QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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- g -
G() :
GsrProcessCore
,
GsrProcess
g() :
NormalCLVModel
,
SquareRootCLVModel
,
TwoDimensionalIntegral
g1() :
AnalyticPartialTimeBarrierOptionEngine
g2() :
AnalyticPartialTimeBarrierOptionEngine
G2() :
G2
G2ForwardProcess() :
G2ForwardProcess
G2Process() :
G2Process
G2SwaptionEngine() :
G2SwaptionEngine
g3() :
AnalyticPartialTimeBarrierOptionEngine
g4() :
AnalyticPartialTimeBarrierOptionEngine
GalambosCopula() :
GalambosCopula
GallonUnitOfMeasure() :
GallonUnitOfMeasure
gamma() :
AmericanPayoffAtHit
,
BlackCalculator
,
BlackScholesCalculator
,
GJRGARCHModel
,
GJRGARCHProcess
,
MultiAssetOption
,
OneAssetOption
,
ZabrInterpolatedSmileSection< Evaluation >
,
ZabrInterpolation< Evaluation >
,
ZabrModel
gamma1() :
MargrabeOption
gamma2() :
MargrabeOption
gammaAt() :
FdmBatesSolver
,
FdmBlackScholesSolver
,
FdmCIRSolver
,
FdmHestonHullWhiteSolver
,
FdmHestonSolver
,
FdmSimple2dBSSolver
gammaForward() :
BlackCalculator
gammaFunc() :
KernelInterpolation2DImpl< I1, I2, M, Kernel >
,
KernelInterpolationImpl< I1, I2, Kernel >
gammaXat() :
Fdm2dBlackScholesSolver
gammaXYat() :
Fdm2dBlackScholesSolver
gammaYat() :
Fdm2dBlackScholesSolver
gap() :
DigitalReplication
GapPayoff() :
GapPayoff
Garch11() :
Garch11
GarmanKlassAbstract() :
GarmanKlassAbstract
GarmanKlassOpenClose() :
GarmanKlassOpenClose< T >
GarmanKlassSigma1() :
GarmanKlassSigma1
GarmanKlassSigma3() :
GarmanKlassSigma3
GarmanKlassSigma4() :
GarmanKlassSigma4
GarmanKlassSigma5() :
GarmanKlassSigma5
GarmanKlassSigma6() :
GarmanKlassSigma6
GarmanKlassSimpleSigma() :
GarmanKlassSimpleSigma
GarmanKohlagenProcess() :
GarmanKohlagenProcess
gaussChebyshev() :
AnalyticHestonEngine::Integration
gaussChebyshev2nd() :
AnalyticHestonEngine::Integration
GaussChebyshev2ndIntegration() :
GaussChebyshev2ndIntegration
GaussChebyshev2ndPolynomial() :
GaussChebyshev2ndPolynomial
GaussChebyshevIntegration() :
GaussChebyshevIntegration
GaussChebyshevPolynomial() :
GaussChebyshevPolynomial
GaussGegenbauerIntegration() :
GaussGegenbauerIntegration
GaussGegenbauerPolynomial() :
GaussGegenbauerPolynomial
GaussHermiteIntegration() :
GaussHermiteIntegration
GaussHermitePolynomial() :
GaussHermitePolynomial
GaussHyperbolicIntegration() :
GaussHyperbolicIntegration
Gaussian1dCapFloorEngine() :
Gaussian1dCapFloorEngine
Gaussian1dFloatFloatSwaptionEngine() :
Gaussian1dFloatFloatSwaptionEngine
Gaussian1dJamshidianSwaptionEngine() :
Gaussian1dJamshidianSwaptionEngine
Gaussian1dModel() :
Gaussian1dModel
Gaussian1dNonstandardSwaptionEngine() :
Gaussian1dNonstandardSwaptionEngine
Gaussian1dSmileSection() :
Gaussian1dSmileSection
Gaussian1dSwaptionEngine() :
Gaussian1dSwaptionEngine
Gaussian1dSwaptionVolatility() :
Gaussian1dSwaptionVolatility
gaussianAverageShortfall() :
GenericGaussianStatistics< Stat >
,
GenericSequenceStatistics< StatisticsType >
GaussianCopula() :
GaussianCopula
GaussianCopulaPolicy() :
GaussianCopulaPolicy
gaussianDownsideDeviation() :
GenericGaussianStatistics< Stat >
gaussianDownsideVariance() :
GenericGaussianStatistics< Stat >
gaussianExpectedShortfall() :
GenericGaussianStatistics< Stat >
,
GenericSequenceStatistics< StatisticsType >
GaussianKernel() :
GaussianKernel
GaussianLHPLossModel() :
GaussianLHPLossModel
gaussianPercentile() :
GenericGaussianStatistics< Stat >
,
GenericSequenceStatistics< StatisticsType >
gaussianPolynomialIntegral() :
Gaussian1dModel
gaussianPotentialUpside() :
GenericGaussianStatistics< Stat >
,
GenericSequenceStatistics< StatisticsType >
GaussianQuadMultidimIntegrator() :
GaussianQuadMultidimIntegrator
GaussianQuadrature() :
GaussianQuadrature
GaussianQuadratureIntegrator() :
GaussianQuadratureIntegrator< Integration >
GaussianRandomDefaultModel() :
GaussianRandomDefaultModel
gaussianRegret() :
GenericGaussianStatistics< Stat >
gaussianShiftedPolynomialIntegral() :
Gaussian1dModel
gaussianShortfall() :
GenericGaussianStatistics< Stat >
,
GenericSequenceStatistics< StatisticsType >
gaussianTopPercentile() :
GenericGaussianStatistics< Stat >
gaussianValueAtRisk() :
GenericGaussianStatistics< Stat >
,
GenericSequenceStatistics< StatisticsType >
GaussianWalk() :
GaussianWalk
GaussJacobiIntegration() :
GaussJacobiIntegration
GaussJacobiPolynomial() :
GaussJacobiPolynomial
gaussKronrod() :
AnalyticHestonEngine::Integration
GaussKronrodAdaptive() :
GaussKronrodAdaptive
GaussKronrodNonAdaptive() :
GaussKronrodNonAdaptive
gaussLaguerre() :
AnalyticHestonEngine::Integration
GaussLaguerreCosinePolynomial() :
GaussLaguerreCosinePolynomial< mp_real >
GaussLaguerreIntegration() :
GaussLaguerreIntegration
GaussLaguerrePolynomial() :
GaussLaguerrePolynomial
GaussLaguerreSinePolynomial() :
GaussLaguerreSinePolynomial< mp_real >
GaussLaguerreTrigonometricBase() :
GaussLaguerreTrigonometricBase< mp_real >
gaussLegendre() :
AnalyticHestonEngine::Integration
GaussLegendreIntegration() :
GaussLegendreIntegration
GaussLegendrePolynomial() :
GaussLegendrePolynomial
gaussLobatto() :
AnalyticHestonEngine::Integration
GaussLobattoIntegral() :
GaussLobattoIntegral
GaussNonCentralChiSquaredPolynomial() :
GaussNonCentralChiSquaredPolynomial
GBPCurrency() :
GBPCurrency
GBPLibor() :
GBPLibor
GBPLiborON() :
GBPLiborON
GbpLiborSwapIsdaFix() :
GbpLiborSwapIsdaFix
GBSMRNDCalculator() :
GBSMRNDCalculator
gearing() :
EquityTotalReturnSwap
,
FloatingRateCoupon
,
NonstandardSwap
,
YoYInflationCoupon
gearing1() :
FloatFloatSwap
,
SwapSpreadIndex
gearing2() :
FloatFloatSwap
,
SwapSpreadIndex
gearings() :
NonstandardSwap
GELCurrency() :
GELCurrency
GemanRoncoroniProcess() :
GemanRoncoroniProcess
GeneralizedBlackScholesProcess() :
GeneralizedBlackScholesProcess
GeneralizedHullWhite() :
GeneralizedHullWhite
GeneralizedOrnsteinUhlenbeckProcess() :
GeneralizedOrnsteinUhlenbeckProcess
GeneralLinearLeastSquares() :
GeneralLinearLeastSquares
GeneralStatistics() :
GeneralStatistics
generateArguments() :
BatesModel
,
CalibratedModel
,
ExtendedCoxIngersollRoss
,
G2
,
Gaussian1dModel
,
GeneralizedHullWhite
,
GJRGARCHModel
,
GridModelLocalVolSurface
,
Gsr
,
HestonModel
,
HullWhite
,
LmConstWrapperCorrelationModel
,
LmConstWrapperVolatilityModel
,
LmCorrelationModel
,
LmExponentialCorrelationModel
,
LmFixedVolatilityModel
,
LmLinearExponentialCorrelationModel
,
LmLinearExponentialVolatilityModel
,
LmVolatilityModel
,
MarkovFunctional
,
VarianceGammaModel
generateBeta() :
BetaRiskSimulation
generateNextIntSequence() :
FaureRsg
generateOperator() :
PdeSecondOrderParabolic
GenericCPI() :
GenericCPI
GenericGaussianStatistics() :
GenericGaussianStatistics< Stat >
GenericModelEngine() :
GenericModelEngine< ModelType, ArgumentsType, ResultsType >
GenericRegion() :
GenericRegion
GenericSequenceStatistics() :
GenericSequenceStatistics< StatisticsType >
GenericTimeSetter() :
GenericTimeSetter< PdeClass >
GeometricAPOHestonPathPricer() :
GeometricAPOHestonPathPricer
GeometricAPOPathPricer() :
GeometricAPOPathPricer
GeometricBrownianMotionProcess() :
GeometricBrownianMotionProcess
Germany() :
Germany
get() :
BernsteinPolynomial
,
Factorial
,
FdmHestonGreensFct
,
PascalTriangle
,
Pool
,
PrimeNumbers
,
SeedGenerator
get_time() :
TimeSeries< T, Container >
get_value() :
TimeSeries< T, Container >
getABCD() :
PiecewiseConstantAbcdVariance
getAllOnePercentBumps() :
VolatilityBumpInstrumentJacobian
getArguments() :
GenericEngine< ArgumentsType, ResultsType >
,
PricingEngine
getAssetValue() :
AdaptedPathPayoff::ValuationData
getBasisAsRowsInMatrix() :
BasisIncompleteOrdered
getBumps() :
RatePseudoRootJacobian
,
RatePseudoRootJacobianAllElements
,
RatePseudoRootJacobianNumerical
getCacheValue() :
AndreasenHugeVolatilityInterpl
getCoeff() :
FdmSquareRootFwdOp
getCoeffLog() :
FdmSquareRootFwdOp
getCoeffPlain() :
FdmSquareRootFwdOp
getCoeffPower() :
FdmSquareRootFwdOp
getCrossoverMask() :
DifferentialEvolution
getDividendTime() :
FDMultiPeriodEngine< Scheme >
getEventRecovery() :
RandomDefaultLM< copulaPolicy, USNG >
,
RandomLM< derivedRandomLM, copulaPolicy, USNG >
,
RandomLossLM< copulaPolicy, USNG >
getExerciseBoundaryToPriceIntegrator() :
QdFpIterationScheme
,
QdFpLegendreScheme
,
QdFpLegendreTanhSinhScheme
,
QdFpTanhSinhIterationScheme
getExerciseTimeIdx() :
AndreasenHugeVolatilityInterpl
getExistingHelpers() :
ConvexMonotoneInterpolation< I1, I2 >
,
ConvexMonotoneImpl< I1, I2 >
getExtendedOrnsteinUhlenbeckProcess() :
ExtOUWithJumpsProcess
getExtOUProcess() :
KlugeExtOUProcess
getFactors() :
MarketModelPathwiseDiscounter
getFdm1dMeshers() :
FdmMesherComposite
getFixedPointIntegrator() :
QdFpIterationScheme
,
QdFpLegendreScheme
,
QdFpTanhSinhIterationScheme
getForwardMeasureTime() :
ForwardMeasureProcess1D
,
ForwardMeasureProcess
getHistory() :
IndexManager
getIndices() :
FdmIndicesOnBoundary
getInfo() :
LevenbergMarquardt
getInitTraits() :
GaussianCopulaPolicy
,
TCopulaPolicy
getInputBumps() :
VolatilityBumpInstrumentJacobian
getIntegration() :
GaussianQuadratureIntegrator< Integration >
getKlugeProcess() :
KlugeExtOUProcess
getL() :
FdmHestonEquityPart
getLeverageFctSlice() :
FdmHestonEquityPart
,
FdmHestonFwdOp
getLocalVolSlice() :
AndreasenHugeVolatilityInterpl
getLowerAssetBorderForStressTest() :
VegaStressedBlackScholesProcess
getLowerTimeBorderForStressTest() :
VegaStressedBlackScholesProcess
getMap() :
FdmCIREquityPart
,
FdmCIRMixedPart
,
FdmCIRRatesPart
,
FdmHestonEquityPart
,
FdmHestonHullWhiteEquityPart
,
FdmHestonVariancePart
,
FdmZabrUnderlyingPart
,
FdmZabrVolatilityPart
getMutationProbabilities() :
DifferentialEvolution
getNoBigRates() :
VolatilityInterpolationSpecifier
,
VolatilityInterpolationSpecifierabcd
getNoSmallRates() :
VolatilityInterpolationSpecifier
,
VolatilityInterpolationSpecifierabcd
getNumberOfChebyshevInterpolationNodes() :
QdFpIterationScheme
,
QdFpLegendreScheme
,
QdFpTanhSinhIterationScheme
getNumberOfJacobiNewtonFixedPointSteps() :
QdFpIterationScheme
,
QdFpLegendreScheme
,
QdFpTanhSinhIterationScheme
getNumberOfNaiveFixedPointSteps() :
QdFpIterationScheme
,
QdFpLegendreScheme
,
QdFpTanhSinhIterationScheme
getOffset() :
VolatilityInterpolationSpecifier
,
VolatilityInterpolationSpecifierabcd
getOriginalResults() :
ForwardPerformanceVanillaEngine< Engine >
,
ForwardVanillaEngine< Engine >
getPaymentDate() :
PaymentTerm
getPeriod() :
VolatilityInterpolationSpecifier
,
VolatilityInterpolationSpecifierabcd
getPriceSlice() :
AndreasenHugeVolatilityInterpl
getPutExerciseBoundary() :
QdPlusAmericanEngine
getResidualTime() :
FDVanillaEngine
getResults() :
GenericEngine< ArgumentsType, ResultsType >
,
PricingEngine
getRule() :
LatticeRule
getSim() :
RandomLM< derivedRandomLM, copulaPolicy, USNG >
getSolverDesc() :
FdCIRVanillaEngine
,
FdHestonVanillaEngine
getState() :
FdmAffineModelSwapInnerValue< ModelType >
getStressLevel() :
VegaStressedBlackScholesProcess
getSwaptionVolatilityMatrix() :
LiborForwardModel
getTime() :
FdmSnapshotCondition
,
Pool
getUpdatedDirection() :
BFGS
,
ConjugateGradient
,
LineSearchBasedMethod
,
SteepestDescent
getUpperAssetBorderForStressTest() :
VegaStressedBlackScholesProcess
getUpperTimeBorderForStressTest() :
VegaStressedBlackScholesProcess
getValues() :
FdmSnapshotCondition
GetVector() :
OrthogonalProjections
GetVegaBumps() :
OrthogonalizedBumpFinder
getYieldTermStructure() :
AdaptedPathPayoff::ValuationData
GFunctionExactYield() :
GFunctionFactory::GFunctionExactYield
GFunctionFactory() :
GFunctionFactory
GFunctionStandard() :
GFunctionFactory::GFunctionStandard
GFunctionWithShifts() :
GFunctionFactory::GFunctionWithShifts
gFunctionWithShifts() :
GFunctionFactory::GFunctionWithShifts::ObjectiveFunction
GHSCurrency() :
GHSCurrency
GJRGARCHModel() :
GJRGARCHModel
GJRGARCHProcess() :
GJRGARCHProcess
GlobalBootstrap() :
GlobalBootstrap< Curve >
Glued1dMesher() :
Glued1dMesher
GMRES() :
GMRES
GoldsteinLineSearch() :
GoldsteinLineSearch
gracePeriod() :
FailureToPay
gradient() :
CostFunction
,
LeastSquareFunction
,
Problem
gradientEvaluation() :
Problem
gradientNormEpsilon() :
EndCriteria
gradientNormValue() :
Problem
GRDCurrency() :
GRDCurrency
grid() :
FDVanillaEngine
,
Lattice
,
SampledCurve
,
TransformedGrid
,
TreeLattice1D< Impl >
,
TreeLattice2D< Impl, T >
gridArray() :
TransformedGrid
GridModelLocalVolSurface() :
GridModelLocalVolSurface
gridValue() :
SampledCurve
growthOnly() :
CPIBond
,
IndexedCashFlow
Gsr() :
Gsr
GsrG() :
LinearTsrPricer
GsrProcess() :
GsrProcess
GsrProcessCore() :
GsrProcessCore
guess() :
AffineHazardRate
,
DefaultDensity
,
NoArbSabrSpecs
,
SABRSpecs
,
SviSpecs
,
ZabrSpecs< Evaluation >
,
Discount
,
ForwardRate
,
HazardRate
,
ParametricExercise
,
SimpleZeroYield
,
SurvivalProbability
,
TriggeredSwapExercise
,
YoYInflationTraits
,
YoYInflationVolatilityTraits
,
ZeroInflationTraits
,
ZeroYield
GumbelCopula() :
GumbelCopula
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