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Classes | Typedefs | Enumerations | Functions | Variables

QuantLib Namespace Reference

Classes

class  Abcd
 Abcd interpolation factory and traits More...
class  AbcdAtmVolCurve
 Abcd-interpolated at-the-money (no-smile) volatility curve. More...
class  AbcdCalibration
class  AbcdFunction
 Abcd functional form for instantaneous volatility More...
class  AbcdInterpolation
 Abcd interpolation between discrete points. More...
class  AbcdSquared
class  AbcdVol
 Abcd-interpolated volatility structure More...
class  AccountingEngine
 Engine collecting cash flows along a market-model simulation. More...
class  Actual360
 Actual/360 day count convention. More...
class  Actual365Fixed
 Actual/365 (Fixed) day count convention. More...
class  ActualActual
 Actual/Actual day count. More...
class  AcyclicVisitor
 degenerate base class for the Acyclic Visitor pattern More...
class  AdaptedPathPayoff
class  AdditiveEQPBinomialTree
 Additive equal probabilities binomial tree. More...
class  AffineModel
 Affine model class. More...
class  AkimaCubicInterpolation
class  AlphaFinder
class  AlphaForm
class  AlphaFormInverseLinear
class  AlphaFormLinearHyperbolic
class  AmericanBasketPathPricer
class  AmericanCondition
 American exercise condition. More...
class  AmericanExercise
 American exercise. More...
class  AmericanPathPricer
class  AmericanPayoffAtExpiry
 Analytic formula for American exercise payoff at-expiry options. More...
class  AmericanPayoffAtHit
 Analytic formula for American exercise payoff at-hit options. More...
class  AmortizingCmsRateBond
 amortizing CMS-rate bond More...
class  AmortizingFixedRateBond
 amortizing fixed-rate bond More...
class  AmortizingFloatingRateBond
 amortizing floating-rate bond (possibly capped and/or floored) More...
class  AnalyticBarrierEngine
 Pricing engine for barrier options using analytical formulae. More...
class  AnalyticBSMHullWhiteEngine
 analytic european option pricer including stochastic interest rates More...
class  AnalyticCapFloorEngine
 Analytic engine for cap/floor. More...
class  AnalyticCliquetEngine
 Pricing engine for Cliquet options using analytical formulae. More...
class  AnalyticCompoundOptionEngine
 Pricing engine for compound options using analytical formulae. More...
class  AnalyticContinuousFixedLookbackEngine
 Pricing engine for European continuous fixed-strike lookback. More...
class  AnalyticContinuousFloatingLookbackEngine
 Pricing engine for European continuous floating-strike lookback. More...
class  AnalyticContinuousGeometricAveragePriceAsianEngine
 Pricing engine for European continuous geometric average price Asian. More...
class  AnalyticDigitalAmericanEngine
 Analytic pricing engine for American vanilla options with digital payoff. More...
class  AnalyticDiscreteGeometricAveragePriceAsianEngine
 Pricing engine for European discrete geometric average price Asian. More...
class  AnalyticDiscreteGeometricAverageStrikeAsianEngine
 Pricing engine for European discrete geometric average-strike Asian option. More...
class  AnalyticDividendEuropeanEngine
 Analytic pricing engine for European options with discrete dividends. More...
class  AnalyticEuropeanEngine
 Pricing engine for European vanilla options using analytical formulae. More...
class  AnalyticGJRGARCHEngine
 GJR-GARCH(1,1) engine. More...
class  AnalyticHaganPricer
 CMS-coupon pricer. More...
class  AnalyticHestonEngine
 analytic Heston-model engine based on Fourier transform More...
class  AnalyticHestonHullWhiteEngine
 Analytic Heston engine incl. stochastic interest rates. More...
class  AnalyticPerformanceEngine
 Pricing engine for performance options using analytical formulae. More...
class  Argentina
 Argentinian calendars. More...
class  ArithmeticAPOPathPricer
class  ArithmeticASOPathPricer
class  ArmijoLineSearch
 Armijo line search. More...
class  Array
 1-D array used in linear algebra. More...
class  ARSCurrency
 Argentinian peso. More...
class  AssetOrNothingPayoff
 Binary asset-or-nothing payoff. More...
class  AssetSwap
 Bullet bond vs Libor swap. More...
class  AssetSwapHelper
struct  AtmVolatility
struct  AtomicDefault
 Atomic (single contractual event) default events. More...
class  ATSCurrency
 Austrian shilling. More...
class  AUCPI
 AU CPI index (either quarterly or annual) More...
class  AUDCurrency
 Australian dollar. More...
class  AUDLibor
 AUD LIBOR rate More...
class  Australia
 Australian calendar. More...
class  AustraliaRegion
 Australia as geographical/economic region. More...
struct  Average
 Placeholder for enumerated averaging types. More...
class  AverageBasketPayoff
class  AverageBMACoupon
 Average BMA coupon. More...
class  AverageBMALeg
 helper class building a sequence of average BMA coupons More...
class  AveragingRatePricer
class  BachelierYoYInflationCouponPricer
 Bachelier-formula pricer for capped/floored yoy inflation coupons. More...
class  BackwardFlat
 Backward-flat interpolation factory and traits. More...
class  BackwardFlatInterpolation
 Backward-flat interpolation between discrete points. More...
class  BankruptcyEvent
class  BaroneAdesiWhaleyApproximationEngine
 Barone-Adesi and Whaley pricing engine for American options (1987) More...
class  BarrelUnitOfMeasure
struct  Barrier
 Placeholder for enumerated barrier types. More...
class  BarrierOption
 Barrier option on a single asset. More...
class  BarrierPathPricer
class  BasisIncompleteOrdered
class  Basket
class  BasketOption
 Basket option on a number of assets. More...
class  BasketPayoff
class  BatesDetJumpEngine
class  BatesDetJumpModel
class  BatesDoubleExpDetJumpEngine
class  BatesDoubleExpDetJumpModel
class  BatesDoubleExpEngine
class  BatesDoubleExpModel
class  BatesEngine
 Bates model engines based on Fourier transform. More...
class  BatesModel
 Bates stochastic-volatility model. More...
class  BatesProcess
 Square-root stochastic-volatility Bates process. More...
class  BDTCurrency
 Bangladesh taka. More...
class  BEFCurrency
 Belgian franc. More...
class  BermudanExercise
 Bermudan exercise. More...
class  BermudanSwaptionExerciseValue
class  BernsteinPolynomial
 class of Bernstein polynomials More...
class  BespokeCalendar
 Bespoke calendar. More...
class  BFGS
 Broyden-Fletcher-Goldfarb-Shanno algorithm. More...
class  BGLCurrency
 Bulgarian lev. More...
class  BiasedBarrierPathPricer
class  BiCGstab
struct  BiCGStabResult
class  Bicubic
 bicubic-spline-interpolation factory More...
class  BicubicSpline
 bicubic-spline interpolation between discrete points More...
class  Bilinear
 bilinear-interpolation factory More...
class  BilinearInterpolation
 bilinear interpolation between discrete points More...
class  binary_compose3_function
class  BinomialConvertibleEngine
 Binomial Tsiveriotis-Fernandes engine for convertible bonds. More...
class  BinomialDistribution
 Binomial probability distribution function. More...
class  BinomialProbabilityOfAtLeastNEvents
 Probability of at least N events. More...
class  BinomialTree
 Binomial tree base class. More...
class  BinomialVanillaEngine
 Pricing engine for vanilla options using binomial trees. More...
class  Bisection
 Bisection 1-D solver More...
class  BivariateCumulativeNormalDistributionDr78
 Cumulative bivariate normal distribution function. More...
class  BivariateCumulativeNormalDistributionWe04DP
 Cumulative bivariate normal distibution function (West 2004) More...
class  BjerksundStenslandApproximationEngine
 Bjerksund and Stensland pricing engine for American options (1993) More...
class  BlackAtmVolCurve
 Black at-the-money (no-smile) volatility curve. More...
class  BlackCalculator
 Black 1976 calculator class. More...
class  BlackCallableFixedRateBondEngine
 Black-formula callable fixed rate bond engine. More...
class  BlackCallableZeroCouponBondEngine
 Black-formula callable zero coupon bond engine. More...
class  BlackCapFloorEngine
 Black-formula cap/floor engine. More...
class  BlackCdsOptionEngine
 Black-formula CDS-option engine. More...
class  BlackConstantVol
 Constant Black volatility, no time-strike dependence. More...
class  BlackIborCouponPricer
 Black-formula pricer for capped/floored Ibor coupons. More...
class  BlackIborQuantoCouponPricer
class  BlackImpliedStdDevHelper
class  BlackKarasinski
 Standard Black-Karasinski model class. More...
class  BlackProcess
 Black (1976) stochastic process. More...
class  BlackScholesCalculator
 Black-Scholes 1973 calculator class. More...
class  BlackScholesLattice
 Simple binomial lattice approximating the Black-Scholes model. More...
class  BlackScholesMertonProcess
 Merton (1973) extension to the Black-Scholes stochastic process. More...
class  BlackScholesProcess
 Black-Scholes (1973) stochastic process. More...
class  BlackSwaptionEngine
 Black-formula swaption engine. More...
class  BlackVanillaOptionPricer
class  BlackVarianceCurve
 Black volatility curve modelled as variance curve. More...
class  BlackVarianceSurface
 Black volatility surface modelled as variance surface. More...
class  BlackVarianceTermStructure
 Black variance term structure. More...
class  BlackVolatilityTermStructure
 Black-volatility term structure. More...
class  BlackVolSurface
 Black volatility (smile) surface. More...
class  BlackVolTermStructure
 Black-volatility term structure. More...
class  BlackYoYInflationCouponPricer
 Black-formula pricer for capped/floored yoy inflation coupons. More...
class  BMAIndex
 Bond Market Association index. More...
class  BMASwap
 swap paying Libor against BMA coupons More...
class  BMASwapRateHelper
 Rate helper for bootstrapping over BMA swap rates. More...
class  Bond
 Base bond class. More...
struct  BondFunctions
 Bond adapters of CashFlows functions. More...
class  BondHelper
 fixed-coupon bond helper More...
class  BootstrapError
 bootstrap error More...
class  BootstrapHelper
 Base helper class for bootstrapping. More...
class  BoundaryCondition
 Abstract boundary condition class for finite difference problems. More...
class  BoundaryConditionSet
class  BoundaryConstraint
 Constraint imposing all arguments to be in [low,high] More...
class  BoundedDomain
class  BoxMullerGaussianRng
 Gaussian random number generator. More...
class  Brazil
 Brazilian calendar. More...
class  Brent
 Brent 1-D solver More...
class  BRLCurrency
 Brazilian real. More...
class  BrownianBridge
 Builds Wiener process paths using Gaussian variates. More...
class  BrownianGenerator
class  BrownianGeneratorFactory
class  BSMOperator
 Black-Scholes-Merton differential operator. More...
class  BSpline
 B-spline basis functions. More...
class  Business252
 Business/252 day count convention. More...
class  BYRCurrency
 Belarussian ruble. More...
class  CADCurrency
 Canadian dollar. More...
class  CADLibor
 CAD LIBOR rate More...
class  CADLiborON
 Overnight CAD Libor index. More...
class  Calendar
 calendar class More...
class  CalibratedModel
 Calibrated model class. More...
class  CalibrationHelper
 liquid market instrument used during calibration More...
class  Callability
 instrument callability More...
class  CallableBond
 Callable bond base class. More...
class  CallableBondConstantVolatility
 Constant callable-bond volatility, no time-strike dependence. More...
class  CallableBondVolatilityStructure
 Callable-bond volatility structure. More...
class  CallableFixedRateBond
 callable/puttable fixed rate bond More...
class  CallableZeroCouponBond
 callable/puttable zero coupon bond More...
class  CallSpecifiedMultiProduct
class  CallSpecifiedPathwiseMultiProduct
class  Canada
 Canadian calendar. More...
class  Cap
 Concrete cap class. More...
class  CapFloor
 Base class for cap-like instruments. More...
class  CapFloorTermVolatilityStructure
 Cap/floor term-volatility structure. More...
class  CapFloorTermVolCurve
 Cap/floor at-the-money term-volatility vector. More...
class  CapFloorTermVolSurface
 Cap/floor smile volatility surface. More...
class  CapHelper
 calibration helper for ATM cap More...
class  CapletVarianceCurve
class  CappedFlooredCmsCoupon
class  CappedFlooredCoupon
 Capped and/or floored floating-rate coupon. More...
class  CappedFlooredIborCoupon
class  CappedFlooredYoYInflationCoupon
 Capped or floored inflation coupon. More...
class  CapPseudoDerivative
class  CashFlow
 Base class for cash flows. More...
class  CashFlows
 cashflow-analysis functions More...
class  CashOrNothingPayoff
 Binary cash-or-nothing payoff. More...
class  CDO
 collateralized debt obligation More...
class  Cdor
 CDOR rate More...
class  CdsHelper
class  CdsOption
 CDS option. More...
class  CeilingTruncation
 Ceiling truncation. More...
class  CHFCurrency
 Swiss franc. More...
class  CHFLibor
 CHF LIBOR rate More...
class  ChfLiborSwapIsdaFix
 ChfLiborSwapIsdaFix index base class More...
class  China
 Chinese calendar. More...
class  ChiSquareDistribution
class  Claim
 Claim associated to a default event. More...
class  ClaytonCopula
class  CLGaussianRng
 Gaussian random number generator. More...
class  clipped_function
class  CliquetOption
 cliquet (Ratchet) option More...
class  Clone
 cloning proxy to an underlying object More...
class  ClosestRounding
 Closest rounding. More...
class  CLPCurrency
 Chilean peso. More...
class  CmsCoupon
 CMS coupon class. More...
class  CmsCouponPricer
 base pricer for vanilla CMS coupons More...
class  CmsLeg
 helper class building a sequence of capped/floored cms-rate coupons More...
class  CmsMarket
 set of CMS quotes More...
class  CmsMarketCalibration
class  CMSMMDriftCalculator
 Drift computation for CMS market models. More...
class  CmsRateBond
 CMS-rate bond. More...
class  CMSwapCurveState
 Curve state for constant-maturity-swap market models More...
class  CNYCurrency
 Chinese yuan. More...
class  Collar
 Concrete collar class. More...
class  Commodity
 Commodity base class. More...
class  CommodityCashFlow
class  CommodityCurve
 Commodity term structure. More...
class  CommodityIndex
 base class for commodity indexes More...
class  CommodityPricingHelper
 commodity index helper More...
class  CommoditySettings
 global repository for run-time library settings More...
class  CommodityType
 commodity type More...
class  CommodityUnitCost
class  composed_function
class  Composite
 Composite pattern. More...
class  CompositeConstraint
 Constraint enforcing both given sub-constraints More...
class  CompositeInstrument
 Composite instrument More...
class  CompositeQuote
 market element whose value depends on two other market element More...
class  CompoundingRatePricer
class  CompoundOption
 Compound option on a single asset. More...
class  Concentrating1dMesher
class  ConjugateGradient
 Multi-dimensional Conjugate Gradient class. More...
class  constant
class  ConstantCapFloorTermVolatility
 Constant caplet volatility, no time-strike dependence. More...
class  ConstantEstimator
 Constant-estimator volatility model. More...
class  ConstantOptionletVolatility
 Constant caplet volatility, no time-strike dependence. More...
class  ConstantParameter
 Standard constant parameter $ a(t) = a $. More...
class  ConstantRecoveryModel
class  ConstantSwaptionVolatility
 Constant swaption volatility, no time-strike dependence. More...
class  ConstantYoYOptionletVolatility
 Constant surface, no K or T dependence. More...
class  ConstrainedEvolver
 Constrained market-model evolver. More...
class  Constraint
 Base constraint class. More...
class  ContinuousAveragingAsianOption
 Continuous-averaging Asian option. More...
class  ContinuousFixedLookbackOption
 Continuous-fixed lookback option. More...
class  ContinuousFloatingLookbackOption
 Continuous-floating lookback option. More...
class  ConvergenceStatistics
 statistics class with convergence table More...
class  ConvertibleBond
 base class for convertible bonds More...
class  ConvertibleFixedCouponBond
 convertible fixed-coupon bond More...
class  ConvertibleFloatingRateBond
 convertible floating-rate bond More...
class  ConvertibleZeroCouponBond
 convertible zero-coupon bond More...
class  ConvexMonotone
 Convex-monotone interpolation factory and traits. More...
class  ConvexMonotoneInterpolation
 Convex monotone yield-curve interpolation method. More...
class  COPCurrency
 Colombian peso. More...
class  CostFunction
 Cost function abstract class for optimization problem. More...
class  CoterminalSwapCurveState
 Curve state for coterminal-swap market models More...
class  CotSwapFromFwdCorrelation
class  CotSwapToFwdAdapter
class  CotSwapToFwdAdapterFactory
class  Coupon
 coupon accruing over a fixed period More...
class  CovarianceDecomposition
 Covariance decomposition into correlation and variances. More...
class  CoxIngersollRoss
 Cox-Ingersoll-Ross model class. More...
class  CoxRossRubinstein
 Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
class  CraigSneydScheme
class  CrankNicolson
 Crank-Nicolson scheme for finite difference methods. More...
class  CreditDefaultSwap
 Credit default swap. More...
class  CTSMMCapletAlphaFormCalibration
class  CTSMMCapletCalibration
class  CTSMMCapletMaxHomogeneityCalibration
class  CTSMMCapletOriginalCalibration
class  cube
class  Cubic
 Cubic interpolation factory and traits More...
class  CubicBSplinesFitting
 CubicSpline B-splines fitting method. More...
class  CubicInterpolation
 Cubic interpolation between discrete points. More...
class  CubicNaturalSpline
class  CubicSplineOvershootingMinimization1
class  CubicSplineOvershootingMinimization2
class  CumulativeBinomialDistribution
 Cumulative binomial distribution function. More...
class  CumulativeNormalDistribution
 Cumulative normal distribution function. More...
class  CumulativePoissonDistribution
 Cumulative Poisson distribution function. More...
class  CumulativeStudentDistribution
 Cumulative Student t-distribution. More...
class  CuriouslyRecurringTemplate
 Support for the curiously recurring template pattern. More...
class  Currency
 Currency specification More...
class  Curve
 abstract curve class More...
class  CurveDependentStepCondition
class  CurveState
 Curve state for market-model simulations More...
class  CYPCurrency
 Cyprus pound. More...
class  CzechRepublic
 Czech calendars. More...
class  CZKCurrency
 Czech koruna. More...
class  DailyTenorCHFLibor
 base class for the one day deposit BBA CHF LIBOR indexes More...
class  DailyTenorEURLibor
 base class for the one day deposit BBA EUR LIBOR indexes More...
class  DailyTenorGBPLibor
 base class for the one day deposit BBA GBP LIBOR indexes More...
class  DailyTenorJPYLibor
 base class for the one day deposit BBA JPY LIBOR indexes More...
class  DailyTenorLibor
 base class for all O/N-S/N BBA LIBOR indexes but the EUR ones More...
class  DailyTenorUSDLibor
 base class for the one day deposit BBA USD LIBOR indexes More...
class  Date
 Concrete date class. More...
class  DatedOISRateHelper
 Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
struct  DateGeneration
 Date-generation rule. More...
class  DateInterval
 Date interval described by a number of a given time unit. More...
class  DateParser
class  DayCounter
 day counter class More...
struct  Default
struct  DefaultDensity
 Default-density-curve traits. More...
class  DefaultDensityStructure
 Default-density term structure. More...
class  DefaultEvent
 Credit event on a bond of a certain seniority(ies)/currency. More...
class  DefaultProbabilityTermStructure
 Default probability term structure. More...
class  DefaultProbKey
class  DefaultType
 Atomic credit-event type. More...
class  DEMCurrency
 Deutsche mark. More...
class  Denmark
 Danish calendar. More...
class  DepositRateHelper
 Rate helper for bootstrapping over deposit rates. More...
class  DerivedQuote
 market quote whose value depends on another quote More...
class  DigitalCmsCoupon
 Cms-rate coupon with digital digital call/put option. More...
class  DigitalCmsLeg
 helper class building a sequence of digital ibor-rate coupons More...
class  DigitalCoupon
 Digital-payoff coupon. More...
class  DigitalIborCoupon
 Ibor rate coupon with digital digital call/put option. More...
class  DigitalIborLeg
 helper class building a sequence of digital ibor-rate coupons More...
class  DigitalPathPricer
class  DigitalReplication
class  DirichletBC
 Neumann boundary condition (i.e., constant value) More...
struct  Discount
 Discount-curve traits. More...
class  DiscountingBondEngine
class  DiscountingSwapEngine
class  DiscrepancyStatistics
 Statistic tool for sequences with discrepancy calculation. More...
class  DiscreteAveragingAsianOption
 Discrete-averaging Asian option. More...
class  DiscretizedAsset
 Discretized asset class used by numerical methods. More...
class  DiscretizedCallableFixedRateBond
class  DiscretizedCapFloor
class  DiscretizedConvertible
class  DiscretizedDiscountBond
 Useful discretized discount bond asset. More...
class  DiscretizedOption
 Discretized option on a given asset. More...
class  DiscretizedSwap
class  DiscretizedSwaption
class  DiscretizedVanillaOption
class  Disposable
 generic disposable object with move semantics More...
class  Distribution
class  Dividend
 Predetermined cash flow. More...
class  DividendBarrierOption
 Single-asset barrier option with discrete dividends. More...
class  DividendVanillaOption
 Single-asset vanilla option (no barriers) with discrete dividends. More...
class  DKKCurrency
 Danish krone. More...
class  DKKLibor
 DKK LIBOR rate More...
class  DMinus
 $ D_{-} $ matricial representation More...
class  Domain
 domain abstract lcass More...
class  DoubleStickyRatchetPayoff
 Intermediate class for single/double sticky/ratchet payoffs. More...
class  DoublingConvergenceSteps
class  DouglasScheme
class  DownRounding
 Down-rounding. More...
class  DPlus
 $ D_{+} $ matricial representation More...
class  DPlusDMinus
 $ D_{+}D_{-} $ matricial representation More...
class  DriftTermStructure
 Drift term structure. More...
struct  Duration
 duration type More...
class  DZero
 $ D_{0} $ matricial representation More...
struct  earlier_than< boost::shared_ptr< T > >
struct  earlier_than< CashFlow >
struct  earlier_than< DefaultEvent >
class  EarlyExercise
 Early-exercise base class. More...
class  EarlyExercisePathPricer
 base class for early exercise path pricers More...
class  EarlyExerciseTraits
class  EarlyExerciseTraits< MultiPath >
class  EarlyExerciseTraits< Path >
struct  ECB
 European Central Bank reserve maintenance dates. More...
class  EEKCurrency
 Estonian kroon. More...
class  EndCriteria
 Criteria to end optimization process: More...
class  EndEulerDiscretization
 Euler end-point discretization for stochastic processes. More...
class  EnergyBasisSwap
 Energy basis swap. More...
class  EnergyCommodity
 Energy commodity class. More...
struct  EnergyDailyPosition
class  EnergyFuture
 Energy future. More...
class  EnergySwap
class  EnergyVanillaSwap
 Vanilla energy swap. More...
class  Eonia
 Eonia (Euro Overnight Index Average) rate fixed by the ECB. More...
class  equal_within
class  EqualJumpsBinomialTree
 Base class for equal jumps binomial tree. More...
class  EqualProbabilitiesBinomialTree
 Base class for equal probabilities binomial tree. More...
class  EquityFXVolSurface
 Equity/FX volatility (smile) surface. More...
class  Error
 Base error class. More...
class  ErrorFunction
 Error function More...
class  ESPCurrency
 Spanish peseta. More...
class  EUHICP
 EU HICP index. More...
class  EulerDiscretization
 Euler discretization for stochastic processes. More...
class  EURCurrency
 European Euro. More...
class  EURegion
 European Union as geographical/economic region. More...
class  Euribor
 Euribor index More...
class  Euribor10M
 10-months Euribor index More...
class  Euribor11M
 11-months Euribor index More...
class  Euribor1M
 1-month Euribor index More...
class  Euribor1Y
 1-year Euribor index More...
class  Euribor2M
 2-months Euribor index More...
class  Euribor2W
 2-weeks Euribor index More...
class  Euribor365
 Actual/365 Euribor index. More...
class  Euribor365_10M
 10-months Euribor365 index More...
class  Euribor365_11M
 11-months Euribor365 index More...
class  Euribor365_1M
 1-month Euribor365 index More...
class  Euribor365_1Y
 1-year Euribor365 index More...
class  Euribor365_2M
 2-months Euribor365 index More...
class  Euribor365_2W
 2-weeks Euribor365 index More...
class  Euribor365_3M
 3-months Euribor365 index More...
class  Euribor365_3W
 3-weeks Euribor365 index More...
class  Euribor365_4M
 4-months Euribor365 index More...
class  Euribor365_5M
 5-months Euribor365 index More...
class  Euribor365_6M
 6-months Euribor365 index More...
class  Euribor365_7M
 7-months Euribor365 index More...
class  Euribor365_8M
 8-months Euribor365 index More...
class  Euribor365_9M
 9-months Euribor365 index More...
class  Euribor365_SW
 1-week Euribor365 index More...
class  Euribor3M
 3-months Euribor index More...
class  Euribor3W
 3-weeks Euribor index More...
class  Euribor4M
 4-months Euribor index More...
class  Euribor5M
 5-months Euribor index More...
class  Euribor6M
 6-months Euribor index More...
class  Euribor7M
 7-months Euribor index More...
class  Euribor8M
 8-months Euribor index More...
class  Euribor9M
 9-months Euribor index More...
class  EuriborSW
 1-week Euribor index More...
class  EuriborSwapIfrFix
 EuriborSwapIfrFix index base class More...
class  EuriborSwapIsdaFixA
 EuriborSwapIsdaFixA index base class More...
class  EuriborSwapIsdaFixB
 EuriborSwapIsdaFixB index base class More...
class  EURLibor
 base class for all BBA EUR LIBOR indexes but the O/N More...
class  EURLibor10M
 10-months EUR Libor index More...
class  EURLibor11M
 11-months EUR Libor index More...
class  EURLibor1M
 1-month EUR Libor index More...
class  EURLibor1Y
 1-year EUR Libor index More...
class  EURLibor2M
 2-months EUR Libor index More...
class  EURLibor2W
 2-weeks EUR Libor index More...
class  EURLibor3M
 3-months EUR Libor index More...
class  EURLibor4M
 4-months EUR Libor index More...
class  EURLibor5M
 5-months EUR Libor index More...
class  EURLibor6M
 6-months EUR Libor index More...
class  EURLibor7M
 7-months EUR Libor index More...
class  EURLibor8M
 8-months EUR Libor index More...
class  EURLibor9M
 9-months EUR Libor index More...
class  EURLiborON
 Overnight EUR Libor index. More...
class  EURLiborSW
 1-week EUR Libor index More...
class  EurLiborSwapIfrFix
 EurLiborSwapIfrFix index base class More...
class  EurLiborSwapIsdaFixA
 EurLiborSwapIsdaFixA index base class More...
class  EurLiborSwapIsdaFixB
 EurLiborSwapIsdaFixB index base class More...
class  EurodollarFuturesImpliedStdDevQuote
 quote for the Eurodollar-future implied standard deviation More...
class  EuropeanExercise
 European exercise. More...
class  EuropeanGJRGARCHPathPricer
class  EuropeanHestonPathPricer
class  EuropeanMultiPathPricer
class  EuropeanOption
 European option on a single asset. More...
class  EuropeanPathMultiPathPricer
class  EuropeanPathPricer
class  Event
 Base class for event. More...
class  EverestMultiPathPricer
class  EverestOption
class  everywhere
class  EvolutionDescription
 Market-model evolution description. More...
class  ExchangeContract
class  ExchangeRate
 exchange rate between two currencies More...
class  ExchangeRateManager
 exchange-rate repository More...
class  Exercise
 Base exercise class. More...
class  ExerciseAdapter
class  ExerciseStrategy
class  ExplicitEuler
 Forward Euler scheme for finite difference methods More...
class  ExplicitEulerScheme
class  ExponentialForwardCorrelation
class  ExponentialSplinesFitting
 Exponential-splines fitting method. More...
class  ExtendedAdditiveEQPBinomialTree
 Additive equal probabilities binomial tree. More...
class  ExtendedBinomialTree
 Binomial tree base class. More...
class  ExtendedBlackScholesMertonProcess
 experimental Black-Scholes-Merton stochastic process More...
class  ExtendedBlackVarianceCurve
 Black volatility curve modelled as variance curve. More...
class  ExtendedBlackVarianceSurface
 Black volatility surface modelled as variance surface. More...
class  ExtendedCoxIngersollRoss
 Extended Cox-Ingersoll-Ross model class. More...
class  ExtendedCoxRossRubinstein
 Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
class  ExtendedEqualJumpsBinomialTree
 Base class for equal jumps binomial tree. More...
class  ExtendedEqualProbabilitiesBinomialTree
 Base class for equal probabilities binomial tree. More...
class  ExtendedJarrowRudd
 Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
class  ExtendedJoshi4
class  ExtendedLeisenReimer
 Leisen & Reimer tree: multiplicative approach. More...
class  ExtendedTian
 Tian tree: third moment matching, multiplicative approach More...
class  ExtendedTrigeorgis
 Trigeorgis (additive equal jumps) binomial tree More...
class  Extrapolator
 base class for classes possibly allowing extrapolation More...
class  FaceValueAccrualClaim
 Claim on the notional of a reference security, including accrual. More...
class  FaceValueClaim
 Claim on a notional. More...
class  Factorial
 Factorial numbers calculator More...
class  FactorSpreadedHazardRateCurve
 Default-probability structure with a multiplicative spread on hazard rates. More...
class  FailureToPay
 Failure to Pay atomic event type. More...
class  FailureToPayEvent
class  FalsePosition
 False position 1-D solver. More...
class  FarlieGumbelMorgensternCopula
class  FastFourierTransform
 FFT implementation. More...
class  FaureRsg
 Faure low-discrepancy sequence generator. More...
class  FDAmericanCondition
class  FDAmericanEngine
 Finite-differences pricing engine for American one asset options. More...
class  FDBermudanEngine
 Finite-differences Bermudan engine. More...
class  FdBlackScholesAsianEngine
 Finite-Differences Black Scholes arithmetic asian option engine. More...
class  FdBlackScholesBarrierEngine
 Finite-Differences Black Scholes barrier option engine. More...
class  FdBlackScholesRebateEngine
 Finite-Differences Black Scholes barrier option rebate helper engine. More...
class  FdBlackScholesVanillaEngine
 Finite-Differences Black Scholes vanilla option engine. More...
class  FDDividendAmericanEngine
 Finite-differences pricing engine for dividend American options. More...
class  FDDividendAmericanEngineMerton73
class  FDDividendAmericanEngineShiftScale
class  FDDividendEngine
class  FDDividendEngineBase
 Abstract base class for dividend engines. More...
class  FDDividendEngineMerton73
 Finite-differences pricing engine for dividend options using escowed dividends model. More...
class  FDDividendEngineShiftScale
 Finite-differences engine for dividend options using shifted dividends. More...
class  FDDividendEuropeanEngine
 Finite-differences pricing engine for dividend European options. More...
class  FDDividendEuropeanEngineMerton73
class  FDDividendEuropeanEngineShiftScale
class  FDDividendShoutEngine
 Finite-differences shout engine with dividends. More...
class  FDDividendShoutEngineMerton73
class  FDDividendShoutEngineShiftScale
class  FDEngineAdapter
class  FDEuropeanEngine
 Pricing engine for European options using finite-differences. More...
class  FdHestonBarrierEngine
 Finite-Differences Heston Barrier Option engine. More...
class  FdHestonHullWhiteVanillaEngine
 Finite-Differences Heston Hull-White Vanilla Option engine. More...
class  FdHestonRebateEngine
 Finite-Differences Heston Barrier Option rebate helper engine. More...
class  FdHestonVanillaEngine
 Finite-Differences Heston Vanilla Option engine. More...
class  Fdm1dMesher
class  FdmAmericanStepCondition
class  FdmArithmeticAverageCondition
class  FdmBackwardSolver
class  FdmBlackScholesMesher
class  FdmBlackScholesMultiStrikeMesher
class  FdmBlackScholesOp
class  FdmBlackScholesSolver
class  FdmDirichletBoundary
class  FdmDividendHandler
class  FdmHestonEquityPart
class  FdmHestonHullWhiteEquityPart
class  FdmHestonHullWhiteOp
class  FdmHestonHullWhiteRatesPart
class  FdmHestonHullWhiteSolver
class  FdmHestonHullWhiteVariancePart
class  FdmHestonOp
class  FdmHestonSolver
class  FdmHestonVarianceMesher
class  FdmHestonVariancePart
class  FdmHullWhiteMesher
class  FdmInnerValueCalculator
class  FdmLinearOp
class  FdmLinearOpComposite
class  FdmLinearOpIterator
class  FdmLinearOpLayout
class  FdmLogInnerValue
class  FdmMesher
class  FdmMesherComposite
class  FdmQuantoHelper
class  FdmSimple2dBSSolver
class  FdmSnapshotCondition
class  FdmStepConditionComposite
class  FDMultiPeriodEngine
class  FDShoutCondition
class  FDShoutEngine
 Finite-differences pricing engine for shout vanilla options. More...
class  FDStepConditionEngine
 Finite-differences pricing engine for American-style vanilla options. More...
class  FDVanillaEngine
 Finite-differences pricing engine for BSM one asset options. More...
class  FIMCurrency
 Finnish markka. More...
class  FiniteDifferenceModel
 Generic finite difference model. More...
class  Finland
 Finnish calendar. More...
class  FirstDerivativeOp
class  FittedBondDiscountCurve
 Discount curve fitted to a set of fixed-coupon bonds. More...
class  FixedDividend
 Predetermined cash flow. More...
class  FixedRateBond
 fixed-rate bond More...
class  FixedRateBondForward
 Forward contract on a fixed-rate bond More...
class  FixedRateBondHelper
class  FixedRateCoupon
 Coupon paying a fixed interest rate More...
class  FixedRateLeg
 helper class building a sequence of fixed rate coupons More...
class  Flag
class  FlatExtrapolator2D
class  FlatForward
 Flat interest-rate curve. More...
class  FlatHazardRate
 Flat hazard-rate curve. More...
class  FlatSmileSection
class  FlatVol
class  FlatVolFactory
class  FloatingRateBond
 floating-rate bond (possibly capped and/or floored) More...
class  FloatingRateCoupon
 base floating-rate coupon class More...
class  FloatingRateCouponPricer
 generic pricer for floating-rate coupons More...
class  FloatingTypePayoff
 Payoff based on a floating strike More...
class  Floor
 Concrete floor class. More...
class  FloorTruncation
 Floor truncation. More...
class  Forward
 Abstract base forward class. More...
class  ForwardFlat
 Forward-flat interpolation factory and traits. More...
class  ForwardFlatInterpolation
 Forward-flat interpolation between discrete points. More...
class  ForwardMeasureProcess
 forward-measure stochastic process More...
class  ForwardMeasureProcess1D
 forward-measure 1-D stochastic process More...
class  ForwardOptionArguments
 Arguments for forward (strike-resetting) option calculation More...
class  ForwardPerformanceVanillaEngine
 Forward performance engine for vanilla options More...
struct  ForwardRate
 Forward-curve traits. More...
class  ForwardRateAgreement
class  ForwardRateStructure
 Forward-rate term structure More...
class  ForwardSpreadedTermStructure
 Term structure with added spread on the instantaneous forward rate. More...
class  ForwardSwapQuote
 Quote for a forward starting swap. More...
class  ForwardTypePayoff
 Class for forward type payoffs. More...
class  ForwardValueQuote
 quote for the forward value of an index More...
class  ForwardVanillaEngine
 Forward engine for vanilla options More...
class  ForwardVanillaOption
 Forward version of a vanilla option More...
class  fourth_power
class  FractionalDividend
 Predetermined cash flow. More...
class  FranceRegion
 France as geographical/economic region. More...
class  FrankCopula
class  FraRateHelper
 Rate helper for bootstrapping over FRA rates. More...
class  FRFCurrency
 French franc. More...
class  FRHICP
 FR HICP index. More...
class  FritschButlandCubic
class  FritschButlandLogCubic
class  FrobeniusCostFunction
class  FuturesConvAdjustmentQuote
 quote for the futures-convexity adjustment of an index More...
class  FuturesRateHelper
 Rate helper for bootstrapping over IborIndex futures prices. More...
class  FwdPeriodAdapter
class  FwdToCotSwapAdapter
class  FwdToCotSwapAdapterFactory
class  G2
 Two-additive-factor gaussian model class. More...
class  G2ForwardProcess
 Forward G2 stochastic process More...
class  G2Process
 G2 stochastic process More...
class  G2SwaptionEngine
 Swaption priced by means of the Black formula More...
class  GallonUnitOfMeasure
class  GammaDistribution
class  GammaFunction
 Gamma function class. More...
class  GapPayoff
 Binary gap payoff. More...
class  Garch11
 GARCH volatility model. More...
class  GarmanKlassAbstract
 Garman-Klass volatility model. More...
class  GarmanKlassOpenClose
class  GarmanKlassSigma1
class  GarmanKlassSigma3
class  GarmanKlassSigma4
class  GarmanKlassSigma5
class  GarmanKlassSigma6
class  GarmanKlassSimpleSigma
class  GarmanKohlagenProcess
 Garman-Kohlhagen (1983) stochastic process. More...
class  GaussChebyshev2ndIntegration
 Gauss-Chebyshev integration (second kind) More...
class  GaussChebyshev2ndPolynomial
 Gauss-Chebyshev polynomial (second kind) More...
class  GaussChebyshevIntegration
 Gauss-Chebyshev integration. More...
class  GaussChebyshevPolynomial
 Gauss-Chebyshev polynomial. More...
class  GaussGegenbauerIntegration
 Gauss-Gegenbauer integration. More...
class  GaussGegenbauerPolynomial
 Gauss-Gegenbauer polynomial. More...
class  GaussHermiteIntegration
 generalized Gauss-Hermite integration More...
class  GaussHermitePolynomial
 Gauss-Hermite polynomial. More...
class  GaussHyperbolicIntegration
 Gauss-Hyperbolic integration. More...
class  GaussHyperbolicPolynomial
 Gauss hyperbolic polynomial. More...
class  GaussianCopula
class  GaussianKernel
 Gaussian kernel function. More...
class  GaussianLHPCDOEngine
class  GaussianOrthogonalPolynomial
 orthogonal polynomial for Gaussian quadratures More...
class  GaussianQuadrature
 Integral of a 1-dimensional function using the Gauss quadratures method. More...
class  GaussianRandomDefaultModel
class  GaussianRecursiveCdoEngine
 Specialization for Gaussian copula, the integration still remains. More...
class  GaussJacobiIntegration
 Gauss-Jacobi integration. More...
class  GaussJacobiPolynomial
 Gauss-Jacobi polynomial. More...
class  GaussKronrodAdaptive
 Integral of a 1-dimensional function using the Gauss-Kronrod methods. More...
class  GaussKronrodNonAdaptive
 Integral of a 1-dimensional function using the Gauss-Kronrod methods. More...
class  GaussLaguerreIntegration
 generalized Gauss-Laguerre integration More...
class  GaussLaguerrePolynomial
 Gauss-Laguerre polynomial. More...
class  GaussLegendreIntegration
 Gauss-Legendre integration. More...
class  GaussLegendrePolynomial
 Gauss-Legendre polynomial. More...
class  GaussLobattoIntegral
 Integral of a one-dimensional function. More...
class  GBPCurrency
 British pound sterling. More...
class  GBPLibor
 GBP LIBOR rate More...
class  GBPLiborON
 Overnight GBP Libor index. More...
class  GbpLiborSwapIsdaFix
 GbpLiborSwapIsdaFix index base class More...
class  GeneralizedBlackScholesProcess
 Generalized Black-Scholes stochastic process. More...
class  GeneralStatistics
 Statistics tool. More...
class  GenericCPI
 Generic CPI index. More...
class  GenericEngine
 template base class for option pricing engines More...
class  GenericGaussianStatistics
 Statistics tool for gaussian-assumption risk measures. More...
struct  GenericLowDiscrepancy
class  GenericModelEngine
 Base class for some pricing engine on a particular model. More...
struct  GenericPseudoRandom
class  GenericRegion
 Generic geographical/economic region. More...
class  GenericRiskStatistics
 empirical-distribution risk measures More...
class  GenericSequenceStatistics
 Statistics analysis of N-dimensional (sequence) data. More...
class  GenericTimeSetter
class  GeometricAPOPathPricer
class  GeometricBrownianMotionProcess
 Geometric brownian-motion process. More...
class  Germany
 German calendars. More...
class  GFunction
class  GFunctionFactory
class  GJRGARCHModel
 GJR-GARCH model for the stochastic volatility of an asset. More...
class  GJRGARCHProcess
 Stochastic-volatility GJR-GARCH(1,1) process. More...
class  GRDCurrency
 Greek drachma. More...
class  Greeks
 additional option results More...
class  GumbelCopula
class  HaganPricer
 CMS-coupon pricer. More...
class  HaltonRsg
 Halton low-discrepancy sequence generator. More...
class  Handle
 Shared handle to an observable. More...
struct  HazardRate
 Hazard-rate-curve traits. More...
class  HazardRateStructure
 Hazard-rate term structure. More...
class  HestonHullWhitePathPricer
class  HestonModel
 Heston model for the stochastic volatility of an asset. More...
class  HestonModelHelper
 calibration helper for Heston model More...
class  HestonProcess
 Square-root stochastic-volatility Heston process. More...
class  HimalayaMultiPathPricer
class  HimalayaOption
 Himalaya option. More...
class  Histogram
 Histogram class. More...
class  HistoricalForwardRatesAnalysis
class  HistoricalForwardRatesAnalysisImpl
 Historical correlation class More...
class  HistoricalRatesAnalysis
 Historical rate analysis class More...
class  HKDCurrency
 Honk Kong dollar. More...
class  HomogeneousPoolCDOEngine
 CDO engine, loss distribution convolution for finite homogeneous pool. More...
class  HongKong
 Hong Kong calendars. More...
class  HUFCurrency
 Hungarian forint. More...
class  HullWhite
 Single-factor Hull-White (extended Vasicek) model class. More...
class  HullWhiteForwardProcess
 Forward Hull-White stochastic process More...
class  HullWhiteProcess
 Hull-White stochastic process. More...
class  HundsdorferScheme
class  Hungary
 Hungarian calendar. More...
class  HybridHestonHullWhiteProcess
 Hybrid Heston Hull-White stochastic process. More...
class  IborCoupon
 Coupon paying a Libor-type index More...
class  IborCouponPricer
 base pricer for capped/floored Ibor coupons More...
class  IborIndex
 base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More...
class  IborLeg
 helper class building a sequence of capped/floored ibor-rate coupons More...
class  Iceland
 Icelandic calendars. More...
class  identity
class  IEPCurrency
 Irish punt. More...
class  ILSCurrency
 Israeli shekel. More...
struct  IMM
 Main cycle of the International Money Market (a.k.a. IMM) months. More...
class  ImplicitEuler
 Backward Euler scheme for finite difference methods. More...
class  ImplicitEulerScheme
class  ImpliedSpotHelper
class  ImpliedStdDevQuote
 quote for the implied standard deviation of an underlying More...
class  ImpliedTermStructure
 Implied term structure at a given date in the future. More...
class  ImpliedVolTermStructure
 Implied vol term structure at a given date in the future. More...
class  IncrementalStatistics
 Statistics tool based on incremental accumulation. More...
class  IndependentCopula
class  Index
 purely virtual base class for indexes More...
class  IndexedCashFlow
 Cash flow dependent on an index ratio. More...
class  IndexHistoryCleaner
class  IndexManager
 global repository for past index fixings More...
class  India
 Indian calendars. More...
class  Indonesia
 Indonesian calendars More...
class  InflationCoupon
 Base inflation-coupon class. More...
class  InflationCouponPricer
 Base inflation-coupon pricer. More...
class  InflationIndex
 Base class for inflation-rate indexes,. More...
class  InflationTermStructure
 Interface for inflation term structures. More...
class  InhomogeneousPoolCDOEngine
 CDO engine, loss disctribution bucketing for finite inhomogeneous pool. More...
class  INRCurrency
 Indian rupee. More...
class  Instrument
 Abstract instrument class. More...
class  IntegralCDOEngine
 CDO base engine taking (possibly) small time steps. More...
class  IntegralCdsEngine
class  IntegralEngine
 Pricing engine for European vanilla options using integral approach. More...
class  IntegralHestonVarianceOptionEngine
 integral Heston-model variance-option engine More...
class  Integrator
class  InterestRate
 Concrete interest rate class. More...
class  InterestRateIndex
 base class for interest rate indexes More...
class  InterestRateVolSurface
 Interest rate volatility (smile) surface. More...
class  InterpolatedCurve
 Helper class to build interpolated term structures. More...
class  InterpolatedDefaultDensityCurve
 DefaultProbabilityTermStructure based on interpolation of default densities. More...
class  InterpolatedDiscountCurve
 YieldTermStructure based on interpolation of discount factors. More...
class  InterpolatedForwardCurve
 YieldTermStructure based on interpolation of forward rates. More...
class  InterpolatedHazardRateCurve
 DefaultProbabilityTermStructure based on interpolation of hazard rates. More...
class  InterpolatedSmileSection
class  InterpolatedSurvivalProbabilityCurve
 DefaultProbabilityTermStructure based on interpolation of survival probabilities. More...
class  InterpolatedYoYCapFloorTermPriceSurface
class  InterpolatedYoYInflationCurve
 Inflation term structure based on interpolated year-on-year rates. More...
class  InterpolatedYoYOptionletStripper
class  InterpolatedYoYOptionletVolatilityCurve
 Interpolated flat smile surface. More...
class  InterpolatedZeroCurve
 YieldTermStructure based on interpolation of zero rates. More...
class  InterpolatedZeroInflationCurve
 Inflation term structure based on the interpolation of zero rates. More...
class  Interpolation
 base class for 1-D interpolations. More...
class  Interpolation2D
 base class for 2-D interpolations. More...
class  IntervalPrice
 interval price More...
class  InverseCumulativeNormal
 Inverse cumulative normal distribution function. More...
class  InverseCumulativePoisson
 Inverse cumulative Poisson distribution function. More...
class  InverseCumulativeRng
 Inverse cumulative random number generator. More...
class  InverseCumulativeRsg
 Inverse cumulative random sequence generator. More...
class  InverseCumulativeStudent
 Inverse cumulative Student t-distribution. More...
class  InverseNonCentralChiSquareDistribution
class  IQDCurrency
 Iraqi dinar. More...
class  IRRCurrency
 Iranian rial. More...
class  ISKCurrency
 Icelandic krona. More...
class  Issuer
class  Italy
 Italian calendars. More...
class  IterativeBootstrap
 Universal piecewise-term-structure boostrapper. More...
class  ITLCurrency
 Italian lira. More...
class  JamshidianSwaptionEngine
 Jamshidian swaption engine. More...
class  Japan
 Japanese calendar. More...
class  JarrowRudd
 Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
class  Jibar
 JIBAR rate More...
class  JointCalendar
 Joint calendar. More...
class  JointStochasticProcess
class  Joshi4
class  JPYCurrency
 Japanese yen. More...
class  JPYLibor
 JPY LIBOR rate More...
class  JpyLiborSwapIsdaFixAm
 JpyLiborSwapIsdaFixAm index base class More...
class  JpyLiborSwapIsdaFixPm
 JpyLiborSwapIsdaFixPm index base class More...
class  JumpDiffusionEngine
 Jump-diffusion engine for vanilla options. More...
class  JuQuadraticApproximationEngine
 Pricing engine for American options with Ju quadratic approximation. More...
class  KernelFunction
class  KernelInterpolation
 Kernel interpolation between discrete points. More...
class  KernelInterpolation2D
class  KilolitreUnitOfMeasure
class  KInterpolatedYoYOptionletVolatilitySurface
 K-interpolated YoY optionlet volatility. More...
class  KnuthUniformRng
 Uniform random number generator. More...
class  KrugerCubic
class  KrugerLogCubic
class  KRWCurrency
 South-Korean won. More...
class  KWDCurrency
 Kuwaiti dinar. More...
class  LastFixingQuote
 Quote adapter for the last fixing available of a given Index. More...
class  Lattice
 Lattice (tree, finite-differences) base class More...
class  LatticeRsg
class  LatticeRule
class  LatticeShortRateModelEngine
 Engine for a short-rate model specialized on a lattice. More...
class  LazyObject
 Framework for calculation on demand and result caching. More...
class  LeastSquareFunction
 Cost function for least-square problems. More...
class  LeastSquareProblem
 Base class for least square problem. More...
class  LecuyerUniformRng
 Uniform random number generator. More...
class  LeisenReimer
 Leisen & Reimer tree: multiplicative approach. More...
class  LevenbergMarquardt
 Levenberg-Marquardt optimization method. More...
class  LexicographicalView
 Lexicographical 2-D view of a contiguous set of data. More...
class  LfmCovarianceParameterization
 Libor market model parameterization More...
class  LfmCovarianceProxy
 proxy for a libor forward model covariance parameterization More...
class  LfmHullWhiteParameterization
 Libor market model parameterization based on Hull White paper More...
class  LfmSwaptionEngine
 Libor forward model swaption engine based on Black formula More...
class  Libor
 base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones More...
class  LiborForwardModel
 Libor forward model More...
class  LiborForwardModelProcess
 libor-forward-model process More...
class  Linear
 Linear-interpolation factory and traits More...
class  LinearInterpolation
 Linear interpolation between discrete points More...
class  LinearLeastSquaresRegression
 general linear least squares regression More...
class  LinearRegression
 linear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps More...
class  LineSearch
 Base class for line search. More...
class  LineSearchBasedMethod
class  LitreUnitOfMeasure
class  LmConstWrapperCorrelationModel
class  LmConstWrapperVolatilityModel
 caplet const volatility model More...
class  LmCorrelationModel
 libor forward correlation model More...
class  LmExponentialCorrelationModel
 exponential correlation model More...
class  LmExtLinearExponentialVolModel
 extended linear exponential volatility model More...
class  LmFixedVolatilityModel
class  LmLinearExponentialCorrelationModel
 linear exponential correlation model More...
class  LmLinearExponentialVolatilityModel
 linear exponential volatility model More...
class  LMMCurveState
 Curve state for Libor market models More...
class  LMMDriftCalculator
 Drift computation for log-normal Libor market models. More...
class  LMMNormalDriftCalculator
 Drift computation for normal Libor market models. More...
class  LmVolatilityModel
 caplet volatility model More...
class  LocalBootstrap
 Localised-term-structure bootstrapper for most curve types. More...
class  LocalConstantVol
 Constant local volatility, no time-strike dependence. More...
class  LocalVolatilityEstimator
class  LocalVolCurve
 Local volatility curve derived from a Black curve. More...
class  LocalVolSurface
 Local volatility surface derived from a Black vol surface. More...
class  LocalVolTermStructure
class  LogCubic
 log-cubic interpolation factory and traits More...
class  LogCubicInterpolation
 log-cubic interpolation between discrete points More...
class  LogCubicNaturalSpline
class  LogGrid
class  LogLinear
 log-linear interpolation factory and traits More...
class  LogLinearInterpolation
 log-linear interpolation between discrete points More...
class  LogNormalCmSwapRatePc
 Predictor-Corrector. More...
class  LogNormalCotSwapRatePc
 Predictor-Corrector. More...
class  LogNormalFwdRateBalland
 Iterative Predictor-Corrector. More...
class  LogNormalFwdRateEuler
 Euler. More...
class  LogNormalFwdRateEulerConstrained
 euler stepping More...
class  LogNormalFwdRateiBalland
 Iterative Predictor-Corrector. More...
class  LogNormalFwdRateIpc
 Iterative Predictor-Corrector. More...
class  LogNormalFwdRatePc
 Predictor-Corrector. More...
class  LogParabolic
class  LongstaffSchwartzExerciseStrategy
class  LongstaffSchwartzMultiPathPricer
 Longstaff-Schwarz path pricer for early exercise options. More...
class  LongstaffSchwartzPathPricer
 Longstaff-Schwarz path pricer for early exercise options. More...
class  Loss
class  LossDist
 Probability formulas and algorithms. More...
class  LossDistBinomial
 Binomial loss distribution. More...
class  LossDistBucketing
 Loss distribution with Hull-White bucketing. More...
class  LossDistHomogeneous
 Loss Distribution for Homogeneous Pool. More...
class  LossDistMonteCarlo
 Loss distribution with Monte Carlo simulation. More...
class  LotUnitOfMeasure
class  LsmBasisSystem
class  LTLCurrency
 Lithuanian litas. More...
class  LUFCurrency
 Luxembourg franc. More...
class  LVLCurrency
 Latvian lat. More...
class  MakeCapFloor
 helper class More...
class  MakeCms
 helper class for instantiating CMS More...
class  MakeMCAmericanBasketEngine
 Monte Carlo American basket-option engine factory. More...
class  MakeMCAmericanEngine
 Monte Carlo American engine factory. More...
class  MakeMCAmericanPathEngine
 Monte Carlo American basket-option engine factory. More...
class  MakeMCBarrierEngine
 Monte Carlo barrier-option engine factory. More...
class  MakeMCDigitalEngine
 Monte Carlo digital engine factory. More...
class  MakeMCDiscreteArithmeticAPEngine
class  MakeMCDiscreteArithmeticASEngine
class  MakeMCDiscreteGeometricAPEngine
class  MakeMCEuropeanBasketEngine
 Monte Carlo basket-option engine factory. More...
class  MakeMCEuropeanEngine
 Monte Carlo European engine factory. More...
class  MakeMCEuropeanGJRGARCHEngine
 Monte Carlo GJR-GARCH European engine factory. More...
class  MakeMCEuropeanHestonEngine
 Monte Carlo Heston European engine factory. More...
class  MakeMCEverestEngine
 Monte Carlo Everest-option engine factory. More...
class  MakeMCHestonHullWhiteEngine
 Monte Carlo Heston/Hull-White engine factory. More...
class  MakeMCHimalayaEngine
 Monte Carlo Himalaya-option engine factory. More...
class  MakeMCHullWhiteCapFloorEngine
 Monte Carlo Hull-White cap-floor engine factory. More...
class  MakeMCPagodaEngine
 Monte Carlo pagoda-option engine factory. More...
class  MakeMCPathBasketEngine
 Monte Carlo Path Basket engine factory. More...
class  MakeMCPerformanceEngine
 Monte Carlo performance-option engine factory. More...
class  MakeMCVarianceSwapEngine
 Monte Carlo variance-swap engine factory. More...
class  MakeOIS
 helper class More...
class  MakeSchedule
 helper class More...
class  MakeSwaption
 helper class More...
class  MakeVanillaSwap
 helper class More...
class  MakeYoYInflationCapFloor
 helper class More...
class  ManipulateDistribution
class  MarketModel
 base class for market models More...
class  MarketModelBasisSystem
class  MarketModelCashRebate
class  MarketModelComposite
 Composition of two or more market-model products. More...
class  MarketModelDiscounter
class  MarketModelEvolver
 Market-model evolver. More...
class  MarketModelExerciseValue
class  MarketModelFactory
 base class for market-model factories More...
class  MarketModelMultiProduct
 market-model product More...
class  MarketModelNodeDataProvider
class  MarketModelParametricExercise
class  MarketModelPathwiseCashRebate
class  MarketModelPathwiseCoterminalSwaptionsDeflated
class  MarketModelPathwiseCoterminalSwaptionsNumericalDeflated
class  MarketModelPathwiseDiscounter
class  MarketModelPathwiseInverseFloater
class  MarketModelPathwiseMultiCaplet
 market-model pathwise caplet More...
class  MarketModelPathwiseMultiDeflatedCap
class  MarketModelPathwiseMultiDeflatedCaplet
class  MarketModelPathwiseMultiProduct
 market-model pathwise product More...
class  MarketModelPathwiseSwap
class  MarketModelVolProcess
class  MarshallOlkinCopula
class  Matrix
 Matrix used in linear algebra. More...
class  MaxBasketPayoff
class  MaxCopula
class  MBUnitOfMeasure
class  MCAmericanBasketEngine
 least-square Monte Carlo engine More...
class  MCAmericanEngine
 American Monte Carlo engine. More...
class  MCAmericanPathEngine
 least-square Monte Carlo engine More...
class  MCBarrierEngine
 Pricing engine for barrier options using Monte Carlo simulation. More...
class  MCDigitalEngine
 Pricing engine for digital options using Monte Carlo simulation. More...
class  MCDiscreteArithmeticAPEngine
 Monte Carlo pricing engine for discrete arithmetic average price Asian. More...
class  MCDiscreteArithmeticASEngine
 Monte Carlo pricing engine for discrete arithmetic average-strike Asian. More...
class  MCDiscreteAveragingAsianEngine
 Pricing engine for discrete average Asians using Monte Carlo simulation. More...
class  MCDiscreteGeometricAPEngine
 Monte Carlo pricing engine for discrete geometric average price Asian. More...
class  MCEuropeanBasketEngine
 Pricing engine for European basket options using Monte Carlo simulation. More...
class  MCEuropeanEngine
 European option pricing engine using Monte Carlo simulation. More...
class  MCEuropeanGJRGARCHEngine
 Monte Carlo GJR-GARCH-model engine for European options. More...
class  MCEuropeanHestonEngine
 Monte Carlo Heston-model engine for European options. More...
class  MCEverestEngine
class  MCHestonHullWhiteEngine
class  MCHimalayaEngine
class  MCHullWhiteCapFloorEngine
 Monte Carlo Hull-White engine for cap/floors. More...
class  MCLongstaffSchwartzEngine
 Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
class  MCLongstaffSchwartzPathEngine
 Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
class  MCPagodaEngine
 Pricing engine for pagoda options using Monte Carlo simulation. More...
class  MCPathBasketEngine
 Pricing engine for path dependent basket options using. More...
class  MCPerformanceEngine
 Pricing engine for performance options using Monte Carlo simulation. More...
class  McSimulation
 base class for Monte Carlo engines More...
class  MCVanillaEngine
 Pricing engine for vanilla options using Monte Carlo simulation. More...
class  MCVarianceSwapEngine
 Variance-swap pricing engine using Monte Carlo simulation,. More...
class  MersenneTwisterUniformRng
 Uniform random number generator. More...
class  Merton76Process
 Merton-76 jump-diffusion process. More...
class  Mexico
 Mexican calendars More...
struct  MidPoint
class  MidPointCDOEngine
 CDO base engine taking schedule steps. More...
class  MidPointCdsEngine
class  MinBasketPayoff
class  MinCopula
class  MixedScheme
 Mixed (explicit/implicit) scheme for finite difference methods. More...
class  ModifiedCraigSneydScheme
 modified Craig-Sneyd scheme More...
class  Money
 amount of cash More...
class  MonotonicCubicNaturalSpline
class  MonotonicLogCubicNaturalSpline
class  MonotonicLogParabolic
class  MonotonicParabolic
class  MonteCarloCDOEngine1
 CDO engine, Monte Carlo for the exptected tranche loss distribution. More...
class  MonteCarloCDOEngine2
 CDO engine, Monte Carlo for the sample payoff. More...
class  MonteCarloModel
 General-purpose Monte Carlo model for path samples. More...
class  MoreGreeks
 more additional option results More...
class  MoroInverseCumulativeNormal
 Moro Inverse cumulative normal distribution class. More...
class  MTBrownianGenerator
 Mersenne-twister Brownian generator for market-model simulations. More...
class  MTBrownianGeneratorFactory
class  MTLCurrency
 Maltese lira. More...
class  MTUnitOfMeasure
class  MultiAssetOption
 Base class for options on multiple assets. More...
class  MultiCubicSpline
 N-dimensional cubic spline interpolation between discrete points. More...
class  MultiPath
 Correlated multiple asset paths. More...
class  MultiPathGenerator
 Generates a multipath from a random number generator. More...
class  MultiplicativePriceSeasonality
 Multiplicative seasonality in the price index (CPI/RPI/HICP/etc). More...
class  MultiProductComposite
 Composition of one or more market-model products. More...
class  MultiProductMultiStep
 Multiple-step market-model product. More...
class  MultiProductOneStep
 Single-step market-model product. More...
class  MultiProductPathwiseWrapper
class  MultiStepCoinitialSwaps
class  MultiStepCoterminalSwaps
class  MultiStepCoterminalSwaptions
class  MultiStepForwards
class  MultiStepInverseFloater
class  MultiStepNothing
class  MultiStepOptionlets
class  MultiStepPeriodCapletSwaptions
class  MultiStepRatchet
class  MultiStepSwap
class  MultiStepSwaption
struct  MultiVariate
 default Monte Carlo traits for multi-variate models More...
class  MXNCurrency
 Mexican peso. More...
class  NelsonSiegelFitting
 Nelson-Siegel fitting method. More...
class  NeumannBC
 Neumann boundary condition (i.e., constant derivative) More...
class  Newton
 Newton 1-D solver More...
class  NewtonSafe
 safe Newton 1-D solver More...
class  NewZealand
 New Zealand calendar. More...
class  NinePointLinearOp
class  NLGCurrency
 Dutch guilder. More...
class  NoConstraint
 No constraint. More...
struct  NodeData
class  NOKCurrency
 Norwegian krone. More...
class  NonCentralChiSquareDistribution
class  NonLinearLeastSquare
 Non-linear least-square method. More...
class  NormalDistribution
 Normal distribution function. More...
class  NormalFwdRatePc
 Predictor-Corrector. More...
class  NorthAmericaCorpDefaultKey
 ISDA standard default contractual key for corporate US debt. More...
class  Norway
 Norwegian calendar. More...
class  NothingExerciseValue
class  nowhere
class  NPRCurrency
 Nepal rupee. More...
class  NthToDefault
 N-th to default swap. More...
class  Null< Array >
 specialization of null template for this class More...
class  Null< Date >
 specialization of Null template for the Date class More...
class  Null< double >
class  Null< float >
class  Null< int >
class  Null< IntervalPrice >
class  Null< long >
class  Null< long double >
class  Null< unsigned int >
class  Null< unsigned long >
class  NullCalendar
 Calendar for reproducing theoretical calculations. More...
class  NullCommodityType
class  NullCondition
 null step condition More...
class  NullDomain
class  NullParameter
 Parameter which is always zero $ a(t) = 0 $ More...
class  NullPayoff
 Dummy payoff class. More...
class  NumericHaganPricer
 CMS-coupon pricer. More...
class  NZDCurrency
 New Zealand dollar. More...
class  NZDLibor
 NZD LIBOR rate More...
class  Observable
 Object that notifies its changes to a set of observers. More...
class  ObservableValue
 observable and assignable proxy to concrete value More...
class  Observer
 Object that gets notified when a given observable changes. More...
class  OISRateHelper
 Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
class  OneAssetOption
 Base class for options on a single asset. More...
class  OneDayCounter
 1/1 day count convention More...
class  OneFactorAffineModel
 Single-factor affine base class. More...
class  OneFactorCopula
 Abstract base class for one-factor copula models. More...
class  OneFactorGaussianCopula
 One-factor Gaussian Copula. More...
class  OneFactorGaussianStudentCopula
 One-factor Gaussian-Student t-Copula. More...
class  OneFactorModel
 Single-factor short-rate model abstract class. More...
class  OneFactorStudentCopula
 One-factor Double Student t-Copula. More...
class  OneFactorStudentGaussianCopula
 One-factor Student t - Gaussian Copula. More...
class  OneStepCoinitialSwaps
class  OneStepCoterminalSwaps
class  OneStepForwards
class  OneStepOptionlets
class  OperatorFactory
 Black-Scholes-Merton differential operator. More...
class  OperatorTraits
class  OptimizationMethod
 Abstract class for constrained optimization method. More...
class  Option
 base option class More...
class  OptionletStripper
class  OptionletStripper1
class  OptionletStripper2
class  OptionletVolatilityStructure
 Optionlet (caplet/floorlet) volatility structure. More...
class  OrnsteinUhlenbeckProcess
 Ornstein-Uhlenbeck process class. More...
class  OrthogonalizedBumpFinder
class  OrthogonalProjections
class  OvernightIndex
class  OvernightIndexedCoupon
 overnight coupon More...
class  OvernightIndexedSwap
 Overnight indexed swap: fix vs compounded overnight rate. More...
class  OvernightIndexedSwapIndex
 base class for overnight indexed swap indexes More...
class  OvernightLeg
 helper class building a sequence of overnight coupons More...
class  PagodaMultiPathPricer
class  PagodaOption
 Roofed Asian option on a number of assets. More...
class  Parabolic
class  ParallelEvolver
class  ParallelEvolverTraits
class  Parameter
 Base class for model arguments. More...
class  ParametersTransformation
class  ParametricExercise
class  ParametricExerciseAdapter
class  ParkinsonSigma
class  Path
 single-factor random walk More...
class  PathGenerator
 Generates random paths using a sequence generator. More...
class  PathMultiAssetOption
 Base class for path-dependent options on multiple assets. More...
class  PathPayoff
 Abstract base class for path-dependent option payoffs. More...
class  PathPricer
 base class for path pricers More...
class  PathwiseAccountingEngine
 Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More...
class  PathwiseVegasAccountingEngine
 Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...
class  PathwiseVegasOuterAccountingEngine
 Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More...
class  PaymentTerm
class  Payoff
 Abstract base class for option payoffs. More...
class  PdeBSM
class  PdeConstantCoeff
class  PdeOperator
class  PdeSecondOrderParabolic
class  PdeShortRate
class  PEHCurrency
 Peruvian sol. More...
class  PEICurrency
 Peruvian inti. More...
class  PenaltyFunction
class  PENCurrency
 Peruvian nuevo sol. More...
class  PercentageStrikePayoff
 Payoff with strike expressed as percentage More...
class  PerformanceOptionPathPricer
class  Period
class  PeriodParser
class  PerturbativeBarrierOptionEngine
 perturbative barrier-option engine More...
class  PiecewiseConstantAbcdVariance
class  PiecewiseConstantCorrelation
class  PiecewiseConstantParameter
 Piecewise-constant parameter. More...
class  PiecewiseConstantVariance
class  PiecewiseDefaultCurve
 Piecewise default-probability term structure. More...
class  PiecewiseYieldCurve
 Piecewise yield term structure. More...
class  PiecewiseYoYInflationCurve
 Piecewise year-on-year inflation term structure. More...
class  PiecewiseYoYOptionletVolatilityCurve
 Piecewise year-on-year inflation volatility term structure. More...
class  PiecewiseZeroInflationCurve
 Piecewise zero-inflation term structure. More...
class  PiecewiseZeroSpreadedTermStructure
 Term structure with an added vector of spreads on the zero-yield rate. More...
class  PKRCurrency
 Pakistani rupee. More...
class  PlainVanillaPayoff
 Plain-vanilla payoff. More...
class  PLNCurrency
 Polish zloty. More...
class  PoissonDistribution
 Poisson distribution function. More...
class  Poland
 Polish calendar. More...
class  Polynomial
 polynomial2D-spline-interpolation factory More...
class  Polynomial2DSpline
 polynomial2D-spline interpolation between discrete points More...
class  Pool
struct  Position
class  PositiveConstraint
 Constraint imposing positivity to all arguments More...
class  PricingEngine
 interface for pricing engines More...
struct  PricingError
class  PricingPeriod
 Time pricingperiod described by a number of a given time unit. More...
class  PrimeNumbers
 Prime numbers calculator. More...
class  ProbabilityOfAtLeastNEvents
 Probability of at least N events. More...
class  ProbabilityOfNEvents
 Probability of N events. More...
class  Problem
 Constrained optimization problem. More...
class  ProjectedCostFunction
 Parameterized cost function. More...
struct  Protection
 information on a default-protection contract More...
class  ProxyGreekEngine
class  PseudoRootFacade
class  PTECurrency
 Portuguese escudo. More...
class  quadratic
class  Quantity
 Amount of a commodity. More...
class  QuantoBarrierOption
 Quanto version of a barrier option. More...
class  QuantoEngine
 Quanto engine. More...
class  QuantoForwardVanillaOption
 Quanto version of a forward vanilla option. More...
class  QuantoOptionResults
 Results from quanto option calculation More...
class  QuantoTermStructure
 Quanto term structure. More...
class  QuantoVanillaOption
 quanto version of a vanilla option More...
class  Quote
 purely virtual base class for market observables More...
class  RandomDefaultModel
 Base class for random default models. More...
class  RandomizedLDS
 Randomized (random shift) low-discrepancy sequence. More...
class  RandomSequenceGenerator
 Random sequence generator based on a pseudo-random number generator. More...
class  RangeAccrualFloatersCoupon
class  RangeAccrualLeg
 helper class building a sequence of range-accrual floating-rate coupons More...
class  RangeAccrualPricer
class  RangeAccrualPricerByBgm
class  Ranlux3UniformRng
 Uniform random number generator. More...
class  Ranlux4UniformRng
class  RatchetMaxPayoff
 RatchetMax payoff (double option) More...
class  RatchetMinPayoff
 RatchetMin payoff (double option) More...
class  RatchetPayoff
 Ratchet payoff (single option) More...
class  RatePseudoRootJacobian
class  RatePseudoRootJacobianAllElements
class  RatePseudoRootJacobianNumerical
class  RecoveryRateModel
class  RecoveryRateQuote
 Stores a recovery rate market quote and the associated seniority. More...
class  RectangularDomain
class  RecursiveCdoEngine
class  Region
 Region class, used for inflation applicability. More...
class  RelativeDateBootstrapHelper
 Bootstrap helper with date schedule relative to global evaluation date. More...
class  RelinkableHandle
 Relinkable handle to an observable. More...
class  ReplicatingVarianceSwapEngine
 Variance-swap pricing engine using replicating cost,. More...
struct  Replication
 Digital option replication strategy. More...
struct  Restructuring
 Restructuring type. More...
class  Ridder
 Ridder 1-D solver More...
class  RiskyAssetSwap
 Risky asset-swap instrument. More...
class  RiskyAssetSwapOption
 Option on risky asset swap More...
class  RiskyBond
class  RiskyFixedBond
class  RiskyFloatingBond
class  ROLCurrency
 Romanian leu. More...
class  RONCurrency
 Romanian new leu. More...
class  Rounding
 basic rounding class More...
class  SABR
 SABR interpolation factory and traits More...
class  SabrInterpolatedSmileSection
class  SABRInterpolation
 SABR smile interpolation between discrete volatility points. More...
class  SabrSmileSection
class  SabrVolSurface
 SABR volatility (smile) surface. More...
struct  SalvagingAlgorithm
 algorithm used for matricial pseudo square root More...
struct  Sample
 weighted sample More...
class  SampledCurve
 This class contains a sampled curve. More...
class  SARCurrency
 Saudi riyal. More...
class  SaudiArabia
 Saudi Arabian calendar. More...
class  SavedSettings
class  Schedule
 Payment schedule. More...
class  Seasonality
 A transformation of an existing inflation swap rate. More...
class  Secant
 Secant 1-D solver More...
class  SecondDerivativeOp
class  SecondOrderMixedDerivativeOp
class  SeedGenerator
 Random seed generator. More...
class  SegmentIntegral
 Integral of a one-dimensional function. More...
class  SEKCurrency
 Swedish krona. More...
class  SEKLibor
 SEK LIBOR rate More...
class  Settings
 global repository for run-time library settings More...
struct  Settlement
 settlement information More...
class  SGDCurrency
 Singapore dollar More...
class  ShortRateModel
 Abstract short-rate model class. More...
class  ShoutCondition
 Shout option condition. More...
class  SimpleCashFlow
 Predetermined cash flow. More...
class  SimpleDayCounter
 Simple day counter for reproducing theoretical calculations. More...
class  SimpleLocalEstimator
 Local-estimator volatility model. More...
class  SimplePolynomialFitting
 Simple polynomial fitting method. More...
class  SimpleQuote
 market element returning a stored value More...
class  Simplex
 Multi-dimensional simplex class. More...
class  SimpsonIntegral
 Integral of a one-dimensional function. More...
class  Singapore
 Singapore calendars More...
class  SingleProductComposite
 Composition of one or more market-model products. More...
class  Singleton
 Basic support for the singleton pattern. More...
struct  SingleVariate
 default Monte Carlo traits for single-variate models More...
class  SITCurrency
 Slovenian tolar. More...
class  SKKCurrency
 Slovak koruna. More...
class  Slovakia
 Slovak calendars. More...
class  SmileSection
 interest rate volatility smile section More...
class  SMMDriftCalculator
 Drift computation for coterminal swap market models. More...
class  SobolBrownianGenerator
 Sobol Brownian generator for market-model simulations. More...
class  SobolBrownianGeneratorFactory
class  SobolRsg
 Sobol low-discrepancy sequence generator. More...
class  SoftCallability
 callability leaving to the holder the possibility to convert More...
class  Solver1D
 Base class for 1-D solvers. More...
class  SouthAfrica
 South-African calendar. More...
class  SouthKorea
 South Korean calendars. More...
class  SparseILUPreconditioner
class  SphereCylinderOptimizer
class  SpreadCdsHelper
 Spread-quoted CDS hazard rate bootstrap helper. More...
class  SpreadedHazardRateCurve
 Default-probability structure with an additive spread on hazard rates. More...
class  SpreadedOptionletVolatility
class  SpreadedSmileSection
class  SpreadedSwaptionVolatility
class  square
class  SquareRootAndersen
class  SquareRootProcess
 Square-root process class. More...
class  StatsHolder
 Helper class for precomputed distributions. More...
class  SteepestDescent
 Multi-dimensional steepest-descent class. More...
class  step_iterator
 Iterator advancing in constant steps. More...
class  StepCondition
 condition to be applied at every time step More...
class  StepConditionSet
 Parallel evolver for multiple arrays. More...
class  StickyMaxPayoff
 StickyMax payoff (double option) More...
class  StickyMinPayoff
 StickyMin payoff (double option) More...
class  StickyPayoff
 Sticky payoff (single option) More...
class  StochasticProcess
 multi-dimensional stochastic process class. More...
class  StochasticProcess1D
 1-dimensional stochastic process More...
class  StochasticProcessArray
 Array of correlated 1-D stochastic processes More...
class  Stock
 Simple stock class. More...
class  StrikedTypePayoff
 Intermediate class for payoffs based on a fixed strike. More...
class  StrippedOptionlet
class  StrippedOptionletAdapter
class  StrippedOptionletBase
class  StudentDistribution
 Student t-distribution. More...
class  StudentRecursiveCdoEngine
class  StulzEngine
 Pricing engine for 2D European Baskets. More...
class  SubPeriodsCoupon
class  SubPeriodsPricer
class  SuperFundPayoff
 Binary supershare and superfund payoffs. More...
class  SuperSharePayoff
 Binary supershare payoff. More...
class  Surface
 Surface abstract class More...
struct  SurvivalProbability
 Survival-Probability-curve traits. More...
class  SurvivalProbabilityStructure
 Hazard-rate term structure. More...
class  SVD
 Singular value decomposition. More...
class  SVDDFwdRatePc
class  Swap
 Interest rate swap. More...
class  SwapBasisSystem
class  SwapForwardBasisSystem
class  SwapForwardMappings
class  SwapIndex
 base class for swap-rate indexes More...
class  SwapRateHelper
 Rate helper for bootstrapping over swap rates. More...
class  SwapRateTrigger
class  Swaption
 Swaption class More...
class  SwaptionHelper
 calibration helper for ATM swaption More...
struct  SwaptionMarketConventions
class  SwaptionPseudoDerivative
struct  SwaptionTenors
class  SwaptionVolatilityCube
 swaption-volatility cube More...
class  SwaptionVolatilityDiscrete
class  SwaptionVolatilityMatrix
 At-the-money swaption-volatility matrix. More...
class  SwaptionVolatilityStructure
 Swaption-volatility structure More...
class  SwaptionVolCube1
class  SwaptionVolCube2
class  Sweden
 Swedish calendar. More...
class  Switzerland
 Swiss calendar. More...
class  SymmetricSchurDecomposition
 symmetric threshold Jacobi algorithm. More...
class  SyntheticCDO
 Synthetic Collateralized Debt Obligation. More...
class  TabulatedGaussLegendre
 tabulated Gauss-Legendre quadratures More...
class  Taiwan
 Taiwanese calendars. More...
class  TARGET
 TARGET calendar More...
class  TermStructure
 Basic term-structure functionality. More...
class  TermStructureConsistentModel
 Term-structure consistent model class. More...
class  TermStructureFittingParameter
 Deterministic time-dependent parameter used for yield-curve fitting. More...
class  TestCurve
class  TestSurface
class  THBCurrency
 Thai baht. More...
class  Thirty360
 30/360 day count convention More...
class  Tian
 Tian tree: third moment matching, multiplicative approach More...
class  Tibor
 JPY TIBOR index More...
class  TimeBasket
 Distribution over a number of dates. More...
class  TimeGrid
 time grid class More...
class  TimeHomogeneousForwardCorrelation
class  TimeSeries
 Container for historical data. More...
class  TokyoKilolitreUnitOfMeasure
class  TqrEigenDecomposition
 tridiag. QR eigen decomposition with explicite shift aka Wilkinson More...
class  TransformedGrid
 transformed grid More...
class  TrapezoidIntegral
 Integral of a one-dimensional function. More...
class  Tree
 Tree approximating a single-factor diffusion More...
class  TreeCallableFixedRateBondEngine
 Numerical lattice engine for callable fixed rate bonds. More...
class  TreeCallableZeroCouponBondEngine
 Numerical lattice engine for callable zero coupon bonds. More...
class  TreeCapFloorEngine
 Numerical lattice engine for cap/floors. More...
class  TreeLattice
 Tree-based lattice-method base class. More...
class  TreeLattice1D
 One-dimensional tree-based lattice. More...
class  TreeLattice2D
 Two-dimensional tree-based lattice. More...
class  TreeSwaptionEngine
 Numerical lattice engine for swaptions. More...
class  TreeVanillaSwapEngine
 Numerical lattice engine for simple swaps. More...
class  TridiagonalOperator
 Base implementation for tridiagonal operator. More...
class  Trigeorgis
 Trigeorgis (additive equal jumps) binomial tree More...
class  TriggeredSwapExercise
class  TrinomialTree
 Recombining trinomial tree class. More...
class  TripleBandLinearOp
class  TRLCurrency
 Turkish lira. More...
class  TRLibor
 TRY LIBOR rate More...
class  TRYCurrency
 New Turkish lira. More...
class  TsiveriotisFernandesLattice
 Binomial lattice approximating the Tsiveriotis-Fernandes model. More...
class  TTDCurrency
 Trinidad & Tobago dollar. More...
class  Turkey
 Turkish calendar. More...
class  TWDCurrency
 Taiwan dollar More...
class  TwoFactorModel
 Abstract base-class for two-factor models. More...
class  TypePayoff
 Intermediate class for put/call payoffs. More...
class  Ukraine
 Ukrainian calendars. More...
class  UKRegion
 United Kingdom as geographical/economic region. More...
class  UKRPI
 UK Retail Price Inflation Index. More...
class  Uniform1dMesher
class  UniformGridMesher
class  UnitDisplacedBlackYoYInflationCouponPricer
 Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More...
class  UnitedKingdom
 United Kingdom calendars. More...
class  UnitedStates
 United States calendars. More...
class  UnitOfMeasure
 Unit of measure specification More...
class  UnitOfMeasureConversion
class  UnitOfMeasureConversionManager
class  UniversalDomain
class  UpfrontCdsHelper
 Upfront-quoted CDS hazard rate bootstrap helper. More...
class  UpperBoundEngine
 Market-model engine for upper-bound estimation. More...
class  UpRounding
 Up-rounding. More...
class  USCPI
 US CPI index. More...
class  USDCurrency
 U.S. dollar. More...
class  USDLibor
 USD LIBOR rate More...
class  USDLiborON
 Overnight USD Libor index. More...
class  UsdLiborSwapIsdaFixAm
 UsdLiborSwapIsdaFixAm index base class More...
class  UsdLiborSwapIsdaFixPm
 UsdLiborSwapIsdaFixPm index base class More...
class  USRegion
 USA as geographical/economic region. More...
class  VanillaOption
 Vanilla option (no discrete dividends, no barriers) on a single asset. More...
class  VanillaOptionPricer
class  VanillaSwap
 Plain-vanilla swap: fix vs floating leg. More...
class  VarianceOption
 Variance option. More...
class  VariancePathPricer
class  VarianceSwap
 Variance swap. More...
class  Vasicek
 Vasicek model class More...
class  VEBCurrency
 Venezuelan bolivar. More...
class  VegaBumpCluster
class  VegaBumpCollection
class  Visitor
 Visitor for a specific class More...
class  VolatilityBumpInstrumentJacobian
class  VolatilityCompositor
struct  VolatilityCube
class  VolatilityInterpolationSpecifier
class  VolatilityInterpolationSpecifierabcd
class  VolatilityTermStructure
 Volatility term structure. More...
class  WeekendsOnly
 Weekends-only calendar. More...
class  YearOnYearInflationSwap
 Year-on-year inflation-indexed swap. More...
class  YearOnYearInflationSwapHelper
 Year-on-year inflation-swap bootstrap helper. More...
class  YieldTermStructure
 Interest-rate term structure. More...
class  YoYCapFloorTermPriceSurface
 Abstract base class, inheriting from InflationTermStructure. More...
class  YoYInflationBachelierCapFloorEngine
 Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
class  YoYInflationBlackCapFloorEngine
 Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
class  YoYInflationCap
 Concrete YoY Inflation cap class. More...
class  YoYInflationCapFloor
 Base class for yoy inflation cap-like instruments. More...
class  YoYInflationCapFloorEngine
 Base YoY inflation cap/floor engine. More...
class  YoYInflationCollar
 Concrete YoY Inflation collar class. More...
class  YoYInflationCoupon
 Coupon paying a YoY-inflation type index More...
class  YoYInflationCouponPricer
 base pricer for capped/floored YoY inflation coupons More...
class  YoYInflationFloor
 Concrete YoY Inflation floor class. More...
class  YoYInflationIndex
 Base class for year-on-year inflation indices. More...
class  yoyInflationLeg
class  YoYInflationTermStructure
 Base class for year-on-year inflation term structures. More...
class  YoYInflationTraits
 Bootstrap traits to use for PiecewiseZeroInflationCurve. More...
class  YoYInflationUnitDisplacedBlackCapFloorEngine
 Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More...
class  YoYInflationVolatilityTraits
 traits for inflation-volatility bootstrap More...
class  YoYOptionletHelper
 Year-on-year inflation-volatility bootstrap helper. More...
class  YoYOptionletStripper
 Interface for inflation cap stripping, i.e. from price surfaces. More...
class  YoYOptionletVolatilitySurface
class  YYAUCPI
 Genuine year-on-year AU CPI (i.e. not a ratio) More...
class  YYAUCPIr
 Fake year-on-year AUCPI (i.e. a ratio) More...
class  YYEUHICP
 Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) More...
class  YYEUHICPr
 Fake year-on-year EU HICP (i.e. a ratio of EU HICP) More...
class  YYFRHICP
 Genuine year-on-year FR HICP (i.e. not a ratio) More...
class  YYFRHICPr
 Fake year-on-year FR HICP (i.e. a ratio) More...
class  YYGenericCPI
 Genuine year-on-year Generic CPI (i.e. not a ratio) More...
class  YYGenericCPIr
 Fake year-on-year GenericCPI (i.e. a ratio) More...
class  YYUKRPI
 Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) More...
class  YYUKRPIr
 Fake year-on-year UK RPI (i.e. a ratio of UK RPI) More...
class  YYUSCPI
 Genuine year-on-year US CPI (i.e. not a ratio of US CPI) More...
class  YYUSCPIr
 Fake year-on-year US CPI (i.e. a ratio of US CPI) More...
class  ZARCurrency
 South-African rand. More...
class  ZeroCondition
 Zero exercise condition. More...
class  ZeroCouponBond
 zero-coupon bond More...
class  ZeroCouponInflationSwap
 Zero-coupon inflation-indexed swap. More...
class  ZeroCouponInflationSwapHelper
 Zero-coupon inflation-swap bootstrap helper. More...
class  ZeroInflationIndex
 Base class for zero inflation indices. More...
class  ZeroInflationTermStructure
 Interface for zero inflation term structures. More...
class  ZeroInflationTraits
 Bootstrap traits to use for PiecewiseZeroInflationCurve. More...
class  ZeroSpreadedTermStructure
 Term structure with an added spread on the zero yield rate. More...
struct  ZeroYield
 Zero-curve traits. More...
class  ZeroYieldStructure
 Zero-yield term structure. More...
class  Zibor
 CHF ZIBOR rate More...

Typedefs

typedef QL_BIG_INTEGER BigInteger
 large integer number
typedef unsigned QL_BIG_INTEGER BigNatural
 large positive integer
typedef
BivariateCumulativeNormalDistributionWe04DP 
BivariateCumulativeNormalDistribution
 default bivariate implementation
typedef PdeOperator< PdeBSMBSMTermOperator
 Black-Scholes-Merton differential operator.
typedef std::vector
< boost::shared_ptr
< Callability > > 
CallabilitySchedule
typedef std::vector
< std::vector
< boost::shared_ptr< CapFloor > > > 
CapFloorMatrix
typedef
MarketModelMultiProduct::CashFlow 
CashFlow
typedef std::map< Date,
boost::shared_ptr
< CommodityCashFlow > > 
CommodityCashFlows
typedef Integer Day
 Day number.
typedef Real Decimal
 decimal number
typedef std::set
< boost::shared_ptr
< DefaultEvent >, earlier_than
< boost::shared_ptr
< DefaultEvent > > > 
DefaultEventSet
typedef BootstrapHelper
< DefaultProbabilityTermStructure
DefaultProbabilityHelper
 alias for default-probability bootstrap helpers
typedef
InterpolatedDiscountCurve
< LogLinear
DiscountCurve
 Term structure based on log-linear interpolation of discount factors.
typedef Real DiscountFactor
 discount factor between dates
typedef std::vector
< boost::shared_ptr< Dividend > > 
DividendSchedule
typedef std::map< Date,
EnergyDailyPosition
EnergyDailyPositions
typedef std::map< Date,
ExchangeContract
ExchangeContracts
typedef std::vector
< boost::shared_ptr
< FdmDirichletBoundary > > 
FdmBoundaryConditionSet
typedef
InterpolatedForwardCurve
< BackwardFlat
ForwardCurve
 Term structure based on flat interpolation of forward rates.
typedef NormalDistribution GaussianDistribution
typedef
GenericGaussianStatistics
< GeneralStatistics
GaussianStatistics
 default gaussian statistic tool
typedef
GaussianRecursiveCdoEngine
< MidPointCDOEngine
GaussRecCDOEngine
typedef GaussianLHPCDOEngine
< IntegralCDOEngine
GLHPIntegralCDOEngine
typedef GaussianLHPCDOEngine
< MidPointCDOEngine
GLHPMidPointCDOEngine
typedef
HomogeneousPoolCDOEngine
< IntegralCDOEngine
HPIntegralCDOEngine
typedef
HomogeneousPoolCDOEngine
< MidPointCDOEngine
HPMidPointCDOEngine
typedef
InhomogeneousPoolCDOEngine
< IntegralCDOEngine
IHPIntegralCDOEngine
typedef
InhomogeneousPoolCDOEngine
< MidPointCDOEngine
IHPMidPointCDOEngine
typedef QL_INTEGER Integer
 integer number
typedef InverseCumulativeNormal InvCumulativeNormalDistribution
typedef std::vector
< boost::shared_ptr< CashFlow > > 
Leg
typedef GenericLowDiscrepancy
< SobolRsg,
InverseCumulativeNormal
LowDiscrepancy
 default traits for low-discrepancy sequence generation
typedef unsigned QL_INTEGER Natural
 positive integer
typedef PdeOperator< PdeShortRateOneFactorOperator
 Interest-rate single factor model differential operator.
typedef GenericPseudoRandom
< MersenneTwisterUniformRng,
InverseCumulativePoisson
PoissonPseudoRandom
 traits for Poisson-distributed pseudo-random number generation
typedef std::vector< PricingErrorPricingErrors
typedef std::vector
< boost::shared_ptr
< PricingPeriod > > 
PricingPeriods
typedef Real Probability
 probability
typedef GenericPseudoRandom
< MersenneTwisterUniformRng,
InverseCumulativeNormal
PseudoRandom
 default traits for pseudo-random number generation
typedef Real Rate
 interest rates
typedef BootstrapHelper
< YieldTermStructure
RateHelper
typedef QL_REAL Real
 real number
typedef
RelativeDateBootstrapHelper
< DefaultProbabilityTermStructure
RelativeDateDefaultProbabilityHelper
typedef
RelativeDateBootstrapHelper
< YieldTermStructure
RelativeDateRateHelper
typedef GenericRiskStatistics
< GaussianStatistics
RiskStatistics
 default risk measures tool
typedef SampledCurve SampledCurveSet
typedef std::map< std::string,
Money
SecondaryCostAmounts
typedef std::map< std::string,
boost::any > 
SecondaryCosts
typedef
GenericSequenceStatistics
< Statistics
SequenceStatistics
 default multi-dimensional statistics tool
typedef
GenericSequenceStatistics
< IncrementalStatistics
SequenceStatisticsInc
typedef std::size_t Size
 size of a container
typedef detail::SplineGrid SplineGrid
typedef Real Spread
 spreads on interest rates
typedef
CurveDependentStepCondition
< Array
StandardCurveDependentStepCondition
typedef FiniteDifferenceModel
< CrankNicolson
< TridiagonalOperator > > 
StandardFiniteDifferenceModel
 default choice for finite-difference model
typedef StepCondition< ArrayStandardStepCondition
 default choice for step condition
typedef FiniteDifferenceModel
< ParallelEvolver
< CrankNicolson
< TridiagonalOperator > > > 
StandardSystemFiniteDifferenceModel
 default choice for parallel finite-difference model
typedef RiskStatistics Statistics
 default statistics tool
typedef
StudentRecursiveCdoEngine
< MidPointCDOEngine
StudentRecCDOEngine
typedef Real Time
 continuous quantity with 1-year units
typedef Real Volatility
 volatility
typedef Integer Year
 Year number.
typedef
InterpolatedYoYInflationCurve
< Linear
YoYInflationCurve
typedef InterpolatedZeroCurve
< Linear
ZeroCurve
 Term structure based on linear interpolation of zero yields.
typedef
InterpolatedZeroInflationCurve
< Linear
ZeroInflationCurve

Enumerations

enum  BusinessDayConvention {
  Following, ModifiedFollowing, Preceding, ModifiedPreceding,
  Unadjusted
}
 

Business Day conventions.

More...
enum  Compounding { Simple = 0, Compounded = 1, Continuous = 2, SimpleThenCompounded }
 

Interest rate coumpounding rule.

More...
enum  Frequency {
  NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2,
  EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12,
  EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365,
  OtherFrequency = 999
}
 

Frequency of events.

More...
enum  JointCalendarRule { JoinHolidays, JoinBusinessDays }
 

rules for joining calendars

More...
enum  Month {
  January = 1, February = 2, March = 3, April = 4,
  May = 5, June = 6, July = 7, August = 8,
  September = 9, October = 10, November = 11, December = 12,
  Jan = 1, Feb = 2, Mar = 3, Apr = 4,
  Jun = 6, Jul = 7, Aug = 8, Sep = 9,
  Oct = 10, Nov = 11, Dec = 12
}
 

Month names.

More...
enum  PriceType {
  Bid, Ask, Last, Close,
  Mid, MidEquivalent, MidSafe
}
 

Price types.

More...
enum  Seniority {
  SecDom = 0, SnrFor, SubLT2, JrSubT2,
  PrefT1, NoSeniority, SeniorSec = SecDom, SeniorUnSec = SnrFor,
  SubTier1 = PrefT1, SubUpperTier2 = JrSubT2, SubLoweTier2 = SubLT2
}
 

Seniority of a bond.

More...
enum  SensitivityAnalysis { OneSide, Centered }
 

Finite differences calculation.

More...
enum  TimeUnit { Days, Weeks, Months, Years }
 

Units used to describe time periods.

More...
enum  Weekday {
  Sunday = 1, Monday = 2, Tuesday = 3, Wednesday = 4,
  Thursday = 5, Friday = 6, Saturday = 7, Sun = 1,
  Mon = 2, Tue = 3, Wed = 4, Thu = 5,
  Fri = 6, Sat = 7
}

Functions

Real abcdBlackVolatility (Time u, Real a, Real b, Real c, Real d)
const Disposable< ArrayAbs (const Array &v)
Real aggregateNPV (const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities)
 utility fuction for weighted sum of NPVs
Real aggregateNPV (const vector< shared_ptr< Instrument > > &instruments, const vector< Real > &quant)
Real bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount)
Real bachelierBlackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount)
Real betaContinuedFraction (Real a, Real b, Real x, Real accuracy, Integer maxIteration)
Real betaFunction (Real z, Real w)
Real binomialCoefficient (BigNatural n, BigNatural k)
Real binomialCoefficientLn (BigNatural n, BigNatural k)
Real blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount, Real displacement)
Real blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
Real blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement)
Real blackFormulaCashItmProbability (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement)
Real blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real accuracy, Natural maxIterations)
Real blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement, Real guess, Real accuracy, Natural maxIterations)
Real blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount, Real displacement)
Real blackFormulaImpliedStdDevApproximation (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount, Real displacement)
Real blackFormulaStdDevDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement)
Real blackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount, Real displacement)
Real blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)
Real blackFormulaVolDerivative (Rate strike, Rate forward, Real stdDev, Real expiry, Real discount, Real displacement)
Real blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, Real discount=1.0, Real displacement=0.0)
Real blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma)
 default theta calculation for Black-Scholes options
Disposable< ArrayBoundedGrid (Real xMin, Real xMax, Size steps)
Disposable< ArrayBoundedLogGrid (Real xMin, Real xMax, Size steps)
std::pair< Real, RealbucketAnalysis (Handle< SimpleQuote > quote, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
 (bucket) sensitivity analysis for a (single) SimpleQuote
std::pair< std::vector< Real >
, std::vector< Real > > 
bucketAnalysis (const std::vector< Handle< SimpleQuote > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered)
 bucket sensitivity analysis for a SimpleQuote vector
std::pair< std::vector
< std::vector< Real >
>, std::vector< std::vector
< Real > > > 
bucketAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered)
 bucket sensitivity analysis for a SimpleQuote matrix
std::pair< Real, RealbucketAnalysis (Handle< SimpleQuote > quote, const vector< shared_ptr< Instrument > > &instruments, const std::vector< Real > &quantities, Real shift, SensitivityAnalysis type, Real referenceNpv)
std::pair< vector< Real >
, vector< Real > > 
bucketAnalysis (const vector< Handle< SimpleQuote > > &quotes, const vector< shared_ptr< Instrument > > &instr, const std::vector< Real > &quant, Real shift, SensitivityAnalysis type)
std::pair< vector< vector
< Real > >, vector< vector
< Real > > > 
bucketAnalysis (const vector< vector< Handle< SimpleQuote > > > &quotes, const vector< shared_ptr< Instrument > > &instr, const std::vector< Real > &quant, Real shift, SensitivityAnalysis type)
Integer capletSwaptionPeriodicCalibration (const EvolutionDescription &evolution, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, VolatilityInterpolationSpecifier &displacedSwapVariances, const std::vector< Volatility > &capletVols, const boost::shared_ptr< CurveState > &cs, const Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size period, Size max1dIterations, Real tolerance1d, Size maxUnperiodicIterations, Real toleranceUnperiodic, Size maxPeriodIterations, Real periodTolerance, Real &, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots, std::vector< Real > &finalScales, Size &iterationsDone, Real &errorImprovement, Matrix &modelSwaptionVolsMatrix)
Disposable< ArrayCenteredGrid (Real center, Real dx, Size steps)
void checkCompatibility (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
void checkIncreasingTimes (const std::vector< Time > &times)
 check for strictly increasing times, first time greater than zero
void checkIncreasingTimesAndCalculateTaus (const std::vector< Time > &times, std::vector< Time > &taus)
const Disposable< MatrixCholeskyDecomposition (const Matrix &S, bool flexible)
template<class F , class R >
clipped_function< F, R > clip (const F &f, const R &r)
bool close (const Money &m1, const Money &m2, Size n)
bool close (Real x, Real y)
bool close (Real x, Real y, Size n)
bool close (const Quantity &m1, const Quantity &m2, Size n)
bool close_enough (const Quantity &m1, const Quantity &m2, Size n)
bool close_enough (const Money &m1, const Money &m2, Size n)
bool close_enough (Real x, Real y)
bool close_enough (Real x, Real y, Size n)
void collectNodeData (MarketModelEvolver &evolver, MarketModelMultiProduct &product, MarketModelNodeDataProvider &dataProvider, MarketModelExerciseValue &rebate, MarketModelExerciseValue &control, Size numberOfPaths, std::vector< std::vector< NodeData > > &collectedData)
template<class F , class G >
composed_function< F, G > compose (const F &f, const G &g)
template<class F , class G , class H >
binary_compose3_function< F, G, H > compose3 (const F &f, const G &g, const H &h)
void constantMaturityFromDiscountRatios (const Size spanningForwards, const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &constMatSwapRates, std::vector< Real > &constMatSwapAnnuities)
void coterminalFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &discountFactors, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities)
std::vector< RealcoterminalSwapPseudoRoots (const PiecewiseConstantCorrelation &, const std::vector< boost::shared_ptr< PiecewiseConstantVariance > > &, const std::vector< Time > &)
std::vector< MatrixcoterminalSwapPseudoRoots (const PiecewiseConstantCorrelation &piecewiseConstantCorrelation, const std::vector< boost::shared_ptr< PiecewiseConstantVariance > > &piecewiseConstantVariances)
Real days (const Period &p)
Real defaultThetaPerDay (Real theta)
 default theta-per-day calculation
Real determinant (const Matrix &m)
std::vector< boost::shared_ptr
< Dividend > > 
DividendVector (const std::vector< Date > &dividendDates, const std::vector< Real > &dividends)
 helper function building a sequence of fixed dividends
Real DotProduct (const Array &v1, const Array &v2)
std::string exerciseTypeToString (const boost::shared_ptr< Exercise > &h)
const Disposable< ArrayExp (const Array &v)
Disposable< MatrixexponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr, Real beta, Real gamma, Time time)
Disposable< std::vector< Real > > factorReduction (Matrix &mtrx, Size maxIters)
boost::shared_ptr
< YieldTermStructure
flatRate (const Date &today, const boost::shared_ptr< Quote > &forward, const DayCounter &dc)
boost::shared_ptr
< YieldTermStructure
flatRate (const Date &today, Rate forward, const DayCounter &dc)
boost::shared_ptr
< YieldTermStructure
flatRate (Rate forward, const DayCounter &dc)
boost::shared_ptr
< YieldTermStructure
flatRate (const boost::shared_ptr< Quote > &forward, const DayCounter &dc)
boost::shared_ptr
< BlackVolTermStructure
flatVol (const Date &today, const boost::shared_ptr< Quote > &vol, const DayCounter &dc)
boost::shared_ptr
< BlackVolTermStructure
flatVol (const Date &today, Volatility vol, const DayCounter &dc)
boost::shared_ptr
< BlackVolTermStructure
flatVol (Volatility vol, const DayCounter &dc)
boost::shared_ptr
< BlackVolTermStructure
flatVol (const boost::shared_ptr< Quote > &vol, const DayCounter &dc)
Real flatVolCovariance (Time t1, Time t2, Time T, Time S, Volatility v1, Volatility v2)
template<typename InterestRateIndexType , typename FloatingCouponType , typename DigitalCouponType >
Leg FloatingDigitalLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const boost::shared_ptr< DigitalReplication > &replication)
template<typename InterestRateIndexType , typename FloatingCouponType , typename CappedFlooredCouponType >
Leg FloatingLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero)
void forwardsFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &fwds)
Real genericEarlyExerciseOptimization (std::vector< std::vector< NodeData > > &simulationData, const ParametricExercise &exercise, std::vector< std::vector< Real > > &parameters, const EndCriteria &endCriteria, OptimizationMethod &method)
 returns the biased estimate obtained while optimizing
Real genericLongstaffSchwartzRegression (std::vector< std::vector< NodeData > > &simulationData, std::vector< std::vector< Real > > &basisCoefficients)
 returns the biased estimate obtained while regressing
template<class DataIterator >
Disposable< MatrixgetCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12)
 Calculation of covariance from correlation and standard deviations.
template<class Traits , class Interpolator >
void historicalForwardRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator())
void historicalRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes)
Real incompleteBetaFunction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100)
 Incomplete Beta function.
Real incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100)
 Incomplete Gamma function.
Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy, Integer maxIteration)
Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy, Integer maxIteration)
std::pair< Date, DateinflationPeriod (const Date &, Frequency)
 utility function giving the inflation period for a given date
Time inflationYearFraction (Frequency f, bool indexIsInterpolated, const DayCounter &dayCounter, const Date &d1, const Date &d2)
Disposable< Matrixinverse (const Matrix &m)
bool isInMoneyMarketMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
bool isInMoneyMarketPlusMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires, Size offset)
std::valarray< bool > isInSubset (const std::vector< Time > &set, const std::vector< Time > &subset)
bool isInTerminalMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires)
Disposable< MatrixlmmTriangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank)
Disposable< MatrixlmmTriangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank)
const Disposable< ArrayLog (const Array &v)
std::map< Seniority, RealmakeIsdaConvMap ()
 Helper function for conventional recoveries. Returns the ISDA.
void mergeTimes (const std::vector< std::vector< Time > > &times, std::vector< Time > &mergedTimes, std::vector< std::valarray< bool > > &isPresent)
Real midEquivalent (const Real bid, const Real ask, const Real last, const Real close)
Real midSafe (const Real bid, const Real ask)
std::vector< SizemoneyMarketMeasure (const EvolutionDescription &evol)
std::vector< SizemoneyMarketPlusMeasure (const EvolutionDescription &ev, Size offset)
Real months (const Period &p)
template<class Iterator >
Real norm (const Iterator &begin, const Iterator &end, Real h)
bool operator!= (const Period &p1, const Period &p2)
bool operator!= (const Region &r1, const Region &r2)
bool operator!= (const Quantity &m1, const Quantity &m2)
bool operator!= (const Currency &c1, const Currency &c2)
bool operator!= (const CommodityType &c1, const CommodityType &c2)
bool operator!= (const UnitOfMeasure &c1, const UnitOfMeasure &c2)
bool operator!= (const Money &m1, const Money &m2)
bool operator!= (const DefaultEvent &lhs, const DefaultEvent &rhs)
bool operator!= (const Loss &l1, const Loss &l2)
bool operator!= (const Calendar &c1, const Calendar &c2)
bool operator!= (const PaymentTerm &c1, const PaymentTerm &c2)
bool operator!= (const Date &d1, const Date &d2)
bool operator!= (const DayCounter &d1, const DayCounter &d2)
const Disposable< Matrixoperator* (const Matrix &m1, const Matrix &m2)
template<typename T >
Period operator* (T n, TimeUnit units)
template<typename T >
Period operator* (TimeUnit units, T n)
Period operator* (Integer n, const Period &p)
Period operator* (const Period &p, Integer n)
Quantity operator* (const Quantity &m, Real x)
Quantity operator* (Real x, const Quantity &m)
Disposable< TridiagonalOperatoroperator* (const TridiagonalOperator &D, Real a)
Disposable< TridiagonalOperatoroperator* (Real a, const TridiagonalOperator &D)
const Disposable< Arrayoperator* (const Array &v1, const Array &v2)
const Disposable< Arrayoperator* (const Array &v1, Real a)
const Disposable< Arrayoperator* (Real a, const Array &v2)
Money operator* (const Money &m, Decimal x)
Money operator* (Decimal x, const Money &m)
Money operator* (Decimal value, const Currency &c)
Money operator* (const Currency &c, Decimal value)
const Disposable< Matrixoperator* (const Matrix &m, Real x)
const Disposable< Matrixoperator* (Real x, const Matrix &m)
const Disposable< Arrayoperator* (const Array &v, const Matrix &m)
const Disposable< Arrayoperator* (const Matrix &m, const Array &v)
Disposable< TridiagonalOperatoroperator+ (const TridiagonalOperator &D)
Disposable< TridiagonalOperatoroperator+ (const TridiagonalOperator &D1, const TridiagonalOperator &D2)
Quantity operator+ (const Quantity &m1, const Quantity &m2)
const Disposable< Arrayoperator+ (const Array &v)
Money operator+ (const Money &m1, const Money &m2)
const Disposable< Arrayoperator+ (const Array &v1, const Array &v2)
const Disposable< Arrayoperator+ (const Array &v1, Real a)
const Disposable< Arrayoperator+ (Real a, const Array &v2)
Period operator+ (const Period &p1, const Period &p2)
const Disposable< Matrixoperator+ (const Matrix &m1, const Matrix &m2)
Period operator- (const Period &p)
Quantity operator- (const Quantity &m1, const Quantity &m2)
Disposable< TridiagonalOperatoroperator- (const TridiagonalOperator &D)
Disposable< TridiagonalOperatoroperator- (const TridiagonalOperator &D1, const TridiagonalOperator &D2)
const Disposable< Arrayoperator- (const Array &v)
const Disposable< Arrayoperator- (const Array &v1, const Array &v2)
const Disposable< Arrayoperator- (Real a, const Array &v2)
Period operator- (const Period &p1, const Period &p2)
const Disposable< Arrayoperator- (const Array &v1, Real a)
Money operator- (const Money &m1, const Money &m2)
const Disposable< Matrixoperator- (const Matrix &m1, const Matrix &m2)
BigInteger operator- (const Date &d1, const Date &d2)
Period operator/ (const Period &p, Integer n)
Disposable< TridiagonalOperatoroperator/ (const TridiagonalOperator &D, Real a)
Quantity operator/ (const Quantity &m, Real x)
Decimal operator/ (const Money &m1, const Money &m2)
const Disposable< Arrayoperator/ (const Array &v1, const Array &v2)
const Disposable< Arrayoperator/ (const Array &v1, Real a)
const Disposable< Arrayoperator/ (Real a, const Array &v2)
Money operator/ (const Money &m, Decimal x)
Real operator/ (const Quantity &m1, const Quantity &m2)
const Disposable< Matrixoperator/ (const Matrix &m, Real x)
bool operator< (const Money &m1, const Money &m2)
bool operator< (const Loss &l1, const Loss &l2)
bool operator< (const Date &d1, const Date &d2)
bool operator< (const Quantity &m1, const Quantity &m2)
bool operator< (const Period &p1, const Period &p2)
std::ostream & operator<< (std::ostream &out, const Settings::DateProxy &p)
std::ostream & operator<< (std::ostream &out, const CommodityUnitCost &unitCost)
std::ostream & operator<< (std::ostream &out, const CommodityCurve &curve)
std::ostream & operator<< (std::ostream &out, const DateInterval &di)
std::ostream & operator<< (std::ostream &out, const Matrix &m)
std::ostream & operator<< (std::ostream &out, const DayCounter &d)
std::ostream & operator<< (std::ostream &out, EndCriteria::Type ec)
std::ostream & operator<< (std::ostream &out, DateGeneration::Rule r)
std::ostream & operator<< (std::ostream &out, const Period &p)
std::ostream & operator<< (std::ostream &out, const Quantity &quantity)
std::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts)
std::ostream & operator<< (std::ostream &out, const CommodityIndex &index)
std::ostream & operator<< (std::ostream &out, Average::Type type)
std::ostream & operator<< (std::ostream &out, const Currency &c)
std::ostream & operator<< (std::ostream &out, Barrier::Type type)
std::ostream & operator<< (std::ostream &out, CapFloor::Type t)
std::ostream & operator<< (std::ostream &out, YoYInflationCapFloor::Type t)
std::ostream & operator<< (std::ostream &out, Settlement::Type t)
std::ostream & operator<< (std::ostream &out, VanillaSwap::Type t)
std::ostream & operator<< (std::ostream &out, YearOnYearInflationSwap::Type t)
std::ostream & operator<< (std::ostream &out, const InterestRate &ir)
std::ostream & operator<< (std::ostream &out, const CommodityType &c)
std::ostream & operator<< (std::ostream &out, Duration::Type d)
std::ostream & operator<< (std::ostream &out, Frequency f)
std::ostream & operator<< (std::ostream &out, const UnitOfMeasure &c)
std::ostream & operator<< (std::ostream &out, Month m)
std::ostream & operator<< (std::ostream &out, const Calendar &c)
std::ostream & operator<< (std::ostream &out, const Money &m)
std::ostream & operator<< (std::ostream &out, Option::Type type)
std::ostream & operator<< (std::ostream &out, const EnergyDailyPositions &dailyPositions)
std::ostream & operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type)
std::ostream & operator<< (std::ostream &out, const PaymentTerm &c)
std::ostream & operator<< (std::ostream &out, const TimeUnit &timeunit)
std::ostream & operator<< (std::ostream &out, const Weekday &w)
std::ostream & operator<< (std::ostream &out, Replication::Type r)
std::ostream & operator<< (std::ostream &out, const PricingError &error)
std::ostream & operator<< (std::ostream &out, const Array &a)
std::ostream & operator<< (std::ostream &out, SensitivityAnalysis s)
std::ostream & operator<< (std::ostream &out, const Date &d)
std::ostream & operator<< (std::ostream &out, Position::Type p)
std::ostream & operator<< (std::ostream &out, const PricingErrors &errors)
std::ostream & operator<< (std::ostream &out, const SampledCurve &a)
std::ostream & operator<< (std::ostream &out, BusinessDayConvention b)
std::ostream & operator<< (std::ostream &out, const CommodityCashFlows &cashFlows)
bool operator<= (const Period &p1, const Period &p2)
bool operator<= (const Quantity &m1, const Quantity &m2)
bool operator<= (const Money &m1, const Money &m2)
bool operator<= (const Date &d1, const Date &d2)
bool operator== (const Quantity &m1, const Quantity &m2)
bool operator== (const Date &d1, const Date &d2)
bool operator== (const PaymentTerm &c1, const PaymentTerm &c2)
bool operator== (const Loss &l1, const Loss &l2)
bool operator== (const Calendar &c1, const Calendar &c2)
bool operator== (const CommodityIndex &i1, const CommodityIndex &i2)
bool operator== (const Period &p1, const Period &p2)
bool operator== (const DefaultEvent &lhs, const DefaultEvent &rhs)
bool operator== (const CommodityType &c1, const CommodityType &c2)
bool operator== (const Currency &c1, const Currency &c2)
bool operator== (const UnitOfMeasure &c1, const UnitOfMeasure &c2)
bool operator== (const DefaultProbKey &lhs, const DefaultProbKey &rhs)
bool operator== (const DayCounter &d1, const DayCounter &d2)
bool operator== (const DefaultType &lhs, const DefaultType &rhs)
bool operator== (const Money &m1, const Money &m2)
bool operator== (const CommodityCurve &c1, const CommodityCurve &c2)
bool operator== (const Region &r1, const Region &r2)
bool operator> (const Quantity &m1, const Quantity &m2)
bool operator> (const Loss &l1, const Loss &l2)
bool operator> (const Money &m1, const Money &m2)
bool operator> (const Period &p1, const Period &p2)
bool operator> (const Date &d1, const Date &d2)
bool operator>= (const Money &m1, const Money &m2)
bool operator>= (const Period &p1, const Period &p2)
bool operator>= (const Quantity &m1, const Quantity &m2)
bool operator>= (const Date &d1, const Date &d2)
const Disposable< MatrixouterProduct (const Array &v1, const Array &v2)
template<class Iterator1 , class Iterator2 >
const Disposable< MatrixouterProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end)
std::pair< Real, RealparallelAnalysis (const std::vector< Handle< SimpleQuote > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
 parallel shift sensitivity analysis for a SimpleQuote vector
std::pair< Real, RealparallelAnalysis (const vector< Handle< SimpleQuote > > &quotes, const vector< shared_ptr< Instrument > > &instruments, const std::vector< Real > &quantities, Real shift, SensitivityAnalysis type, Real referenceNpv)
std::pair< Real, RealparallelAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >())
 parallel shift sensitivity analysis for a SimpleQuote matrix
std::string payoffTypeToString (const boost::shared_ptr< Payoff > &h)
Real PeizerPrattMethod2Inversion (Real z, BigNatural n)
const Disposable< MatrixpseudoSqrt (const Matrix &matrix, SalvagingAlgorithm::Type sa)
Disposable< std::vector< Size > > qrDecomposition (const Matrix &A, Matrix &q, Matrix &r, bool pivot=true)
 QR decompoisition.
Disposable< ArrayqrSolve (const Matrix &a, const Array &b, bool pivot=true, const Array &d=Array())
 QR Solve.
const Disposable< MatrixrankReducedSqrt (const Matrix &matrix, Size maxRank, Real componentRetainedPercentage, SalvagingAlgorithm::Type sa)
std::vector< SpreadrateInstVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2, Size index)
std::vector< VolatilityrateVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2)
Real relativeError (Real x1, Real x2, Real reference)
static Real rescaleError (Real err, const Real resultAbs, const Real resultAsc)
Real sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
void setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &pricer)
void setCouponPricers (const Leg &leg, const std::vector< boost::shared_ptr< FloatingRateCouponPricer > > &pricers)
std::vector< RealsphereCylinderOptimizerClosest (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Natural maxIterations, Real tolerance, Real zweight)
const Disposable< ArraySqrt (const Array &v)
void swap (TridiagonalOperator &, TridiagonalOperator &)
void swap (SampledCurve &, SampledCurve &)
void swap (Array &v, Array &w)
template<class T >
void swap (Clone< T > &t, Clone< T > &u)
void swap (Matrix &m1, Matrix &m2)
std::vector< SizeterminalMeasure (const EvolutionDescription &evolution)
 Terminal measure: the last bond is used as numeraire.
const Disposable< Matrixtranspose (const Matrix &m)
Disposable< MatrixtriangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank)
 Returns the Triangular Angles Parametrized correlation matrix.
Disposable< MatrixtriangularAnglesParametrizationRankThree (Real alpha, Real t0, Real epsilon, Size nbRows)
 Returns the rank reduced Triangular Angles Parametrized correlation matrix.
Disposable< MatrixtriangularAnglesParametrizationRankThreeVectorial (const Array &parameters, Size nbRows)
Disposable< MatrixtriangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank)
Real unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho)
void validateAbcdParameters (Real a, Real, Real c, Real d)
void validateSabrParameters (Real alpha, Real beta, Real nu, Real rho)
Real weeks (const Period &p)
Real years (const Period &p)

Variables

static const Real g7w []
static const Real k15t []
static const Real k15w []
static std::set< DateknownDateSet
static const Real w10 [5]
static const Real w21a [5]
static const Real w21b [6]
static const Real w43a [10]
static const Real w43b [12]
static const Real w87a [21]
static const Real w87b [23]
static const Real x1 [5]
static const Real x2 [5]
static const Real x3 [11]
static const Real x4 [22]

Detailed Description

abstract base class implementation specifies how to decide volatility structure for additional synthetic rates which are interleaved

implementation specifies how to decide volatility structure for additional synthetic rates which are interleaved

here we work with abcd curves and interpolate the a, b, c and d

Classes for computing derivative of the map taking rates one step to the next with respect to a change in the pseudo-root. We do it both numerically and analytically to provide an easy test of the analytic method. This is useful for pathwise vegas.

Evolution is log Euler.

One is tested against the other in MarketModelTest::testPathwiseVegas

In order to compute market vegas, we need a class that gives the derivative of a swaption implied vol against changes in pseudo-root elements. This is that class.

This is tested in the pathwise vegas routine in MarketModels.cpp

When bumping vols, bumping every pseudo-root element individually seems excessive so we need to couple some together.


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