecewiseconstantabcdvariance.cpp
piecewiseconstantabcdvariance.hpp
piecewiseconstantvariance.cpp
piecewiseconstantvariance.hpp
pseudorootfacade.cpp
pseudorootfacade.hpp
volatilityinterpolationspecifier.hpp
volatilityinterpolationspecifierabcd.cpp
volatilityinterpolationspecifierabcd.hpp
► pathwisegreeks
bumpinstrumentjacobian.cpp
bumpinstrumentjacobian.hpp
ratepseudorootjacobian.cpp
ratepseudorootjacobian.hpp
swaptionpseudojacobian.cpp
swaptionpseudojacobian.hpp
vegabumpcluster.cpp
vegabumpcluster.hpp
► products
► multistep
callspecifiedmultiproduct.cpp
callspecifiedmultiproduct.hpp
cashrebate.cpp
cashrebate.hpp
exerciseadapter.cpp
exerciseadapter.hpp
multistepcoinitialswaps.cpp
multistepcoinitialswaps.hpp
multistepcoterminalswaps.cpp
multistepcoterminalswaps.hpp
multistepcoterminalswaptions.cpp
multistepcoterminalswaptions.hpp
multistepforwards.cpp
multistepforwards.hpp
multistepinversefloater.cpp
multistepinversefloater.hpp
multistepnothing.cpp
multistepnothing.hpp
multistepoptionlets.cpp
multistepoptionlets.hpp
multisteppathwisewrapper.cpp
multisteppathwisewrapper.hpp
multistepperiodcapletswaptions.cpp
multistepperiodcapletswaptions.hpp
multistepratchet.cpp
multistepratchet.hpp
multistepswap.cpp
multistepswap.hpp
multistepswaption.cpp
multistepswaption.hpp
multisteptarn.cpp
multisteptarn.hpp
► onestep
onestepcoinitialswaps.cpp
onestepcoinitialswaps.hpp
onestepcoterminalswaps.cpp
onestepcoterminalswaps.hpp
onestepforwards.cpp
onestepforwards.hpp
onestepoptionlets.cpp
onestepoptionlets.hpp
► pathwise
pathwiseproductcallspecified.cpp
pathwiseproductcallspecified.hpp
pathwiseproductcaplet.cpp
pathwiseproductcaplet.hpp
pathwiseproductcashrebate.cpp
pathwiseproductcashrebate.hpp
pathwiseproductinversefloater.cpp
pathwiseproductinversefloater.hpp
pathwiseproductswap.cpp
pathwiseproductswap.hpp
pathwiseproductswaption.cpp
pathwiseproductswaption.hpp
compositeproduct.cpp
compositeproduct.hpp
multiproductcomposite.cpp
multiproductcomposite.hpp
multiproductmultistep.cpp
multiproductmultistep.hpp
multiproductonestep.cpp
multiproductonestep.hpp
singleproductcomposite.cpp
singleproductcomposite.hpp
accountingengine.cpp
accountingengine.hpp
browniangenerator.hpp
constrainedevolver.hpp
curvestate.cpp
curvestate.hpp
discounter.cpp
discounter.hpp
duffsdeviceinnerproduct.hpp
evolutiondescription.cpp
evolutiondescription.hpp
evolver.hpp
forwardforwardmappings.cpp
forwardforwardmappings.hpp	Utility functions for mapping between forward rates of varying tenor
historicalforwardratesanalysis.hpp	Statistical analysis of historical forward rates
historicalratesanalysis.cpp
historicalratesanalysis.hpp	Statistical analysis of historical rates
marketmodel.cpp
marketmodel.hpp
marketmodeldifferences.cpp
marketmodeldifferences.hpp
multiproduct.hpp
pathwiseaccountingengine.cpp
pathwiseaccountingengine.hpp
pathwisediscounter.cpp
pathwisediscounter.hpp
pathwisemultiproduct.hpp
piecewiseconstantcorrelation.hpp
proxygreekengine.cpp
proxygreekengine.hpp
swapforwardmappings.cpp
swapforwardmappings.hpp	Utility functions for mapping between swap rate and forward rate
utilities.cpp
utilities.hpp
► shortrate
► calibrationhelpers
caphelper.cpp
caphelper.hpp	CapHelper calibration helper
swaptionhelper.cpp
swaptionhelper.hpp	Swaption calibration helper
► onefactormodels
blackkarasinski.cpp
blackkarasinski.hpp	Black-Karasinski model
coxingersollross.cpp
coxingersollross.hpp	Cox-Ingersoll-Ross model
extendedcoxingersollross.cpp
extendedcoxingersollross.hpp	Extended Cox-Ingersoll-Ross model
gaussian1dmodel.cpp
gaussian1dmodel.hpp	Basic interface for one factor interest rate models
gsr.cpp
gsr.hpp	GSR 1 factor model
hullwhite.cpp
hullwhite.hpp	Hull & White (HW) model
markovfunctional.cpp
markovfunctional.hpp	Markov Functional 1 Factor Model
vasicek.cpp
vasicek.hpp	Vasicek model class
► twofactormodels
g2.cpp
g2.hpp	Two-factor additive Gaussian Model G2++
onefactormodel.cpp
onefactormodel.hpp	Abstract one-factor interest rate model class
twofactormodel.cpp
twofactormodel.hpp	Abstract two-factor interest rate model class
► volatility
constantestimator.cpp
constantestimator.hpp	Constant volatility estimator
garch.cpp
garch.hpp	GARCH volatility model
garmanklass.hpp	Volatility estimators using high low data
simplelocalestimator.hpp	Constant volatility estimator
calibrationhelper.cpp
calibrationhelper.hpp	Calibration helper class
model.cpp
model.hpp	Abstract interest rate model class
parameter.hpp	Model parameter classes
► patterns
composite.hpp
curiouslyrecurring.hpp	Curiously recurring template pattern
lazyobject.hpp	Framework for calculation on demand and result caching
observable.cpp
observable.hpp	Observer/observable pattern
singleton.hpp	Basic support for the singleton pattern
visitor.hpp	Degenerate base class for the Acyclic Visitor pattern
► pricingengines
► asian
analytic_cont_geom_av_price.cpp
analytic_cont_geom_av_price.hpp	Analytic engine for continuous geometric average price Asian
analytic_discr_geom_av_price.cpp
analytic_discr_geom_av_price.hpp	Analytic engine for discrete geometric average price Asian
analytic_discr_geom_av_strike.cpp
analytic_discr_geom_av_strike.hpp	Analytic engine for discrete geometric average-strike Asian option
fdblackscholesasianengine.cpp
fdblackscholesasianengine.hpp	Finite-Differences Black Scholes arithmentic asian option engine
mc_discr_arith_av_price.cpp
mc_discr_arith_av_price.hpp	Monte Carlo engine for discrete arithmetic average price Asian
mc_discr_arith_av_price_heston.cpp
mc_discr_arith_av_price_heston.hpp	Heston MC engine for discrete arithmetic average price Asian
mc_discr_arith_av_strike.cpp
mc_discr_arith_av_strike.hpp	Monte Carlo engine for discrete arithmetic average-strike Asian
mc_discr_geom_av_price.cpp
mc_discr_geom_av_price.hpp	Monte Carlo engine for discrete geometric average price Asian
mc_discr_geom_av_price_heston.cpp
mc_discr_geom_av_price_heston.hpp	Heston MC engine for discrete geometric average price Asian
mcdiscreteasianenginebase.hpp	Monte Carlo pricing engine for discrete average Asians
turnbullwakemanasianengine.cpp
turnbullwakemanasianengine.hpp	Turnbull Wakeman moment-matching Asian option Engine
► barrier
analyticbarrierengine.cpp
analyticbarrierengine.hpp	Analytic barrier option engines
analyticbinarybarrierengine.cpp
analyticbinarybarrierengine.hpp	Analytic binary barrier (cash/asset or nothing plus in-the-money check) option engine
analyticdoublebarrierbinaryengine.cpp
analyticdoublebarrierbinaryengine.hpp	Analytic binary double barrier (one-touch double barrier) option engine
analyticdoublebarrierengine.cpp
analyticdoublebarrierengine.hpp	Analytic double barrier european option engines
binomialbarrierengine.hpp	Binomial Barrier option engine
discretizedbarrieroption.cpp
discretizedbarrieroption.hpp	Discretized barrier option
fdblackscholesbarrierengine.cpp
fdblackscholesbarrierengine.hpp	Finite-differences Black/Scholes barrier-option engine
fdblackscholesrebateengine.cpp
fdblackscholesrebateengine.hpp	Finite-differences Black/Scholes barrier option rebate helper engine
fdhestonbarrierengine.cpp
fdhestonbarrierengine.hpp	Finite-differences Heston barrier-option engine
fdhestondoublebarrierengine.cpp
fdhestondoublebarrierengine.hpp	Finite-Differences Heston double barrier option engine
fdhestonrebateengine.cpp
fdhestonrebateengine.hpp	Finite-differences Heston barrier-option rebate helper engine
mcbarrierengine.cpp
mcbarrierengine.hpp	Monte Carlo barrier option engines
► basket
fd2dblackscholesvanillaengine.cpp
fd2dblackscholesvanillaengine.hpp	Finite-Differences 2 dim Black Scholes vanilla option engine
kirkengine.cpp
kirkengine.hpp	Kirk formulae, due to Kirk (1995)
mcamericanbasketengine.cpp
mcamericanbasketengine.hpp	Least-square Monte Carlo engines
mceuropeanbasketengine.cpp
mceuropeanbasketengine.hpp	European basket MC Engine
stulzengine.cpp
stulzengine.hpp	2D European Basket formulae, due to Stulz (1982)
► bond
binomialconvertibleengine.hpp	Binomial engine for convertible bonds
bondfunctions.cpp
bondfunctions.hpp	Bond functions
discountingbondengine.cpp
discountingbondengine.hpp	Discounting bond engine
discretizedconvertible.cpp
discretizedconvertible.hpp	Discretized convertible
riskybondengine.cpp
riskybondengine.hpp	Risky bond engine
► capfloor
analyticcapfloorengine.cpp
analyticcapfloorengine.hpp	Analytic engine for caps/floors
bacheliercapfloorengine.cpp
bacheliercapfloorengine.hpp	Bachelier-Black-formula cap/floor engine
blackcapfloorengine.cpp
blackcapfloorengine.hpp	Black-formula cap/floor engine
discretizedcapfloor.cpp
discretizedcapfloor.hpp	Discretized cap/floor
gaussian1dcapfloorengine.cpp
gaussian1dcapfloorengine.hpp
mchullwhiteengine.cpp
mchullwhiteengine.hpp	Monte Carlo Hull-White engine for cap/floors
treecapfloorengine.cpp
treecapfloorengine.hpp	Numerical lattice engine for cap/floors
► cliquet
analyticcliquetengine.cpp
analyticcliquetengine.hpp	Analytic Cliquet engine
analyticperformanceengine.cpp
analyticperformanceengine.hpp	Analytic performance engine
mcperformanceengine.cpp
mcperformanceengine.hpp
► credit
integralcdsengine.cpp
integralcdsengine.hpp	Integral engine for credit default swaps
isdacdsengine.cpp
isdacdsengine.hpp	ISDA engine for credit default swaps
midpointcdsengine.cpp
midpointcdsengine.hpp	Mid-point engine for credit default swaps
► exotic
analyticamericanmargrabeengine.cpp
analyticamericanmargrabeengine.hpp	Analytic engine for American Margrabe option
analyticcomplexchooserengine.cpp
analyticcomplexchooserengine.hpp	Analytic engine for complex chooser option
analyticcompoundoptionengine.cpp
analyticcompoundoptionengine.hpp	Analytic compound option engines
analyticeuropeanmargrabeengine.cpp
analyticeuropeanmargrabeengine.hpp	Analytic engine for European Margrabe option
analyticsimplechooserengine.cpp
analyticsimplechooserengine.hpp	Analytic engine for simple chooser option
► forward
forwardengine.hpp	Forward (strike-resetting) vanilla-option engine
forwardperformanceengine.hpp	Forward (strike-resetting) performance vanilla-option engine
mcforwardeuropeanbsengine.cpp
mcforwardeuropeanbsengine.hpp	Monte Carlo engine for forward-starting strike-reset European options using BS process
mcforwardeuropeanhestonengine.cpp
mcforwardeuropeanhestonengine.hpp	Monte Carlo engine for forward-starting strike-reset European options using Heston-like process
mcforwardvanillaengine.hpp	Monte Carlo engine for forward-starting strike-reset vanilla options
mcvarianceswapengine.hpp	Monte Carlo variance-swap engine
replicatingvarianceswapengine.hpp	Replicating engine for variance swaps
► inflation
inflationcapfloorengines.cpp
inflationcapfloorengines.hpp	Inflation cap/floor engines
► lookback
analyticcontinuousfixedlookback.cpp
analyticcontinuousfixedlookback.hpp	Analytic engine for continuous fixed-strike lookback
analyticcontinuousfloatinglookback.cpp
analyticcontinuousfloatinglookback.hpp	Analytic engine for continuous floating-strike lookback
analyticcontinuouspartialfixedlookback.cpp
analyticcontinuouspartialfixedlookback.hpp	Analytic engine for continuous fixed-strike lookback
analyticcontinuouspartialfloatinglookback.cpp
analyticcontinuouspartialfloatinglookback.hpp	Analytic engine for continuous floating-strike lookback
mclookbackengine.cpp
mclookbackengine.hpp	Monte Carlo lookback fixed engines
► quanto
quantoengine.hpp	Quanto option engine
► swap
cvaswapengine.cpp
cvaswapengine.hpp
discountingswapengine.cpp
discountingswapengine.hpp	Discounting swap engine
discretizedswap.cpp
discretizedswap.hpp	Discretized swap class
treeswapengine.cpp
treeswapengine.hpp	Numerical lattice engine for swaps
► swaption
basketgeneratingengine.cpp
basketgeneratingengine.hpp	Base class for pricing engines capable of generating a calibration basket
blackswaptionengine.cpp
blackswaptionengine.hpp	Black-formula swaption engine
discretizedswaption.cpp
discretizedswaption.hpp	Discretized swaption class
fdg2swaptionengine.cpp
fdg2swaptionengine.hpp	Finite differences swaption engine
fdhullwhiteswaptionengine.cpp
fdhullwhiteswaptionengine.hpp	Finite differences swaption engine
g2swaptionengine.hpp	Swaption pricing engine for two-factor additive Gaussian Model G2++
gaussian1dfloatfloatswaptionengine.cpp
gaussian1dfloatfloatswaptionengine.hpp	Float float swaption engine for one factor interest rate models
gaussian1djamshidianswaptionengine.cpp
gaussian1djamshidianswaptionengine.hpp	Swaption engine using Jamshidian's decomposition
gaussian1dnonstandardswaptionengine.cpp
gaussian1dnonstandardswaptionengine.hpp
gaussian1dswaptionengine.cpp
gaussian1dswaptionengine.hpp
jamshidianswaptionengine.cpp
jamshidianswaptionengine.hpp	Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054
treeswaptionengine.cpp
treeswaptionengine.hpp	Numerical lattice engine for swaptions
► vanilla
analyticbsmhullwhiteengine.cpp
analyticbsmhullwhiteengine.hpp	Analytic Black-Scholes engines including stochastic interest rates
analyticcevengine.cpp
analyticcevengine.hpp	Pricing engine for European vanilla options using a constant elasticity of variance (CEV) model
analyticdigitalamericanengine.cpp
analyticdigitalamericanengine.hpp	Analytic digital American option engine
analyticdividendeuropeanengine.cpp
analyticdividendeuropeanengine.hpp	Analytic discrete-dividend European engine
analyticeuropeanengine.cpp
analyticeuropeanengine.hpp	Analytic European engine
analyticeuropeanvasicekengine.cpp
analyticeuropeanvasicekengine.hpp
analyticgjrgarchengine.cpp
analyticgjrgarchengine.hpp	Analytic GJR-GARCH-model engine
analytich1hwengine.cpp
analytich1hwengine.hpp	Analytic Heston-Hull-White engine based on the H1-HW approximation
analytichestonengine.cpp	Analytic Heston-Hull-White engine based on the H1-HW approximation
analytichestonengine.hpp	Analytic Heston-model engine
analytichestonhullwhiteengine.cpp
analytichestonhullwhiteengine.hpp	Analytic heston engine incl. stochastic interest rates
analyticptdhestonengine.cpp	Analytic piecewise time dependent Heston-model engine
analyticptdhestonengine.hpp	Analytic piecewise time dependent Heston-model engine
baroneadesiwhaleyengine.cpp
baroneadesiwhaleyengine.hpp	Barone-Adesi and Whaley approximation engine
batesengine.cpp
batesengine.hpp	Analytic Bates model engine
binomialengine.hpp	Binomial option engine
bjerksundstenslandengine.cpp
bjerksundstenslandengine.hpp	Bjerksund and Stensland approximation engine
coshestonengine.cpp
coshestonengine.hpp	Heston engine based on Fourier-Cosine series expansions
discretizedvanillaoption.cpp
discretizedvanillaoption.hpp	Discretized vanilla option
exponentialfittinghestonengine.cpp
exponentialfittinghestonengine.hpp	Analytic Heston-model engine based on exponential fitting
fdbatesvanillaengine.cpp	Partial Integro Finite-Differences Bates vanilla option engine
fdbatesvanillaengine.hpp	Partial integro finite-differences Bates vanilla option engine
fdblackscholesshoutengine.cpp
fdblackscholesshoutengine.hpp	Finite-Differences Black Scholes shout option engine
fdblackscholesvanillaengine.cpp
fdblackscholesvanillaengine.hpp	Finite-differences Black Scholes vanilla option engine
fdcevvanillaengine.cpp
fdcevvanillaengine.hpp	Finite-Differences pricing engine for the CEV model
fdcirvanillaengine.cpp
fdcirvanillaengine.hpp	Finite-differences CIR vanilla option engine
fdconditions.hpp
fddividendengine.hpp
fdhestonhullwhitevanillaengine.cpp
fdhestonhullwhitevanillaengine.hpp	Finite-differences Heston Hull-White vanilla option engine
fdhestonvanillaengine.cpp
fdhestonvanillaengine.hpp	Finite-differences Heston vanilla option engine
fdmultiperiodengine.hpp	Base engine for options with events happening at specific times
fdsabrvanillaengine.cpp
fdsabrvanillaengine.hpp	Finite-Differences pricing engine for the SABR model
fdsimplebsswingengine.cpp	Finite Differences Black-Scholes engine for simple swing options
fdsimplebsswingengine.hpp	Finite Differences Black-Scholes engine for simple swing options
fdstepconditionengine.hpp
fdvanillaengine.cpp
fdvanillaengine.hpp	Finite-differences vanilla-option engine
hestonexpansionengine.cpp
hestonexpansionengine.hpp	Analytic Heston expansion engine
integralengine.cpp
integralengine.hpp	Integral option engine
jumpdiffusionengine.cpp
jumpdiffusionengine.hpp	Jump diffusion (Merton 1976) engine
juquadraticengine.cpp
juquadraticengine.hpp	Ju quadratic (1999) approximation engine
mcamericanengine.cpp	Monte Carlo engine for vanilla american options
mcamericanengine.hpp	American Monte Carlo engine
mcdigitalengine.cpp
mcdigitalengine.hpp	Digital option Monte Carlo engine
mceuropeanengine.hpp	Monte Carlo European option engine
mceuropeangjrgarchengine.hpp	Monte Carlo GJR-GARCH-model engine for European options
mceuropeanhestonengine.hpp	Monte Carlo Heston-model engine for European options
mchestonhullwhiteengine.cpp
mchestonhullwhiteengine.hpp	Monte Carlo vanilla option engine for stochastic interest rates
mcvanillaengine.hpp	Monte Carlo vanilla option engine
qdfpamericanengine.cpp
qdfpamericanengine.hpp
qdplusamericanengine.cpp
qdplusamericanengine.hpp
americanpayoffatexpiry.cpp
americanpayoffatexpiry.hpp	Analytical formulae for american exercise with payoff at expiry
americanpayoffathit.cpp
americanpayoffathit.hpp	Analytical formulae for american exercise with payoff at hit
blackcalculator.cpp
blackcalculator.hpp	Black-formula calculator class
blackformula.cpp
blackformula.hpp	Black formula
blackscholescalculator.cpp
blackscholescalculator.hpp	Black-Scholes formula calculator class
genericmodelengine.hpp	Generic option engine based on a model
greeks.cpp
greeks.hpp	Default greek calculations
latticeshortratemodelengine.hpp	Engine for a short-rate model specialized on a lattice
mclongstaffschwartzengine.hpp	Longstaff Schwartz Monte Carlo engine for early exercise options
mcsimulation.hpp	Framework for Monte Carlo engines
► processes
batesprocess.cpp
batesprocess.hpp	Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size
blackscholesprocess.cpp
blackscholesprocess.hpp	Black-Scholes processes
coxingersollrossprocess.cpp
coxingersollrossprocess.hpp	CoxIngersollRoss process
endeulerdiscretization.cpp
endeulerdiscretization.hpp	Euler end-point discretization for stochastic processes
eulerdiscretization.cpp
eulerdiscretization.hpp	Euler discretization for stochastic processes
forwardmeasureprocess.cpp
forwardmeasureprocess.hpp	Forward-measure stochastic processes
g2process.cpp
g2process.hpp	G2 stochastic processes
geometricbrownianprocess.cpp
geometricbrownianprocess.hpp	Geometric Brownian-motion process
gjrgarchprocess.cpp
gjrgarchprocess.hpp	GJR-GARCH(1,1) stochastic process
gsrprocess.cpp
gsrprocess.hpp	GSR model process with piecewise volatilities and mean reversions, the dynamic is expressed in some T-forward measure. If a single value for the mean reversion is provided, it is assumed constant. Results are cached for performance reasons, so if parameters change you need to call flushCache() to avoid inconsistent results. For a derivation of the formulas, see http://ssrn.com/abstract=2246013
gsrprocesscore.cpp
gsrprocesscore.hpp	Core computations for the gsr process in risk neutral and T-forward measure
hestonprocess.cpp
hestonprocess.hpp	Heston stochastic process
hestonslvprocess.cpp	Heston stochastic local volatility process
hestonslvprocess.hpp	Heston stochastic local volatility process
hullwhiteprocess.cpp
hullwhiteprocess.hpp	Hull-White stochastic processes
hybridhestonhullwhiteprocess.cpp
hybridhestonhullwhiteprocess.hpp	Hybrid equity (heston model) with stochastic interest rates (hull white model)
jointstochasticprocess.cpp	Multi model process for hybrid products
jointstochasticprocess.hpp	Multi model process for hybrid products
merton76process.cpp
merton76process.hpp	Merton-76 process
mfstateprocess.cpp
mfstateprocess.hpp	State process for markov functional model
ornsteinuhlenbeckprocess.cpp
ornsteinuhlenbeckprocess.hpp	Ornstein-Uhlenbeck process
squarerootprocess.cpp
squarerootprocess.hpp	Square-root process
stochasticprocessarray.cpp
stochasticprocessarray.hpp	Array of correlated 1-D stochastic processes
► quotes
compositequote.hpp	Purely virtual base class for market observables
derivedquote.hpp	Market quote whose value depends on another quote
eurodollarfuturesquote.cpp
eurodollarfuturesquote.hpp	Quote for the Eurodollar-future implied standard deviation
forwardswapquote.cpp
forwardswapquote.hpp	Quote for a forward starting swap
forwardvaluequote.cpp
forwardvaluequote.hpp	Quote for the forward value of an index
futuresconvadjustmentquote.cpp
futuresconvadjustmentquote.hpp	Quote for the futures-convexity adjustment of an index
impliedstddevquote.cpp
impliedstddevquote.hpp	Quote for the implied standard deviation of an underlying
lastfixingquote.cpp
lastfixingquote.hpp	Quote for the last fixing available for a given index
simplequote.hpp	Simple quote class
► termstructures
► credit
defaultdensitystructure.cpp
defaultdensitystructure.hpp	Default-density term structure
defaultprobabilityhelpers.cpp
defaultprobabilityhelpers.hpp	Bootstrap helpers for default-probability term structures
flathazardrate.cpp
flathazardrate.hpp	Flat hazard-rate term structure
hazardratestructure.cpp
hazardratestructure.hpp	Hazard-rate term structure
interpolateddefaultdensitycurve.hpp	Interpolated default-density term structure
interpolatedhazardratecurve.hpp	Interpolated hazard-rate term structure
interpolatedsurvivalprobabilitycurve.hpp	Interpolated survival-probability term structure
piecewisedefaultcurve.hpp	Piecewise-interpolated default-probability structure
probabilitytraits.hpp	Default-probability bootstrap traits
survivalprobabilitystructure.cpp
survivalprobabilitystructure.hpp	Survival-probability term structure
► inflation
inflationhelpers.cpp
inflationhelpers.hpp	Bootstrap helpers for inflation term structures
inflationtraits.hpp	Inflation bootstrap traits
interpolatedyoyinflationcurve.hpp	Inflation term structure based on the interpolation of year-on-year rates
interpolatedzeroinflationcurve.hpp	Inflation term structure based on the interpolation of zero rates
piecewiseyoyinflationcurve.hpp	Piecewise year-on-year inflation term structure
piecewisezeroinflationcurve.hpp	Piecewise zero-inflation term structure
seasonality.cpp
seasonality.hpp
► volatility
► capfloor
capfloortermvolatilitystructure.cpp
capfloortermvolatilitystructure.hpp	Cap/floor term-volatility structure
capfloortermvolcurve.cpp
capfloortermvolcurve.hpp	Cap/floor at-the-money term-volatility curve
capfloortermvolsurface.cpp
capfloortermvolsurface.hpp	Cap/floor smile volatility surface
constantcapfloortermvol.cpp
constantcapfloortermvol.hpp	Constant cap/floor term volatility
► equityfx
andreasenhugelocalvoladapter.cpp
andreasenhugelocalvoladapter.hpp	Implements the LocalVolTermStructure interface based on a Andreasen-Huge volatility interpolation
andreasenhugevolatilityadapter.cpp
andreasenhugevolatilityadapter.hpp	Implements the BlackVolTermStructure interface based on a Andreasen-Huge volatility interpolation
andreasenhugevolatilityinterpl.cpp
andreasenhugevolatilityinterpl.hpp	Andreasen-Huge local volatility calibration and interpolation
blackconstantvol.hpp	Black constant volatility, no time dependence, no strike dependence
blackvariancecurve.cpp
blackvariancecurve.hpp	Black volatility curve modelled as variance curve
blackvariancesurface.cpp
blackvariancesurface.hpp	Black volatility surface modelled as variance surface
blackvoltermstructure.cpp
blackvoltermstructure.hpp	Black volatility term structure base classes
fixedlocalvolsurface.cpp
fixedlocalvolsurface.hpp	Local volatility surface based on fixed values plus interpolation
gridmodellocalvolsurface.cpp
gridmodellocalvolsurface.hpp	Parameterized volatility surface useful for model calibration
hestonblackvolsurface.cpp
hestonblackvolsurface.hpp	Black volatility surface back by Heston model
impliedvoltermstructure.hpp	Implied Black Vol Term Structure
localconstantvol.hpp	Local constant volatility, no time dependence, no asset dependence
localvolcurve.hpp	Local volatility curve derived from a Black curve
localvolsurface.cpp
localvolsurface.hpp	Local volatility surface derived from a Black vol surface
localvoltermstructure.cpp
localvoltermstructure.hpp	Local volatility term structure base class
noexceptlocalvolsurface.hpp	Wrapper around Dupire local volatility surface, which does not throw exception if local volatility becomes negative
► inflation
constantcpivolatility.cpp
constantcpivolatility.hpp	Constant CPI volatility structure
cpivolatilitystructure.cpp
cpivolatilitystructure.hpp	Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
yoyinflationoptionletvolatilitystructure.cpp
yoyinflationoptionletvolatilitystructure.hpp	Yoy inflation volatility structures
► optionlet
capletvariancecurve.hpp	Caplet variance curve
constantoptionletvol.cpp
constantoptionletvol.hpp	Constant caplet/floorlet volatility
optionletstripper.cpp
optionletstripper.hpp	Optionlet (caplet/floorlet) volatility stripper
optionletstripper1.cpp
optionletstripper1.hpp	Optionlet (caplet/floorlet) volatility stripper
optionletstripper2.cpp
optionletstripper2.hpp	Optionlet (caplet/floorlet) volatility stripper
optionletvolatilitystructure.cpp
optionletvolatilitystructure.hpp	Optionlet (caplet/floorlet) volatility structure
spreadedoptionletvol.cpp
spreadedoptionletvol.hpp	Spreaded caplet/floorlet volatility
strippedoptionlet.cpp
strippedoptionlet.hpp
strippedoptionletadapter.cpp
strippedoptionletadapter.hpp	StrippedOptionlet Adapter
strippedoptionletbase.hpp
► swaption
cmsmarket.cpp
cmsmarket.hpp	Set of CMS quotes
cmsmarketcalibration.cpp
cmsmarketcalibration.hpp
gaussian1dswaptionvolatility.cpp
gaussian1dswaptionvolatility.hpp	Swaption volatility implied by a gaussian 1d model
interpolatedswaptionvolatilitycube.cpp
interpolatedswaptionvolatilitycube.hpp	Swaption volatility cube, fit-later-interpolate-early approach
sabrswaptionvolatilitycube.hpp	Swaption volatility cube, fit-early-interpolate-later approach The provided types are SabrSwaptionVolatilityCube using the classic Hagan 2002 Sabr formula NoArbSabrSwaptionVolatilityCube using the No Arbitrage Sabr model (Doust)
spreadedswaptionvol.cpp
spreadedswaptionvol.hpp	Spreaded swaption volatility
swaptionconstantvol.cpp
swaptionconstantvol.hpp	Constant swaption volatility
swaptionvolcube.cpp
swaptionvolcube.hpp	Swaption volatility cube
swaptionvoldiscrete.cpp
swaptionvoldiscrete.hpp	Discretized swaption volatility
swaptionvolmatrix.cpp
swaptionvolmatrix.hpp	Swaption at-the-money volatility matrix
swaptionvolstructure.cpp
swaptionvolstructure.hpp	Swaption volatility structure
abcd.cpp
abcd.hpp
abcdcalibration.cpp
abcdcalibration.hpp
atmadjustedsmilesection.cpp
atmadjustedsmilesection.hpp	Smile section that allows for alternate specification of atm level and recentering the source volatility accordingly
atmsmilesection.cpp
atmsmilesection.hpp	Smile section that allows for explicit / alternate specification of atm level
flatsmilesection.cpp
flatsmilesection.hpp	Flat SmileSection
gaussian1dsmilesection.cpp
gaussian1dsmilesection.hpp	Smile section generated by a gaussian 1d model
interpolatedsmilesection.hpp	Interpolated smile section class
kahalesmilesection.cpp
kahalesmilesection.hpp	Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all. Input smile sections with a shift are handled accordingly, normal input smile section are not possible though
sabr.cpp
sabr.hpp	SABR functions
sabrinterpolatedsmilesection.cpp
sabrinterpolatedsmilesection.hpp	Interpolated smile section class
sabrsmilesection.cpp
sabrsmilesection.hpp	Sabr smile section class
smilesection.cpp
smilesection.hpp	Smile section base class
smilesectionutils.cpp
smilesectionutils.hpp	Additional utilities for smile sections
spreadedsmilesection.cpp
spreadedsmilesection.hpp	Spreaded SmileSection class
volatilitytype.hpp	Volatility types
► yield
bondhelpers.cpp
bondhelpers.hpp	Bond rate helpers
bootstraptraits.hpp	Bootstrap traits
compositezeroyieldstructure.hpp	Composite zero term structure
discountcurve.hpp	Interpolated discount factor structure
drifttermstructure.hpp
fittedbonddiscountcurve.cpp
fittedbonddiscountcurve.hpp	Discount curve fitted to a set of bonds
flatforward.cpp
flatforward.hpp	Flat forward rate term structure
forwardcurve.hpp	Interpolated forward-rate structure
forwardspreadedtermstructure.hpp	Forward-spreaded term structure
forwardstructure.cpp
forwardstructure.hpp	Forward-based yield term structure
impliedtermstructure.hpp	Implied term structure
interpolatedsimplezerocurve.hpp	Interpolated simply-compounded zero-rates structure
nonlinearfittingmethods.cpp
nonlinearfittingmethods.hpp	Nonlinear methods to fit a bond discount function
oisratehelper.cpp
oisratehelper.hpp	Overnight Indexed Swap (aka OIS) rate helpers
overnightindexfutureratehelper.cpp
overnightindexfutureratehelper.hpp	Overnight Index Future bootstrap helper
piecewiseyieldcurve.hpp	Piecewise-interpolated term structure
piecewisezerospreadedtermstructure.hpp	Piecewise-zero-spreaded term structure
quantotermstructure.hpp	Quanto term structure
ratehelpers.cpp
ratehelpers.hpp	Deposit, FRA, futures, and various swap rate helpers
ultimateforwardtermstructure.hpp	Ultimate Forward Rate term structure
zerocurve.hpp	Interpolated zero-rates structure
zerospreadedtermstructure.hpp	Zero spreaded term structure
zeroyieldstructure.cpp
zeroyieldstructure.hpp	Zero-yield based term structure
bootstraperror.hpp	Boostrap error
bootstraphelper.hpp	Base helper class used for bootstrapping
defaulttermstructure.cpp
defaulttermstructure.hpp	Default-probability term structure
globalbootstrap.hpp	Global bootstrap, with additional restrictions
inflationtermstructure.cpp
inflationtermstructure.hpp	Base classes for inflation term structures
interpolatedcurve.hpp	Helper class to build interpolated term structures
iterativebootstrap.hpp	Universal piecewise-term-structure boostrapper
localbootstrap.hpp	Localised-term-structure bootstrapper for most curve types
voltermstructure.cpp
voltermstructure.hpp	Volatility term structure
yieldtermstructure.cpp
yieldtermstructure.hpp	Interest-rate term structure
► time
► calendars
argentina.cpp
argentina.hpp	Argentinian calendars
australia.cpp
australia.hpp	Australian calendar
austria.cpp
austria.hpp	Austrian calendars
bespokecalendar.cpp
bespokecalendar.hpp	Bespoke calendar
botswana.cpp
botswana.hpp	Botswana calendar
brazil.cpp
brazil.hpp	Brazilian calendar
canada.cpp
canada.hpp	Canadian calendar
chile.cpp
chile.hpp	Chilean calendars
china.cpp
china.hpp	Chinese calendar
czechrepublic.cpp
czechrepublic.hpp	Czech calendars
denmark.cpp
denmark.hpp	Danish calendar
finland.cpp
finland.hpp	Finnish calendar
france.cpp
france.hpp	French calendars
germany.cpp
germany.hpp	German calendars
hongkong.cpp
hongkong.hpp	Hong Kong calendars
hungary.cpp
hungary.hpp	Hungarian calendar
iceland.cpp
iceland.hpp	Icelandic calendars
india.cpp
india.hpp	Indian calendars
indonesia.cpp
indonesia.hpp	Indonesian calendars
israel.cpp
israel.hpp	Israelian calendar
italy.cpp
italy.hpp	Italian calendars
japan.cpp
japan.hpp	Japanese calendar
jointcalendar.cpp
jointcalendar.hpp	Joint calendar
mexico.cpp
mexico.hpp	Mexican calendars
newzealand.cpp
newzealand.hpp	New Zealand calendar
norway.cpp
norway.hpp	Norwegian calendar
nullcalendar.hpp	Calendar for reproducing theoretical calculations
poland.cpp
poland.hpp	Polish calendar
romania.cpp
romania.hpp	Romanian calendar
russia.cpp
russia.hpp	Russian calendar
saudiarabia.cpp
saudiarabia.hpp	Saudi Arabian calendar
singapore.cpp
singapore.hpp	Singapore calendars
slovakia.cpp
slovakia.hpp	Slovak calendars
southafrica.cpp
southafrica.hpp	South-African calendar
southkorea.cpp
southkorea.hpp	South Korean calendars
sweden.cpp
sweden.hpp	Swedish calendar
switzerland.cpp
switzerland.hpp	Swiss calendar
taiwan.cpp
taiwan.hpp	Taiwanese calendars
target.cpp
target.hpp	TARGET calendar
thailand.cpp
thailand.hpp	Thailand calendars
turkey.cpp
turkey.hpp	Turkish calendar
ukraine.cpp
ukraine.hpp	Ukrainian calendars
unitedkingdom.cpp
unitedkingdom.hpp	UK calendars
unitedstates.cpp
unitedstates.hpp	US calendars
weekendsonly.cpp
weekendsonly.hpp	Weekends-only calendar
► daycounters
actual360.hpp	Act/360 day counter
actual364.hpp	Actual/364 day counter
actual36525.hpp	Act/365.25 day counter
actual365fixed.cpp
actual365fixed.hpp	Actual/365 (Fixed) day counter
actual366.hpp	Act/366 day counter
actualactual.cpp
actualactual.hpp	Act/act day counters
business252.cpp
business252.hpp	Business/252 day counter
one.hpp	1/1 day counter
simpledaycounter.cpp
simpledaycounter.hpp	Simple day counter for reproducing theoretical calculations
thirty360.cpp
thirty360.hpp	30/360 day counters
thirty365.cpp
thirty365.hpp	30/365 day counters
yearfractiontodate.cpp
yearfractiontodate.hpp	"inverse" of a daycounter
asx.cpp
asx.hpp	ASX-related date functions
businessdayconvention.cpp
businessdayconvention.hpp	BusinessDayConvention enumeration
calendar.cpp
calendar.hpp	calendar class
date.cpp
date.hpp	Date- and time-related classes, typedefs and enumerations
dategenerationrule.cpp
dategenerationrule.hpp	Date generation rule
daycounter.hpp	Day counter class
ecb.cpp
ecb.hpp	European Central Bank reserve maintenance date functions
frequency.cpp
frequency.hpp	Frequency enumeration
imm.cpp
imm.hpp	IMM-related date functions
period.cpp
period.hpp	Period- and frequency-related classes and enumerations
schedule.cpp
schedule.hpp	Date schedule
timeunit.cpp
timeunit.hpp	TimeUnit enumeration
weekday.cpp
weekday.hpp	Weekday enumeration
► utilities
clone.hpp	Cloning proxy to an underlying object
dataformatters.cpp
dataformatters.hpp	Output manipulators
dataparsers.cpp
dataparsers.hpp	Classes used to parse data for input
null.hpp	Null values
null_deleter.hpp	Empty deleter for shared_ptr
observablevalue.hpp	Observable and assignable proxy to concrete value
steppingiterator.hpp	Iterator advancing in constant steps
tracing.cpp
tracing.hpp	Tracing facilities
vectors.hpp	Utilities for vector manipulation
any.hpp	Maps any to either the boost or std implementation
auto_link.hpp
cashflow.cpp
cashflow.hpp	Base class for cash flows
compounding.hpp	Compounding enumeration
config.ansi.hpp
config.mingw.hpp
config.sun.hpp
currency.cpp
currency.hpp	Currency specification
default.hpp	Classes for default-event handling
discretizedasset.cpp
discretizedasset.hpp	Discretized asset classes
errors.cpp
errors.hpp	Classes and functions for error handling
event.cpp
event.hpp	Base class for events associated with a given date
exchangerate.cpp
exchangerate.hpp	Exchange rate between two currencies
exercise.cpp
exercise.hpp	Option exercise classes and payoff function
functional.hpp	Maps function, bind and cref to either the boost or std implementation
grid.hpp	Grid constructors
handle.hpp	Globally accessible relinkable pointer
index.cpp
index.hpp	Virtual base class for indexes
instrument.cpp
instrument.hpp	Abstract instrument class
interestrate.cpp
interestrate.hpp	Instrument rate class
mathconstants.hpp
money.cpp
money.hpp	Cash amount in a given currency
numericalmethod.hpp	Numerical method class
option.hpp	Base option class
optional.cpp
optional.hpp	Maps optional to either the boost or std implementation
payoff.hpp	Option payoff classes
position.cpp
position.hpp	Short or long position
prices.cpp
prices.hpp	Price classes
pricingengine.hpp	Base class for pricing engines
qldefines.hpp	Global definitions and compiler switches
quantlib.hpp
quote.hpp	Purely virtual base class for market observables
rebatedexercise.cpp
rebatedexercise.hpp	Option exercise with rebate payments
settings.cpp
settings.hpp	Global repository for run-time library settings
shared_ptr.hpp	Maps shared_ptr to either the boost or std implementation
stochasticprocess.cpp
stochasticprocess.hpp	Stochastic processes
termstructure.cpp
termstructure.hpp	Base class for term structures
timegrid.cpp
timegrid.hpp	Discrete time grid
timeseries.hpp	Container for historical data
tuple.hpp	Maps tuple to either the boost or std implementation
types.hpp	Custom types
userconfig.hpp
version.cpp
version.hpp	Version number, and version of boost the library is compiled with
volatilitymodel.hpp	Volatility term structures