 ql | |
  cashflows | |
   averagebmacoupon.hpp | Coupon paying a weighted average of BMA-index fixings |
   capflooredcoupon.hpp | Floating rate coupon with additional cap/floor |
   capflooredinflationcoupon.hpp | Caplet and floorlet pricing for YoY inflation coupons |
   cashflows.hpp | Cash-flow analysis functions |
   cashflowvectors.hpp | Cash flow vector builders |
   cmscoupon.hpp | CMS coupon |
   conundrumpricer.hpp | CMS-coupon pricer |
   coupon.hpp | Coupon accruing over a fixed period |
   couponpricer.hpp | Coupon pricers |
   cpicoupon.hpp | Coupon paying a zero-inflation index |
   cpicouponpricer.hpp | Zero inflation-coupon pricer |
   digitalcmscoupon.hpp | Cms-rate coupon with digital call/put option |
   digitalcoupon.hpp | Floating-rate coupon with digital call/put option |
   digitaliborcoupon.hpp | Ibor-rate coupon with digital call/put option |
   dividend.hpp | A stock dividend |
   duration.hpp | Duration type enumeration |
   fixedratecoupon.hpp | Coupon paying a fixed annual rate |
   floatingratecoupon.hpp | Coupon paying a variable index-based rate |
   iborcoupon.hpp | Coupon paying a Libor-type index |
   inflationcouponpricer.hpp | Inflation-coupon pricers |
   overnightindexedcoupon.hpp | Coupon paying the compounded daily overnight rate |
   rangeaccrual.hpp | Range-accrual coupon |
   replication.hpp | Sub, Central, or Super replication |
   simplecashflow.hpp | Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals) |
   timebasket.hpp | Distribution over a number of date ranges |
   yoyinflationcoupon.hpp | Coupon paying a yoy inflation index |
  currencies | |
   africa.hpp | African currencies |
   america.hpp | American currencies |
   asia.hpp | Asian currencies |
   europe.hpp | European currencies |
   exchangeratemanager.hpp | Exchange-rate repository |
   oceania.hpp | Oceanian currencies |
  experimental | |
   amortizingbonds | |
    amortizingcmsratebond.hpp | Amortizing CMS-rate bond |
    amortizingfixedratebond.hpp | Amortizing fixed-rate bond |
    amortizingfloatingratebond.hpp | Amortizing floating-rate bond |
   barrieroption | |
    perturbativebarrieroptionengine.hpp | Perturbative barrier-option engine |
   callablebonds | |
    blackcallablebondengine.hpp | Black-formula callable bond engines |
    callablebond.hpp | Callable bond classes |
    callablebondconstantvol.hpp | Constant callable-bond volatility |
    callablebondvolstructure.hpp | Callable-bond volatility structure |
    discretizedcallablefixedratebond.hpp | Discretized callable fixed-rate bond class |
    treecallablebondengine.hpp | Numerical lattice engines for callable/puttable bonds |
   commodities | |
    commodity.hpp | Commodity base class |
    commoditycashflow.hpp | Commodity cash flow |
    commoditycurve.hpp | Commodity curve |
    commodityindex.hpp | Commodity index |
    commoditypricinghelpers.hpp | Commodity pricing helpers |
    commoditysettings.hpp | Commodity settings |
    commodityunitcost.hpp | Commodity unit cost |
    dateinterval.hpp | Date interval |
    energybasisswap.hpp | Energy basis swap |
    energycommodity.hpp | Energy commodity |
    energyfuture.hpp | Energy future |
    energyswap.hpp | Energy swap |
    energyvanillaswap.hpp | Vanilla energy swap |
    exchangecontract.hpp | Exchange contract |
    petroleumunitsofmeasure.hpp | Petroleum units of measure |
    pricingperiod.hpp | Pricing period |
    quantity.hpp | Amount of a commodity |
    unitofmeasure.hpp | Unit of measure |
    unitofmeasureconversionmanager.hpp | Unit-of-measure conversion manager |
   compoundoption | |
    analyticcompoundoptionengine.hpp | Analytic compound option engines |
    compoundoption.hpp | Compound option on a single asset |
   convertiblebonds | |
    binomialconvertibleengine.hpp | Binomial engine for convertible bonds |
    convertiblebond.hpp | Convertible bond class |
    discretizedconvertible.hpp | Discretized convertible |
    tflattice.hpp | Binomial Tsiveriotis-Fernandes tree model |
   coupons | |
    proxyibor.hpp | IborIndex calculated as proxy of some other IborIndex |
    quantocouponpricer.hpp | Quanto-adjusted coupon |
    subperiodcoupons.hpp | Averaging coupons |
   credit | |
    basket.hpp | Basket of issuers and related notionals |
    blackcdsoptionengine.hpp | Black credit default swap option engine |
    cdo.hpp | Collateralized debt obligation |
    cdsoption.hpp | CDS option |
    defaultevent.hpp | Classes for default-event description |
    defaultprobabilitykey.hpp | Classes for default-event description |
    defaulttype.hpp | Classes for default-event description |
    distribution.hpp | Discretized probability density and cumulative probability |
    factorspreadedhazardratecurve.hpp | Default-probability structure with a multiplicative spread on hazard rates |
    issuer.hpp | Classes for credit-name handling |
    loss.hpp | Pair of loss time and amount, sortable by loss time |
    lossdistribution.hpp | Loss distributions and probability of n defaults |
    nthtodefault.hpp | N-th to default swap |
    onefactorcopula.hpp | One-factor copula base class |
    onefactorgaussiancopula.hpp | One-factor Gaussian copula |
    onefactorstudentcopula.hpp | One-factor Student-t copula |
    pool.hpp | Pool of issuers |
    randomdefaultmodel.hpp | Random default-time scenarios for a pool of credit names |
    riskyassetswap.hpp | Risky asset-swap instrument |
    riskyassetswapoption.hpp | Option on risky asset swap |
    riskybond.hpp | Defaultable bonds |
    spreadedhazardratecurve.hpp | Default-probability structure with an additive spread on hazard rates |
    syntheticcdo.hpp | Synthetic Collateralized Debt Obligation and pricing engines |
    syntheticcdoengines.hpp | Pricing engines for the Synthetic CDO instrument |
   exoticoptions | |
    analyticamericanmargrabeengine.hpp | Analytic engine for American Margrabe option |
    analyticeuropeanmargrabeengine.hpp | Analytic engine for European Margrabe option |
    analyticsimplechooserengine.hpp | Analytic engine for simple chooser option |
    analyticwriterextensibleoptionengine.hpp | Analytic engine for writer-extensible options |
    continuousarithmeticasianlevyengine.hpp | Levy engine for continuous arithmetic Asian options |
    everestoption.hpp | Everest option on a number of assets |
    himalayaoption.hpp | Himalaya option on a number of assets |
    kirkspreadoptionengine.hpp | Kirk approximation for European spread option on futures |
    margrabeoption.hpp | Margrabe option on two assets |
    mceverestengine.hpp | Monte Carlo engine for Everest options |
    mchimalayaengine.hpp | Monte Carlo engine for Himalaya options |
    mcpagodaengine.hpp | Monte Carlo engine for pagoda options |
    pagodaoption.hpp | Roofed Asian option on a number of assets |
    simplechooseroption.hpp | Simple chooser option on a single asset |
    spreadoption.hpp | Spread option on two assets |
    writerextensibleoption.hpp | Writer-extensible option |
   finitedifferences | |
    fdklugeextouspreadengine.hpp | FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option |
    fdmexpextouinnervaluecalculator.hpp | Inner value calculator for an exponential extended Ornstein Uhlenbeck grid |
    fdmextendedornsteinuhlenbeckop.hpp | Ornstein Uhlenbeck process plus jumps (Kluge Model) |
    fdmextoujumpmodelinnervalue.hpp | Inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model) |
    fdmextoujumpop.hpp | Ornstein Uhlenbeck process plus jumps (Kluge Model) |
    fdmextoujumpsolver.hpp | |
    fdmklugeextouop.hpp | Kluge process (power) plus Ornstein Uhlenbeck process (gas) |
    fdmklugeextousolver.hpp | Kluge/extended Ornstein-Uhlenbeck FDM solver |
    fdmsimple2dextousolver.hpp | Solver for simple swing options based on ext OU process |
    fdmsimple3dextoujumpsolver.hpp | Solver for simple swing options based on ext OU-Jump (Kluge) Model |
    fdmspreadpayoffinnervalue.hpp | Inner value calculator for a spread payoff |
    fdmvppstepcondition.hpp | VPP step condition for FD models |
    fdsimpleextoujumpswingengine.hpp | Finite Differences engine for simple swing options |
    fdsimpleextoustorageengine.hpp | Finite Differences extended OU engine for simple storage options |
    vanillavppoption.hpp | Vanilla virtual power plant option |
   fx | |
    blackdeltacalculator.hpp | Black-Scholes formula delta calculator class |
    deltavolquote.hpp | Class for the quotation of delta vs vol |
   inflation | |
    cpicapfloorengines.hpp | Engines for CPI options |
    cpicapfloortermpricesurface.hpp | Cpi inflation cap and floor term price structure. N.B. cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions |
    genericindexes.hpp | Generic inflation indexes |
    interpolatedyoyoptionletstripper.hpp | Interpolated yoy inflation-cap stripping |
    kinterpolatedyoyoptionletvolatilitysurface.hpp | K-interpolated yoy optionlet volatility |
    piecewiseyoyoptionletvolatility.hpp | Piecewise yoy inflation volatility term structure |
    polynomial2Dspline.hpp | Polynomial interpolation in the y-direction, spline interpolation x-direction |
    yoyinflationoptionletvolatilitystructure2.hpp | Experimental yoy inflation volatility structures |
    yoyoptionlethelpers.hpp | Yoy inflation cap and floor term-price structure |
    yoyoptionletstripper.hpp | Yoy inflation-cap stripping |
   lattices | |
    extendedbinomialtree.hpp | Time-dependent binomial tree class |
   math | |
    autocovariance.hpp | Autocovariance and convolution calculation |
    claytoncopularng.hpp | Clayton copula random-number generator |
    farliegumbelmorgensterncopularng.hpp | Farlie-Gumbel-Morgenstern copula random-number generator |
    fastfouriertransform.hpp | Fast Fourier Transform |
    frankcopularng.hpp | Frank copula random-number generator |
    zigguratrng.hpp | Ziggurat random-number generator |
   mcbasket | |
    adaptedpathpayoff.hpp | Adapted Option payoff classes |
    mcpathbasketengine.hpp | Path-dependent European basket MC engine |
    pathmultiassetoption.hpp | Option on multiple assets |
    pathpayoff.hpp | Option payoff classes |
   processes | |
    extendedblackscholesprocess.hpp | Experimental Black-Scholes-Merton process |
    extendedornsteinuhlenbeckprocess.hpp | Extended Ornstein-Uhlenbeck process |
    extouwithjumpsprocess.hpp | Ornstein Uhlenbeck process plus exp jumps (Kluge Model) |
    gemanroncoroniprocess.hpp | Geman-Roncoroni process |
    klugeextouprocess.hpp | Joint Kluge process an d Ornstein Uhlenbeck process |
    vegastressedblackscholesprocess.hpp | Black-Scholes process which supports local vega stress tests |
   risk | |
    sensitivityanalysis.hpp | Sensitivity analysis function |
   shortrate | |
    generalizedornsteinuhlenbeckprocess.hpp | Ornstein-Uhlenbeck process with piecewise linear coefficients |
   variancegamma | |
    analyticvariancegammaengine.hpp | Analytic Variance Gamma option engine for vanilla options |
    fftengine.hpp | Base class for FFT option pricing engines |
    fftvanillaengine.hpp | FFT engine for vanilla options under a Black Scholes process |
    fftvariancegammaengine.hpp | FFT engine for vanilla options under a Variance Gamma process |
    variancegammamodel.hpp | Variance Gamma model |
    variancegammaprocess.hpp | Variance Gamma stochastic process |
   varianceoption | |
    integralhestonvarianceoptionengine.hpp | Integral Heston-model variance-option engine |
    varianceoption.hpp | Variance option |
   volatility | |
    abcdatmvolcurve.hpp | Abcd-interpolated at-the-money (no-smile) interest rate vol curve |
    blackatmvolcurve.hpp | Black at-the-money (no-smile) volatility curve base class |
    blackvolsurface.hpp | Black volatility (smile) surface |
    equityfxvolsurface.hpp | Equity/FX vol (smile) surface |
    extendedblackvariancecurve.hpp | Black volatility curve modelled as variance curve |
    extendedblackvariancesurface.hpp | Black volatility surface modelled as variance surface |
    interestratevolsurface.hpp | Interest rate volatility (smile) surface |
    sabrvolsurface.hpp | SABR volatility (smile) surface |
    volcube.hpp | Interest rate (optionlet/swaption) volatility cube |
  indexes | |
   ibor | |
    audlibor.hpp | AUD LIBOR rate |
    cadlibor.hpp | CAD LIBOR rate |
    cdor.hpp | CDOR rate |
    chflibor.hpp | CHF LIBOR rate |
    dkklibor.hpp | DKK LIBOR rate |
    eonia.hpp | Eonia index |
    euribor.hpp | Euribor index |
    eurlibor.hpp | EUR LIBOR rate |
    gbplibor.hpp | GBP LIBOR rate |
    jibar.hpp | JIBAR rate |
    jpylibor.hpp | JPY LIBOR rate |
    libor.hpp | Base class for BBA LIBOR indexes |
    nzdlibor.hpp | NZD LIBOR rate |
    seklibor.hpp | SEK LIBOR rate |
    tibor.hpp | JPY TIBOR rate |
    trlibor.hpp | TRY LIBOR rate |
    usdlibor.hpp | USD LIBOR rate |
    zibor.hpp | CHF ZIBOR rate |
   inflation | |
    aucpi.hpp | Australian CPI inflation indexes |
    euhicp.hpp | EU HICP index |
    frhicp.hpp | French HICP inflation indexes |
    ukrpi.hpp | UKRPI index |
    uscpi.hpp | US CPI index |
   swap | |
    chfliborswap.hpp | CHF Libor Swap indexes |
    euriborswap.hpp | Euribor Swap indexes |
    eurliborswap.hpp | EUR Libor Swap indexes |
    gbpliborswap.hpp | GBP Libor Swap indexes |
    jpyliborswap.hpp | JPY Libor Swap indexes |
    usdliborswap.hpp | USD Libor Swap indexes |
   bmaindex.hpp | Bond Market Association index |
   iborindex.hpp | Base class for Inter-Bank-Offered-Rate indexes |
   indexmanager.hpp | Global repository for past index fixings |
   inflationindex.hpp | Base classes for inflation indexes |
   interestrateindex.hpp | Base class for interest rate indexes |
   region.hpp | Region, i.e. geographical area, specification |
   swapindex.hpp | Swap-rate indexes |
  instruments | |
   bonds | |
    btp.hpp | Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond |
    cmsratebond.hpp | CMS-rate bond |
    cpibond.hpp | Zero-inflation-indexed-ratio-with-base bond |
    fixedratebond.hpp | Fixed-rate bond |
    floatingratebond.hpp | Floating-rate bond |
    zerocouponbond.hpp | Zero-coupon bond |
   asianoption.hpp | Asian option on a single asset |
   assetswap.hpp | Bullet bond vs Libor swap |
   averagetype.hpp | Averaging algorithm enumeration |
   barrieroption.hpp | Barrier option on a single asset |
   barriertype.hpp | Barrier type |
   basketoption.hpp | Basket option on a number of assets |
   bmaswap.hpp | Swap paying Libor against BMA coupons |
   bond.hpp | Concrete bond class |
   callabilityschedule.hpp | Schedule of put/call dates |
   capfloor.hpp | Cap and floor class |
   claim.hpp | Classes for default-event claims |
   cliquetoption.hpp | Cliquet option |
   compositeinstrument.hpp | Composite instrument class |
   cpicapfloor.hpp | Zero-inflation-indexed-ratio-with-base option |
   cpiswap.hpp | Zero-inflation-indexed-ratio-with-base swap |
   creditdefaultswap.hpp | Credit default swap |
   dividendbarrieroption.hpp | Barrier option on a single asset with discrete dividends |
   dividendschedule.hpp | Schedule of dividend dates |
   dividendvanillaoption.hpp | Vanilla option on a single asset with discrete dividends |
   europeanoption.hpp | European option on a single asset |
   fixedratebondforward.hpp | Forward contract on a fixed-rate bond |
   forward.hpp | Base forward class |
   forwardrateagreement.hpp | Forward rate agreement |
   forwardvanillaoption.hpp | Forward version of a vanilla option |
   impliedvolatility.hpp | Utilities for implied-volatility calculation |
   lookbackoption.hpp | Lookback option on a single asset |
   makecapfloor.hpp | Helper class to instantiate standard market cap/floor |
   makecms.hpp | Helper class to instantiate standard market CMS |
   makeois.hpp | Helper class to instantiate overnight indexed swaps |
   makeswaption.hpp | Helper class to instantiate standard market swaption |
   makevanillaswap.hpp | Helper class to instantiate standard market swaps |
   multiassetoption.hpp | Option on multiple assets |
   oneassetoption.hpp | Option on a single asset |
   overnightindexedswap.hpp | Overnight index swap paying compounded overnight vs. fixed |
   payoffs.hpp | Payoffs for various options |
   quantobarrieroption.hpp | Quanto version of a barrier option |
   quantoforwardvanillaoption.hpp | Quanto version of a forward vanilla option |
   quantovanillaoption.hpp | Quanto version of a vanilla option |
   stickyratchet.hpp | Payoffs for double nested options of sticky or ratchet type |
   stock.hpp | Concrete stock class |
   swap.hpp | Interest rate swap |
   swaption.hpp | Swaption class |
   vanillaoption.hpp | Vanilla option on a single asset |
   vanillastorageoption.hpp | Vanilla storage option class |
   vanillaswap.hpp | Simple fixed-rate vs Libor swap |
   vanillaswingoption.hpp | Vanilla swing option class |
   varianceswap.hpp | Variance swap |
   yearonyearinflationswap.hpp | Year-on-year inflation-indexed swap |
   zerocouponinflationswap.hpp | Zero-coupon inflation-indexed swap |
  legacy | |
   libormarketmodels | |
    lfmcovarparam.hpp | Volatility & correlation function for libor forward model process |
    lfmcovarproxy.hpp | Proxy for libor forward covariance parameterization |
    lfmhullwhiteparam.hpp | Libor market model parameterization based on Hull White |
    lfmprocess.hpp | Stochastic process of a libor forward model |
    lfmswaptionengine.hpp | Libor forward model swaption engine based on black formula |
    liborforwardmodel.hpp | Libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices |
    lmconstwrappercorrmodel.hpp | Const wrapper for correlation model for libor market models |
    lmconstwrappervolmodel.hpp | Const wrapper for a volatility model for libor market models |
    lmcorrmodel.hpp | Correlation model for libor market models |
    lmexpcorrmodel.hpp | Exponential correlation model for libor market models |
    lmextlinexpvolmodel.hpp | Volatility model for libor market models |
    lmfixedvolmodel.hpp | Model of constant volatilities for libor market models |
    lmlinexpcorrmodel.hpp | Exponential correlation model for libor market models |
    lmlinexpvolmodel.hpp | Volatility model for libor market models |
    lmvolmodel.hpp | Volatility model for libor market models |
  math | |
   copulas | |
    alimikhailhaqcopula.hpp | Ali-Mikhail-Haq copula |
    claytoncopula.hpp | Clayton copula |
    farliegumbelmorgensterncopula.hpp | Farlie-Gumbel-Morgenstern copula |
    frankcopula.hpp | Frank copula |
    galamboscopula.hpp | Galambos copula |
    gaussiancopula.hpp | Gaussian copula |
    gumbelcopula.hpp | Gumbel copula |
    huslerreisscopula.hpp | Husler-Reiss copula |
    independentcopula.hpp | Independent copula |
    marshallolkincopula.hpp | Marshall-Olkin copula |
    maxcopula.hpp | Max copula |
    mincopula.hpp | Min copula |
    plackettcopula.hpp | Plackett copula |
   distributions | |
    binomialdistribution.hpp | Binomial distribution |
    bivariatenormaldistribution.hpp | Bivariate cumulative normal distribution |
    chisquaredistribution.hpp | Chi-square (central and non-central) distributions |
    gammadistribution.hpp | Gamma distribution |
    normaldistribution.hpp | Normal, cumulative and inverse cumulative distributions |
    poissondistribution.hpp | Poisson distribution |
    studenttdistribution.hpp | Student's t-distribution |
   integrals | |
    gaussianorthogonalpolynomial.hpp | Orthogonal polynomials for gaussian quadratures |
    gaussianquadratures.hpp | Integral of a 1-dimensional function using the Gauss quadratures |
    gausslobattointegral.hpp | Integral of a one-dimensional function using the adaptive Gauss-Lobatto integral |
    integral.hpp | Integrators base class definition |
    kronrodintegral.hpp | Integral of a 1-dimensional function using the Gauss-Kronrod method |
    segmentintegral.hpp | Integral of a one-dimensional function using segment algorithm |
    simpsonintegral.hpp | Integral of a one-dimensional function using Simpson formula |
    trapezoidintegral.hpp | Integral of a one-dimensional function using the trapezoid formula |
   interpolations | |
    backwardflatinterpolation.hpp | Backward-flat interpolation between discrete points |
    bicubicsplineinterpolation.hpp | Bicubic spline interpolation between discrete points |
    bilinearinterpolation.hpp | Bilinear interpolation between discrete points |
    convexmonotoneinterpolation.hpp | Convex monotone interpolation method |
    cubicinterpolation.hpp | Cubic interpolation between discrete points |
    extrapolation.hpp | Class-wide extrapolation settings |
    flatextrapolation2d.hpp | Abstract base classes for 2-D flat extrapolations |
    forwardflatinterpolation.hpp | Forward-flat interpolation between discrete points |
    interpolation2d.hpp | Abstract base classes for 2-D interpolations |
    kernelinterpolation.hpp | Kernel interpolation |
    kernelinterpolation2d.hpp | 2D Kernel interpolation |
    linearinterpolation.hpp | Linear interpolation between discrete points |
    loginterpolation.hpp | Log-linear and log-cubic interpolation between discrete points |
    mixedinterpolation.hpp | Mixed interpolation between discrete points |
    multicubicspline.hpp | N-dimensional cubic spline interpolation between discrete points |
    sabrinterpolation.hpp | SABR interpolation interpolation between discrete points |
   matrixutilities | |
    bicgstab.hpp | Bi-conjugated gradient stableized algorithm |
    choleskydecomposition.hpp | Cholesky decomposition |
    factorreduction.hpp | Single factor correlation reduction |
    getcovariance.hpp | Covariance matrix calculation |
    pseudosqrt.hpp | Pseudo square root of a real symmetric matrix |
    qrdecomposition.hpp | QR decomposition |
    sparseilupreconditioner.hpp | Preconditioner using the Incomplete LU algorithm and sparse matrices |
    svd.hpp | Singular value decomposition |
    symmetricschurdecomposition.hpp | Eigenvalues/eigenvectors of a real symmetric matrix |
    tqreigendecomposition.hpp | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
   optimization | |
    armijo.hpp | Armijo line-search class |
    bfgs.hpp | Broyden-Fletcher-Goldfarb-Shanno optimization method |
    conjugategradient.hpp | Conjugate gradient optimization method |
    constraint.hpp | Abstract constraint class |
    costfunction.hpp | Optimization cost function class |
    endcriteria.hpp | Optimization criteria class |
    leastsquare.hpp | Least square cost function |
    levenbergmarquardt.hpp | Levenberg-Marquardt optimization method |
    linesearch.hpp | Line search abstract class |
    linesearchbasedmethod.hpp | Abstract optimization method class |
    lmdif.hpp | Wrapper for MINPACK minimization routine |
    method.hpp | Abstract optimization method class |
    problem.hpp | Abstract optimization problem class |
    projectedcostfunction.hpp | Cost function utility |
    simplex.hpp | Simplex optimization method |
    spherecylinder.hpp | Find closest point of the intersection of a sphere and cylinder to a given point |
    steepestdescent.hpp | Steepest descent optimization method |
   randomnumbers | |
    boxmullergaussianrng.hpp | Box-Muller Gaussian random-number generator |
    centrallimitgaussianrng.hpp | Central limit Gaussian random-number generator |
    faurersg.hpp | Faure low-discrepancy sequence generator |
    haltonrsg.hpp | Halton low-discrepancy sequence generator |
    inversecumulativerng.hpp | Inverse cumulative Gaussian random-number generator |
    inversecumulativersg.hpp | Inverse cumulative random sequence generator |
    knuthuniformrng.hpp | Knuth uniform random number generator |
    latticersg.hpp | Lattice rule code for low discrepancy numbers |
    latticerules.hpp | |
    lecuyeruniformrng.hpp | L'Ecuyer uniform random number generator |
    mt19937uniformrng.hpp | Mersenne Twister uniform random number generator |
    randomizedlds.hpp | Randomized low-discrepancy sequence |
    randomsequencegenerator.hpp | Random sequence generator based on a pseudo-random number generator |
    ranluxuniformrng.hpp | "Luxury" random number generator |
    rngtraits.hpp | Random-number generation policies |
    seedgenerator.hpp | Random seed generator |
    sobolrsg.hpp | Sobol low-discrepancy sequence generator |
   solvers1d | |
    bisection.hpp | Bisection 1-D solver |
    brent.hpp | Brent 1-D solver |
    falseposition.hpp | False-position 1-D solver |
    finitedifferencenewtonsafe.hpp | Safe (bracketed) Newton 1-D solver with finite difference derivatives |
    newton.hpp | Newton 1-D solver |
    newtonsafe.hpp | Safe (bracketed) Newton 1-D solver |
    ridder.hpp | Ridder 1-D solver |
    secant.hpp | Secant 1-D solver |
   statistics | |
    convergencestatistics.hpp | Statistics tool with risk measures |
    discrepancystatistics.hpp | Statistic tool for sequences with discrepancy calculation |
    gaussianstatistics.hpp | Statistics tool for gaussian-assumption risk measures |
    generalstatistics.hpp | Statistics tool |
    histogram.hpp | Statistics tool for generating histogram of given data |
    incrementalstatistics.hpp | Statistics tool based on incremental accumulation |
    riskstatistics.hpp | Empirical-distribution risk measures |
    sequencestatistics.hpp | Statistics tools for sequence (vector, list, array) samples |
    statistics.hpp | Statistics tool with risk measures |
   array.hpp | 1-D array used in linear algebra |
   bernsteinpolynomial.hpp | Bernstein polynomials |
   beta.hpp | Beta and beta incomplete functions |
   bspline.hpp | B-spline basis functions |
   comparison.hpp | Floating-point comparisons |
   curve.hpp | Curve |
   domain.hpp | Domain |
   errorfunction.hpp | Error function |
   factorial.hpp | Factorial numbers calculator |
   functional.hpp | Functionals and combinators not included in the STL |
   incompletegamma.hpp | Incomplete Gamma function |
   interpolation.hpp | Base class for 1-D interpolations |
   kernelfunctions.hpp | Kernel functions |
   lexicographicalview.hpp | Lexicographical 2-D view of a contiguous set of data |
   linearleastsquaresregression.hpp | General linear least square regression |
   matrix.hpp | Matrix used in linear algebra |
   primenumbers.hpp | Prime numbers calculator |
   quadratic.hpp | Quadratic formula |
   rounding.hpp | Rounding implementation |
   sampledcurve.hpp | Class that contains a sampled curve |
   solver1d.hpp | Abstract 1-D solver class |
   surface.hpp | Surface |
   transformedgrid.hpp | Encapuslates a grid |
  methods | |
   finitedifferences | |
    meshers | |
     concentrating1dmesher.hpp | One-dimensional grid mesher concentrating around critical points |
     exponentialjump1dmesher.hpp | Mesher for a exponential jump mesher with high mean reversion rate and low jump intensity |
     fdm1dmesher.hpp | One-dimensional simple FDM mesher object working on an index |
     fdmblackscholesmesher.hpp | 1-d mesher for the Black-Scholes process (in ln(S)) |
     fdmblackscholesmultistrikemesher.hpp | 1-d mesher for the Black-Scholes process (in ln(S)) |
     fdmhestonvariancemesher.hpp | One-dimensional grid mesher for the variance in the heston problem |
     fdmmesher.hpp | Mesher for a fdm grid |
     fdmmeshercomposite.hpp | FdmMesher which is a composite of Fdm1dMesher |
     fdmsimpleprocess1dmesher.hpp | One-dimensional grid mesher |
     uniform1dmesher.hpp | One-dimensional simple uniform grid mesher |
     uniformgridmesher.hpp | Uniform grid mesher |
    operators | |
     fdm2dblackscholesop.hpp | |
     fdmbatesop.hpp | Bates linear operator |
     fdmblackscholesop.hpp | Black Scholes linear operator |
     fdmhestonhullwhiteop.hpp | Heston Hull White linear operator |
     fdmhestonop.hpp | Heston linear operator |
     fdmlinearop.hpp | Linear operator to model a multi dimensinal pde system |
     fdmlinearopcomposite.hpp | Composite pattern for linear operators |
     fdmlinearopiterator.hpp | Iterator for a linear fdm operator |
     fdmlinearoplayout.hpp | Memory layout of a fdm linear operator |
     firstderivativeop.hpp | First derivative linear operator |
     ninepointlinearop.hpp | Nine point linear operator |
     secondderivativeop.hpp | Second derivative operator |
     secondordermixedderivativeop.hpp | Second order mixed derivative linear operator |
     triplebandlinearop.hpp | General triple band linear operator |
    schemes | |
     craigsneydscheme.hpp | Craig-Sneyd operator splitting |
     douglasscheme.hpp | Douglas operator splitting |
     expliciteulerscheme.hpp | Explicit-Euler scheme |
     hundsdorferscheme.hpp | Hundsdorfer operator splitting |
     impliciteulerscheme.hpp | Implicit-Euler scheme |
     modifiedcraigsneydscheme.hpp | Modified Craig-Sneyd operator splitting |
    solvers | |
     fdm2dblackscholessolver.hpp | |
     fdm2dimsolver.hpp | |
     fdm3dimsolver.hpp | |
     fdmbackwardsolver.hpp | |
     fdmbatessolver.hpp | |
     fdmblackscholessolver.hpp | |
     fdmhestonhullwhitesolver.hpp | |
     fdmhestonsolver.hpp | |
     fdmndimsolver.hpp | |
     fdmsimple2dbssolver.hpp | |
     fdmsolverdesc.hpp | |
    stepconditions | |
     fdmamericanstepcondition.hpp | American step condition for multi dimensional problems |
     fdmarithmeticaveragecondition.hpp | Step condition to handle arithmetic average |
     fdmbermudanstepcondition.hpp | Bermudan step condition for multi dimensional problems |
     fdmsimplestoragecondition.hpp | Simple storage step condition |
     fdmsimpleswingcondition.hpp | Simple swing step condition |
     fdmsnapshotcondition.hpp | Step condition for value inspection |
     fdmstepconditioncomposite.hpp | Composite of fdm step conditions |
    utilities | |
     fdmdirichletboundary.hpp | Dirichlet boundary conditions for differential operators |
     fdmdividendhandler.hpp | Dividend handler for fdm method for one equity direction |
     fdminnervaluecalculator.hpp | Layer of abstraction to calculate the inner value |
     fdmquantohelper.hpp | Helper class storing market data needed for the quanto adjustment |
    americancondition.hpp | American option exercise condition |
    boundarycondition.hpp | Boundary conditions for differential operators |
    bsmoperator.hpp | Differential operator for Black-Scholes-Merton equation |
    bsmtermoperator.hpp | Differential operator for Black-Scholes-Merton equation |
    cranknicolson.hpp | Crank-Nicolson scheme for finite difference methods |
    dminus.hpp | matricial representation |
    dplus.hpp | matricial representation |
    dplusdminus.hpp | matricial representation |
    dzero.hpp | matricial representation |
    expliciteuler.hpp | Explicit Euler scheme for finite difference methods |
    fdtypedefs.hpp | Default choices for template instantiations |
    finitedifferencemodel.hpp | Generic finite difference model |
    impliciteuler.hpp | Implicit Euler scheme for finite difference methods |
    mixedscheme.hpp | Mixed (explicit/implicit) scheme for finite difference methods |
    onefactoroperator.hpp | General differential operator for one-factor interest rate models |
    operatorfactory.hpp | Factory for finite difference operators |
    operatortraits.hpp | Differential operator traits |
    parallelevolver.hpp | Parallel evolver for multiple arrays |
    pde.hpp | General class for one dimensional PDE's |
    pdebsm.hpp | Black-Scholes-Merton PDE |
    pdeshortrate.hpp | Adapter to short rate |
    shoutcondition.hpp | Shout option exercise condition |
    stepcondition.hpp | Conditions to be applied at every time step |
    trbdf2.hpp | TR-BDF2 scheme for finite difference methods |
    tridiagonaloperator.hpp | Tridiagonal operator |
    zerocondition.hpp | Zero option exercise condition |
   lattices | |
    binomialtree.hpp | Binomial tree class |
    bsmlattice.hpp | Binomial trees under the BSM model |
    lattice.hpp | Tree-based lattice-method class |
    lattice1d.hpp | One-dimensional lattice class |
    lattice2d.hpp | Two-dimensional lattice class |
    tree.hpp | Tree class |
    trinomialtree.hpp | Trinomial tree class |
   montecarlo | |
    brownianbridge.hpp | Browian bridge |
    earlyexercisepathpricer.hpp | Base class for early exercise single-path pricers |
    longstaffschwartzpathpricer.hpp | Longstaff-Schwarz path pricer for early exercise options |
    lsmbasissystem.hpp | Utility classes for Longstaff-Schwartz early-exercise Monte Carlo |
    mctraits.hpp | Monte Carlo policies |
    montecarlomodel.hpp | General-purpose Monte Carlo model |
    multipath.hpp | Correlated multiple asset paths |
    multipathgenerator.hpp | Generates a multi path from a random-array generator |
    path.hpp | Single factor random walk |
    pathgenerator.hpp | Generates random paths using a sequence generator |
    pathpricer.hpp | Base class for single-path pricers |
    sample.hpp | Weighted sample |
  models | |
   equity | |
    batesmodel.hpp | Extended versions of the Heston model |
    gjrgarchmodel.hpp | GJR-GARCH model for the stochastic volatility of an asset |
    hestonmodel.hpp | Heston model for the stochastic volatility of an asset |
    hestonmodelhelper.hpp | Heston-model calibration helper |
    piecewisetimedependenthestonmodel.hpp | Piecewise constant time dependent Heston-model |
   marketmodels | |
    correlations | |
     expcorrelations.hpp | Exponential correlation matrix |
    driftcomputation | |
     cmsmmdriftcalculator.hpp | Drift computation for CMS market model |
     lmmdriftcalculator.hpp | Drift computation for Libor market model |
     lmmnormaldriftcalculator.hpp | Drift computation for normal Libor market model |
     smmdriftcalculator.hpp | Drift computation for coterminal-swap market model |
    forwardforwardmappings.hpp | Utility functions for mapping between forward rates of varying tenor |
    historicalforwardratesanalysis.hpp | Statistical analysis of historical forward rates |
    historicalratesanalysis.hpp | Statistical analysis of historical rates |
    swapforwardmappings.hpp | Utility functions for mapping between swap rate and forward rate |
   shortrate | |
    calibrationhelpers | |
     caphelper.hpp | CapHelper calibration helper |
     swaptionhelper.hpp | Swaption calibration helper |
    onefactormodels | |
     blackkarasinski.hpp | Black-Karasinski model |
     coxingersollross.hpp | Cox-Ingersoll-Ross model |
     extendedcoxingersollross.hpp | Extended Cox-Ingersoll-Ross model |
     hullwhite.hpp | Hull & White (HW) model |
     vasicek.hpp | Vasicek model class |
    twofactormodels | |
     g2.hpp | Two-factor additive Gaussian Model G2++ |
    onefactormodel.hpp | Abstract one-factor interest rate model class |
    twofactormodel.hpp | Abstract two-factor interest rate model class |
   volatility | |
    constantestimator.hpp | Constant volatility estimator |
    garch.hpp | GARCH volatility model |
    garmanklass.hpp | Volatility estimators using high low data |
    simplelocalestimator.hpp | Constant volatility estimator |
   calibrationhelper.hpp | Calibration helper class |
   model.hpp | Abstract interest rate model class |
   parameter.hpp | Model parameter classes |
  patterns | |
   composite.hpp | Composite pattern |
   curiouslyrecurring.hpp | Curiously recurring template pattern |
   lazyobject.hpp | Framework for calculation on demand and result caching |
   observable.hpp | Observer/observable pattern |
   singleton.hpp | Basic support for the singleton pattern |
   visitor.hpp | Degenerate base class for the Acyclic Visitor pattern |
  pricingengines | |
   asian | |
    analytic_cont_geom_av_price.hpp | Analytic engine for continuous geometric average price Asian |
    analytic_discr_geom_av_price.hpp | Analytic engine for discrete geometric average price Asian |
    analytic_discr_geom_av_strike.hpp | Analytic engine for discrete geometric average-strike Asian option |
    fdblackscholesasianengine.hpp | Finite-Differences Black Scholes arithmentic asian option engine |
    mc_discr_arith_av_price.hpp | Monte Carlo engine for discrete arithmetic average price Asian |
    mc_discr_arith_av_strike.hpp | Monte Carlo engine for discrete arithmetic average-strike Asian |
    mc_discr_geom_av_price.hpp | Monte Carlo engine for discrete geometric average price Asian |
    mcdiscreteasianengine.hpp | Monte Carlo pricing engine for discrete average Asians |
   barrier | |
    analyticbarrierengine.hpp | Analytic barrier option engines |
    fdblackscholesbarrierengine.hpp | Finite-Differences Black Scholes barrier option engine |
    fdblackscholesrebateengine.hpp | Finite-Differences Black Scholes barrier option rebate helper engine |
    fdhestonbarrierengine.hpp | Finite-Differences Heston barrier option engine |
    fdhestonrebateengine.hpp | Finite-Differences Heston barrier option rebate helper engine |
    mcbarrierengine.hpp | Monte Carlo barrier option engines |
   basket | |
    fd2dblackscholesvanillaengine.hpp | Finite-Differences 2 dim Black Scholes vanilla option engine |
    kirkengine.hpp | Kirk formulae, due to Kirk (1995) |
    mcamericanbasketengine.hpp | Least-square Monte Carlo engines |
    mceuropeanbasketengine.hpp | European basket MC Engine |
    stulzengine.hpp | 2D European Basket formulae, due to Stulz (1982) |
   bond | |
    bondfunctions.hpp | Bond functions |
    discountingbondengine.hpp | Discounting bond engine |
   capfloor | |
    analyticcapfloorengine.hpp | Analytic engine for caps/floors |
    blackcapfloorengine.hpp | Black-formula cap/floor engine |
    discretizedcapfloor.hpp | Discretized cap/floor |
    mchullwhiteengine.hpp | Monte Carlo Hull-White engine for cap/floors |
    treecapfloorengine.hpp | Numerical lattice engine for cap/floors |
   cliquet | |
    analyticcliquetengine.hpp | Analytic Cliquet engine |
    analyticperformanceengine.hpp | Analytic performance engine |
   credit | |
    integralcdsengine.hpp | Integral engine for credit default swaps |
    midpointcdsengine.hpp | Mid-point engine for credit default swaps |
   forward | |
    forwardengine.hpp | Forward (strike-resetting) vanilla-option engine |
    forwardperformanceengine.hpp | Forward (strike-resetting) performance vanilla-option engine |
    mcvarianceswapengine.hpp | Monte Carlo variance-swap engine |
    replicatingvarianceswapengine.hpp | Replicating engine for variance swaps |
   inflation | |
    inflationcapfloorengines.hpp | Inflation cap/floor engines |
   lookback | |
    analyticcontinuousfixedlookback.hpp | Analytic engine for continuous fixed-strike lookback |
    analyticcontinuousfloatinglookback.hpp | Analytic engine for continuous floating-strike lookback |
   quanto | |
    quantoengine.hpp | Quanto option engine |
   swap | |
    discountingswapengine.hpp | Discounting swap engine |
    discretizedswap.hpp | Discretized swap class |
    treeswapengine.hpp | Numerical lattice engine for swaps |
   swaption | |
    blackswaptionengine.hpp | Black-formula swaption engine |
    discretizedswaption.hpp | Discretized swaption class |
    g2swaptionengine.hpp | Swaption pricing engine for two-factor additive Gaussian Model G2++ |
    jamshidianswaptionengine.hpp | Swaption engine using Jamshidian's decomposition |
    treeswaptionengine.hpp | Numerical lattice engine for swaptions |
   vanilla | |
    analyticbsmhullwhiteengine.hpp | Analytic Black-Scholes engines including stochastic interest rates |
    analyticdigitalamericanengine.hpp | Analytic digital American option engine |
    analyticdividendeuropeanengine.hpp | Analytic discrete-dividend European engine |
    analyticeuropeanengine.hpp | Analytic European engine |
    analyticgjrgarchengine.hpp | Analytic GJR-GARCH-model engine |
    analytichestonengine.hpp | Analytic Heston-model engine |
    analytichestonhullwhiteengine.hpp | Analytic heston engine incl. stochastic interest rates |
    analyticptdhestonengine.hpp | Analytic piecewise time dependent Heston-model engine |
    baroneadesiwhaleyengine.hpp | Barone-Adesi and Whaley approximation engine |
    batesengine.hpp | Analytic Bates model engine |
    binomialengine.hpp | Binomial option engine |
    bjerksundstenslandengine.hpp | Bjerksund and Stensland approximation engine |
    discretizedvanillaoption.hpp | Discretized vanilla option |
    fdamericanengine.hpp | Finite-differences American option engine |
    fdbatesvanillaengine.hpp | Partial Integro Finite-Differences Bates vanilla option engine |
    fdbermudanengine.hpp | Finite-difference Bermudan engine |
    fdblackscholesvanillaengine.hpp | Finite-Differences Black Scholes vanilla option engine |
    fdconditions.hpp | Finite-difference templates to generate engines |
    fddividendamericanengine.hpp | American engine with discrete deterministic dividends |
    fddividendengine.hpp | Base engine for option with dividends |
    fddividendeuropeanengine.hpp | Finite-differences engine for European option with dividends |
    fddividendshoutengine.hpp | Base class for shout engine with dividends |
    fdeuropeanengine.hpp | Finite-difference European engine |
    fdhestonhullwhitevanillaengine.hpp | Finite-Differences Heston Hull-White vanilla option engine |
    fdhestonvanillaengine.hpp | Finite-Differences Heston vanilla option engine |
    fdmultiperiodengine.hpp | Base engine for options with events happening at specific times |
    fdshoutengine.hpp | Finite-differences shout engine |
    fdsimplebsswingengine.hpp | Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options |
    fdstepconditionengine.hpp | Finite-differences step-condition engine |
    fdvanillaengine.hpp | Finite-differences vanilla-option engine |
    integralengine.hpp | Integral option engine |
    jumpdiffusionengine.hpp | Jump diffusion (Merton 1976) engine |
    juquadraticengine.hpp | Ju quadratic (1999) approximation engine |
    mcamericanengine.hpp | American Monte Carlo engine |
    mcdigitalengine.hpp | Digital option Monte Carlo engine |
    mceuropeanengine.hpp | Monte Carlo European option engine |
    mceuropeangjrgarchengine.hpp | Monte Carlo GJR-GARCH-model engine for European options |
    mceuropeanhestonengine.hpp | Monte Carlo Heston-model engine for European options |
    mchestonhullwhiteengine.hpp | Monte Carlo vanilla option engine for stochastic interest rates |
    mcvanillaengine.hpp | Monte Carlo vanilla option engine |
   americanpayoffatexpiry.hpp | Analytical formulae for american exercise with payoff at expiry |
   americanpayoffathit.hpp | Analytical formulae for american exercise with payoff at hit |
   blackcalculator.hpp | Black-formula calculator class |
   blackformula.hpp | Black formula |
   blackscholescalculator.hpp | Black-Scholes formula calculator class |
   genericmodelengine.hpp | Generic option engine based on a model |
   greeks.hpp | Default greek calculations |
   latticeshortratemodelengine.hpp | Engine for a short-rate model specialized on a lattice |
   mclongstaffschwartzengine.hpp | Longstaff Schwartz Monte Carlo engine for early exercise options |
   mcsimulation.hpp | Framework for Monte Carlo engines |
  processes | |
   batesprocess.hpp | Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size |
   blackscholesprocess.hpp | Black-Scholes processes |
   endeulerdiscretization.hpp | Euler end-point discretization for stochastic processes |
   eulerdiscretization.hpp | Euler discretization for stochastic processes |
   forwardmeasureprocess.hpp | Forward-measure stochastic processes |
   g2process.hpp | G2 stochastic processes |
   geometricbrownianprocess.hpp | Geometric Brownian-motion process |
   gjrgarchprocess.hpp | GJR-GARCH(1,1) stochastic process |
   hestonprocess.hpp | Heston stochastic process |
   hullwhiteprocess.hpp | Hull-White stochastic processes |
   hybridhestonhullwhiteprocess.hpp | Hybrid equity (heston model) with stochastic interest rates (hull white model) |
   jointstochasticprocess.hpp | Multi model process for hybrid products |
   merton76process.hpp | Merton-76 process |
   ornsteinuhlenbeckprocess.hpp | Ornstein-Uhlenbeck process |
   squarerootprocess.hpp | Square-root process |
   stochasticprocessarray.hpp | Array of correlated 1-D stochastic processes |
  quotes | |
   compositequote.hpp | Purely virtual base class for market observables |
   derivedquote.hpp | Market quote whose value depends on another quote |
   eurodollarfuturesquote.hpp | Quote for the Eurodollar-future implied standard deviation |
   forwardswapquote.hpp | Quote for a forward starting swap |
   forwardvaluequote.hpp | Quote for the forward value of an index |
   futuresconvadjustmentquote.hpp | Quote for the futures-convexity adjustment of an index |
   impliedstddevquote.hpp | Quote for the implied standard deviation of an underlying |
   lastfixingquote.hpp | Quote for the last fixing available for a given index |
   simplequote.hpp | Simple quote class |
  termstructures | |
   credit | |
    defaultdensitystructure.hpp | Default-density term structure |
    defaultprobabilityhelpers.hpp | Bootstrap helpers for default-probability term structures |
    flathazardrate.hpp | Flat hazard-rate term structure |
    hazardratestructure.hpp | Hazard-rate term structure |
    interpolateddefaultdensitycurve.hpp | Interpolated default-density term structure |
    interpolatedhazardratecurve.hpp | Interpolated hazard-rate term structure |
    interpolatedsurvivalprobabilitycurve.hpp | Interpolated survival-probability term structure |
    piecewisedefaultcurve.hpp | Piecewise-interpolated default-probability structure |
    probabilitytraits.hpp | Default-probability bootstrap traits |
    survivalprobabilitystructure.hpp | Survival-probability term structure |
   inflation | |
    inflationhelpers.hpp | Bootstrap helpers for inflation term structures |
    inflationtraits.hpp | Inflation bootstrap traits |
    interpolatedyoyinflationcurve.hpp | Inflation term structure based on the interpolation of year-on-year rates |
    interpolatedzeroinflationcurve.hpp | Inflation term structure based on the interpolation of zero rates |
    piecewiseyoyinflationcurve.hpp | Piecewise year-on-year inflation term structure |
    piecewisezeroinflationcurve.hpp | Piecewise zero-inflation term structure |
   volatility | |
    capfloor | |
     capfloortermvolatilitystructure.hpp | Cap/floor term-volatility structure |
     capfloortermvolcurve.hpp | Cap/floor at-the-money term-volatility curve |
     capfloortermvolsurface.hpp | Cap/floor smile volatility surface |
     constantcapfloortermvol.hpp | Constant cap/floor term volatility |
    equityfx | |
     blackconstantvol.hpp | Black constant volatility, no time dependence, no strike dependence |
     blackvariancecurve.hpp | Black volatility curve modelled as variance curve |
     blackvariancesurface.hpp | Black volatility surface modelled as variance surface |
     blackvoltermstructure.hpp | Black volatility term structure base classes |
     impliedvoltermstructure.hpp | Implied Black Vol Term Structure |
     localconstantvol.hpp | Local constant volatility, no time dependence, no asset dependence |
     localvolcurve.hpp | Local volatility curve derived from a Black curve |
     localvolsurface.hpp | Local volatility surface derived from a Black vol surface |
     localvoltermstructure.hpp | Local volatility term structure base class |
    inflation | |
     constantcpivolatility.hpp | Constant CPI volatility structure |
     cpivolatilitystructure.hpp | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
     yoyinflationoptionletvolatilitystructure.hpp | Yoy inflation volatility structures |
    optionlet | |
     capletvariancecurve.hpp | Caplet variance curve |
     constantoptionletvol.hpp | Constant caplet/floorlet volatility |
     optionletstripper.hpp | Optionlet (caplet/floorlet) volatility stripper |
     optionletstripper1.hpp | Optionlet (caplet/floorlet) volatility stripper |
     optionletstripper2.hpp | Optionlet (caplet/floorlet) volatility stripper |
     optionletvolatilitystructure.hpp | Optionlet (caplet/floorlet) volatility structure |
     spreadedoptionletvol.hpp | Spreaded caplet/floorlet volatility |
     strippedoptionlet.hpp | |
     strippedoptionletadapter.hpp | StrippedOptionlet Adapter |
     strippedoptionletbase.hpp | |
    swaption | |
     cmsmarket.hpp | Set of CMS quotes |
     cmsmarketcalibration.hpp | |
     spreadedswaptionvol.hpp | Spreaded swaption volatility |
     swaptionconstantvol.hpp | Constant swaption volatility |
     swaptionvolcube.hpp | Swaption volatility cube |
     swaptionvolcube1.hpp | Swaption volatility cube, fit-early-interpolate-later approach |
     swaptionvolcube2.hpp | Swaption volatility cube, fit-later-interpolate-early approach |
     swaptionvoldiscrete.hpp | Discretized swaption volatility |
     swaptionvolmatrix.hpp | Swaption at-the-money volatility matrix |
     swaptionvolstructure.hpp | Swaption volatility structure |
    flatsmilesection.hpp | Flat SmileSection |
    interpolatedsmilesection.hpp | Interpolated smile section class |
    sabr.hpp | SABR functions |
    sabrinterpolatedsmilesection.hpp | Interpolated smile section class |
    smilesection.hpp | Smile section base class |
    spreadedsmilesection.hpp | Spreaded SmileSection class |
   yield | |
    bondhelpers.hpp | Bond rate helpers |
    bootstraptraits.hpp | Bootstrap traits |
    discountcurve.hpp | Interpolated discount factor structure |
    drifttermstructure.hpp | Drift term structure |
    fittedbonddiscountcurve.hpp | Discount curve fitted to a set of bonds |
    flatforward.hpp | Flat forward rate term structure |
    forwardcurve.hpp | Interpolated forward-rate structure |
    forwardspreadedtermstructure.hpp | Forward-spreaded term structure |
    forwardstructure.hpp | Forward-based yield term structure |
    impliedtermstructure.hpp | Implied term structure |
    nonlinearfittingmethods.hpp | Nonlinear methods to fit a bond discount function |
    oisratehelper.hpp | Overnight Indexed Swap (aka OIS) rate helpers |
    piecewiseyieldcurve.hpp | Piecewise-interpolated term structure |
    piecewisezerospreadedtermstructure.hpp | Piecewise-zero-spreaded term structure |
    quantotermstructure.hpp | Quanto term structure |
    ratehelpers.hpp | Deposit, FRA, futures, and swap rate helpers |
    zerocurve.hpp | Interpolated zero-rates structure |
    zerospreadedtermstructure.hpp | Zero spreaded term structure |
    zeroyieldstructure.hpp | Zero-yield based term structure |
   bootstraperror.hpp | Boostrap error |
   bootstraphelper.hpp | Base helper class used for bootstrapping |
   defaulttermstructure.hpp | Default-probability term structure |
   inflationtermstructure.hpp | Base classes for inflation term structures |
   interpolatedcurve.hpp | Helper class to build interpolated term structures |
   iterativebootstrap.hpp | Universal piecewise-term-structure boostrapper |
   localbootstrap.hpp | Localised-term-structure bootstrapper for most curve types |
   voltermstructure.hpp | Volatility term structure |
   yieldtermstructure.hpp | Interest-rate term structure |
  time | |
   calendars | |
    argentina.hpp | Argentinian calendars |
    australia.hpp | Australian calendar |
    bespokecalendar.hpp | Bespoke calendar |
    brazil.hpp | Brazilian calendar |
    canada.hpp | Canadian calendar |
    china.hpp | Chinese calendar |
    czechrepublic.hpp | Czech calendars |
    denmark.hpp | Danish calendar |
    finland.hpp | Finnish calendar |
    germany.hpp | German calendars |
    hongkong.hpp | Hong Kong calendars |
    hungary.hpp | Hungarian calendar |
    iceland.hpp | Icelandic calendars |
    india.hpp | Indian calendars |
    indonesia.hpp | Indonesian calendars |
    italy.hpp | Italian calendars |
    japan.hpp | Japanese calendar |
    jointcalendar.hpp | Joint calendar |
    mexico.hpp | Mexican calendars |
    newzealand.hpp | New Zealand calendar |
    norway.hpp | Norwegian calendar |
    nullcalendar.hpp | Calendar for reproducing theoretical calculations |
    poland.hpp | Polish calendar |
    russia.hpp | Russian calendar |
    saudiarabia.hpp | Saudi Arabian calendar |
    singapore.hpp | Singapore calendars |
    slovakia.hpp | Slovak calendars |
    southafrica.hpp | South-African calendar |
    southkorea.hpp | South Korean calendars |
    sweden.hpp | Swedish calendar |
    switzerland.hpp | Swiss calendar |
    taiwan.hpp | Taiwanese calendars |
    target.hpp | TARGET calendar |
    turkey.hpp | Turkish calendar |
    ukraine.hpp | Ukrainian calendars |
    unitedkingdom.hpp | UK calendars |
    unitedstates.hpp | US calendars |
    weekendsonly.hpp | Weekends-only calendar |
   daycounters | |
    actual360.hpp | Act/360 day counter |
    actual365fixed.hpp | Actual/365 (Fixed) day counter |
    actualactual.hpp | Act/act day counters |
    business252.hpp | Business/252 day counter |
    one.hpp | 1/1 day counter |
    simpledaycounter.hpp | Simple day counter for reproducing theoretical calculations |
    thirty360.hpp | 30/360 day counters |
   businessdayconvention.hpp | BusinessDayConvention enumeration |
   calendar.hpp | calendar class |
   date.hpp | Date- and time-related classes, typedefs and enumerations |
   dategenerationrule.hpp | Date generation rule |
   daycounter.hpp | Day counter class |
   ecb.hpp | European Central Bank reserve maintenance date functions |
   frequency.hpp | Frequency enumeration |
   imm.hpp | IMM-related date functions |
   period.hpp | Period- and frequency-related classes and enumerations |
   schedule.hpp | Date schedule |
   timeunit.hpp | TimeUnit enumeration |
   weekday.hpp | Weekday enumeration |
  utilities | |
   clone.hpp | Cloning proxy to an underlying object |
   dataformatters.hpp | Output manipulators |
   dataparsers.hpp | Classes used to parse data for input |
   disposable.hpp | Generic disposable object with move semantics |
   null.hpp | Null values |
   observablevalue.hpp | Observable and assignable proxy to concrete value |
   steppingiterator.hpp | Iterator advancing in constant steps |
   tracing.hpp | Tracing facilities |
   vectors.hpp | Utilities for vector manipulation |
  cashflow.hpp | Base class for cash flows |
  compounding.hpp | Compounding enumeration |
  currency.hpp | Currency specification |
  default.hpp | Classes for default-event handling |
  discretizedasset.hpp | Discretized asset classes |
  errors.hpp | Classes and functions for error handling |
  event.hpp | Base class for events associated with a given date |
  exchangerate.hpp | Exchange rate between two currencies |
  exercise.hpp | Option exercise classes and payoff function |
  grid.hpp | Grid constructors |
  handle.hpp | Globally accessible relinkable pointer |
  index.hpp | Virtual base class for indexes |
  instrument.hpp | Abstract instrument class |
  interestrate.hpp | Instrument rate class |
  money.hpp | Cash amount in a given currency |
  numericalmethod.hpp | Numerical method class |
  option.hpp | Base option class |
  payoff.hpp | Option payoff classes |
  position.hpp | Short or long position |
  prices.hpp | Price classes |
  pricingengine.hpp | Base class for pricing engines |
  qldefines.hpp | Global definitions and compiler switches |
  quote.hpp | Purely virtual base class for market observables |
  settings.hpp | Global repository for run-time library settings |
  stochasticprocess.hpp | Stochastic processes |
  termstructure.hpp | Base class for term structures |
  timegrid.hpp | Discrete time grid |
  timeseries.hpp | Container for historical data |
  types.hpp | Custom types |
  version.hpp | Version number |
  volatilitymodel.hpp | Volatility term structures |