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Class List

Here are the classes, structs, unions and interfaces with brief descriptions:
QuantLib::Actual360Actual/360 day count convention
QuantLib::Actual365FixedActual/365 (Fixed) day count convention
QuantLib::ActualActualActual/Actual day count
QuantLib::AcyclicVisitorDegenerate base class for the Acyclic Visitor pattern
QuantLib::AdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
QuantLib::AffineModelAffine model class
QuantLib::AffineTermStructureTerm-structure implied by an affine model
QuantLib::AmericanConditionAmerican exercise condition
QuantLib::AmericanExerciseAmerican exercise
QuantLib::AmericanPayoffAtExpiry
QuantLib::AmericanPayoffAtHit
QuantLib::AnalyticBarrierEnginePricing engine for barrier options using analytical formulae
QuantLib::AnalyticCapFloorEngineAnalytic engine for cap/floor
QuantLib::AnalyticCliquetEnginePricing engine for Cliquet options using analytical formulae
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEnginePricing engine for European continuous geometric average price Asian
QuantLib::AnalyticDigitalAmericanEngine
QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEnginePricing engine for European discrete geometric average price Asian
QuantLib::AnalyticDividendEuropeanEngineAnalytic pricing engine for European options with discrete dividends
QuantLib::AnalyticEuropeanEnginePricing engine for European vanilla options using analytical formulae
QuantLib::AnalyticHestonEngineAnalytic Heston-model engine based on Fourier transform
QuantLib::AnalyticPerformanceEnginePricing engine for performance options using analytical formulae
QuantLib::ArgumentsBase class for generic argument groups
QuantLib::ArmijoLineSearchArmijo line search
QuantLib::Array1-D array used in linear algebra
QuantLib::ARSCurrencyArgentinian peso
QuantLib::AssetOrNothingPayoffBinary asset-or-nothing payoff
QuantLib::ATSCurrencyAustrian shilling
QuantLib::AUDCurrencyAustralian dollar
QuantLib::AUDLiborAUD LIBOR rate
QuantLib::AveragePlaceholder for enumerated averaging types
QuantLib::BackwardFlatBackward-flat interpolation factory and traits
QuantLib::BackwardFlatInterpolationBackward-flat interpolation between discrete points
QuantLib::BaroneAdesiWhaleyApproximationEngine
QuantLib::BarrierPlaceholder for enumerated barrier types
QuantLib::BarrierOptionBarrier option on a single asset
QuantLib::BarrierOption::argumentsArguments for barrier option calculation
QuantLib::BarrierOption::engineBarrier engine base class
QuantLib::BasketOptionBasket option on a number of assets
QuantLib::BasketOption::argumentsArguments for basket option calculation
QuantLib::BasketOption::engineBasket option engine base class
QuantLib::BatesEngineBates model engines based on Fourier transform
QuantLib::BatesModel
QuantLib::BDTCurrencyBangladesh taka
QuantLib::BEFCurrencyBelgian franc
QuantLib::BeijingBeijing calendar
QuantLib::BermudanExerciseBermudan exercise
QuantLib::BGLCurrencyBulgarian lev
QuantLib::BicubicBicubic-spline interpolation factory
QuantLib::BicubicSpline
QuantLib::BilinearBilinear interpolation factory
QuantLib::BilinearInterpolationBilinear interpolation between discrete points
QuantLib::BinomialDistributionBinomial probability distribution function
QuantLib::BinomialTree< T >Binomial tree base class
QuantLib::BinomialVanillaEngine< T >Pricing engine for vanilla options using binomial trees
QuantLib::BisectionBisection 1-D solver
QuantLib::BivariateCumulativeNormalDistributionDr78Cumulative bivariate normal distribution function
QuantLib::BivariateCumulativeNormalDistributionWe04DPCumulative bivariate normal distibution function (West 2004)
QuantLib::BjerksundStenslandApproximationEngine
QuantLib::BlackCapFloorEngineBlack-formula cap/floor engine
QuantLib::BlackConstantVolConstant Black volatility, no time-strike dependence
QuantLib::BlackFormulaBlack-formula calculator
QuantLib::BlackKarasinskiStandard Black-Karasinski model class
QuantLib::BlackKarasinski::DynamicsShort-rate dynamics in the Black-Karasinski model
QuantLib::BlackModelBlack-model for vanilla interest-rate derivatives
QuantLib::BlackScholesLattice< T >Simple binomial lattice approximating the Black-Scholes model
QuantLib::BlackScholesProcessBlack-Scholes stochastic process
QuantLib::BlackSwaptionEngineBlack-formula swaption engine
QuantLib::BlackVarianceCurveBlack volatility curve modelled as variance curve
QuantLib::BlackVarianceSurfaceBlack volatility surface modelled as variance surface
QuantLib::BlackVarianceTermStructureBlack variance term structure
QuantLib::BlackVolatilityTermStructureBlack-volatility term structure
QuantLib::BlackVolTermStructureBlack-volatility term structure
QuantLib::BombayBombay calendar
QuantLib::BondBase bond class
QuantLib::BoundaryCondition< Operator >Abstract boundary condition class for finite difference problems
QuantLib::BoundaryConstraintConstraint imposing all arguments to be in [low,high]
QuantLib::BoxMullerGaussianRng< RNG >Gaussian random number generator
QuantLib::BPSBasketCalculator
QuantLib::BPSCalculatorBasis point sensitivity (BPS) calculator
QuantLib::BratislavaBratislava calendar
QuantLib::BrentBrent 1-D solver
QuantLib::Bridge< T, T_impl >The Bridge pattern made explicit
QuantLib::BRLCurrencyBrazilian real
QuantLib::BrownianBridge< GSG >Builds Wiener process paths using Gaussian variates
QuantLib::BSMOperatorBlack-Scholes-Merton differential operator
QuantLib::BSMTermOperatorBlack-Scholes-Merton differential operator
QuantLib::BudapestBudapest calendar
QuantLib::BYRCurrencyBelarussian ruble
QuantLib::CADCurrencyCanadian dollar
QuantLib::CADLiborCAD LIBOR rate
QuantLib::Calendarcalendar class
QuantLib::Calendar::WesternImplPartial calendar implementation
QuantLib::CalendarImplAbstract base class for calendar implementations
QuantLib::CalibrationHelperLiquid market instrument used during calibration
QuantLib::CapConcrete cap class
QuantLib::CapFloorBase class for cap-like instruments
QuantLib::CapFloor::argumentsArguments for cap/floor calculation
QuantLib::CapFloor::resultsResults from cap/floor calculation
QuantLib::CapletConstantVolatilityConstant caplet volatility, no time-strike dependence
QuantLib::CapletLiborMarketModelProcessCaplet libor-market-model process
QuantLib::CapletVolatilityStructureCaplet/floorlet forward-volatility structure
QuantLib::CapVolatilityStructureCap/floor term-volatility structure
QuantLib::CapVolatilityVectorCap/floor at-the-money term-volatility vector
QuantLib::CashFlowBase class for cash flows
QuantLib::CashflowsCashflows analysis functions
QuantLib::CashOrNothingPayoffBinary cash-or-nothing payoff
QuantLib::CdorCDOR rate
QuantLib::CeilingTruncationCeiling truncation
QuantLib::CHFCurrencySwiss franc
QuantLib::CHFLiborCHF LIBOR rate
QuantLib::CLGaussianRng< RNG >Gaussian random number generator
QuantLib::CliquetOptionCliquet (Ratchet) option
QuantLib::CliquetOption::argumentsArguments for cliquet option calculation
QuantLib::CliquetOption::engineCliquet engine base class
QuantLib::ClosestRoundingClosest rounding
QuantLib::CLPCurrencyChilean peso
QuantLib::CNYCurrencyChinese yuan
QuantLib::CollarConcrete collar class
QuantLib::Composite< T >Composite pattern
QuantLib::CompositeConstraintConstraint enforcing both given sub-constraints
QuantLib::CompositeQuote< BinaryFunction >Market element whose value depends on two other market element
QuantLib::CompoundForwardCompound-forward structure
QuantLib::ConjugateGradientMulti-dimensional Conjugate Gradient class
QuantLib::ConstantParameterStandard constant parameter $ a(t) = a $
QuantLib::ConstraintBase constraint class
QuantLib::ConstraintImplBase class for constraint implementations
QuantLib::ContinuousAveragingAsianOptionContinuous-averaging Asian option
QuantLib::ContinuousAveragingAsianOption::argumentsExtra arguments for single-asset continuous-average Asian option
QuantLib::ContinuousAveragingAsianOption::engineContinuous-averaging Asian engine base class
QuantLib::ConvergenceStatistics< T, U >Statistics class with convergence table
QuantLib::COPCurrencyColombian peso
QuantLib::CopenhagenCopenhagen calendar
QuantLib::CostFunctionCost function abstract class for optimization problem
QuantLib::Couponcoupon accruing over a fixed period
QuantLib::CovarianceDecomposition
QuantLib::CoxIngersollRossCox-Ingersoll-Ross model class
QuantLib::CoxIngersollRoss::DynamicsDynamics of the short-rate under the Cox-Ingersoll-Ross model
QuantLib::CoxRossRubinsteinCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
QuantLib::CrankNicolson< Operator >Crank-Nicolson scheme for finite difference methods
QuantLib::Cubiccubic-spline interpolation factory and traits
QuantLib::CubicSplineCubic spline interpolation between discrete points
QuantLib::CumulativeBinomialDistributionCumulative binomial distribution function
QuantLib::CumulativeNormalDistributionCumulative normal distribution function
QuantLib::CumulativePoissonDistributionCumulative Poisson distribution function
QuantLib::CuriouslyRecurringTemplate< Impl >Support for the curiously recurring template pattern
QuantLib::CurrencyCurrency specification
QuantLib::CYPCurrencyCyprus pound
QuantLib::CZKCurrencyCzech koruna
QuantLib::DateConcrete date class
QuantLib::DayCounterDay counter class
QuantLib::DayCounterImplAbstract base class for day counter implementations
QuantLib::DEMCurrencyDeutsche mark
QuantLib::DepositRateHelperDeposit rate
QuantLib::DerivedQuote< UnaryFunction >Market element whose value depends on another market element
QuantLib::DirichletBCNeumann boundary condition (i.e., constant value)
QuantLib::DiscountDiscount-curve traits
QuantLib::DiscrepancyStatisticsStatistic tool for sequences with discrepancy calculation
QuantLib::DiscreteAveragingAsianOptionDiscrete-averaging Asian option
QuantLib::DiscreteAveragingAsianOption::argumentsExtra arguments for single-asset discrete-average Asian option
QuantLib::DiscreteAveragingAsianOption::engineDiscrete-averaging Asian engine base class
QuantLib::DiscreteGeometricASODiscrete geometric average-strike Asian option (European style)
QuantLib::DiscretizedAssetDiscretized asset class used by numerical methods
QuantLib::DiscretizedDiscountBondUseful discretized discount bond asset
QuantLib::DiscretizedOptionDiscretized option on a given asset
QuantLib::Disposable< T >Generic disposable object with move semantics
QuantLib::DividendVanillaOptionSingle-asset vanilla option (no barriers) with discrete dividends
QuantLib::DividendVanillaOption::argumentsArguments for dividend vanilla option calculation
QuantLib::DividendVanillaOption::engineDividend vanilla option engine base class
QuantLib::DKKCurrencyDanish krone
QuantLib::DKKLiborDKK LIBOR rate
QuantLib::DMinus$ D_{-} $ matricial representation
QuantLib::DownRoundingDown-rounding
QuantLib::DPlus$ D_{+} $ matricial representation
QuantLib::DPlusDMinus$ D_{+}D_{-} $ matricial representation
QuantLib::DriftTermStructureDrift term structure
QuantLib::DurationDuration type
QuantLib::DZero$ D_{0} $ matricial representation
QuantLib::EarlyExerciseEarly-exercise base class
QuantLib::EEKCurrencyEstonian kroon
QuantLib::EndCriteriaCriteria to end optimization process
QuantLib::EqualJumpsBinomialTree< T >Base class for equal jumps binomial tree
QuantLib::EqualProbabilitiesBinomialTree< T >Base class for equal probabilities binomial tree
QuantLib::ErrorBase error class
QuantLib::ErrorFunctionError function
QuantLib::ESPCurrencySpanish peseta
QuantLib::EulerDiscretizationEuler discretization for stochastic processes
QuantLib::EURCurrencyEuropean Euro
QuantLib::EuriborEuribor index
QuantLib::EURLiborEUR LIBOR rate
QuantLib::EuropeanExerciseEuropean exercise
QuantLib::EuropeanOptionEuropean option on a single asset
QuantLib::ExchangeRateExchange rate between two currencies
QuantLib::ExchangeRateManagerExchange-rate repository
QuantLib::ExerciseBase exercise class
QuantLib::ExplicitEuler< Operator >Forward Euler scheme for finite difference methods
QuantLib::ExtendedCoxIngersollRossExtended Cox-Ingersoll-Ross model class
QuantLib::ExtendedCoxIngersollRoss::DynamicsShort-rate dynamics in the extended Cox-Ingersoll-Ross model
QuantLib::ExtendedCoxIngersollRoss::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
QuantLib::ExtendedDiscountCurveTerm structure based on loglinear interpolation of discount factors
QuantLib::ExtrapolatorBase class for classes possibly allowing extrapolation
QuantLib::FactorialFactorial numbers calculator
QuantLib::FalsePositionFalse position 1-D solver
QuantLib::FaureRsgFaure low-discrepancy sequence generator
QuantLib::FDAmericanEngineFinite-differences pricing engine for American one asset options
QuantLib::FDBermudanEngineFinite-differences Bermudan engine
QuantLib::FDDividendAmericanEngineFinite-differences pricing engine for dividend American options
QuantLib::FDDividendEngineBase finite-differences pricing engine for dividend options
QuantLib::FDDividendEuropeanEngineFinite-differences pricing engine for dividend European options
QuantLib::FDDividendShoutEngineFinite-differences shout engine with dividends
QuantLib::FDEuropeanEnginePricing engine for European options using finite-differences
QuantLib::FDShoutEngineFinite-differences pricing engine for shout vanilla options
QuantLib::FDStepConditionEngineFinite-differences pricing engine for American-style vanilla options
QuantLib::FDVanillaEngineFinite-differences pricing engine for BSM one asset options
QuantLib::FIMCurrencyFinnish markka
QuantLib::FiniteDifferenceModel< Evolver >Generic finite difference model
QuantLib::FixedCouponBondFixed-coupon bond
QuantLib::FixedCouponBondHelperFixed-coupon bond helper
QuantLib::FixedRateCouponCoupon paying a fixed interest rate
QuantLib::FlatForwardFlat interest-rate curve
QuantLib::FloatingRateBondFloating-rate bond
QuantLib::FloatingRateCouponCoupon paying a variable rate
QuantLib::FloorConcrete floor class
QuantLib::FloorTruncationFloor truncation
QuantLib::ForwardEngine< ArgumentsType, ResultsType >Forward engine base class
QuantLib::ForwardFlatForward-flat interpolation factory and traits
QuantLib::ForwardFlatInterpolationForward-flat interpolation between discrete points
QuantLib::ForwardOptionArguments< ArgumentsType >Arguments for forward (strike-resetting) option calculation
QuantLib::ForwardPerformanceEngine< ArgumentsType, ResultsType >Forward performance engine
QuantLib::ForwardRateForward-curve traits
QuantLib::ForwardRateStructureForward rate term structure
QuantLib::ForwardSpreadedTermStructureTerm structure with added spread on the instantaneous forward rate
QuantLib::ForwardVanillaOptionForward version of a vanilla option
QuantLib::FraRateHelperForward rate agreement
QuantLib::FRFCurrencyFrench franc
QuantLib::FuturesRateHelperInterest-rate futures
QuantLib::G2Two-additive-factor gaussian model class
QuantLib::G2::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
QuantLib::G2SwaptionEngineSwaption priced by means of the Black formula
QuantLib::GammaFunctionGamma function class
QuantLib::GapPayoffBinary gap payoff
QuantLib::GaussChebyshev2thIntegrationGauss-Chebyshev integration second kind
QuantLib::GaussChebyshevIntegrationGauss-Chebyshev integration
QuantLib::GaussGegenbauerIntegrationGauss-Gegenbauer integration
QuantLib::GaussHermiteIntegrationGeneralized Gauss-Hermite integration
QuantLib::GaussHermitePolynomialGauss-Hermite polynomial
QuantLib::GaussHyperbolicIntegrationGauss-Hyperbolic integration
QuantLib::GaussHyperbolicPolynomialGauss hyperbolic polynomial
QuantLib::GaussianOrthogonalPolynomialOrthogonal polynomial for Gaussian quadratures
QuantLib::GaussianQuadratureIntegral of a 1-dimensional function using the Gauss quadratures method
QuantLib::GaussianStatistics< Stat >Statistics tool for gaussian-assumption risk measures
QuantLib::GaussJacobiIntegrationGauss-Jacobi integration
QuantLib::GaussJacobiPolynomialGauss-Jacobi polynomial
QuantLib::GaussLaguerreIntegrationGeneralized Gauss-Laguerre integration
QuantLib::GaussLaguerrePolynomialGauss-Laguerre polynomial
QuantLib::GaussLegendreIntegrationGauss-Legendre integration
QuantLib::GBPCurrencyBritish pound sterling
QuantLib::GBPLiborGBP LIBOR rate
QuantLib::GeneralStatisticsStatistics tool
QuantLib::GenericEngine< ArgumentsType, ResultsType >Template base class for option pricing engines
QuantLib::GenericModelEngine< ModelType, ArgumentsType, ResultsType >Base class for some pricing engine on a particular model
QuantLib::GenericRiskStatistics< S >Empirical-distribution risk measures
QuantLib::GeometricBrownianMotionProcessGeometric brownian-motion process
QuantLib::GermanyGerman calendars
QuantLib::GRDCurrencyGreek drachma
QuantLib::GreeksAdditional option results
QuantLib::HaltonRsgHalton low-discrepancy sequence generator
QuantLib::Handle< Type >Globally accessible relinkable pointer
QuantLib::HelsinkiHelsinki calendar
QuantLib::HestonModelHeston model for the stochastic volatility of an asset
QuantLib::HestonModelHelperCalibration helper for Heston model
QuantLib::HestonProcessSquare-root stochastic-volatility Heston process
QuantLib::HistoryContainer for historical data
QuantLib::History::const_iteratorRandom access iterator on history entries
QuantLib::History::EntrySingle datum in history
QuantLib::HKDCurrencyHonk Kong dollar
QuantLib::HongKongHong Kong calendar
QuantLib::HUFCurrencyHungarian forint
QuantLib::HullWhiteSingle-factor Hull-White (extended Vasicek) model class
QuantLib::HullWhite::DynamicsShort-rate dynamics in the Hull-White model
QuantLib::HullWhite::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
QuantLib::IEPCurrencyIrish punt
QuantLib::ILSCurrencyIsraeli shekel
QuantLib::IMMMain cycle of the International Money Market (a.k.a. IMM) Months
QuantLib::ImplicitEuler< Operator >Backward Euler scheme for finite difference methods
QuantLib::ImpliedTermStructureImplied term structure at a given date in the future
QuantLib::ImpliedVolTermStructureImplied vol term structure at a given date in the future
QuantLib::InArrearIndexedCouponIn-arrear floating-rate coupon
QuantLib::IncrementalStatisticsStatistics tool based on incremental accumulation
QuantLib::IndexPurely virtual base class for indexes
QuantLib::IndexedCouponBase indexed coupon class
QuantLib::IndexManagerGlobal repository for past index fixings
QuantLib::INRCurrencyIndian rupee
QuantLib::InstrumentAbstract instrument class
QuantLib::IntegralEngine
QuantLib::InterestRateConcrete interest rate class
QuantLib::InterpolatedDiscountCurve< Interpolator >Term structure based on interpolation of discount factors
QuantLib::InterpolatedForwardCurve< Interpolator >Term structure based on interpolation of forward rates
QuantLib::InterpolatedZeroCurve< Interpolator >Term structure based on interpolation of zero yields
QuantLib::InterpolationBase class for 1-D interpolations
QuantLib::Interpolation2DBase class for 2-D interpolations
QuantLib::Interpolation2D::templateImpl< I1, I2, M >Basic template implementation
QuantLib::Interpolation2DImplAbstract base class for 2-D interpolation implementations
QuantLib::Interpolation::templateImpl< I1, I2 >Basic template implementation
QuantLib::InterpolationImplAbstract base class for interpolation implementations
QuantLib::InverseCumulativeNormalInverse cumulative normal distribution function
QuantLib::InverseCumulativePoissonInverse cumulative Poisson distribution function
QuantLib::InverseCumulativeRng< RNG, IC >Inverse cumulative random number generator
QuantLib::InverseCumulativeRsg< USG, IC >Inverse cumulative random sequence generator
QuantLib::IQDCurrencyIraqi dinar
QuantLib::IRRCurrencyIranian rial
QuantLib::ISKCurrencyIceland krona
QuantLib::IstanbulIstanbul calendar
QuantLib::ItalyItalian calendars
QuantLib::ITLCurrencyItalian lira
QuantLib::JamshidianSwaptionEngineJamshidian swaption engine
QuantLib::JarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
QuantLib::JibarJIBAR rate
QuantLib::JohannesburgJohannesburg calendar
QuantLib::JointCalendarJoint calendar
QuantLib::JPYCurrencyJapanese yen
QuantLib::JPYLiborJPY LIBOR rate
QuantLib::JumpDiffusionEngineJump-diffusion engine for vanilla options
QuantLib::JuQuadraticApproximationEngine
QuantLib::KnuthUniformRngUniform random number generator
QuantLib::KronrodIntegralIntegral of a 1-dimensional function using the Gauss-Kronrod method
QuantLib::KRWCurrencySouth-Korean won
QuantLib::KWDCurrencyKuwaiti dinar
QuantLib::Lattice< Impl >Lattice-method base class
QuantLib::Lattice1D< Impl >One-dimensional lattice
QuantLib::Lattice2D< Impl, T >Two-dimensional lattice
QuantLib::LatticeShortRateModelEngine< Arguments, Results >Engine for a short-rate model specialized on a lattice
QuantLib::LazyObjectFramework for calculation on demand and result caching
QuantLib::LeastSquareFunctionCost function for least-square problems
QuantLib::LeastSquareProblemBase class for least square problem
QuantLib::LecuyerUniformRngUniform random number generator
QuantLib::LeisenReimerLeisen & Reimer tree: multiplicative approach
QuantLib::LexicographicalView< RandomAccessIterator >Lexicographical 2-D view of a contiguous set of data
QuantLib::LiborBase class for BBA LIBOR indexes
QuantLib::LinearLinear interpolation factory and traits
QuantLib::LinearInterpolationLinear interpolation between discrete points
QuantLib::LineSearchBase class for line search
QuantLib::Link< Type >Relinkable access to a shared pointer
QuantLib::LocalConstantVolConstant local volatility, no time-strike dependence
QuantLib::LocalVolCurveLocal volatility curve derived from a Black curve
QuantLib::LocalVolSurfaceLocal volatility surface derived from a Black vol surface
QuantLib::LocalVolTermStructureLocal-volatility term structure
QuantLib::LogLinearLog-linear interpolation factory and traits
QuantLib::LogLinearInterpolation
QuantLib::LTLCurrencyLithuanian litas
QuantLib::LUFCurrencyLuxembourg franc
QuantLib::LVLCurrencyLatvian lat
QuantLib::MakeMCDigitalEngine< RNG, S >Monte Carlo digital engine factory
QuantLib::MakeMCEuropeanEngine< RNG, S >Monte Carlo European engine factory
QuantLib::MakeMCEuropeanHestonEngine< RNG, S >Monte Carlo Heston European engine factory
QuantLib::MakeScheduleHelper class
QuantLib::MatrixMatrix used in linear algebra
QuantLib::MCAmericanBasketEngineLeast-square Monte Carlo engine
QuantLib::MCBarrierEngine< RNG, S >Pricing engine for barrier options using Monte Carlo simulation
QuantLib::MCBasketEngine< RNG, S >Pricing engine for basket options using Monte Carlo simulation
QuantLib::McCliquetOptionSimple example of Monte Carlo pricer
QuantLib::MCDigitalEngine< RNG, S >Pricing engine for digital options using Monte Carlo simulation
QuantLib::MCDiscreteArithmeticAPEngine< RNG, S >Monte Carlo pricing engine for discrete arithmetic average price Asian
QuantLib::McDiscreteArithmeticASOExample of Monte Carlo pricer using a control variate
QuantLib::MCDiscreteAveragingAsianEngine< RNG, S >Pricing engine for discrete average Asians using Monte Carlo simulation
QuantLib::MCDiscreteGeometricAPEngine< RNG, S >Monte Carlo pricing engine for discrete geometric average price Asian
QuantLib::MCEuropeanEngine< RNG, S >European option pricing engine using Monte Carlo simulation
QuantLib::MCEuropeanHestonEngine< RNG, S >Monte Carlo Heston-model engine for European options
QuantLib::McEverestEverest-type option pricer
QuantLib::MCHestonEngine< RNG, S >Monte Carlo Heston-model engine
QuantLib::McHimalayaHimalayan-type option pricer
QuantLib::McMaxBasketSimple example of multi-factor Monte Carlo pricer
QuantLib::McPagodaRoofed Asian option
QuantLib::McPerformanceOptionPerformance option computed using Monte Carlo simulation
QuantLib::McPricer< MC, S >Base class for Monte Carlo pricers
QuantLib::McSimulation< MC, S >Base class for Monte Carlo engines
QuantLib::MCVanillaEngine< RNG, S >Pricing engine for vanilla options using Monte Carlo simulation
QuantLib::MersenneTwisterUniformRngUniform random number generator
QuantLib::Merton76ProcessMerton-76 jump-diffusion process
QuantLib::MixedScheme< Operator >Mixed (explicit/implicit) scheme for finite difference methods
QuantLib::MoneyAmount of cash
QuantLib::MonotonicCubicSplineCubic spline with monotonicity constraint
QuantLib::MonteCarloModel< mc_traits, stats_traits >General purpose Monte Carlo model for path samples
QuantLib::MoreGreeksMore additional option results
QuantLib::MoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
QuantLib::MTLCurrencyMaltese lira
QuantLib::MultiAsset< rng_traits >
QuantLib::MultiAssetOptionBase class for options on multiple assets
QuantLib::MultiAssetOption::argumentsArguments for multi-asset option calculation
QuantLib::MultiAssetOption::resultsResults from multi-asset option calculation
QuantLib::MultiCubicSpline< i >
QuantLib::MultiPathCorrelated multiple asset paths
QuantLib::MultiPathGenerator< GSG >Generates a multipath from a random number generator
QuantLib::MultiVariate< rng_traits >Default Monte Carlo traits for multi-variate models
QuantLib::MXNCurrencyMexican peso
QuantLib::NaturalCubicSplineCubic spline with null second derivative at end points
QuantLib::NaturalMonotonicCubicSplineNatural cubic spline with monotonicity constraint
QuantLib::NeumannBCNeumann boundary condition (i.e., constant derivative)
QuantLib::NewtonNewton 1-D solver
QuantLib::NewtonSafeSafe Newton 1-D solver
QuantLib::NLGCurrencyDutch guilder
QuantLib::NoConstraintNo constraint
QuantLib::NOKCurrencyNorwegian krone
QuantLib::NonLinearLeastSquareNon-linear least-square method
QuantLib::NormalDistributionNormal distribution function
QuantLib::NPRCurrencyNepal rupee
QuantLib::Null< Type >Template class providing a null value for a given type
QuantLib::NullCalendarCalendar for reproducing theoretical calculations
QuantLib::NullCondition< array_type >Null step condition
QuantLib::NullParameterParameter which is always zero $ a(t) = 0 $
QuantLib::NumericalMethodNumerical method (tree, finite-differences) base class
QuantLib::NZDCurrencyNew Zealand dollar
QuantLib::NZDLiborNZD LIBOR rate
QuantLib::ObservableObject that notifies its changes to a set of observables
QuantLib::ObservableValue< T >Observable and assignable proxy to concrete value
QuantLib::ObserverObject that gets notified when a given observable changes
QuantLib::OneAssetOptionBase class for options on a single asset
QuantLib::OneAssetOption::argumentsArguments for single-asset option calculation
QuantLib::OneAssetOption::resultsResults from single-asset option calculation
QuantLib::OneAssetStrikedOptionBase class for options on a single asset with striked payoff
QuantLib::OneDayCounter1/1 day count convention
QuantLib::OneFactorAffineModelSingle-factor affine base class
QuantLib::OneFactorModelSingle-factor short-rate model abstract class
QuantLib::OneFactorModel::ShortRateDynamicsBase class describing the short-rate dynamics
QuantLib::OneFactorModel::ShortRateTreeRecombining trinomial tree discretizing the state variable
QuantLib::OneFactorOperatorInterest-rate single factor model differential operator
QuantLib::OptimizationMethodAbstract class for constrained optimization method
QuantLib::OptionBase option class
QuantLib::Option::arguments
QuantLib::OrnsteinUhlenbeckProcessOrnstein-Uhlenbeck process class
QuantLib::OsloOslo calendar
QuantLib::ParameterBase class for model arguments
QuantLib::ParameterImplBase class for model parameter implementation
QuantLib::ParCouponcoupon at par on a term structure
QuantLib::Path
QuantLib::PathGenerator< GSG >Generates random paths using a sequence generator
QuantLib::PathPricer< PathType, ValueType >Base class for path pricers
QuantLib::PayoffBase class for option payoffs
QuantLib::PercentageStrikePayoffPayoff with strike expressed as percentage
QuantLib::PeriodTime period described by a number of a given time unit
QuantLib::PiecewiseConstantParameterPiecewise-constant parameter
QuantLib::PiecewiseYieldCurve< Traits, Interpolator >Piecewise yield term structure
QuantLib::PKRCurrencyPakistani rupee
QuantLib::PlainVanillaPayoffPlain-vanilla payoff
QuantLib::PLNCurrencyPolish zloty
QuantLib::PoissonDistributionNormal distribution function
QuantLib::PositiveConstraintConstraint imposing positivity to all arguments
QuantLib::PraguePrague calendar
QuantLib::PricingEngineInterface for pricing engines
QuantLib::PrimeNumbersPrime numbers calculator
QuantLib::ProblemConstrained optimization problem
QuantLib::PTECurrencyPortuguese escudo
QuantLib::QuantoEngine< ArgumentsType, ResultsType >Quanto engine base class
QuantLib::QuantoForwardVanillaOptionQuanto version of a forward vanilla option
QuantLib::QuantoOptionArguments< ArgumentsType >Arguments for quanto option calculation
QuantLib::QuantoOptionResults< ResultsType >Results from quanto option calculation
QuantLib::QuantoTermStructureQuanto term structure
QuantLib::QuantoVanillaOptionQuanto version of a vanilla option
QuantLib::QuotePurely virtual base class for market observables
QuantLib::RamdomizedLDS< LDS, PRS >Randomized (random shift) low-discrepancy sequence
QuantLib::RandomSequenceGenerator< RNG >Random sequence generator based on a pseudo-random number generator
QuantLib::RateHelperBase class for rate helpers
QuantLib::ResultsBase class for generic result groups
QuantLib::RidderRidder 1-D solver
QuantLib::RiyadhRiyadh calendar
QuantLib::ROLCurrencyRomanian leu
QuantLib::RoundingBasic rounding class
QuantLib::SalvagingAlgorithmAlgorithm used for matricial pseudo square root
QuantLib::Sample< T >Weighted sample
QuantLib::SampledCurveThis class contains a sampled curve
QuantLib::SARCurrencySaudi riyal
QuantLib::SchedulePayment schedule
QuantLib::SecantSecant 1-D solver
QuantLib::SeedGeneratorRandom seed generator
QuantLib::SegmentIntegralIntegral of a one-dimensional function
QuantLib::SEKCurrencySwedish krona
QuantLib::SeoulSeoul calendar
QuantLib::SequenceStatistics< StatisticsType >Statistics analysis of N-dimensional (sequence) data
QuantLib::SettingsGlobal repository for run-time library settings
QuantLib::SGDCurrencySingapore dollar
QuantLib::Short< IndexedCouponType >Short indexed coupon
QuantLib::Short< ParCoupon >Short coupon at par on a term structure
QuantLib::ShortRateModelAbstract short-rate model class
QuantLib::ShoutConditionShout option condition
QuantLib::SimpleCashFlowPredetermined cash flow
QuantLib::SimpleDayCounterSimple day counter for reproducing theoretical calculations
QuantLib::SimpleQuoteMarket element returning a stored value
QuantLib::SimpleSwapSimple fixed-rate vs Libor swap
QuantLib::SimpleSwap::argumentsArguments for simple swap calculation
QuantLib::SimpleSwap::resultsResults from simple swap calculation
QuantLib::SimplexMulti-dimensional simplex class
QuantLib::SimpsonIntegralIntegral of a one-dimensional function
QuantLib::SingaporeSingapore calendar
QuantLib::SingleAsset< rng_traits >
QuantLib::SingleAssetOptionBlack-Scholes-Merton option
QuantLib::Singleton< T >Basic support for the singleton pattern
QuantLib::SingleVariate< rng_traits >Default Monte Carlo traits for single-variate models
QuantLib::SITCurrencySlovenian tolar
QuantLib::SKKCurrencySlovak koruna
QuantLib::SobolRsgSobol low-discrepancy sequence generator
QuantLib::Solver1D< Impl >Base class for 1-D solvers
QuantLib::SquareRootProcessSquare-root process class
QuantLib::StatsHolderHelper class for precomputed distributions
QuantLib::SteepestDescentMulti-dimensional steepest-descent class
QuantLib::step_iterator< Iterator >Iterator advancing in constant steps
QuantLib::StepCondition< array_type >Condition to be applied at every time step
QuantLib::StepConditionSet< array_type >Parallel evolver for multiple arrays
QuantLib::StochasticProcessMulti-dimensional stochastic process class
QuantLib::StochasticProcess1D1-dimensional stochastic process
QuantLib::StochasticProcess1D::discretizationDiscretization of a 1-D stochastic process
QuantLib::StochasticProcess::discretizationDiscretization of a stochastic process over a given time interval
QuantLib::StochasticProcessArrayArray of correlated 1-D stochastic processes
QuantLib::StockSimple stock class
QuantLib::StockholmStockholm calendar
QuantLib::StrikedTypePayoffIntermediate class for payoffs based on a fixed strike
QuantLib::StulzEnginePricing engine for 2D European Baskets
QuantLib::SuperSharePayoffBinary supershare payoff
QuantLib::SVDSingular value decomposition
QuantLib::SwapInterest rate swap
QuantLib::SwapRateHelperSwap rate
QuantLib::SwaptionSwaption class
QuantLib::Swaption::argumentsArguments for swaption calculation
QuantLib::Swaption::resultsResults from swaption calculation
QuantLib::SwaptionVolatilityMatrixAt-the-money swaption-volatility matrix
QuantLib::SwaptionVolatilityStructureSwaption-volatility structure
QuantLib::SydneySydney calendar (New South Wales, Australia)
QuantLib::SymmetricSchurDecompositionSymmetric threshold Jacobi algorithm
QuantLib::TabulatedGaussLegendreTabulated Gauss-Legendre quadratures
QuantLib::TaipeiTaipei calendar
QuantLib::TaiwanTaiwan calendar
QuantLib::TARGETTARGET calendar
QuantLib::TermStructureBasic term-structure functionality
QuantLib::TermStructureConsistentModelTerm-structure consistent model class
QuantLib::TermStructureFittingParameterDeterministic time-dependent parameter used for yield-curve fitting
QuantLib::THBCurrencyThai baht
QuantLib::Thirty36030/360 day count convention
QuantLib::TianTian tree: third moment matching, multiplicative approach
QuantLib::TiborJPY TIBOR index
QuantLib::TimeBasketDistribution over a number of dates
QuantLib::TimeGridTime grid class
QuantLib::TokyoTokyo calendar
QuantLib::TorontoToronto calendar
QuantLib::TqrEigenDecompositionTridiag. QR eigen decomposition with explicite shift aka Wilkinson
QuantLib::TrapezoidIntegralIntegral of a one-dimensional function
QuantLib::Tree< T >Tree approximating a single-factor diffusion
QuantLib::TreeCapFloorEngineNumerical lattice engine for cap/floors
QuantLib::TreeSwaptionEngineNumerical lattice engine for swaptions
QuantLib::TridiagonalOperatorBase implementation for tridiagonal operator
QuantLib::TridiagonalOperator::TimeSetterEncapsulation of time-setting logic
QuantLib::TrigeorgisTrigeorgis (additive equal jumps) binomial tree
QuantLib::TrinomialTreeRecombining trinomial tree class
QuantLib::TRLCurrencyTurkish lira
QuantLib::TRLiborTRY LIBOR rate
QuantLib::TRYCurrencyNew Turkish lira
QuantLib::TTDCurrencyTrinidad & Tobago dollar
QuantLib::TWDCurrencyTaiwan dollar
QuantLib::TwoFactorModelAbstract base-class for two-factor models
QuantLib::TwoFactorModel::ShortRateDynamicsClass describing the dynamics of the two state variables
QuantLib::TwoFactorModel::ShortRateTreeRecombining two-dimensional tree discretizing the state variable
QuantLib::TypePayoffIntermediate class for call/put/straddle payoffs
QuantLib::UnitedKingdomUnited Kingdom calendars
QuantLib::UnitedStatesUnited States calendars
QuantLib::UpFrontIndexedCouponup front indexed coupon class
QuantLib::UpRoundingUp-rounding
QuantLib::USDCurrencyU.S. dollar
QuantLib::USDLiborUSD LIBOR rate
QuantLib::ValuePricing results
QuantLib::VanillaOptionVanilla option (no discrete dividends, no barriers) on a single asset
QuantLib::VanillaOption::engineVanilla option engine base class
QuantLib::VasicekVasicek model class
QuantLib::Vasicek::DynamicsShort-rate dynamics in the Vasicek model
QuantLib::VEBCurrencyVenezuelan bolivar
QuantLib::Visitor< T >Visitor for a specific class
QuantLib::WarsawWarsaw calendar
QuantLib::WellingtonWellington calendar
QuantLib::XiborBase class for LIBOR-like indexes
QuantLib::YieldTermStructureInterest-rate term structure
QuantLib::ZARCurrencySouth-African rand
QuantLib::ZeroCouponBondZero-coupon bond
QuantLib::ZeroSpreadedTermStructureTerm structure with an added spread on the zero yield rate
QuantLib::ZeroYieldZero-curve traits
QuantLib::ZeroYieldStructureZero-yield term structure
QuantLib::ZiborCHF ZIBOR rate
QuantLib::ZurichZurich calendar

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