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Class List

Here are the classes, structs, unions and interfaces with brief descriptions:
QuantLib::AbcdAbcd interpolation factory and traits
QuantLib::AbcdAtmVolCurveAbcd-interpolated at-the-money (no-smile) volatility curve
QuantLib::AbcdCalibration
QuantLib::detail::AbcdCoeffHolder
QuantLib::AbcdCalibration::AbcdError
QuantLib::AbcdFunctionAbcd functional form for instantaneous volatility
QuantLib::AbcdInterpolationAbcd interpolation between discrete points
QuantLib::detail::AbcdInterpolationImpl< I1, I2 >
QuantLib::AbcdCalibration::AbcdParametersTransformation
QuantLib::AbcdSquared
QuantLib::AbcdVolAbcd-interpolated volatility structure
QuantLib::AccountingEngineEngine collecting cash flows along a market-model simulation
QuantLib::Actual360Actual/360 day count convention
QuantLib::Actual365FixedActual/365 (Fixed) day count convention
QuantLib::ActualActualActual/Actual day count
QuantLib::AcyclicVisitorDegenerate base class for the Acyclic Visitor pattern
QuantLib::AdaptedPathPayoff
QuantLib::AdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
QuantLib::ActualActual::AFB_Impl
QuantLib::AffineModelAffine model class
QuantLib::AkimaCubicInterpolation
QuantLib::AliMikhailHaqCopulaAli-Mikhail-Haq copula
QuantLib::AlphaFinder
QuantLib::AlphaForm
QuantLib::AlphaFormInverseLinear
QuantLib::AlphaFormLinearHyperbolic
QuantLib::AmericanBasketPathPricer
QuantLib::AmericanConditionAmerican exercise condition
QuantLib::AmericanExerciseAmerican exercise
AmericanOptionTest
QuantLib::AmericanPathPricer
QuantLib::AmericanPayoffAtExpiryAnalytic formula for American exercise payoff at-expiry options
QuantLib::AmericanPayoffAtHitAnalytic formula for American exercise payoff at-hit options
QuantLib::AmortizingCmsRateBondAmortizing CMS-rate bond
QuantLib::AmortizingFixedRateBondAmortizing fixed-rate bond
QuantLib::AmortizingFloatingRateBondAmortizing floating-rate bond (possibly capped and/or floored)
QuantLib::AmortizingPaymentAmortizing payment
QuantLib::AnalyticAmericanMargrabeEngineAnalytic engine for American Margrabe option
QuantLib::AnalyticBarrierEnginePricing engine for barrier options using analytical formulae
QuantLib::AnalyticBSMHullWhiteEngineAnalytic european option pricer including stochastic interest rates
QuantLib::AnalyticCapFloorEngineAnalytic engine for cap/floor
QuantLib::AnalyticCliquetEnginePricing engine for Cliquet options using analytical formulae
QuantLib::AnalyticCompoundOptionEnginePricing engine for compound options using analytical formulae
QuantLib::AnalyticContinuousFixedLookbackEnginePricing engine for European continuous fixed-strike lookback
QuantLib::AnalyticContinuousFloatingLookbackEnginePricing engine for European continuous floating-strike lookback
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEnginePricing engine for European continuous geometric average price Asian
QuantLib::AnalyticDigitalAmericanEngineAnalytic pricing engine for American vanilla options with digital payoff
QuantLib::AnalyticDiscreteGeometricAveragePriceAsianEnginePricing engine for European discrete geometric average price Asian
QuantLib::AnalyticDiscreteGeometricAverageStrikeAsianEnginePricing engine for European discrete geometric average-strike Asian option
QuantLib::AnalyticDividendEuropeanEngineAnalytic pricing engine for European options with discrete dividends
QuantLib::AnalyticEuropeanEnginePricing engine for European vanilla options using analytical formulae
QuantLib::AnalyticEuropeanMargrabeEngineAnalytic engine for European Margrabe option
QuantLib::AnalyticGJRGARCHEngineGJR-GARCH(1,1) engine
QuantLib::AnalyticHaganPricerCMS-coupon pricer
QuantLib::AnalyticHestonEngineAnalytic Heston-model engine based on Fourier transform
QuantLib::AnalyticHestonHullWhiteEngineAnalytic Heston engine incl. stochastic interest rates
QuantLib::AnalyticPerformanceEnginePricing engine for performance options using analytical formulae
QuantLib::AnalyticPTDHestonEngineAnalytic piecewise constant time dependent Heston-model engine
QuantLib::AnalyticSimpleChooserEnginePricing engine for European Simple Chooser option
QuantLib::ArgentinaArgentinian calendars
QuantLib::SyntheticCDO::arguments
arguments
QuantLib::DiscreteAveragingAsianOption::argumentsExtra arguments for single-asset discrete-average Asian option
QuantLib::ContinuousAveragingAsianOption::argumentsExtra arguments for single-asset continuous-average Asian option
QuantLib::EverestOption::arguments
QuantLib::AssetSwap::argumentsArguments for asset swap calculation
QuantLib::BarrierOption::argumentsArguments for barrier option calculation
QuantLib::HimalayaOption::arguments
QuantLib::Bond::arguments
QuantLib::MargrabeOption::argumentsExtra arguments for Margrabe option
QuantLib::PagodaOption::arguments
QuantLib::CapFloor::argumentsArguments for cap/floor calculation
QuantLib::CliquetOption::argumentsArguments for cliquet option calculation
QuantLib::CallableBond::arguments
QuantLib::CreditDefaultSwap::arguments
QuantLib::DividendVanillaOption::argumentsArguments for dividend vanilla option calculation
QuantLib::SimpleChooserOption::argumentsExtra arguments for single chooser option
QuantLib::Option::argumentsBasic option arguments
QuantLib::YoYInflationCapFloor::argumentsArguments for YoY Inflation cap/floor calculation
QuantLib::PricingEngine::arguments
QuantLib::DividendBarrierOption::argumentsArguments for dividend barrier option calculation
QuantLib::ContinuousFloatingLookbackOption::argumentsArguments for continuous floating lookback option calculation
QuantLib::ContinuousFixedLookbackOption::argumentsArguments for continuous fixed lookback option calculation
QuantLib::Swap::arguments
QuantLib::VanillaSwap::argumentsArguments for simple swap calculation
QuantLib::VarianceSwap::argumentsArguments for forward fair-variance calculation
QuantLib::Swaption::argumentsArguments for swaption calculation
QuantLib::YearOnYearInflationSwap::argumentsArguments for YoY swap calculation
QuantLib::ZeroCouponInflationSwap::arguments
QuantLib::EnergyCommodity::arguments
QuantLib::CompoundOption::arguments
QuantLib::ConvertibleBond::option::arguments
QuantLib::PathMultiAssetOption::argumentsArguments for multi-asset option calculation
QuantLib::VarianceOption::argumentsArguments for forward fair-variance calculation
QuantLib::CdsOption::argumentsArguments for CDS-option calculation
QuantLib::ArithmeticAPOPathPricer
QuantLib::ArithmeticASOPathPricer
QuantLib::ArmijoLineSearchArmijo line search
QuantLib::Array1-D array used in linear algebra
ArrayTest
QuantLib::CurveDependentStepCondition< array_type >::ArrayWrapper
QuantLib::ARSCurrencyArgentinian peso
AsianOptionTest
QuantLib::AssetOrNothingPayoffBinary asset-or-nothing payoff
QuantLib::AssetSwapBullet bond vs Libor swap
QuantLib::AssetSwapHelper
AssetSwapTest
QuantLib::AtmVolatility
QuantLib::AtomicDefaultAtomic (single contractual event) default events
QuantLib::ATSCurrencyAustrian shilling
QuantLib::AUCPIAU CPI index (either quarterly or annual)
QuantLib::AUDCurrencyAustralian dollar
QuantLib::AUDLiborAUD LIBOR rate
QuantLib::AustraliaAustralian calendar
QuantLib::AustraliaRegionAustralia as geographical/economic region
AutocovariancesTest
QuantLib::AveragePlaceholder for enumerated averaging types
QuantLib::AverageBasketPayoff
QuantLib::AverageBMACouponAverage BMA coupon
QuantLib::AverageBMALegHelper class building a sequence of average BMA coupons
QuantLib::AveragingRatePricer
QuantLib::BachelierYoYInflationCouponPricerBachelier-formula pricer for capped/floored yoy inflation coupons
QuantLib::BackwardFlatBackward-flat interpolation factory and traits
QuantLib::BackwardFlatInterpolationBackward-flat interpolation between discrete points
QuantLib::detail::BackwardFlatInterpolationImpl< I1, I2 >
QuantLib::BankruptcyEvent
QuantLib::BaroneAdesiWhaleyApproximationEngineBarone-Adesi and Whaley pricing engine for American options (1987)
QuantLib::BarrelUnitOfMeasure
QuantLib::BarrierPlaceholder for enumerated barrier types
QuantLib::BarrierOptionBarrier option on a single asset
BarrierOptionTest
QuantLib::BarrierPathPricer
QuantLib::detail::base_cubic_spline
QuantLib::detail::base_cubic_splint
QuantLib::BasisIncompleteOrdered
QuantLib::Basket
QuantLib::BasketOptionBasket option on a number of assets
BasketOptionTest
QuantLib::BasketPayoff
QuantLib::BatesDetJumpEngine
QuantLib::BatesDetJumpModel
QuantLib::BatesDoubleExpDetJumpEngine
QuantLib::BatesDoubleExpDetJumpModel
QuantLib::BatesDoubleExpEngine
QuantLib::BatesDoubleExpModel
QuantLib::BatesEngineBates model engines based on Fourier transform
QuantLib::BatesModelBates stochastic-volatility model
BatesModelTest
QuantLib::BatesProcessSquare-root stochastic-volatility Bates process
QuantLib::BDTCurrencyBangladesh taka
QuantLib::BEFCurrencyBelgian franc
QuantLib::Indonesia::BejImpl
QuantLib::BermudanExerciseBermudan exercise
QuantLib::BermudanSwaptionExerciseValue
BermudanSwaptionTest
QuantLib::BernsteinPolynomialClass of Bernstein polynomials
QuantLib::BespokeCalendarBespoke calendar
QuantLib::BFGSBroyden-Fletcher-Goldfarb-Shanno algorithm
QuantLib::BGLCurrencyBulgarian lev
QuantLib::BiasedBarrierPathPricer
QuantLib::BiCGstab
QuantLib::BiCGStabResult
QuantLib::BicubicBicubic-spline-interpolation factory
QuantLib::BicubicSplineBicubic-spline interpolation between discrete points
QuantLib::detail::BicubicSplineDerivatives
QuantLib::detail::BicubicSplineImpl< I1, I2, M >
QuantLib::BilinearBilinear-interpolation factory
QuantLib::BilinearInterpolationbilinear interpolation between discrete points
QuantLib::detail::BilinearInterpolationImpl< I1, I2, M >
QuantLib::binary_compose3_function< F, G, H >
QuantLib::BinomialConvertibleEngine< T >Binomial Tsiveriotis-Fernandes engine for convertible bonds
QuantLib::BinomialDistributionBinomial probability distribution function
QuantLib::BinomialProbabilityOfAtLeastNEventsProbability of at least N events
QuantLib::BinomialTree< T >Binomial tree base class
QuantLib::BinomialVanillaEngine< T >Pricing engine for vanilla options using binomial trees
QuantLib::BisectionBisection 1-D solver
QuantLib::BivariateCumulativeNormalDistributionDr78Cumulative bivariate normal distribution function
QuantLib::BivariateCumulativeNormalDistributionWe04DPCumulative bivariate normal distibution function (West 2004)
QuantLib::BjerksundStenslandApproximationEngineBjerksund and Stensland pricing engine for American options (1993)
QuantLib::BlackAtmVolCurveBlack at-the-money (no-smile) volatility curve
QuantLib::BlackCalculatorBlack 1976 calculator class
QuantLib::BlackCallableFixedRateBondEngineBlack-formula callable fixed rate bond engine
QuantLib::BlackCallableZeroCouponBondEngineBlack-formula callable zero coupon bond engine
QuantLib::BlackCapFloorEngineBlack-formula cap/floor engine
QuantLib::BlackCdsOptionEngineBlack-formula CDS-option engine
QuantLib::BlackConstantVolConstant Black volatility, no time-strike dependence
QuantLib::BlackDeltaCalculatorBlack delta calculator class
BlackDeltaCalculatorTest
QuantLib::BlackDeltaPremiumAdjustedMaxStrikeClass
QuantLib::BlackDeltaPremiumAdjustedSolverClass
QuantLib::BlackIborCouponPricerBlack-formula pricer for capped/floored Ibor coupons
QuantLib::BlackIborQuantoCouponPricer
QuantLib::BlackImpliedStdDevHelper
QuantLib::BlackKarasinskiStandard Black-Karasinski model class
QuantLib::BlackProcessBlack (1976) stochastic process
QuantLib::BlackScholesCalculatorBlack-Scholes 1973 calculator class
QuantLib::BlackScholesLattice< T >Simple binomial lattice approximating the Black-Scholes model
QuantLib::BlackScholesMertonProcessMerton (1973) extension to the Black-Scholes stochastic process
QuantLib::BlackScholesProcessBlack-Scholes (1973) stochastic process
QuantLib::BlackSwaptionEngineBlack-formula swaption engine
QuantLib::BlackVanillaOptionPricer
QuantLib::BlackVarianceCurveBlack volatility curve modelled as variance curve
QuantLib::BlackVarianceSurfaceBlack volatility surface modelled as variance surface
QuantLib::BlackVarianceTermStructureBlack variance term structure
QuantLib::BlackVolatilityTermStructureBlack-volatility term structure
QuantLib::BlackVolSurfaceBlack volatility (smile) surface
QuantLib::BlackVolTermStructureBlack-volatility term structure
QuantLib::BlackYoYInflationCouponPricerBlack-formula pricer for capped/floored yoy inflation coupons
QuantLib::BMAIndexBond Market Association index
QuantLib::BMASwapSwap paying Libor against BMA coupons
QuantLib::BMASwapRateHelperRate helper for bootstrapping over BMA swap rates
QuantLib::Mexico::BmvImpl
QuantLib::BondBase bond class
QuantLib::BondFunctionsBond adapters of CashFlows functions
QuantLib::BondHelperFixed-coupon bond helper
BondTest
QuantLib::BootstrapError< Curve >Bootstrap error
QuantLib::BootstrapHelper< TS >Base helper class for bootstrapping
QuantLib::detail::BootstrapHelperSorter
QuantLib::BoundaryCondition< Operator >Abstract boundary condition class for finite difference problems
QuantLib::BoundaryConditionSet< bc_set >
QuantLib::BoundaryConstraintConstraint imposing all arguments to be in [low,high]
QuantLib::BoundedDomain
QuantLib::BoxMullerGaussianRng< RNG >Gaussian random number generator
QuantLib::TrinomialTree::Branching
QuantLib::BrazilBrazilian calendar
QuantLib::BrentBrent 1-D solver
QuantLib::BRLCurrencyBrazilian real
QuantLib::BrownianBridgeBuilds Wiener process paths using Gaussian variates
BrownianBridgeTest
QuantLib::BrownianGenerator
QuantLib::BrownianGeneratorFactory
QuantLib::BSMOperatorBlack-Scholes-Merton differential operator
QuantLib::BSplineB-spline basis functions
QuantLib::Slovakia::BsseImpl
QuantLib::BTPItalian BTP (Buoni Poliennali del Tesoro) fixed rate bond
QuantLib::Business252Business/252 day count convention
QuantLib::BYRCurrencyBelarussian ruble
QuantLib::JointStochasticProcess::CachingKey
QuantLib::CADCurrencyCanadian dollar
QuantLib::CADLiborCAD LIBOR rate
QuantLib::CADLiborONOvernight CAD Libor index
QuantLib::BlackCalculator::Calculator
QuantLib::Calendarcalendar class
CalendarTest
QuantLib::CalibratedModelCalibrated model class
QuantLib::CalibratedModel::CalibrationFunction
QuantLib::CalibrationHelperLiquid market instrument used during calibration
QuantLib::Callabilityinstrument callability
QuantLib::CallableBondCallable bond base class
QuantLib::CallableBondConstantVolatilityConstant callable-bond volatility, no time-strike dependence
QuantLib::CallableBondVolatilityStructureCallable-bond volatility structure
QuantLib::CallableFixedRateBondCallable/puttable fixed rate bond
QuantLib::CallableZeroCouponBondCallable/puttable zero coupon bond
QuantLib::CallSpecifiedMultiProduct
QuantLib::CallSpecifiedPathwiseMultiProduct
QuantLib::CanadaCanadian calendar
QuantLib::VolatilityBumpInstrumentJacobian::Cap
QuantLib::CapConcrete cap class
QuantLib::CapFloorBase class for cap-like instruments
CapFlooredCouponTest
QuantLib::CapFloorTermVolatilityStructureCap/floor term-volatility structure
QuantLib::CapFloorTermVolCurveCap/floor at-the-money term-volatility vector
QuantLib::CapFloorTermVolSurfaceCap/floor smile volatility surface
CapFloorTest
QuantLib::CapHelperCalibration helper for ATM cap
QuantLib::CapletVarianceCurve
QuantLib::CappedFlooredCmsCoupon
QuantLib::CappedFlooredCouponCapped and/or floored floating-rate coupon
QuantLib::CappedFlooredIborCoupon
QuantLib::CappedFlooredYoYInflationCouponCapped or floored inflation coupon
QuantLib::CapPseudoDerivative
QuantLib::CashFlowBase class for cash flows
QuantLib::MarketModelMultiProduct::CashFlow
QuantLib::MarketModelPathwiseMultiProduct::CashFlow
QuantLib::CashFlowscashflow-analysis functions
CashFlowsTest
QuantLib::CashOrNothingPayoffBinary cash-or-nothing payoff
QuantLib::CDOCollateralized debt obligation
CDOEngine
QuantLib::CdorCDOR rate
CdoTest
QuantLib::CdsHelper
QuantLib::CdsOptionCDS option
CdsOptionTest
QuantLib::CeilingTruncationCeiling truncation
QuantLib::CHFCurrencySwiss franc
QuantLib::CHFLiborCHF LIBOR rate
QuantLib::ChfLiborSwapIsdaFixChfLiborSwapIsdaFix index base class
QuantLib::ChinaChinese calendar
QuantLib::ChiSquareDistribution
ChooserOptionTest
QuantLib::ClaimClaim associated to a default event
QuantLib::ClaytonCopulaClayton copula
QuantLib::ClaytonCopulaRng< RNG >Clayton copula random-number generator
QuantLib::CLGaussianRng< RNG >Gaussian random number generator
QuantLib::clipped_function< F, R >
QuantLib::CliquetOptionCliquet (Ratchet) option
CliquetOptionTest
QuantLib::Clone< T >Cloning proxy to an underlying object
QuantLib::ClosestRoundingClosest rounding
QuantLib::CLPCurrencyChilean peso
QuantLib::CmsCouponCMS coupon class
QuantLib::CmsCouponPricerBase pricer for vanilla CMS coupons
QuantLib::CmsLegHelper class building a sequence of capped/floored cms-rate coupons
QuantLib::CmsMarketSet of CMS quotes
QuantLib::CmsMarketCalibration
QuantLib::CMSMMDriftCalculatorDrift computation for CMS market models
QuantLib::CmsRateBondCMS-rate bond
CmsTest
QuantLib::CMSwapCurveStateCurve state for constant-maturity-swap market models
QuantLib::CNYCurrencyChinese yuan
QuantLib::detail::CoefficientHolder
QuantLib::CollarConcrete collar class
QuantLib::detail::ComboHelper
QuantLib::CommodityCommodity base class
QuantLib::CommodityCashFlow
QuantLib::CommodityCurveCommodity term structure
QuantLib::CommodityIndexBase class for commodity indexes
QuantLib::CommodityPricingHelperCommodity index helper
QuantLib::CommoditySettingsGlobal repository for run-time library settings
QuantLib::CommodityTypeCommodity type
QuantLib::CommodityUnitCost
CommodityUnitOfMeasureTest
QuantLib::composed_function< F, G >
QuantLib::Composite< T >Composite pattern
QuantLib::CompositeConstraintConstraint enforcing both given sub-constraints
QuantLib::CompositeInstrumentComposite instrument
QuantLib::CompositeQuote< BinaryFunction >Market element whose value depends on two other market element
QuantLib::CompoundingRatePricer
QuantLib::CompoundOptionCompound option on a single asset
CompoundOptionTest
QuantLib::Concentrating1dMesher
QuantLib::ConjugateGradientMulti-dimensional Conjugate Gradient class
QuantLib::constant< T, U >
QuantLib::ConstantCapFloorTermVolatilityConstant caplet volatility, no time-strike dependence
QuantLib::ConstantEstimatorConstant-estimator volatility model
QuantLib::detail::ConstantGradHelper
QuantLib::ConstantOptionletVolatilityConstant caplet volatility, no time-strike dependence
QuantLib::ConstantParameterStandard constant parameter $ a(t) = a $
QuantLib::ConstantRecoveryModel
QuantLib::ConstantSwaptionVolatilityConstant swaption volatility, no time-strike dependence
QuantLib::ConstantYoYOptionletVolatilityConstant surface, no K or T dependence
QuantLib::ConstrainedEvolverConstrained market-model evolver
QuantLib::ConstraintBase constraint class
QuantLib::ContinuousAveragingAsianOptionContinuous-averaging Asian option
QuantLib::ContinuousFixedLookbackOptionContinuous-fixed lookback option
QuantLib::ContinuousFloatingLookbackOptionContinuous-floating lookback option
QuantLib::NumericHaganPricer::ConundrumIntegrand
QuantLib::ConvergenceStatistics< T, U >Statistics class with convergence table
QuantLib::ConvertibleBondBase class for convertible bonds
ConvertibleBondTest
QuantLib::ConvertibleFixedCouponBondConvertible fixed-coupon bond
QuantLib::ConvertibleFloatingRateBondConvertible floating-rate bond
QuantLib::ConvertibleZeroCouponBondConvertible zero-coupon bond
QuantLib::ConvexMonotoneConvex-monotone interpolation factory and traits
QuantLib::detail::ConvexMonotone2Helper
QuantLib::detail::ConvexMonotone3Helper
QuantLib::detail::ConvexMonotone4Helper
QuantLib::detail::ConvexMonotone4MinHelper
QuantLib::detail::ConvexMonotoneImpl< I1, I2 >
QuantLib::ConvexMonotoneInterpolation< I1, I2 >Convex monotone yield-curve interpolation method
QuantLib::COPCurrencyColombian peso
QuantLib::CostFunctionCost function abstract class for optimization problem
QuantLib::CoterminalSwapCurveStateCurve state for coterminal-swap market models
QuantLib::CotSwapFromFwdCorrelation
QuantLib::CotSwapToFwdAdapter
QuantLib::CotSwapToFwdAdapterFactory
QuantLib::Couponcoupon accruing over a fixed period
QuantLib::CovarianceDecompositionCovariance decomposition into correlation and variances
CovarianceTest
QuantLib::CoxIngersollRossCox-Ingersoll-Ross model class
QuantLib::CoxRossRubinsteinCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
QuantLib::CraigSneydScheme
QuantLib::CrankNicolson< Operator >Crank-Nicolson scheme for finite difference methods
QuantLib::CreditDefaultSwapCredit default swap
CreditDefaultSwapTest
QuantLib::CTSMMCapletAlphaFormCalibration
QuantLib::CTSMMCapletCalibration
QuantLib::CTSMMCapletMaxHomogeneityCalibration
QuantLib::CTSMMCapletOriginalCalibration
QuantLib::cube< T >
QuantLib::SwaptionVolCube1::Cube
QuantLib::CubicCubic interpolation factory and traits
QuantLib::CubicBSplinesFittingCubicSpline B-splines fitting method
QuantLib::CubicInterpolationCubic interpolation between discrete points
QuantLib::detail::CubicInterpolationImpl< I1, I2 >
QuantLib::CubicNaturalSpline
QuantLib::CubicSplineOvershootingMinimization1
QuantLib::CubicSplineOvershootingMinimization2
QuantLib::CumulativeBinomialDistributionCumulative binomial distribution function
QuantLib::CumulativeNormalDistributionCumulative normal distribution function
QuantLib::CumulativePoissonDistributionCumulative Poisson distribution function
QuantLib::CumulativeStudentDistributionCumulative Student t-distribution
QuantLib::CuriouslyRecurringTemplate< Impl >Support for the curiously recurring template pattern
QuantLib::CurrencyCurrency specification
QuantLib::SurvivalProbability::curve< Interpolator >
QuantLib::HazardRate::curve< Interpolator >
QuantLib::DefaultDensity::curve< Interpolator >
QuantLib::CurveAbstract curve class
QuantLib::Discount::curve< Interpolator >
QuantLib::ZeroYield::curve< Interpolator >
QuantLib::ForwardRate::curve< Interpolator >
QuantLib::CurveDependentStepCondition< array_type >
QuantLib::CurveStateCurve state for market-model simulations
CurveStatesTest
QuantLib::CurveDependentStepCondition< array_type >::CurveWrapper
QuantLib::CYPCurrencyCyprus pound
QuantLib::CzechRepublicCzech calendars
QuantLib::CZKCurrencyCzech koruna
QuantLib::DailyTenorCHFLiborBase class for the one day deposit BBA CHF LIBOR indexes
QuantLib::DailyTenorEURLiborBase class for the one day deposit BBA EUR LIBOR indexes
QuantLib::DailyTenorGBPLiborBase class for the one day deposit BBA GBP LIBOR indexes
QuantLib::DailyTenorJPYLiborBase class for the one day deposit BBA JPY LIBOR indexes
QuantLib::DailyTenorLiborBase class for all O/N-S/N BBA LIBOR indexes but the EUR ones
QuantLib::DailyTenorUSDLiborBase class for the one day deposit BBA USD LIBOR indexes
QuantLib::Region::Data
QuantLib::CommodityType::Data
QuantLib::PaymentTerm::Data
QuantLib::UnitOfMeasure::Data
QuantLib::UnitOfMeasureConversion::Data
QuantLib::Currency::Data
QuantLib::detail::Data< X, Y >
QuantLib::detail::Data< std::vector< Real >, EmptyArg >
QuantLib::detail::DataTable< X >
QuantLib::detail::DataTable< Real >
QuantLib::DateConcrete date class
QuantLib::DatedOISRateHelperRate helper for bootstrapping over Overnight Indexed Swap rates
QuantLib::DateGenerationDate-generation rule
QuantLib::DateIntervalDate interval described by a number of a given time unit
QuantLib::DateParser
QuantLib::Settings::DateProxy
DateTest
QuantLib::DayCounterDay counter class
DayCounterTest
QuantLib::Default
QuantLib::DefaultDensityDefault-density-curve traits
QuantLib::DefaultDensityStructureDefault-density term structure
QuantLib::DefaultEventCredit event on a bond of a certain seniority(ies)/currency
DefaultProbabilityCurveTest
QuantLib::DefaultProbabilityTermStructureDefault probability term structure
QuantLib::DefaultProbKey
QuantLib::DefaultEvent::DefaultSettlement
QuantLib::DefaultTypeAtomic credit-event type
QuantLib::DeltaVolQuoteClass for the quotation of delta vs vol
QuantLib::DEMCurrencyDeutsche mark
QuantLib::DenmarkDanish calendar
QuantLib::DepositRateHelperRate helper for bootstrapping over deposit rates
QuantLib::DerivedQuote< UnaryFunction >Market quote whose value depends on another quote
QuantLib::DigitalCmsCouponCms-rate coupon with digital digital call/put option
QuantLib::DigitalCmsLegHelper class building a sequence of digital ibor-rate coupons
QuantLib::DigitalCouponDigital-payoff coupon
DigitalCouponTest
QuantLib::DigitalIborCouponIbor rate coupon with digital digital call/put option
QuantLib::DigitalIborLegHelper class building a sequence of digital ibor-rate coupons
DigitalOptionTest
QuantLib::DigitalPathPricer
QuantLib::DigitalReplication
QuantLib::DirichletBCNeumann boundary condition (i.e., constant value)
QuantLib::DiscountDiscount-curve traits
QuantLib::DiscountingBondEngine
QuantLib::DiscountingSwapEngine
QuantLib::DiscrepancyStatisticsStatistic tool for sequences with discrepancy calculation
QuantLib::DiscreteAveragingAsianOptionDiscrete-averaging Asian option
QuantLib::StochasticProcess::discretizationDiscretization of a stochastic process over a given time interval
QuantLib::StochasticProcess1D::discretizationDiscretization of a 1-D stochastic process
QuantLib::DiscretizedAssetDiscretized asset class used by numerical methods
QuantLib::DiscretizedCallableFixedRateBond
QuantLib::DiscretizedCapFloor
QuantLib::DiscretizedConvertible
QuantLib::DiscretizedDiscountBondUseful discretized discount bond asset
QuantLib::DiscretizedOptionDiscretized option on a given asset
QuantLib::DiscretizedSwap
QuantLib::DiscretizedSwaption
QuantLib::DiscretizedVanillaOption
QuantLib::Disposable< T >Generic disposable object with move semantics
QuantLib::Distribution
DistributionTest
QuantLib::DividendPredetermined cash flow
QuantLib::detail::DividendAdder
QuantLib::DividendBarrierOptionSingle-asset barrier option with discrete dividends
DividendOptionTest
QuantLib::DividendVanillaOptionSingle-asset vanilla option (no barriers) with discrete dividends
QuantLib::DKKCurrencyDanish krone
QuantLib::DKKLiborDKK LIBOR rate
QuantLib::DMinus$ D_{-} $ matricial representation
QuantLib::Domaindomain abstract lcass
QuantLib::DoubleStickyRatchetPayoffIntermediate class for single/double sticky/ratchet payoffs
QuantLib::DoublingConvergenceSteps
QuantLib::DouglasScheme
QuantLib::DownRoundingDown-rounding
QuantLib::DPlus$ D_{+} $ matricial representation
QuantLib::DPlusDMinus$ D_{+}D_{-} $ matricial representation
QuantLib::DriftTermStructureDrift term structure
QuantLib::Durationduration type
QuantLib::BlackKarasinski::DynamicsShort-rate dynamics in the Black-Karasinski model
QuantLib::CoxIngersollRoss::DynamicsDynamics of the short-rate under the Cox-Ingersoll-Ross model
QuantLib::ExtendedCoxIngersollRoss::DynamicsShort-rate dynamics in the extended Cox-Ingersoll-Ross model
QuantLib::HullWhite::DynamicsShort-rate dynamics in the Hull-White model
QuantLib::Vasicek::DynamicsShort-rate dynamics in the Vasicek model
QuantLib::G2::Dynamics
QuantLib::GeneralizedHullWhite::DynamicsShort-rate dynamics in the generalized Hull-White model
QuantLib::DZero$ D_{0} $ matricial representation
QuantLib::earlier_than< boost::shared_ptr< T > >
QuantLib::earlier_than< CashFlow >
QuantLib::earlier_than< DefaultEvent >
QuantLib::EarlyExerciseEarly-exercise base class
QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >Base class for early exercise path pricers
QuantLib::EarlyExerciseTraits< PathType >
QuantLib::EarlyExerciseTraits< MultiPath >
QuantLib::EarlyExerciseTraits< Path >
QuantLib::ECBEuropean Central Bank reserve maintenance dates
QuantLib::EEKCurrencyEstonian kroon
QuantLib::detail::EmptyArg
QuantLib::detail::EmptyDim
QuantLib::detail::EmptyRes
QuantLib::EndCriteriaCriteria to end optimization process:
QuantLib::EndEulerDiscretizationEuler end-point discretization for stochastic processes
QuantLib::EnergyBasisSwapEnergy basis swap
QuantLib::EnergyCommodityEnergy commodity class
QuantLib::EnergyDailyPosition
QuantLib::EnergyFutureEnergy future
QuantLib::EnergySwap
QuantLib::EnergyVanillaSwapVanilla energy swap
engine
engine
QuantLib::SyntheticCDO::engineCDO base engine
QuantLib::DiscreteAveragingAsianOption::engineDiscrete-averaging Asian engine base class
QuantLib::ContinuousAveragingAsianOption::engineContinuous-averaging Asian engine base class
QuantLib::EverestOption::engine
QuantLib::BarrierOption::engineBarrier-option engine base class
QuantLib::HimalayaOption::engine
QuantLib::BasketOption::engineBasket-option engine base class
QuantLib::Bond::engine
QuantLib::MargrabeOption::engineMargrabe option engine base class
QuantLib::CapFloor::engineBase class for cap/floor engines
QuantLib::PagodaOption::enginePagoda-option engine base class
QuantLib::CliquetOption::engineCliquet engine base class
QuantLib::CreditDefaultSwap::engine
QuantLib::SimpleChooserOption::engineSimple chooser option engine base class
QuantLib::DividendVanillaOption::engineDividend-vanilla-option engine base class
QuantLib::DividendBarrierOption::engineDividend-barrier-option engine base class
QuantLib::YoYInflationCapFloor::engineBase class for cap/floor engines
QuantLib::ContinuousFloatingLookbackOption::engineContinuous floating lookback engine base class
QuantLib::ContinuousFixedLookbackOption::engineContinuous fixed lookback engine base class
QuantLib::CallableBond::engineBase class for callable fixed rate bond engine
QuantLib::MultiAssetOption::engine
QuantLib::OneAssetOption::engine
QuantLib::Swap::engine
QuantLib::Swaption::engineBase class for swaption engines
QuantLib::VanillaSwap::engine
QuantLib::VarianceSwap::engineBase class for variance-swap engines
QuantLib::YearOnYearInflationSwap::engine
QuantLib::ZeroCouponInflationSwap::engine
QuantLib::EnergyCommodity::engine
QuantLib::CompoundOption::engineCompound-option engine base class
QuantLib::PathMultiAssetOption::engine
QuantLib::ConvertibleBond::option::engine
QuantLib::VarianceOption::engineBase class for variance-option engines
QuantLib::CdsOption::engineBase class for swaption engines
QuantLib::ExchangeRateManager::Entry
QuantLib::EoniaEonia (Euro Overnight Index Average) rate fixed by the ECB
QuantLib::equal_within< T >
QuantLib::EqualJumpsBinomialTree< T >Base class for equal jumps binomial tree
QuantLib::EqualProbabilitiesBinomialTree< T >Base class for equal probabilities binomial tree
QuantLib::EquityFXVolSurfaceEquity/FX volatility (smile) surface
QuantLib::ErrorBase error class
QuantLib::ErrorFunctionError function
QuantLib::ESPCurrencySpanish peseta
QuantLib::Thirty360::EU_Impl
QuantLib::EUHICPEU HICP index
QuantLib::EUHICPXTEU HICPXT index
QuantLib::EulerDiscretizationEuler discretization for stochastic processes
QuantLib::EURCurrencyEuropean Euro
QuantLib::EURegionEuropean Union as geographical/economic region
QuantLib::Germany::EurexImpl
QuantLib::EuriborEuribor index
QuantLib::Euribor10M10-months Euribor index
QuantLib::Euribor11M11-months Euribor index
QuantLib::Euribor1M1-month Euribor index
QuantLib::Euribor1Y1-year Euribor index
QuantLib::Euribor2M2-months Euribor index
QuantLib::Euribor2W2-weeks Euribor index
QuantLib::Euribor365Actual/365 Euribor index
QuantLib::Euribor365_10M10-months Euribor365 index
QuantLib::Euribor365_11M11-months Euribor365 index
QuantLib::Euribor365_1M1-month Euribor365 index
QuantLib::Euribor365_1Y1-year Euribor365 index
QuantLib::Euribor365_2M2-months Euribor365 index
QuantLib::Euribor365_2W2-weeks Euribor365 index
QuantLib::Euribor365_3M3-months Euribor365 index
QuantLib::Euribor365_3W3-weeks Euribor365 index
QuantLib::Euribor365_4M4-months Euribor365 index
QuantLib::Euribor365_5M5-months Euribor365 index
QuantLib::Euribor365_6M6-months Euribor365 index
QuantLib::Euribor365_7M7-months Euribor365 index
QuantLib::Euribor365_8M8-months Euribor365 index
QuantLib::Euribor365_9M9-months Euribor365 index
QuantLib::Euribor365_SW1-week Euribor365 index
QuantLib::Euribor3M3-months Euribor index
QuantLib::Euribor3W3-weeks Euribor index
QuantLib::Euribor4M4-months Euribor index
QuantLib::Euribor5M5-months Euribor index
QuantLib::Euribor6M6-months Euribor index
QuantLib::Euribor7M7-months Euribor index
QuantLib::Euribor8M8-months Euribor index
QuantLib::Euribor9M9-months Euribor index
QuantLib::EuriborSW1-week Euribor index
QuantLib::EuriborSwapIfrFixEuriborSwapIfrFix index base class
QuantLib::EuriborSwapIsdaFixAEuriborSwapIsdaFixA index base class
QuantLib::EuriborSwapIsdaFixBEuriborSwapIsdaFixB index base class
QuantLib::EURLiborBase class for all BBA EUR LIBOR indexes but the O/N
QuantLib::EURLibor10M10-months EUR Libor index
QuantLib::EURLibor11M11-months EUR Libor index
QuantLib::EURLibor1M1-month EUR Libor index
QuantLib::EURLibor1Y1-year EUR Libor index
QuantLib::EURLibor2M2-months EUR Libor index
QuantLib::EURLibor2W2-weeks EUR Libor index
QuantLib::EURLibor3M3-months EUR Libor index
QuantLib::EURLibor4M4-months EUR Libor index
QuantLib::EURLibor5M5-months EUR Libor index
QuantLib::EURLibor6M6-months EUR Libor index
QuantLib::EURLibor7M7-months EUR Libor index
QuantLib::EURLibor8M8-months EUR Libor index
QuantLib::EURLibor9M9-months EUR Libor index
QuantLib::EURLiborONOvernight EUR Libor index
QuantLib::EURLiborSW1-week EUR Libor index
QuantLib::EurLiborSwapIfrFixEurLiborSwapIfrFix index base class
QuantLib::EurLiborSwapIsdaFixAEurLiborSwapIsdaFixA index base class
QuantLib::EurLiborSwapIsdaFixBEurLiborSwapIsdaFixB index base class
QuantLib::EurodollarFuturesImpliedStdDevQuotequote for the Eurodollar-future implied standard deviation
QuantLib::EuropeanExerciseEuropean exercise
QuantLib::EuropeanGJRGARCHPathPricer
QuantLib::EuropeanHestonPathPricer
QuantLib::EuropeanMultiPathPricer
QuantLib::EuropeanOptionEuropean option on a single asset
EuropeanOptionTest
QuantLib::EuropeanPathMultiPathPricer
QuantLib::EuropeanPathPricer
QuantLib::Germany::EuwaxImpl
QuantLib::EventBase class for event
QuantLib::EverestMultiPathPricer
QuantLib::EverestOption
EverestOptionTest
QuantLib::everywhere
QuantLib::detail::EverywhereConstantHelper
QuantLib::EvolutionDescriptionMarket-model evolution description
QuantLib::ExchangeContract
QuantLib::Brazil::ExchangeImpl
QuantLib::Italy::ExchangeImpl
QuantLib::UnitedKingdom::ExchangeImpl
QuantLib::ExchangeRateExchange rate between two currencies
QuantLib::ExchangeRateManagerExchange-rate repository
ExchangeRateTest
QuantLib::ExerciseBase exercise class
QuantLib::ExerciseAdapter
QuantLib::ExerciseStrategy< State >
QuantLib::ExplicitEuler< Operator >Forward Euler scheme for finite difference methods
QuantLib::ExplicitEulerScheme
QuantLib::ExponentialForwardCorrelation
QuantLib::ExponentialSplinesFittingExponential-splines fitting method
QuantLib::ExtendedAdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
QuantLib::ExtendedBinomialTree< T >Binomial tree base class
QuantLib::ExtendedBlackScholesMertonProcessExperimental Black-Scholes-Merton stochastic process
QuantLib::ExtendedBlackVarianceCurveBlack volatility curve modelled as variance curve
QuantLib::ExtendedBlackVarianceSurfaceBlack volatility surface modelled as variance surface
QuantLib::ExtendedCoxIngersollRossExtended Cox-Ingersoll-Ross model class
QuantLib::ExtendedCoxRossRubinsteinCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
QuantLib::ExtendedEqualJumpsBinomialTree< T >Base class for equal jumps binomial tree
QuantLib::ExtendedEqualProbabilitiesBinomialTree< T >Base class for equal probabilities binomial tree
QuantLib::ExtendedJarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
QuantLib::ExtendedJoshi4
QuantLib::ExtendedLeisenReimerLeisen & Reimer tree: multiplicative approach
QuantLib::ExtendedOrnsteinUhlenbeckProcessExtended Ornstein-Uhlenbeck process class
QuantLib::ExtendedTianTian tree: third moment matching, multiplicative approach
ExtendedTreesTest
QuantLib::ExtendedTrigeorgisTrigeorgis (additive equal jumps) binomial tree
QuantLib::ExtrapolatorBase class for classes possibly allowing extrapolation
QuantLib::FaceValueAccrualClaimClaim on the notional of a reference security, including accrual
QuantLib::FaceValueClaimClaim on a notional
QuantLib::FactorialFactorial numbers calculator
FactorialTest
QuantLib::FactorSpreadedHazardRateCurveDefault-probability structure with a multiplicative spread on hazard rates
QuantLib::FailureToPayFailure to Pay atomic event type
QuantLib::FailureToPayEvent
QuantLib::FalsePositionFalse position 1-D solver
QuantLib::FarlieGumbelMorgensternCopulaFarlie-Gumbel-Morgenstern copula
QuantLib::FarlieGumbelMorgensternCopulaRng< RNG >Farlie-Gumbel-Morgenstern copula random-number generator
QuantLib::FastFourierTransformFFT implementation
FastFourierTransformTest
QuantLib::FaureRsgFaure low-discrepancy sequence generator
QuantLib::Fd2dBlackScholesVanillaEngineTwo dimensional finite-differences Black Scholes vanilla option engine
QuantLib::FDAmericanCondition< baseEngine >
QuantLib::FDAmericanEngine< Scheme >Finite-differences pricing engine for American one asset options
QuantLib::FdBatesVanillaEnginePartial Integro FiniteDifferences Bates Vanilla Option engine
QuantLib::FDBermudanEngine< Scheme >Finite-differences Bermudan engine
QuantLib::FdBlackScholesAsianEngine
QuantLib::FdBlackScholesBarrierEngineFinite-Differences Black Scholes barrier option engine
QuantLib::FdBlackScholesRebateEngineFinite-Differences Black Scholes barrier option rebate helper engine
QuantLib::FdBlackScholesVanillaEngine
QuantLib::FDDividendAmericanEngine< Scheme >Finite-differences pricing engine for dividend American options
QuantLib::FDDividendAmericanEngineMerton73< Scheme >
QuantLib::FDDividendAmericanEngineShiftScale< Scheme >
QuantLib::FDDividendEngine< Scheme >
QuantLib::FDDividendEngineBase< Scheme >Abstract base class for dividend engines
QuantLib::FDDividendEngineMerton73< Scheme >Finite-differences pricing engine for dividend options using escowed dividends model
QuantLib::FDDividendEngineShiftScale< Scheme >Finite-differences engine for dividend options using shifted dividends
QuantLib::FDDividendEuropeanEngine< Scheme >Finite-differences pricing engine for dividend European options
QuantLib::FDDividendEuropeanEngineMerton73< Scheme >
QuantLib::FDDividendEuropeanEngineShiftScale< Scheme >
QuantLib::FDDividendShoutEngine< Scheme >Finite-differences shout engine with dividends
QuantLib::FDDividendShoutEngineMerton73< Scheme >
QuantLib::FDDividendShoutEngineShiftScale< Scheme >
QuantLib::FDEngineAdapter< base, engine >
QuantLib::FDEuropeanEngine< Scheme >Pricing engine for European options using finite-differences
QuantLib::FdHestonBarrierEngineFinite-Differences Heston Barrier Option engine
QuantLib::FdHestonHullWhiteVanillaEngineFinite-Differences Heston Hull-White Vanilla Option engine
QuantLib::FdHestonRebateEngineFinite-Differences Heston Barrier Option rebate helper engine
FdHestonTest
QuantLib::FdHestonVanillaEngineFinite-Differences Heston Vanilla Option engine
QuantLib::Fdm1dMesher
QuantLib::Fdm2dBlackScholesOp
QuantLib::Fdm2dBlackScholesSolver
QuantLib::FdmAmericanStepCondition
QuantLib::FdmArithmeticAverageCondition
QuantLib::FdmBackwardSolver
QuantLib::FdmBatesOp
QuantLib::FdmBatesSolver
QuantLib::FdmBermudanStepCondition
QuantLib::FdmBlackScholesMesher
QuantLib::FdmBlackScholesMultiStrikeMesher
QuantLib::FdmBlackScholesOp
QuantLib::FdmBlackScholesSolver
QuantLib::FdmDirichletBoundary
QuantLib::FdmDividendHandler
QuantLib::FdmHestonEquityPart
QuantLib::FdmHestonHullWhiteEquityPart
QuantLib::FdmHestonHullWhiteOp
QuantLib::FdmHestonHullWhiteRatesPart
QuantLib::FdmHestonHullWhiteSolver
QuantLib::FdmHestonHullWhiteVariancePart
QuantLib::FdmHestonLikeSolverFactory
QuantLib::FdmHestonOp
QuantLib::FdmHestonSolver
QuantLib::FdmHestonVarianceMesher
QuantLib::FdmHestonVariancePart
QuantLib::FdmHullWhiteMesher
QuantLib::FdmInnerValueCalculator
QuantLib::FdmLinearOp
QuantLib::FdmLinearOpComposite
QuantLib::FdmLinearOpIterator
QuantLib::FdmLinearOpLayout
FdmLinearOpTest
QuantLib::FdmLogBasketInnerValue
QuantLib::FdmLogInnerValue
QuantLib::FdmMesher
QuantLib::FdmMesherComposite
QuantLib::FdmQuantoHelper
QuantLib::FdmSchemeDesc
QuantLib::FdmSimple2dBSSolver
QuantLib::FdmSnapshotCondition
QuantLib::FdmStepConditionComposite
QuantLib::FDMultiPeriodEngine< Scheme >
QuantLib::FDShoutCondition< baseEngine >
QuantLib::FDShoutEngine< Scheme >Finite-differences pricing engine for shout vanilla options
QuantLib::FDStepConditionEngine< Scheme >Finite-differences pricing engine for American-style vanilla options
QuantLib::FDVanillaEngineFinite-differences pricing engine for BSM one asset options
QuantLib::HestonModel::FellerConstraint
QuantLib::FFTEngineBase class for FFT pricing engines for European vanilla options
QuantLib::FFTVanillaEngineFFT Pricing engine vanilla options under a Black Scholes process
QuantLib::FFTVarianceGammaEngineFFT engine for vanilla options under a Variance Gamma process
QuantLib::FIMCurrencyFinnish markka
QuantLib::FiniteDifferenceModel< Evolver >Generic finite difference model
QuantLib::FinlandFinnish calendar
QuantLib::FirstDerivativeOp
QuantLib::FittedBondDiscountCurveDiscount curve fitted to a set of fixed-coupon bonds
QuantLib::FittedBondDiscountCurve::FittingMethod::FittingCost
QuantLib::FittedBondDiscountCurve::FittingMethodBase fitting method used to construct a fitted bond discount curve
QuantLib::ExtendedCoxIngersollRoss::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
QuantLib::HullWhite::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
QuantLib::G2::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
QuantLib::FixedDividendPredetermined cash flow
QuantLib::FixedRateBondFixed-rate bond
QuantLib::FixedRateBondForwardForward contract on a fixed-rate bond
QuantLib::FixedRateBondHelper
QuantLib::FixedRateCouponCoupon paying a fixed interest rate
QuantLib::FixedRateLegHelper class building a sequence of fixed rate coupons
QuantLib::AnalyticHestonEngine::Fj_Helper
QuantLib::AnalyticPTDHestonEngine::Fj_Helper
QuantLib::Flag
QuantLib::FlatExtrapolator2D
QuantLib::FlatExtrapolator2D::FlatExtrapolator2DImpl
QuantLib::FlatForwardFlat interest-rate curve
QuantLib::FlatHazardRateFlat hazard-rate curve
QuantLib::FlatSmileSection
QuantLib::FlatVol
QuantLib::FlatVolFactory
QuantLib::detail::FloatingPointNull< false >
QuantLib::detail::FloatingPointNull< true >
QuantLib::FloatingRateBondFloating-rate bond (possibly capped and/or floored)
QuantLib::FloatingRateCouponBase floating-rate coupon class
QuantLib::FloatingRateCouponPricerGeneric pricer for floating-rate coupons
QuantLib::FloatingTypePayoffPayoff based on a floating strike
QuantLib::FloorConcrete floor class
QuantLib::FloorTruncationFloor truncation
QuantLib::ForwardAbstract base forward class
QuantLib::ForwardFlatForward-flat interpolation factory and traits
QuantLib::ForwardFlatInterpolationForward-flat interpolation between discrete points
QuantLib::detail::ForwardFlatInterpolationImpl< I1, I2 >
QuantLib::ForwardMeasureProcessForward-measure stochastic process
QuantLib::ForwardMeasureProcess1DForward-measure 1-D stochastic process
QuantLib::ForwardOptionArguments< ArgumentsType >Arguments for forward (strike-resetting) option calculation
ForwardOptionTest
QuantLib::ForwardPerformanceVanillaEngine< Engine >Forward performance engine for vanilla options
QuantLib::ForwardRateForward-curve traits
QuantLib::ForwardRateAgreement
QuantLib::ForwardRateStructureForward-rate term structure
QuantLib::ForwardSpreadedTermStructureTerm structure with added spread on the instantaneous forward rate
QuantLib::ForwardSwapQuoteQuote for a forward starting swap
QuantLib::ForwardTypePayoffClass for forward type payoffs
QuantLib::ForwardValueQuotequote for the forward value of an index
QuantLib::ForwardVanillaEngine< Engine >Forward engine for vanilla options
QuantLib::ForwardVanillaOptionForward version of a vanilla option
QuantLib::fourth_power< T >
QuantLib::FractionalDividendPredetermined cash flow
QuantLib::FranceRegionFrance as geographical/economic region
QuantLib::FrankCopulaFrank copula
QuantLib::FrankCopulaRng< RNG >Frank copula random-number generator
QuantLib::Germany::FrankfurtStockExchangeImpl
QuantLib::FraRateHelperRate helper for bootstrapping over FRA rates
QuantLib::FRFCurrencyFrench franc
QuantLib::FRHICPFR HICP index
QuantLib::FritschButlandCubic
QuantLib::FritschButlandLogCubic
QuantLib::FrobeniusCostFunction
FSquared
QuantLib::NumericHaganPricer::Function
QuantLib::FuturesConvAdjustmentQuotequote for the futures-convexity adjustment of an index
QuantLib::FuturesRateHelperRate helper for bootstrapping over IborIndex futures prices
QuantLib::FwdPeriodAdapter
QuantLib::FwdToCotSwapAdapter
QuantLib::FwdToCotSwapAdapterFactory
QuantLib::G2Two-additive-factor gaussian model class
QuantLib::G2ForwardProcessForward G2 stochastic process
QuantLib::G2ProcessG2 stochastic process
QuantLib::G2SwaptionEngineSwaption priced by means of the Black formula
QuantLib::GalambosCopulaGalambos copula
QuantLib::GallonUnitOfMeasure
QuantLib::GammaDistribution
QuantLib::GammaFunctionGamma function class
QuantLib::GapPayoffBinary gap payoff
QuantLib::Garch11GARCH volatility model
QuantLib::GarmanKlassAbstractGarman-Klass volatility model
QuantLib::GarmanKlassOpenClose< T >
QuantLib::GarmanKlassSigma1
QuantLib::GarmanKlassSigma3
QuantLib::GarmanKlassSigma4
QuantLib::GarmanKlassSigma5
QuantLib::GarmanKlassSigma6
QuantLib::GarmanKlassSimpleSigma
QuantLib::GarmanKohlagenProcessGarman-Kohlhagen (1983) stochastic process
QuantLib::GaussChebyshev2ndIntegrationGauss-Chebyshev integration (second kind)
QuantLib::GaussChebyshev2ndPolynomialGauss-Chebyshev polynomial (second kind)
QuantLib::GaussChebyshevIntegrationGauss-Chebyshev integration
QuantLib::GaussChebyshevPolynomialGauss-Chebyshev polynomial
QuantLib::GaussGegenbauerIntegrationGauss-Gegenbauer integration
QuantLib::GaussGegenbauerPolynomialGauss-Gegenbauer polynomial
QuantLib::GaussHermiteIntegrationGeneralized Gauss-Hermite integration
QuantLib::GaussHermitePolynomialGauss-Hermite polynomial
QuantLib::GaussHyperbolicIntegrationGauss-Hyperbolic integration
QuantLib::GaussHyperbolicPolynomialGauss hyperbolic polynomial
QuantLib::GaussianCopulaGaussian copula
QuantLib::GaussianKernelGaussian kernel function
QuantLib::GaussianLHPCDOEngine< CDOEngine >
QuantLib::GaussianOrthogonalPolynomialOrthogonal polynomial for Gaussian quadratures
QuantLib::GaussianQuadratureIntegral of a 1-dimensional function using the Gauss quadratures method
GaussianQuadraturesTest
QuantLib::GaussianRandomDefaultModel
QuantLib::GaussianRecursiveCdoEngine< CDOEngine >Specialization for Gaussian copula, the integration still remains
QuantLib::GaussJacobiIntegrationGauss-Jacobi integration
QuantLib::GaussJacobiPolynomialGauss-Jacobi polynomial
QuantLib::GaussKronrodAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
QuantLib::GaussKronrodNonAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
QuantLib::GaussLaguerreIntegrationGeneralized Gauss-Laguerre integration
QuantLib::GaussLaguerrePolynomialGauss-Laguerre polynomial
QuantLib::GaussLegendreIntegrationGauss-Legendre integration
QuantLib::GaussLegendrePolynomialGauss-Legendre polynomial
QuantLib::GaussLobattoIntegralIntegral of a one-dimensional function
QuantLib::GBPCurrencyBritish pound sterling
QuantLib::GBPLiborGBP LIBOR rate
QuantLib::GBPLiborONOvernight GBP Libor index
QuantLib::GbpLiborSwapIsdaFixGbpLiborSwapIsdaFix index base class
QuantLib::GeneralizedBlackScholesProcessGeneralized Black-Scholes stochastic process
QuantLib::GeneralizedHullWhiteGeneralized Hull-White model class
QuantLib::GeneralizedOrnsteinUhlenbeckProcessPiecewise linear Ornstein-Uhlenbeck process class
QuantLib::GeneralStatisticsStatistics tool
QuantLib::GenericCPIGeneric CPI index
QuantLib::GenericEngine< ArgumentsType, ResultsType >Template base class for option pricing engines
QuantLib::GenericGaussianStatistics< Stat >Statistics tool for gaussian-assumption risk measures
QuantLib::GenericLowDiscrepancy< URSG, IC >
QuantLib::GenericModelEngine< ModelType, ArgumentsType, ResultsType >Base class for some pricing engine on a particular model
QuantLib::GenericPseudoRandom< URNG, IC >
QuantLib::GenericRegionGeneric geographical/economic region
QuantLib::GenericRiskStatistics< S >Empirical-distribution risk measures
QuantLib::GenericSequenceStatistics< StatisticsType >Statistics analysis of N-dimensional (sequence) data
QuantLib::GenericTimeSetter< PdeClass >
QuantLib::GeometricAPOPathPricer
QuantLib::GeometricBrownianMotionProcessGeometric brownian-motion process
QuantLib::GermanyGerman calendars
QuantLib::GFunction
QuantLib::GFunctionFactory::GFunctionExactYield
QuantLib::GFunctionFactory
QuantLib::GFunctionFactory::GFunctionStandard
QuantLib::GFunctionFactory::GFunctionWithShifts
QuantLib::GJRGARCHModelGJR-GARCH model for the stochastic volatility of an asset
GJRGARCHModelTest
QuantLib::GJRGARCHProcessStochastic-volatility GJR-GARCH(1,1) process
QuantLib::UnitedStates::GovernmentBondImpl
QuantLib::GRDCurrencyGreek drachma
QuantLib::GreeksAdditional option results
QuantLib::GumbelCopulaGumbel copula
QuantLib::HaganPricerCMS-coupon pricer
QuantLib::HaltonRsgHalton low-discrepancy sequence generator
QuantLib::Handle< T >Shared handle to an observable
QuantLib::HazardRateHazard-rate-curve traits
QuantLib::HazardRateStructureHazard-rate term structure
QuantLib::OneFactorModel::ShortRateTree::Helper
QuantLib::BlackKarasinski::Helper
QuantLib::GeneralizedHullWhite::Helper
QuantLib::CoxIngersollRoss::HelperProcess
QuantLib::HestonHullWhitePathPricer
QuantLib::HestonModelHeston model for the stochastic volatility of an asset
QuantLib::HestonModelHelperCalibration helper for Heston model
HestonModelTest
QuantLib::HestonProcessSquare-root stochastic-volatility Heston process
QuantLib::HimalayaMultiPathPricer
QuantLib::HimalayaOptionHimalaya option
HimalayaOptionTest
QuantLib::HistogramHistogram class
QuantLib::HistoricalForwardRatesAnalysis
QuantLib::HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >Historical correlation class
QuantLib::HistoricalRatesAnalysisHistorical rate analysis class
QuantLib::HKDCurrencyHonk Kong dollar
QuantLib::HongKong::HkexImpl
QuantLib::HomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss distribution convolution for finite homogeneous pool
QuantLib::HongKongHong Kong calendars
QuantLib::HUFCurrencyHungarian forint
QuantLib::HullWhiteSingle-factor Hull-White (extended Vasicek) model class
QuantLib::detail::HullWhiteCapFloorPricer
QuantLib::HullWhiteForwardProcessForward Hull-White stochastic process
QuantLib::HullWhiteProcessHull-White stochastic process
QuantLib::HundsdorferScheme
QuantLib::HungaryHungarian calendar
QuantLib::HuslerReissCopulaHusler-Reiss copula
QuantLib::HybridHestonHullWhiteProcessHybrid Heston Hull-White stochastic process
HybridHestonHullWhiteProcessTest
QuantLib::IborCouponCoupon paying a Libor-type index
QuantLib::IborCouponPricerBase pricer for capped/floored Ibor coupons
QuantLib::IborIndexBase class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
QuantLib::IborLegHelper class building a sequence of capped/floored ibor-rate coupons
QuantLib::IcelandIcelandic calendars
QuantLib::Iceland::IcexImpl
QuantLib::identity< T >
QuantLib::IEPCurrencyIrish punt
QuantLib::ILSCurrencyIsraeli shekel
QuantLib::IMMMain cycle of the International Money Market (a.k.a. IMM) months
QuantLib::HestonModel::FellerConstraint::Impl
QuantLib::CalibratedModel::PrivateConstraint::Impl
QuantLib::Parameter::ImplBase class for model parameter implementation
QuantLib::ConstantParameter::Impl
QuantLib::NullParameter::Impl
QuantLib::PiecewiseConstantParameter::Impl
QuantLib::Interpolation::ImplAbstract base class for interpolation implementations
QuantLib::CoxIngersollRoss::VolatilityConstraint::Impl
QuantLib::ExtendedCoxIngersollRoss::FittingParameter::Impl
QuantLib::HullWhite::FittingParameter::Impl
QuantLib::G2::FittingParameter::Impl
QuantLib::GJRGARCHModel::VolatilityConstraint::Impl
QuantLib::Calendar::ImplAbstract base class for calendar implementations
QuantLib::Australia::Impl
QuantLib::Denmark::Impl
QuantLib::Finland::Impl
QuantLib::Japan::Impl
QuantLib::JointCalendar::Impl
QuantLib::NewZealand::Impl
QuantLib::Norway::Impl
QuantLib::NullCalendar::Impl
QuantLib::Poland::Impl
QuantLib::SouthAfrica::Impl
QuantLib::Sweden::Impl
QuantLib::Switzerland::Impl
QuantLib::TARGET::Impl
QuantLib::Turkey::Impl
QuantLib::WeekendsOnly::Impl
QuantLib::DayCounter::ImplAbstract base class for day counter implementations
QuantLib::Actual360::Impl
QuantLib::Actual365Fixed::Impl
QuantLib::Business252::Impl
QuantLib::OneDayCounter::Impl
QuantLib::SimpleDayCounter::Impl
QuantLib::BespokeCalendar::Impl
QuantLib::Interpolation2D::ImplAbstract base class for 2-D interpolation implementations
QuantLib::Hungary::Impl
QuantLib::Constraint::ImplBase class for constraint implementations
QuantLib::NoConstraint::Impl
QuantLib::PositiveConstraint::Impl
QuantLib::BoundaryConstraint::Impl
QuantLib::CompositeConstraint::Impl
QuantLib::ImplicitEuler< Operator >Backward Euler scheme for finite difference methods
QuantLib::ImplicitEulerScheme
QuantLib::ImpliedSpotHelper
QuantLib::ImpliedStdDevQuotequote for the implied standard deviation of an underlying
QuantLib::ImpliedTermStructureImplied term structure at a given date in the future
QuantLib::CalibrationHelper::ImpliedVolatilityHelper
QuantLib::detail::ImpliedVolatilityHelperHelper class for one-asset implied-volatility calculation
QuantLib::CallableBond::ImpliedVolHelper
QuantLib::ImpliedVolTermStructureImplied vol term structure at a given date in the future
QuantLib::IncrementalStatisticsStatistics tool based on incremental accumulation
QuantLib::IndependentCopulaIndependent copula
QuantLib::IndexPurely virtual base class for indexes
QuantLib::IndexedCashFlowCash flow dependent on an index ratio
QuantLib::IndexHistoryCleaner
QuantLib::IndexManagerGlobal repository for past index fixings
QuantLib::IndiaIndian calendars
QuantLib::IndonesiaIndonesian calendars
InflationCapFlooredCouponTest
InflationCapFloorTest
QuantLib::InflationCouponBase inflation-coupon class
QuantLib::InflationCouponPricerBase inflation-coupon pricer
QuantLib::InflationIndexBase class for inflation-rate indexes,
QuantLib::InflationTermStructureInterface for inflation term structures
InflationTest
InflationVolTest
QuantLib::InhomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss disctribution bucketing for finite inhomogeneous pool
QuantLib::INRCurrencyIndian rupee
QuantLib::InstrumentAbstract instrument class
InstrumentTest
QuantLib::detail::Int2Type< i >
QuantLib::detail::Int2Type< 10 >
QuantLib::detail::Int2Type< 11 >
QuantLib::detail::Int2Type< 12 >
QuantLib::detail::Int2Type< 13 >
QuantLib::detail::Int2Type< 14 >
QuantLib::detail::Int2Type< 15 >
QuantLib::detail::Int2Type< 2 >
QuantLib::detail::Int2Type< 3 >
QuantLib::detail::Int2Type< 4 >
QuantLib::detail::Int2Type< 5 >
QuantLib::detail::Int2Type< 6 >
QuantLib::detail::Int2Type< 7 >
QuantLib::detail::Int2Type< 8 >
QuantLib::detail::Int2Type< 9 >
QuantLib::IntegralCDOEngineCDO base engine taking (possibly) small time steps
QuantLib::IntegralCdsEngine
QuantLib::IntegralEnginePricing engine for European vanilla options using integral approach
QuantLib::IntegralHestonVarianceOptionEngineIntegral Heston-model variance-option engine
IntegralTest
QuantLib::detail::Integrand
QuantLib::AnalyticHestonEngine::Integration
QuantLib::Integrator
QuantLib::FdmBatesOp::IntegroIntegrand
QuantLib::InterestRateConcrete interest rate class
QuantLib::InterestRateIndexBase class for interest rate indexes
InterestRateTest
QuantLib::InterestRateVolSurfaceInterest rate volatility (smile) surface
QuantLib::InterpolatedCurve< Interpolator >Helper class to build interpolated term structures
QuantLib::InterpolatedDefaultDensityCurve< Interpolator >DefaultProbabilityTermStructure based on interpolation of default densities
QuantLib::InterpolatedDiscountCurve< Interpolator >YieldTermStructure based on interpolation of discount factors
QuantLib::InterpolatedForwardCurve< Interpolator >YieldTermStructure based on interpolation of forward rates
QuantLib::InterpolatedHazardRateCurve< Interpolator >DefaultProbabilityTermStructure based on interpolation of hazard rates
QuantLib::InterpolatedSmileSection< Interpolator >
QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >DefaultProbabilityTermStructure based on interpolation of survival probabilities
QuantLib::InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >
QuantLib::InterpolatedYoYInflationCurve< Interpolator >Inflation term structure based on interpolated year-on-year rates
QuantLib::InterpolatedYoYOptionletStripper< Interpolator1D >
QuantLib::InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >Interpolated flat smile surface
QuantLib::InterpolatedZeroCurve< Interpolator >YieldTermStructure based on interpolation of zero rates
QuantLib::InterpolatedZeroInflationCurve< Interpolator >Inflation term structure based on the interpolation of zero rates
QuantLib::InterpolationBase class for 1-D interpolations
QuantLib::Interpolation2DBase class for 2-D interpolations
InterpolationTest
QuantLib::IntervalPriceInterval price
QuantLib::InverseCumulativeNormalInverse cumulative normal distribution function
QuantLib::InverseCumulativePoissonInverse cumulative Poisson distribution function
QuantLib::InverseCumulativeRng< RNG, IC >Inverse cumulative random number generator
QuantLib::InverseCumulativeRsg< USG, IC >Inverse cumulative random sequence generator
QuantLib::InverseCumulativeStudentInverse cumulative Student t-distribution
QuantLib::InverseNonCentralChiSquareDistribution
QuantLib::IQDCurrencyIraqi dinar
QuantLib::IRRCurrencyIranian rial
QuantLib::ActualActual::ISDA_Impl
QuantLib::ISKCurrencyIcelandic krona
QuantLib::ActualActual::ISMA_Impl
QuantLib::detail::iso_date_holder
QuantLib::Issuer
QuantLib::Thirty360::IT_Impl
QuantLib::ItalyItalian calendars
QuantLib::IterativeBootstrap< Curve >Universal piecewise-term-structure boostrapper
QuantLib::ITLCurrencyItalian lira
QuantLib::JamshidianSwaptionEngineJamshidian swaption engine
QuantLib::JapanJapanese calendar
QuantLib::JarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
QuantLib::JibarJIBAR rate
QuantLib::JointCalendarJoint calendar
QuantLib::JointStochasticProcess
QuantLib::Joshi4
QuantLib::JPYCurrencyJapanese yen
QuantLib::JPYLiborJPY LIBOR rate
QuantLib::JpyLiborSwapIsdaFixAmJpyLiborSwapIsdaFixAm index base class
QuantLib::JpyLiborSwapIsdaFixPmJpyLiborSwapIsdaFixPm index base class
QuantLib::JumpDiffusionEngineJump-diffusion engine for vanilla options
JumpDiffusionTest
QuantLib::JuQuadraticApproximationEnginePricing engine for American options with Ju quadratic approximation
QuantLib::KernelFunction
QuantLib::KernelInterpolationKernel interpolation between discrete points
QuantLib::KernelInterpolation2D
QuantLib::detail::KernelInterpolation2DImpl< I1, I2, M, Kernel >
QuantLib::detail::KernelInterpolationImpl< I1, I2, Kernel >
QuantLib::KilolitreUnitOfMeasure
QuantLib::KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >K-interpolated YoY optionlet volatility
QuantLib::KirkEnginePricing engine for spread option on two futures
QuantLib::KnuthUniformRngUniform random number generator
QuantLib::KrugerCubic
QuantLib::KrugerLogCubic
QuantLib::KRWCurrencySouth-Korean won
QuantLib::SouthKorea::KrxImpl
QuantLib::KWDCurrencyKuwaiti dinar
QuantLib::LastFixingQuoteQuote adapter for the last fixing available of a given Index
QuantLib::LatticeLattice (tree, finite-differences) base class
QuantLib::LatticeRsg
QuantLib::LatticeRule
QuantLib::LatticeShortRateModelEngine< Arguments, Results >Engine for a short-rate model specialized on a lattice
QuantLib::LazyObjectFramework for calculation on demand and result caching
QuantLib::LeastSquareFunctionCost function for least-square problems
QuantLib::LeastSquareProblemBase class for least square problem
QuantLib::LecuyerUniformRngUniform random number generator
QuantLib::LeisenReimerLeisen & Reimer tree: multiplicative approach
QuantLib::LevenbergMarquardtLevenberg-Marquardt optimization method
QuantLib::LexicographicalView< RandomAccessIterator >Lexicographical 2-D view of a contiguous set of data
QuantLib::LfmCovarianceParameterizationLibor market model parameterization
QuantLib::LfmCovarianceProxyProxy for a libor forward model covariance parameterization
QuantLib::LfmHullWhiteParameterizationLibor market model parameterization based on Hull White paper
QuantLib::LfmSwaptionEngineLibor forward model swaption engine based on Black formula
QuantLib::LiborBase class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones
QuantLib::LiborForwardModelLibor forward model
QuantLib::LiborForwardModelProcessLibor-forward-model process
LiborMarketModelProcessTest
LiborMarketModelTest
QuantLib::LinearLinear-interpolation factory and traits
QuantLib::details::LinearFct
QuantLib::LinearInterpolationLinear interpolation between discrete points
QuantLib::detail::LinearInterpolationImpl< I1, I2 >
QuantLib::LinearLeastSquaresRegression< ArgumentType >General linear least squares regression
LinearLeastSquaresRegressionTest
QuantLib::LinearRegressionLinear regression y_i = a_0 + a_1*x_0 +..+a_n*x_{n-1} + eps
QuantLib::LineSearchBase class for line search
QuantLib::LineSearchBasedMethod
QuantLib::Handle< T >::Link
QuantLib::LitreUnitOfMeasure
QuantLib::LmConstWrapperCorrelationModel
QuantLib::LmConstWrapperVolatilityModelCaplet const volatility model
QuantLib::LmCorrelationModellibor forward correlation model
QuantLib::LmExponentialCorrelationModelExponential correlation model
QuantLib::LmExtLinearExponentialVolModelExtended linear exponential volatility model
QuantLib::LmFixedVolatilityModel
QuantLib::LmLinearExponentialCorrelationModellinear exponential correlation model
QuantLib::LmLinearExponentialVolatilityModellinear exponential volatility model
QuantLib::LMMCurveStateCurve state for Libor market models
QuantLib::LMMDriftCalculatorDrift computation for log-normal Libor market models
QuantLib::LMMNormalDriftCalculatorDrift computation for normal Libor market models
QuantLib::LmVolatilityModelCaplet volatility model
QuantLib::LocalBootstrap< Curve >Localised-term-structure bootstrapper for most curve types
QuantLib::LocalConstantVolConstant local volatility, no time-strike dependence
QuantLib::LocalVolatilityEstimator< T >
QuantLib::LocalVolCurveLocal volatility curve derived from a Black curve
QuantLib::LocalVolSurfaceLocal volatility surface derived from a Black vol surface
QuantLib::LocalVolTermStructure
QuantLib::LogCubicLog-cubic interpolation factory and traits
QuantLib::LogCubicInterpolationlog-cubic interpolation between discrete points
QuantLib::LogCubicNaturalSpline
QuantLib::LogGrid
QuantLib::detail::LogInterpolationImpl< I1, I2, Interpolator >
QuantLib::LogLinearLog-linear interpolation factory and traits
QuantLib::LogLinearInterpolationlog-linear interpolation between discrete points
QuantLib::LogNormalCmSwapRatePcPredictor-Corrector
QuantLib::LogNormalCotSwapRatePcPredictor-Corrector
QuantLib::LogNormalFwdRateBallandIterative Predictor-Corrector
QuantLib::LogNormalFwdRateEulerEuler
QuantLib::LogNormalFwdRateEulerConstrainedEuler stepping
QuantLib::LogNormalFwdRateiBallandIterative Predictor-Corrector
QuantLib::LogNormalFwdRateIpcIterative Predictor-Corrector
QuantLib::LogNormalFwdRatePcPredictor-Corrector
QuantLib::LogParabolic
QuantLib::detail::long_date_holder
QuantLib::detail::long_period_holder
QuantLib::detail::long_weekday_holder
QuantLib::LongstaffSchwartzExerciseStrategy
QuantLib::LongstaffSchwartzMultiPathPricerLongstaff-Schwarz path pricer for early exercise options
QuantLib::LongstaffSchwartzPathPricer< PathType >Longstaff-Schwarz path pricer for early exercise options
LookbackOptionTest
QuantLib::Loss
QuantLib::LossDistProbability formulas and algorithms
QuantLib::LossDistBinomialBinomial loss distribution
QuantLib::LossDistBucketingLoss distribution with Hull-White bucketing
QuantLib::LossDistHomogeneousLoss Distribution for Homogeneous Pool
QuantLib::LossDistMonteCarloLoss distribution with Monte Carlo simulation
QuantLib::LotUnitOfMeasure
LowDiscrepancyTest
QuantLib::LsmBasisSystem
QuantLib::LTLCurrencyLithuanian litas
QuantLib::LUFCurrencyLuxembourg franc
QuantLib::LVLCurrencyLatvian lat
QuantLib::MakeCapFloorHelper class
QuantLib::MakeCmsHelper class for instantiating CMS
QuantLib::MakeMCAmericanBasketEngine< RNG >Monte Carlo American basket-option engine factory
QuantLib::MakeMCAmericanEngine< RNG, S >Monte Carlo American engine factory
QuantLib::MakeMCAmericanPathEngine< RNG >Monte Carlo American basket-option engine factory
QuantLib::MakeMCBarrierEngine< RNG, S >Monte Carlo barrier-option engine factory
QuantLib::MakeMCDigitalEngine< RNG, S >Monte Carlo digital engine factory
QuantLib::MakeMCDiscreteArithmeticAPEngine< RNG, S >
QuantLib::MakeMCDiscreteArithmeticASEngine< RNG, S >
QuantLib::MakeMCDiscreteGeometricAPEngine< RNG, S >
QuantLib::MakeMCEuropeanBasketEngine< RNG, S >Monte Carlo basket-option engine factory
QuantLib::MakeMCEuropeanEngine< RNG, S >Monte Carlo European engine factory
QuantLib::MakeMCEuropeanGJRGARCHEngine< RNG, S >Monte Carlo GJR-GARCH European engine factory
QuantLib::MakeMCEuropeanHestonEngine< RNG, S >Monte Carlo Heston European engine factory
QuantLib::MakeMCEverestEngine< RNG, S >Monte Carlo Everest-option engine factory
QuantLib::MakeMCHestonHullWhiteEngine< RNG, S >Monte Carlo Heston/Hull-White engine factory
QuantLib::MakeMCHimalayaEngine< RNG, S >Monte Carlo Himalaya-option engine factory
QuantLib::MakeMCHullWhiteCapFloorEngine< RNG, S >Monte Carlo Hull-White cap-floor engine factory
QuantLib::MakeMCPagodaEngine< RNG, S >Monte Carlo pagoda-option engine factory
QuantLib::MakeMCPathBasketEngine< RNG, S >Monte Carlo Path Basket engine factory
QuantLib::MakeMCPerformanceEngine< RNG, S >Monte Carlo performance-option engine factory
QuantLib::MakeMCVarianceSwapEngine< RNG, S >Monte Carlo variance-swap engine factory
QuantLib::MakeOISHelper class
QuantLib::MakeScheduleHelper class
QuantLib::MakeSwaptionHelper class
QuantLib::MakeVanillaSwapHelper class
QuantLib::MakeYoYInflationCapFloorHelper class
QuantLib::ManipulateDistribution
QuantLib::MargrabeOptionMargrabe option on two assets
MargrabeOptionTest
QuantLib::MarketModelBase class for market models
QuantLib::MarketModelBasisSystem
QuantLib::MarketModelCashRebate
MarketModelCmsTest
QuantLib::MarketModelCompositeComposition of two or more market-model products
QuantLib::MarketModelDiscounter
QuantLib::MarketModelEvolverMarket-model evolver
QuantLib::MarketModelExerciseValue
QuantLib::MarketModelFactoryBase class for market-model factories
QuantLib::MarketModelMultiProductMarket-model product
QuantLib::MarketModelNodeDataProvider
QuantLib::MarketModelParametricExercise
QuantLib::MarketModelPathwiseCashRebate
QuantLib::MarketModelPathwiseCoterminalSwaptionsDeflated
QuantLib::MarketModelPathwiseCoterminalSwaptionsNumericalDeflated
QuantLib::MarketModelPathwiseDiscounter
QuantLib::MarketModelPathwiseInverseFloater
QuantLib::MarketModelPathwiseMultiCapletMarket-model pathwise caplet
QuantLib::MarketModelPathwiseMultiDeflatedCap
QuantLib::MarketModelPathwiseMultiDeflatedCaplet
QuantLib::MarketModelPathwiseMultiProductMarket-model pathwise product
QuantLib::MarketModelPathwiseSwap
MarketModelSmmCapletAlphaCalibrationTest
MarketModelSmmCapletCalibrationTest
MarketModelSmmCapletHomoCalibrationTest
MarketModelSmmTest
MarketModelTest
QuantLib::MarketModelVolProcess
QuantLib::MarshallOlkinCopulaMarshall-Olkin copula
MatricesTest
QuantLib::MatrixMatrix used in linear algebra
QuantLib::MaxBasketPayoff
QuantLib::MaxCopulaMax copula
QuantLib::MBUnitOfMeasure
QuantLib::MCAmericanBasketEngine< RNG >Least-square Monte Carlo engine
QuantLib::MCAmericanEngine< RNG, S >American Monte Carlo engine
QuantLib::MCAmericanPathEngine< RNG >Least-square Monte Carlo engine
QuantLib::MCBarrierEngine< RNG, S >Pricing engine for barrier options using Monte Carlo simulation
QuantLib::MCDigitalEngine< RNG, S >Pricing engine for digital options using Monte Carlo simulation
QuantLib::MCDiscreteArithmeticAPEngine< RNG, S >Monte Carlo pricing engine for discrete arithmetic average price Asian
QuantLib::MCDiscreteArithmeticASEngine< RNG, S >Monte Carlo pricing engine for discrete arithmetic average-strike Asian
QuantLib::MCDiscreteAveragingAsianEngine< RNG, S >Pricing engine for discrete average Asians using Monte Carlo simulation
QuantLib::MCDiscreteGeometricAPEngine< RNG, S >Monte Carlo pricing engine for discrete geometric average price Asian
QuantLib::MCEuropeanBasketEngine< RNG, S >Pricing engine for European basket options using Monte Carlo simulation
QuantLib::MCEuropeanEngine< RNG, S >European option pricing engine using Monte Carlo simulation
QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >Monte Carlo GJR-GARCH-model engine for European options
QuantLib::MCEuropeanHestonEngine< RNG, S >Monte Carlo Heston-model engine for European options
QuantLib::MCEverestEngine< RNG, S >
QuantLib::MCHestonHullWhiteEngine< RNG, S >
QuantLib::MCHimalayaEngine< RNG, S >
QuantLib::MCHullWhiteCapFloorEngine< RNG, S >Monte Carlo Hull-White engine for cap/floors
QuantLib::MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >Longstaff-Schwarz Monte Carlo engine for early exercise options
MCLongstaffSchwartzEngineTest
QuantLib::MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S >Longstaff-Schwarz Monte Carlo engine for early exercise options
QuantLib::MCPagodaEngine< RNG, S >Pricing engine for pagoda options using Monte Carlo simulation
QuantLib::MCPathBasketEngine< RNG, S >Pricing engine for path dependent basket options using
QuantLib::MCPerformanceEngine< RNG, S >Pricing engine for performance options using Monte Carlo simulation
QuantLib::McSimulation< MC, RNG, S >Base class for Monte Carlo engines
QuantLib::MCVanillaEngine< MC, RNG, S, Inst >Pricing engine for vanilla options using Monte Carlo simulation
QuantLib::MCVarianceSwapEngine< RNG, S >Variance-swap pricing engine using Monte Carlo simulation,
MersenneTwisterTest
QuantLib::MersenneTwisterUniformRngUniform random number generator
QuantLib::Merton76ProcessMerton-76 jump-diffusion process
QuantLib::Argentina::MervalImpl
QuantLib::UnitedKingdom::MetalsImpl
QuantLib::MexicoMexican calendars
QuantLib::MidPoint
QuantLib::MidPointCDOEngineCDO base engine taking schedule steps
QuantLib::MidPointCdsEngine
QuantLib::MinBasketPayoff
QuantLib::MinCopulaMin copula
QuantLib::detail::MixedInterpolationImpl< I1, I2, Interpolator1, Interpolator2 >
QuantLib::MixedLinearCubicMixed linear/cubic interpolation factory and traits
QuantLib::MixedLinearCubicInterpolationMixed linear/cubic interpolation between discrete points
QuantLib::MixedLinearCubicNaturalSpline
QuantLib::MixedLinearFritschButlandCubic
QuantLib::MixedLinearKrugerCubic
QuantLib::MixedLinearMonotonicCubicNaturalSpline
QuantLib::MixedLinearMonotonicParabolic
QuantLib::MixedLinearParabolic
QuantLib::MixedScheme< Operator >Mixed (explicit/implicit) scheme for finite difference methods
QuantLib::ModifiedCraigSneydSchemeModified Craig-Sneyd scheme
QuantLib::MoneyAmount of cash
MoneyTest
QuantLib::MonotonicCubicNaturalSpline
QuantLib::MonotonicLogCubicNaturalSpline
QuantLib::MonotonicLogParabolic
QuantLib::MonotonicParabolic
QuantLib::MonteCarloCDOEngine1CDO engine, Monte Carlo for the exptected tranche loss distribution
QuantLib::MonteCarloCDOEngine2CDO engine, Monte Carlo for the sample payoff
QuantLib::MonteCarloModel< MC, RNG, S >General-purpose Monte Carlo model for path samples
QuantLib::MoreGreeksMore additional option results
QuantLib::MoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
QuantLib::MTBrownianGeneratorMersenne-twister Brownian generator for market-model simulations
QuantLib::MTBrownianGeneratorFactory
QuantLib::MTLCurrencyMaltese lira
QuantLib::MTUnitOfMeasure
QuantLib::MultiAssetOptionBase class for options on multiple assets
QuantLib::MultiCubicSpline< i >N-dimensional cubic spline interpolation between discrete points
QuantLib::MultiPathCorrelated multiple asset paths
QuantLib::MultiPathGenerator< GSG >Generates a multipath from a random number generator
QuantLib::MultiplicativePriceSeasonalityMultiplicative seasonality in the price index (CPI/RPI/HICP/etc)
QuantLib::MultiProductCompositeComposition of one or more market-model products
QuantLib::MultiProductMultiStepMultiple-step market-model product
QuantLib::MultiProductOneStepSingle-step market-model product
QuantLib::MultiProductPathwiseWrapper
QuantLib::MultiStepCoinitialSwaps
QuantLib::MultiStepCoterminalSwaps
QuantLib::MultiStepCoterminalSwaptions
QuantLib::MultiStepForwards
QuantLib::MultiStepInverseFloater
QuantLib::MultiStepNothing
QuantLib::MultiStepOptionlets
QuantLib::MultiStepPeriodCapletSwaptions
QuantLib::MultiStepRatchet
QuantLib::MultiStepSwap
QuantLib::MultiStepSwaption
QuantLib::MultiStepTarn
QuantLib::MultiVariate< RNG >Default Monte Carlo traits for multi-variate models
QuantLib::MXNCurrencyMexican peso
QuantLib::detail::n_cubic_spline< X >
QuantLib::detail::n_cubic_splint< X >
QuantLib::NelsonSiegelFittingNelson-Siegel fitting method
QuantLib::UnitedStates::NercImpl
QuantLib::NeumannBCNeumann boundary condition (i.e., constant derivative)
QuantLib::NewtonNewton 1-D solver
QuantLib::NewtonSafeSafe Newton 1-D solver
QuantLib::NewZealandNew Zealand calendar
QuantLib::NinePointLinearOp
QuantLib::NLGCurrencyDutch guilder
QuantLib::NoConstraintNo constraint
QuantLib::NodeData
QuantLib::NOKCurrencyNorwegian krone
QuantLib::NonCentralChiSquareDistribution
noncopyable
QuantLib::NonLinearLeastSquareNon-linear least-square method
QuantLib::NormalDistributionNormal distribution function
QuantLib::NormalFwdRatePcPredictor-Corrector
QuantLib::NorthAmericaCorpDefaultKeyISDA standard default contractual key for corporate US debt
QuantLib::NorwayNorwegian calendar
QuantLib::NothingExerciseValue
QuantLib::nowhere
QuantLib::NPRCurrencyNepal rupee
QuantLib::India::NseImpl
QuantLib::NthToDefaultN-th to default swap
NthToDefaultTest
QuantLib::Null< T >
QuantLib::Null< Array >Specialization of null template for this class
QuantLib::Null< Date >Specialization of Null template for the Date class
QuantLib::Null< IntervalPrice >
QuantLib::detail::null_checker< T >
QuantLib::NullCalendarCalendar for reproducing theoretical calculations
QuantLib::NullCommodityType
QuantLib::NullCondition< array_type >null step condition
QuantLib::NullDomain
QuantLib::NullParameterParameter which is always zero $ a(t) = 0 $
QuantLib::NullPayoffDummy payoff class
QuantLib::TermStructureFittingParameter::NumericalImpl
QuantLib::NumericHaganPricerCMS-coupon pricer
QuantLib::UnitedStates::NyseImpl
QuantLib::NZDCurrencyNew Zealand dollar
QuantLib::NZDLiborNZD LIBOR rate
QuantLib::InterpolatedYoYOptionletStripper< Interpolator1D >::ObjectiveFunction
QuantLib::OptionletStripper2::ObjectiveFunction
QuantLib::GFunctionFactory::GFunctionWithShifts::ObjectiveFunction
QuantLib::InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >::ObjectiveFunction
QuantLib::ObservableObject that notifies its changes to a set of observers
QuantLib::ObservableValue< T >observable and assignable proxy to concrete value
QuantLib::ObserverObject that gets notified when a given observable changes
QuantLib::OISRateHelperRate helper for bootstrapping over Overnight Indexed Swap rates
QuantLib::OneAssetOptionBase class for options on a single asset
QuantLib::OneDayCounter1/1 day count convention
QuantLib::OneFactorAffineModelSingle-factor affine base class
QuantLib::OneFactorCopulaAbstract base class for one-factor copula models
QuantLib::OneFactorGaussianCopulaOne-factor Gaussian Copula
QuantLib::OneFactorGaussianStudentCopulaOne-factor Gaussian-Student t-Copula
QuantLib::OneFactorModelSingle-factor short-rate model abstract class
QuantLib::OneFactorStudentCopulaOne-factor Double Student t-Copula
QuantLib::OneFactorStudentGaussianCopulaOne-factor Student t - Gaussian Copula
QuantLib::OneStepCoinitialSwaps
QuantLib::OneStepCoterminalSwaps
QuantLib::OneStepForwards
QuantLib::OneStepOptionlets
QuantLib::OperatorFactoryBlack-Scholes-Merton differential operator
OperatorTest
QuantLib::OperatorTraits< Operator >
QuantLib::OptimizationMethodAbstract class for constrained optimization method
OptimizersTest
QuantLib::OptionBase option class
QuantLib::ConvertibleBond::option
QuantLib::OptionletStripper
QuantLib::OptionletStripper1
QuantLib::OptionletStripper2
OptionletStripperTest
QuantLib::OptionletVolatilityStructureOptionlet (caplet/floorlet) volatility structure
QuantLib::detail::ordinal_holder
QuantLib::OrnsteinUhlenbeckProcessOrnstein-Uhlenbeck process class
QuantLib::Calendar::OrthodoxImplPartial calendar implementation
QuantLib::OrthogonalizedBumpFinder
QuantLib::OrthogonalProjections
QuantLib::OvernightIndex
QuantLib::OvernightIndexedCouponOvernight coupon
QuantLib::OvernightIndexedSwapOvernight indexed swap: fix vs compounded overnight rate
QuantLib::OvernightIndexedSwapIndexBase class for overnight indexed swap indexes
OvernightIndexedSwapTest
QuantLib::OvernightLegHelper class building a sequence of overnight coupons
QuantLib::PagodaMultiPathPricer
QuantLib::PagodaOptionRoofed Asian option on a number of assets
PagodaOptionTest
QuantLib::Parabolic
QuantLib::ParallelEvolver< Evolver >
QuantLib::ParallelEvolverTraits< traits >
QuantLib::ParameterBase class for model arguments
QuantLib::ParametersTransformation
QuantLib::ParametricExercise
QuantLib::ParametricExerciseAdapter
QuantLib::ParkinsonSigma
QuantLib::PathSingle-factor random walk
QuantLib::PathGenerator< GSG >Generates random paths using a sequence generator
PathGeneratorTest
QuantLib::LongstaffSchwartzMultiPathPricer::PathInfo
QuantLib::PathMultiAssetOptionBase class for path-dependent options on multiple assets
QuantLib::PathPayoffAbstract base class for path-dependent option payoffs
QuantLib::PathPricer< PathType, ValueType >Base class for path pricers
QuantLib::PathwiseAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas
QuantLib::PathwiseVegasAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
QuantLib::PathwiseVegasOuterAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
QuantLib::PaymentTerm
QuantLib::PayoffAbstract base class for option payoffs
QuantLib::CurveDependentStepCondition< array_type >::PayoffWrapper
QuantLib::PdeBSM
QuantLib::PdeConstantCoeff< PdeClass >
QuantLib::PdeOperator< PdeClass >
QuantLib::PdeSecondOrderParabolic
QuantLib::PdeShortRate
QuantLib::PEHCurrencyPeruvian sol
QuantLib::PEICurrencyPeruvian inti
QuantLib::PenaltyFunction< Curve >
QuantLib::PENCurrencyPeruvian nuevo sol
QuantLib::detail::percent_holder
QuantLib::PercentageStrikePayoffPayoff with strike expressed as percentage
QuantLib::PerformanceOptionPathPricer
QuantLib::Period
QuantLib::PeriodParser
PeriodTest
QuantLib::PerturbativeBarrierOptionEnginePerturbative barrier-option engine
QuantLib::PiecewiseConstantAbcdVariance
QuantLib::PiecewiseConstantCorrelation
QuantLib::PiecewiseConstantParameterPiecewise-constant parameter
QuantLib::PiecewiseConstantVariance
QuantLib::PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >Piecewise default-probability term structure
QuantLib::PiecewiseTimeDependentHestonModelPiecewise time dependent Heston model
QuantLib::PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >Piecewise yield term structure
PiecewiseYieldCurveTest
QuantLib::PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >Piecewise year-on-year inflation term structure
QuantLib::PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >Piecewise year-on-year inflation volatility term structure
QuantLib::PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >Piecewise zero-inflation term structure
QuantLib::PiecewiseZeroSpreadedTermStructureTerm structure with an added vector of spreads on the zero-yield rate
QuantLib::PKRCurrencyPakistani rupee
QuantLib::PlackettCopulaPlackett copula
QuantLib::PlainVanillaPayoffPlain-vanilla payoff
QuantLib::PLNCurrencyPolish zloty
PlusOne
QuantLib::detail::Point< X, Y >
QuantLib::detail::Point< base_data_table, EmptyRes >
QuantLib::detail::Point< Real, EmptyArg >
QuantLib::detail::Point< Real, EmptyRes >
QuantLib::detail::Point< Size, EmptyDim >
QuantLib::PoissonDistributionPoisson distribution function
QuantLib::PolandPolish calendar
QuantLib::PolynomialPolynomial2D-spline-interpolation factory
QuantLib::Polynomial2DSplinePolynomial2D-spline interpolation between discrete points
QuantLib::detail::Polynomial2DSplineImpl< I1, I2, M >
QuantLib::Pool
QuantLib::Position
QuantLib::PositiveConstraintConstraint imposing positivity to all arguments
QuantLib::detail::power_of_two_holder< T >
QuantLib::Callability::PriceAmount to be paid upon callability
QuantLib::PricingEngineInterface for pricing engines
QuantLib::PricingError
QuantLib::PricingPeriodTime pricingperiod described by a number of a given time unit
QuantLib::PrimeNumbersPrime numbers calculator
QuantLib::CalibratedModel::PrivateConstraint
QuantLib::ProbabilityOfAtLeastNEventsProbability of at least N events
QuantLib::ProbabilityOfNEventsProbability of N events
QuantLib::ProblemConstrained optimization problem
QuantLib::ProjectedCostFunctionParameterized cost function
QuantLib::ProtectionInformation on a default-protection contract
QuantLib::ProxyGreekEngine
QuantLib::ProxyIborIborIndex calculated as proxy of some other IborIndex
QuantLib::CzechRepublic::PseImpl
QuantLib::PseudoRootFacade
QuantLib::PTECurrencyPortuguese escudo
QuantLib::quadratic
QuantLib::detail::QuadraticHelper
QuantLib::detail::QuadraticMinHelper
QuantLib::QuantityAmount of a commodity
QuantLib::detail::quantlib_test_case
QuantLib::QuantoBarrierOptionQuanto version of a barrier option
QuantLib::QuantoEngine< Instr, Engine >Quanto engine
QuantLib::QuantoForwardVanillaOptionQuanto version of a forward vanilla option
QuantLib::QuantoOptionResults< ResultsType >Results from quanto option calculation
QuantoOptionTest
QuantLib::QuantoTermStructureQuanto term structure
QuantLib::QuantoVanillaOptionQuanto version of a vanilla option
QuantLib::QuotePurely virtual base class for market observables
QuoteTest
QuantLib::RandomDefaultModelBase class for random default models
QuantLib::RandomizedLDS< LDS, PRS >Randomized (random shift) low-discrepancy sequence
QuantLib::RandomSequenceGenerator< RNG >Random sequence generator based on a pseudo-random number generator
QuantLib::RangeAccrualFloatersCoupon
QuantLib::RangeAccrualLegHelper class building a sequence of range-accrual floating-rate coupons
QuantLib::RangeAccrualPricer
QuantLib::RangeAccrualPricerByBgm
RangeAccrualTest
QuantLib::Ranlux3UniformRngUniform random number generator
QuantLib::Ranlux4UniformRng
QuantLib::RatchetMaxPayoffRatchetMax payoff (double option)
QuantLib::RatchetMinPayoffRatchetMin payoff (double option)
QuantLib::RatchetPayoffRatchet payoff (single option)
QuantLib::RatePseudoRootJacobian
QuantLib::RatePseudoRootJacobianAllElements
QuantLib::RatePseudoRootJacobianNumerical
QuantLib::RecoveryRateModel
QuantLib::RecoveryRateQuoteStores a recovery rate market quote and the associated seniority
QuantLib::RectangularDomain
QuantLib::RecursiveCdoEngine< CDOEngine, copulaT >
QuantLib::RedemptionBond redemption
QuantLib::RegionRegion class, used for inflation applicability
QuantLib::RelativeDateBootstrapHelper< TS >Bootstrap helper with date schedule relative to global evaluation date
QuantLib::RelinkableHandle< T >Relinkable handle to an observable
QuantLib::RendistatoBasket
QuantLib::RendistatoCalculator
QuantLib::RendistatoEquivalentSwapLengthQuoteRendistatoCalculator equivalent swap lenth Quote adapter
QuantLib::RendistatoEquivalentSwapSpreadQuoteRendistatoCalculator equivalent swap spread Quote adapter
QuantLib::ReplicatingVarianceSwapEngineVariance-swap pricing engine using replicating cost,
QuantLib::ReplicationDigital option replication strategy
ReplicationError
ReplicationPathPricer
QuantLib::RestructuringRestructuring type
QuantLib::HimalayaOption::results
QuantLib::MargrabeOption::resultsExtra results for Margrabe option
results
QuantLib::Bond::results
QuantLib::PathMultiAssetOption::resultsResults from multi-asset option calculation
QuantLib::VarianceOption::resultsResults from variance-option calculation
QuantLib::CallableBond::resultsResults for a callable bond calculation
QuantLib::AssetSwap::resultsResults from simple swap calculation
QuantLib::PricingEngine::results
QuantLib::SyntheticCDO::results
QuantLib::VarianceSwap::resultsResults from variance-swap calculation
QuantLib::EnergyCommodity::results
QuantLib::OneAssetOption::resultsResults from single-asset option calculation
QuantLib::Swap::results
QuantLib::VanillaSwap::resultsResults from simple swap calculation
QuantLib::YearOnYearInflationSwap::resultsResults from YoY swap calculation
QuantLib::EverestOption::results
QuantLib::MultiAssetOption::resultsResults from multi-asset option calculation
QuantLib::CreditDefaultSwap::results
QuantLib::Instrument::results
QuantLib::CdsOption::resultsResults from CDS-option calculation
QuantLib::TimeSeries< T, Container >::reverse< container, iterator_category >
QuantLib::TimeSeries< T, Container >::reverse< container, std::bidirectional_iterator_tag >
QuantLib::RidderRidder 1-D solver
RiskStatisticsTest
QuantLib::RiskyAssetSwapRisky asset-swap instrument
QuantLib::RiskyAssetSwapOptionOption on risky asset swap
QuantLib::RiskyBond
QuantLib::RiskyFixedBond
QuantLib::RiskyFloatingBond
RngTraitsTest
QuantLib::ROLCurrencyRomanian leu
QuantLib::RONCurrencyRomanian new leu
QuantLib::RoundingBasic rounding class
RoundingTest
QuantLib::JamshidianSwaptionEngine::rStarFinder
QuantLib::RussiaRussian calendar
QuantLib::SABRSABR interpolation factory and traits
QuantLib::detail::SABRCoeffHolder
QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SABRError
QuantLib::SabrInterpolatedSmileSection
QuantLib::SABRInterpolationSABR smile interpolation between discrete volatility points
QuantLib::detail::SABRInterpolationImpl< I1, I2 >
QuantLib::detail::SABRInterpolationImpl< I1, I2 >::SabrParametersTransformation
QuantLib::SabrSmileSection
QuantLib::SabrVolSurfaceSABR volatility (smile) surface
QuantLib::SalvagingAlgorithmAlgorithm used for matricial pseudo square root
QuantLib::Sample< T >Weighted sample
QuantLib::SampledCurveThis class contains a sampled curve
SampledCurveTest
QuantLib::SARCurrencySaudi riyal
QuantLib::SaudiArabiaSaudi Arabian calendar
QuantLib::SavedSettings
QuantLib::SchedulePayment schedule
QuantLib::SeasonalityA transformation of an existing inflation swap rate
QuantLib::SecantSecant 1-D solver
QuantLib::SecondDerivativeOp
QuantLib::SecondOrderMixedDerivativeOp
QuantLib::detail::SectionHelper
QuantLib::SeedGeneratorRandom seed generator
QuantLib::SegmentIntegralIntegral of a one-dimensional function
QuantLib::SEKCurrencySwedish krona
QuantLib::SEKLiborSEK LIBOR rate
QuantLib::detail::sequence_holder< InputIterator >
QuantLib::SettingsGlobal repository for run-time library settings
QuantLib::Settlementsettlement information
QuantLib::UnitedKingdom::SettlementImpl
QuantLib::Germany::SettlementImpl
QuantLib::Italy::SettlementImpl
QuantLib::Canada::SettlementImpl
QuantLib::Russia::SettlementImpl
QuantLib::UnitedStates::SettlementImpl
QuantLib::SouthKorea::SettlementImpl
QuantLib::Brazil::SettlementImpl
QuantLib::SGDCurrencySingapore dollar
QuantLib::Singapore::SgxImpl
QuantLib::detail::short_date_holder
QuantLib::detail::short_period_holder
QuantLib::detail::short_weekday_holder
QuantLib::detail::shortest_weekday_holder
QuantLib::OneFactorModel::ShortRateDynamicsBase class describing the short-rate dynamics
QuantLib::TwoFactorModel::ShortRateDynamicsClass describing the dynamics of the two state variables
QuantLib::ShortRateModelAbstract short-rate model class
ShortRateModelTest
QuantLib::OneFactorModel::ShortRateTreeRecombining trinomial tree discretizing the state variable
QuantLib::TwoFactorModel::ShortRateTreeRecombining two-dimensional tree discretizing the state variable
QuantLib::ShoutConditionShout option condition
QuantLib::detail::simple_event
QuantLib::SimpleCashFlowPredetermined cash flow
QuantLib::SimpleChooserOptionSimple chooser option
QuantLib::SimpleDayCounterSimple day counter for reproducing theoretical calculations
QuantLib::SimpleLocalEstimatorLocal-estimator volatility model
QuantLib::SimplePolynomialFittingSimple polynomial fitting method
QuantLib::SimpleQuoteMarket element returning a stored value
QuantLib::SimplexMulti-dimensional simplex class
QuantLib::SimpsonIntegralIntegral of a one-dimensional function
QuantLib::SingaporeSingapore calendars
QuantLib::SingleProductCompositeComposition of one or more market-model products
QuantLib::Singleton< T >Basic support for the singleton pattern
QuantLib::SingleVariate< RNG >Default Monte Carlo traits for single-variate models
QuantLib::SITCurrencySlovenian tolar
QuantLib::SKKCurrencySlovak koruna
QuantLib::SlovakiaSlovak calendars
QuantLib::SmileSectionInterest rate volatility smile section
QuantLib::SMMDriftCalculatorDrift computation for coterminal swap market models
QuantLib::SobolBrownianGeneratorSobol Brownian generator for market-model simulations
QuantLib::SobolBrownianGeneratorFactory
QuantLib::SobolRsgSobol low-discrepancy sequence generator
QuantLib::SoftCallabilitycallability leaving to the holder the possibility to convert
QuantLib::Solver1D< Impl >Base class for 1-D solvers
Solver1DTest
QuantLib::G2::SwaptionPricingFunction::SolvingFunction
QuantLib::SoniaSonia (Sterling Overnight Index Average) rate
QuantLib::SouthAfricaSouth-African calendar
QuantLib::SouthKoreaSouth Korean calendars
QuantLib::SparseILUPreconditioner
QuantLib::SphereCylinderOptimizer
QuantLib::SpreadBasketPayoff
QuantLib::SpreadCdsHelperSpread-quoted CDS hazard rate bootstrap helper
QuantLib::SpreadedHazardRateCurveDefault-probability structure with an additive spread on hazard rates
QuantLib::SpreadedOptionletVolatility
QuantLib::SpreadedSmileSection
QuantLib::SpreadedSwaptionVolatility
QuantLib::square< T >
QuantLib::SquareRootAndersen
QuantLib::SquareRootProcessSquare-root process class
QuantLib::China::SseImpl
StatisticsTest
QuantLib::StatsHolderHelper class for precomputed distributions
QuantLib::SteepestDescentMulti-dimensional steepest-descent class
QuantLib::step_iterator< Iterator >Iterator advancing in constant steps
QuantLib::StepCondition< array_type >Condition to be applied at every time step
QuantLib::StepConditionSet< array_type >Parallel evolver for multiple arrays
QuantLib::StickyMaxPayoffStickyMax payoff (double option)
QuantLib::StickyMinPayoffStickyMin payoff (double option)
QuantLib::StickyPayoffSticky payoff (single option)
QuantLib::StochasticProcessMulti-dimensional stochastic process class
QuantLib::StochasticProcess1D1-dimensional stochastic process
QuantLib::StochasticProcessArrayArray of correlated 1-D stochastic processes
QuantLib::StockSimple stock class
QuantLib::StrikedTypePayoffIntermediate class for payoffs based on a fixed strike
QuantLib::StrippedOptionlet
QuantLib::StrippedOptionletAdapter
QuantLib::StrippedOptionletBase
QuantLib::StudentDistributionStudent t-distribution
QuantLib::StudentRecursiveCdoEngine< CDOEngine >
QuantLib::StulzEnginePricing engine for 2D European Baskets
QuantLib::SubPeriodsCoupon
QuantLib::SubPeriodsPricer
QuantLib::MarketModelComposite::SubProduct
QuantLib::SuperFundPayoffBinary supershare and superfund payoffs
QuantLib::SuperSharePayoffBinary supershare payoff
QuantLib::SurfaceSurface abstract class
SurfaceTest
QuantLib::SurvivalProbabilitySurvival-Probability-curve traits
QuantLib::SurvivalProbabilityStructureHazard-rate term structure
QuantLib::SVDSingular value decomposition
QuantLib::SVDDFwdRatePc
QuantLib::SvenssonFittingSvensson Fitting method
QuantLib::SwapInterest rate swap
QuantLib::SwapBasisSystem
QuantLib::SwapForwardBasisSystem
QuantLib::SwapForwardMappings
SwapForwardMappingsTest
QuantLib::SwapIndexBase class for swap-rate indexes
QuantLib::SwapRateHelperRate helper for bootstrapping over swap rates
QuantLib::SwapRateTrigger
SwapTest
QuantLib::VolatilityBumpInstrumentJacobian::Swaption
QuantLib::SwaptionSwaption class
QuantLib::SwaptionHelperCalibration helper for ATM swaption
QuantLib::SwaptionMarketConventions
QuantLib::G2::SwaptionPricingFunction
QuantLib::SwaptionPseudoDerivative
QuantLib::SwaptionTenors
SwaptionTest
QuantLib::SwaptionVolatilityCubeSwaption-volatility cube
SwaptionVolatilityCubeTest
QuantLib::SwaptionVolatilityDiscrete
QuantLib::SwaptionVolatilityMatrixAt-the-money swaption-volatility matrix
SwaptionVolatilityMatrixTest
QuantLib::SwaptionVolatilityStructureSwaption-volatility structure
QuantLib::SwaptionVolCube1
QuantLib::SwaptionVolCube2
QuantLib::SwedenSwedish calendar
QuantLib::SwitzerlandSwiss calendar
QuantLib::SymmetricSchurDecompositionSymmetric threshold Jacobi algorithm
QuantLib::SyntheticCDOSynthetic Collateralized Debt Obligation
QuantLib::TabulatedGaussLegendreTabulated Gauss-Legendre quadratures
QuantLib::SaudiArabia::TadawulImpl
QuantLib::TaiwanTaiwanese calendars
QuantLib::TARGETTARGET calendar
QuantLib::Interpolation2D::templateImpl< I1, I2, M >Basic template implementation
QuantLib::Interpolation::templateImpl< I1, I2 >Basic template implementation
QuantLib::TermStructureBasic term-structure functionality
QuantLib::TermStructureConsistentModelTerm-structure consistent model class
QuantLib::TermStructureFittingParameterDeterministic time-dependent parameter used for yield-curve fitting
TermStructureTest
QuantLib::TestCurve
QuantLib::TestSurface
QuantLib::THBCurrencyThai baht
QuantLib::Thirty36030/360 day count convention
QuantLib::TianTian tree: third moment matching, multiplicative approach
QuantLib::TiborJPY TIBOR index
QuantLib::TimeBasketDistribution over a number of dates
QuantLib::TimeGridTime grid class
QuantLib::TimeHomogeneousForwardCorrelation
QuantLib::TimeSeries< T, Container >Container for historical data
TimeSeriesTest
QuantLib::TridiagonalOperator::TimeSetterEncapsulation of time-setting logic
QuantLib::TokyoKilolitreUnitOfMeasure
QuantLib::TqrEigenDecompositionTridiag. QR eigen decomposition with explicite shift aka Wilkinson
TqrEigenDecompositionTest
QuantLib::detail::Tracing
TracingTest
QuantLib::TransformedGridTransformed grid
TransformedGridTest
QuantLib::TrapezoidIntegral< IntegrationPolicy >Integral of a one-dimensional function
QuantLib::Tree< T >Tree approximating a single-factor diffusion
QuantLib::TreeCallableFixedRateBondEngineNumerical lattice engine for callable fixed rate bonds
QuantLib::TreeCallableZeroCouponBondEngineNumerical lattice engine for callable zero coupon bonds
QuantLib::TreeCapFloorEngineNumerical lattice engine for cap/floors
QuantLib::TreeLattice< Impl >Tree-based lattice-method base class
QuantLib::TreeLattice1D< Impl >One-dimensional tree-based lattice
QuantLib::TreeLattice2D< Impl, T >Two-dimensional tree-based lattice
QuantLib::TreeSwaptionEngineNumerical lattice engine for swaptions
QuantLib::TreeVanillaSwapEngineNumerical lattice engine for simple swaps
QuantLib::TridiagonalOperatorBase implementation for tridiagonal operator
QuantLib::TrigeorgisTrigeorgis (additive equal jumps) binomial tree
QuantLib::TriggeredSwapExercise
QuantLib::TrinomialTreeRecombining trinomial tree class
QuantLib::TripleBandLinearOp
QuantLib::TRLCurrencyTurkish lira
QuantLib::TRLiborTRY LIBOR rate
QuantLib::TRYCurrencyNew Turkish lira
QuantLib::Taiwan::TsecImpl
QuantLib::TsiveriotisFernandesLattice< T >Binomial lattice approximating the Tsiveriotis-Fernandes model
QuantLib::Canada::TsxImpl
QuantLib::TTDCurrencyTrinidad & Tobago dollar
QuantLib::TurkeyTurkish calendar
QuantLib::TWDCurrencyTaiwan dollar
QuantLib::TwoFactorModelAbstract base-class for two-factor models
QuantLib::TypePayoffIntermediate class for put/call payoffs
QuantLib::UkraineUkrainian calendars
QuantLib::UKRegionUnited Kingdom as geographical/economic region
QuantLib::UKRPIUK Retail Price Inflation Index
unary_function
QuantLib::Uniform1dMesher
QuantLib::UniformGridMesher
QuantLib::UnitDisplacedBlackYoYInflationCouponPricerUnit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
QuantLib::UnitedKingdomUnited Kingdom calendars
QuantLib::UnitedStatesUnited States calendars
QuantLib::UnitOfMeasureUnit of measure specification
QuantLib::UnitOfMeasureConversion
QuantLib::UnitOfMeasureConversionManagerRepository of conversion factors between units of measure
QuantLib::UniversalDomain
QuantLib::UpfrontCdsHelperUpfront-quoted CDS hazard rate bootstrap helper
QuantLib::UpperBoundEngineMarket-model engine for upper-bound estimation
QuantLib::UpRoundingUp-rounding
QuantLib::Thirty360::US_Impl
QuantLib::USCPIUS CPI index
QuantLib::USDCurrencyU.S. dollar
QuantLib::USDLiborUSD LIBOR rate
QuantLib::USDLiborONOvernight USD Libor index
QuantLib::UsdLiborSwapIsdaFixAmUsdLiborSwapIsdaFixAm index base class
QuantLib::UsdLiborSwapIsdaFixPmUsdLiborSwapIsdaFixPm index base class
QuantLib::Ukraine::UseImpl
QuantLib::USRegionUSA as geographical/economic region
QuantLib::AdaptedPathPayoff::ValuationData
QuantLib::VanillaOptionVanilla option (no discrete dividends, no barriers) on a single asset
QuantLib::VanillaOptionPricer
QuantLib::VanillaSwapPlain-vanilla swap: fix vs floating leg
QuantLib::LfmCovarianceParameterization::Var_Helper
QuantLib::LfmCovarianceProxy::Var_Helper
QuantLib::VarianceGammaEngineVariance Gamma Pricing engine for European vanilla options using integral approach
QuantLib::VarianceGammaModelVariance Gamma model
QuantLib::VarianceGammaProcessVariance gamma process
VarianceGammaTest
QuantLib::VarianceOptionVariance option
VarianceOptionTest
QuantLib::VariancePathPricer
QuantLib::VarianceSwapVariance swap
VarianceSwapTest
QuantLib::VasicekVasicek model class
QuantLib::VEBCurrencyVenezuelan bolivar
QuantLib::VegaBumpCluster
QuantLib::VegaBumpCollection
QuantLib::VegaStressedBlackScholesProcessBlack-Scholes process which supports local vega stress tests
QuantLib::Visitor< T >Visitor for a specific class
QuantLib::VolatilityBumpInstrumentJacobian
QuantLib::VolatilityCompositor
QuantLib::CoxIngersollRoss::VolatilityConstraint
QuantLib::GJRGARCHModel::VolatilityConstraint
QuantLib::VolatilityCube
QuantLib::VolatilityInterpolationSpecifier
QuantLib::VolatilityInterpolationSpecifierabcd
VolatilityModelsTest
QuantLib::VolatilityTermStructureVolatility term structure
QuantLib::WeekendsOnlyWeekends-only calendar
QuantLib::Calendar::WesternImplPartial calendar implementation
QuantLib::Germany::XetraImpl
QuantLib::YearOnYearInflationSwapYear-on-year inflation-indexed swap
QuantLib::YearOnYearInflationSwapHelperYear-on-year inflation-swap bootstrap helper
QuantLib::YieldTermStructureInterest-rate term structure
QuantLib::YoYCapFloorTermPriceSurfaceAbstract base class, inheriting from InflationTermStructure
QuantLib::YoYInflationBachelierCapFloorEngineUnit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
QuantLib::YoYInflationBlackCapFloorEngineBlack-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
QuantLib::YoYInflationCapConcrete YoY Inflation cap class
QuantLib::YoYInflationCapFloorBase class for yoy inflation cap-like instruments
QuantLib::YoYInflationCapFloorEngineBase YoY inflation cap/floor engine
QuantLib::YoYInflationCollarConcrete YoY Inflation collar class
QuantLib::YoYInflationCouponCoupon paying a YoY-inflation type index
QuantLib::YoYInflationCouponPricerBase pricer for capped/floored YoY inflation coupons
QuantLib::YoYInflationFloorConcrete YoY Inflation floor class
QuantLib::YoYInflationIndexBase class for year-on-year inflation indices
QuantLib::yoyInflationLeg
QuantLib::YoYInflationTermStructureBase class for year-on-year inflation term structures
QuantLib::YoYInflationTraitsBootstrap traits to use for PiecewiseZeroInflationCurve
QuantLib::YoYInflationUnitDisplacedBlackCapFloorEngineUnit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
QuantLib::YoYInflationVolatilityTraitsTraits for inflation-volatility bootstrap
QuantLib::YoYOptionletHelperYear-on-year inflation-volatility bootstrap helper
QuantLib::YoYOptionletStripperInterface for inflation cap stripping, i.e. from price surfaces
QuantLib::YoYOptionletVolatilitySurface
QuantLib::YYAUCPIGenuine year-on-year AU CPI (i.e. not a ratio)
QuantLib::YYAUCPIrFake year-on-year AUCPI (i.e. a ratio)
QuantLib::YYEUHICPGenuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
QuantLib::YYEUHICPrFake year-on-year EU HICP (i.e. a ratio of EU HICP)
QuantLib::YYEUHICPXTGenuine year-on-year EU HICPXT
QuantLib::YYFRHICPGenuine year-on-year FR HICP (i.e. not a ratio)
QuantLib::YYFRHICPrFake year-on-year FR HICP (i.e. a ratio)
QuantLib::YYGenericCPIGenuine year-on-year Generic CPI (i.e. not a ratio)
QuantLib::YYGenericCPIrFake year-on-year GenericCPI (i.e. a ratio)
QuantLib::YYUKRPIGenuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
QuantLib::YYUKRPIrFake year-on-year UK RPI (i.e. a ratio of UK RPI)
QuantLib::YYUSCPIGenuine year-on-year US CPI (i.e. not a ratio of US CPI)
QuantLib::YYUSCPIrFake year-on-year US CPI (i.e. a ratio of US CPI)
QuantLib::ZARCurrencySouth-African rand
QuantLib::ZeroCondition< array_type >Zero exercise condition
QuantLib::ZeroCouponBondZero-coupon bond
QuantLib::ZeroCouponInflationSwapZero-coupon inflation-indexed swap
QuantLib::ZeroCouponInflationSwapHelperZero-coupon inflation-swap bootstrap helper
QuantLib::ZeroInflationIndexBase class for zero inflation indices
QuantLib::ZeroInflationTermStructureInterface for zero inflation term structures
QuantLib::ZeroInflationTraitsBootstrap traits to use for PiecewiseZeroInflationCurve
QuantLib::ZeroSpreadedTermStructureTerm structure with an added spread on the zero yield rate
QuantLib::ZeroYieldZero-curve traits
QuantLib::ZeroYieldStructureZero-yield term structure
QuantLib::ZiborCHF ZIBOR rate
QuantLib::Ziggurat
QuantLib::ZigguratRngZiggurat random-number generator

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