Classes | |
class | CashFlow |
Base class for cash flows. More... | |
class | AverageBMACoupon |
Average BMA coupon. More... | |
class | AverageBMALeg |
helper class building a sequence of average BMA coupons More... | |
class | CappedFlooredCoupon |
Capped and/or floored floating-rate coupon. More... | |
class | CappedFlooredYoYInflationCoupon |
Capped or floored inflation coupon. More... | |
class | CashFlows |
cashflow-analysis functions More... | |
class | CmsCoupon |
CMS coupon class. More... | |
class | CmsLeg |
helper class building a sequence of capped/floored cms-rate coupons More... | |
class | HaganPricer |
CMS-coupon pricer. More... | |
class | NumericHaganPricer |
CMS-coupon pricer. More... | |
class | AnalyticHaganPricer |
CMS-coupon pricer. More... | |
class | Coupon |
coupon accruing over a fixed period More... | |
class | FloatingRateCouponPricer |
generic pricer for floating-rate coupons More... | |
class | IborCouponPricer |
base pricer for capped/floored Ibor coupons More... | |
class | BlackIborCouponPricer |
Black-formula pricer for capped/floored Ibor coupons. More... | |
class | CmsCouponPricer |
base pricer for vanilla CMS coupons More... | |
class | CPICoupon |
Coupon paying the performance of a CPI (zero inflation) index More... | |
class | CPICashFlow |
Cash flow paying the performance of a CPI (zero inflation) index. More... | |
class | CPILeg |
Helper class building a sequence of capped/floored CPI coupons. More... | |
class | CPICouponPricer |
base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More... | |
class | DigitalCmsCoupon |
Cms-rate coupon with digital digital call/put option. More... | |
class | DigitalCmsLeg |
helper class building a sequence of digital ibor-rate coupons More... | |
class | DigitalCoupon |
Digital-payoff coupon. More... | |
class | DigitalIborCoupon |
Ibor rate coupon with digital digital call/put option. More... | |
class | DigitalIborLeg |
helper class building a sequence of digital ibor-rate coupons More... | |
class | Dividend |
Predetermined cash flow. More... | |
class | FixedDividend |
Predetermined cash flow. More... | |
class | FractionalDividend |
Predetermined cash flow. More... | |
struct | Duration |
duration type More... | |
class | FixedRateCoupon |
Coupon paying a fixed interest rate More... | |
class | FixedRateLeg |
helper class building a sequence of fixed rate coupons More... | |
class | FloatingRateCoupon |
base floating-rate coupon class More... | |
class | IborCoupon |
Coupon paying a Libor-type index More... | |
class | IborLeg |
helper class building a sequence of capped/floored ibor-rate coupons More... | |
class | IndexedCashFlow |
Cash flow dependent on an index ratio. More... | |
class | InflationCoupon |
Base inflation-coupon class. More... | |
class | InflationCouponPricer |
Base inflation-coupon pricer. More... | |
class | YoYInflationCouponPricer |
base pricer for capped/floored YoY inflation coupons More... | |
class | BlackYoYInflationCouponPricer |
Black-formula pricer for capped/floored yoy inflation coupons. More... | |
class | UnitDisplacedBlackYoYInflationCouponPricer |
Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More... | |
class | BachelierYoYInflationCouponPricer |
Bachelier-formula pricer for capped/floored yoy inflation coupons. More... | |
class | OvernightIndexedCoupon |
overnight coupon More... | |
class | OvernightLeg |
helper class building a sequence of overnight coupons More... | |
class | RangeAccrualLeg |
helper class building a sequence of range-accrual floating-rate coupons More... | |
struct | Replication |
Digital option replication strategy. More... | |
class | SimpleCashFlow |
Predetermined cash flow. More... | |
class | Redemption |
Bond redemption. More... | |
class | AmortizingPayment |
Amortizing payment. More... | |
class | TimeBasket |
Distribution over a number of dates. More... | |
class | YoYInflationCoupon |
Coupon paying a YoY-inflation type index More... | |
class | yoyInflationLeg |
class | ZARCurrency |
South-African rand. More... | |
class | ARSCurrency |
Argentinian peso. More... | |
class | BRLCurrency |
Brazilian real. More... | |
class | CADCurrency |
Canadian dollar. More... | |
class | CLPCurrency |
Chilean peso. More... | |
class | COPCurrency |
Colombian peso. More... | |
class | MXNCurrency |
Mexican peso. More... | |
class | PENCurrency |
Peruvian nuevo sol. More... | |
class | PEICurrency |
Peruvian inti. More... | |
class | PEHCurrency |
Peruvian sol. More... | |
class | TTDCurrency |
Trinidad & Tobago dollar. More... | |
class | USDCurrency |
U.S. dollar. More... | |
class | VEBCurrency |
Venezuelan bolivar. More... | |
class | BDTCurrency |
Bangladesh taka. More... | |
class | CNYCurrency |
Chinese yuan. More... | |
class | HKDCurrency |
Honk Kong dollar. More... | |
class | ILSCurrency |
Israeli shekel. More... | |
class | INRCurrency |
Indian rupee. More... | |
class | IQDCurrency |
Iraqi dinar. More... | |
class | IRRCurrency |
Iranian rial. More... | |
class | JPYCurrency |
Japanese yen. More... | |
class | KRWCurrency |
South-Korean won. More... | |
class | KWDCurrency |
Kuwaiti dinar. More... | |
class | NPRCurrency |
Nepal rupee. More... | |
class | PKRCurrency |
Pakistani rupee. More... | |
class | SARCurrency |
Saudi riyal. More... | |
class | SGDCurrency |
Singapore dollar More... | |
class | THBCurrency |
Thai baht. More... | |
class | TWDCurrency |
Taiwan dollar More... | |
class | BGLCurrency |
Bulgarian lev. More... | |
class | BYRCurrency |
Belarussian ruble. More... | |
class | CHFCurrency |
Swiss franc. More... | |
class | CYPCurrency |
Cyprus pound. More... | |
class | CZKCurrency |
Czech koruna. More... | |
class | DKKCurrency |
Danish krone. More... | |
class | EEKCurrency |
Estonian kroon. More... | |
class | EURCurrency |
European Euro. More... | |
class | GBPCurrency |
British pound sterling. More... | |
class | HUFCurrency |
Hungarian forint. More... | |
class | ISKCurrency |
Icelandic krona. More... | |
class | LTLCurrency |
Lithuanian litas. More... | |
class | LVLCurrency |
Latvian lat. More... | |
class | MTLCurrency |
Maltese lira. More... | |
class | NOKCurrency |
Norwegian krone. More... | |
class | PLNCurrency |
Polish zloty. More... | |
class | ROLCurrency |
Romanian leu. More... | |
class | RONCurrency |
Romanian new leu. More... | |
class | SEKCurrency |
Swedish krona. More... | |
class | SITCurrency |
Slovenian tolar. More... | |
class | SKKCurrency |
Slovak koruna. More... | |
class | TRLCurrency |
Turkish lira. More... | |
class | TRYCurrency |
New Turkish lira. More... | |
class | ATSCurrency |
Austrian shilling. More... | |
class | BEFCurrency |
Belgian franc. More... | |
class | DEMCurrency |
Deutsche mark. More... | |
class | ESPCurrency |
Spanish peseta. More... | |
class | FIMCurrency |
Finnish markka. More... | |
class | FRFCurrency |
French franc. More... | |
class | GRDCurrency |
Greek drachma. More... | |
class | IEPCurrency |
Irish punt. More... | |
class | ITLCurrency |
Italian lira. More... | |
class | LUFCurrency |
Luxembourg franc. More... | |
class | NLGCurrency |
Dutch guilder. More... | |
class | PTECurrency |
Portuguese escudo. More... | |
class | ExchangeRateManager |
exchange-rate repository More... | |
class | AUDCurrency |
Australian dollar. More... | |
class | NZDCurrency |
New Zealand dollar. More... | |
class | Currency |
Currency specification More... | |
struct | Protection |
information on a default-protection contract More... | |
class | DiscretizedAsset |
Discretized asset class used by numerical methods. More... | |
class | DiscretizedDiscountBond |
Useful discretized discount bond asset. More... | |
class | DiscretizedOption |
Discretized option on a given asset. More... | |
class | Error |
Base error class. More... | |
class | Event |
Base class for event. More... | |
class | ExchangeRate |
exchange rate between two currencies More... | |
class | Exercise |
Base exercise class. More... | |
class | EarlyExercise |
Early-exercise base class. More... | |
class | AmericanExercise |
American exercise. More... | |
class | BermudanExercise |
Bermudan exercise. More... | |
class | EuropeanExercise |
European exercise. More... | |
class | AmortizingCmsRateBond |
amortizing CMS-rate bond More... | |
class | AmortizingFixedRateBond |
amortizing fixed-rate bond More... | |
class | AmortizingFloatingRateBond |
amortizing floating-rate bond (possibly capped and/or floored) More... | |
class | PerturbativeBarrierOptionEngine |
perturbative barrier-option engine More... | |
class | BlackCallableFixedRateBondEngine |
Black-formula callable fixed rate bond engine. More... | |
class | BlackCallableZeroCouponBondEngine |
Black-formula callable zero coupon bond engine. More... | |
class | CallableBond |
Callable bond base class. More... | |
class | CallableFixedRateBond |
callable/puttable fixed rate bond More... | |
class | CallableZeroCouponBond |
callable/puttable zero coupon bond More... | |
class | CallableBondConstantVolatility |
Constant callable-bond volatility, no time-strike dependence. More... | |
class | CallableBondVolatilityStructure |
Callable-bond volatility structure. More... | |
class | TreeCallableFixedRateBondEngine |
Numerical lattice engine for callable fixed rate bonds. More... | |
class | TreeCallableZeroCouponBondEngine |
Numerical lattice engine for callable zero coupon bonds. More... | |
class | Commodity |
Commodity base class. More... | |
class | CommodityCurve |
Commodity term structure. More... | |
class | CommodityIndex |
base class for commodity indexes More... | |
class | CommodityPricingHelper |
commodity index helper More... | |
class | CommoditySettings |
global repository for run-time library settings More... | |
class | CommodityType |
commodity type More... | |
class | DateInterval |
Date interval described by a number of a given time unit. More... | |
class | EnergyBasisSwap |
Energy basis swap. More... | |
class | EnergyCommodity |
Energy commodity class. More... | |
class | EnergyFuture |
Energy future. More... | |
class | EnergyVanillaSwap |
Vanilla energy swap. More... | |
class | PricingPeriod |
Time pricingperiod described by a number of a given time unit. More... | |
class | Quantity |
Amount of a commodity. More... | |
class | UnitOfMeasure |
Unit of measure specification More... | |
class | UnitOfMeasureConversionManager |
repository of conversion factors between units of measure More... | |
class | AnalyticCompoundOptionEngine |
Pricing engine for compound options using analytical formulae. More... | |
class | CompoundOption |
Compound option on a single asset. More... | |
class | BinomialConvertibleEngine |
Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... | |
class | SoftCallability |
callability leaving to the holder the possibility to convert More... | |
class | ConvertibleBond |
base class for convertible bonds More... | |
class | ConvertibleZeroCouponBond |
convertible zero-coupon bond More... | |
class | ConvertibleFixedCouponBond |
convertible fixed-coupon bond More... | |
class | ConvertibleFloatingRateBond |
convertible floating-rate bond More... | |
class | TsiveriotisFernandesLattice |
Binomial lattice approximating the Tsiveriotis-Fernandes model. More... | |
class | ProxyIbor |
IborIndex calculated as proxy of some other IborIndex. More... | |
class | Basket |
class | BlackCdsOptionEngine |
Black-formula CDS-option engine. More... | |
class | CDO |
collateralized debt obligation More... | |
class | CdsOption |
CDS option. More... | |
class | DefaultEvent |
Credit event on a bond of a certain seniority(ies)/currency. More... | |
class | DefaultProbKey |
class | NorthAmericaCorpDefaultKey |
ISDA standard default contractual key for corporate US debt. More... | |
struct | AtomicDefault |
Atomic (single contractual event) default events. More... | |
struct | Restructuring |
Restructuring type. More... | |
class | DefaultType |
Atomic credit-event type. More... | |
class | FailureToPay |
Failure to Pay atomic event type. More... | |
class | FactorSpreadedHazardRateCurve |
Default-probability structure with a multiplicative spread on hazard rates. More... | |
class | LossDist |
Probability formulas and algorithms. More... | |
class | ProbabilityOfNEvents |
Probability of N events. More... | |
class | ProbabilityOfAtLeastNEvents |
Probability of at least N events. More... | |
class | BinomialProbabilityOfAtLeastNEvents |
Probability of at least N events. More... | |
class | LossDistBinomial |
Binomial loss distribution. More... | |
class | LossDistHomogeneous |
Loss Distribution for Homogeneous Pool. More... | |
class | LossDistBucketing |
Loss distribution with Hull-White bucketing. More... | |
class | LossDistMonteCarlo |
Loss distribution with Monte Carlo simulation. More... | |
class | NthToDefault |
N-th to default swap. More... | |
class | OneFactorCopula |
Abstract base class for one-factor copula models. More... | |
class | OneFactorGaussianCopula |
One-factor Gaussian Copula. More... | |
class | OneFactorStudentCopula |
One-factor Double Student t-Copula. More... | |
class | OneFactorGaussianStudentCopula |
One-factor Gaussian-Student t-Copula. More... | |
class | OneFactorStudentGaussianCopula |
One-factor Student t - Gaussian Copula. More... | |
class | RandomDefaultModel |
Base class for random default models. More... | |
class | GaussianRandomDefaultModel |
class | RecoveryRateModel |
class | ConstantRecoveryModel |
class | RecoveryRateQuote |
Stores a recovery rate market quote and the associated seniority. More... | |
class | RecursiveCdoEngine |
class | GaussianRecursiveCdoEngine |
Specialization for Gaussian copula, the integration still remains. More... | |
class | RiskyAssetSwap |
Risky asset-swap instrument. More... | |
class | RiskyAssetSwapOption |
Option on risky asset swap More... | |
class | RiskyBond |
class | RiskyFixedBond |
class | RiskyFloatingBond |
class | SpreadedHazardRateCurve |
Default-probability structure with an additive spread on hazard rates. More... | |
class | SyntheticCDO |
Synthetic Collateralized Debt Obligation. More... | |
class | MidPointCDOEngine |
CDO base engine taking schedule steps. More... | |
class | IntegralCDOEngine |
CDO base engine taking (possibly) small time steps. More... | |
class | MonteCarloCDOEngine1 |
CDO engine, Monte Carlo for the exptected tranche loss distribution. More... | |
class | MonteCarloCDOEngine2 |
CDO engine, Monte Carlo for the sample payoff. More... | |
class | HomogeneousPoolCDOEngine |
CDO engine, loss distribution convolution for finite homogeneous pool. More... | |
class | InhomogeneousPoolCDOEngine |
CDO engine, loss disctribution bucketing for finite inhomogeneous pool. More... | |
class | GaussianLHPCDOEngine |
class | AnalyticAmericanMargrabeEngine |
Analytic engine for American Margrabe option. More... | |
class | AnalyticEuropeanMargrabeEngine |
Analytic engine for European Margrabe option. More... | |
class | AnalyticSimpleChooserEngine |
Pricing engine for European Simple Chooser option. More... | |
class | AnalyticWriterExtensibleOptionEngine |
Analytic engine for writer-extensible options. More... | |
class | HimalayaOption |
Himalaya option. More... | |
class | KirkSpreadOptionEngine |
Kirk approximation for European spread option on futures. More... | |
class | MargrabeOption |
Margrabe option on two assets. More... | |
class | MakeMCEverestEngine |
Monte Carlo Everest-option engine factory. More... | |
class | MakeMCHimalayaEngine |
Monte Carlo Himalaya-option engine factory. More... | |
class | MCPagodaEngine |
Pricing engine for pagoda options using Monte Carlo simulation. More... | |
class | MakeMCPagodaEngine |
Monte Carlo pagoda-option engine factory. More... | |
class | PagodaOption |
Roofed Asian option on a number of assets. More... | |
class | SimpleChooserOption |
Simple chooser option. More... | |
class | SpreadOption |
Spread option on two assets. More... | |
class | WriterExtensibleOption |
Writer-extensible option. More... | |
class | FdmExtOUJumpOp |
class | FdmKlugeExtOUOp |
class | BlackDeltaCalculator |
Black delta calculator class. More... | |
class | DeltaVolQuote |
Class for the quotation of delta vs vol. More... | |
class | InterpolatingCPICapFloorEngine |
class | CPICapFloorTermPriceSurface |
Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More... | |
class | GenericRegion |
Generic geographical/economic region. More... | |
class | GenericCPI |
Generic CPI index. More... | |
class | YYGenericCPI |
Genuine year-on-year Generic CPI (i.e. not a ratio) More... | |
class | YYGenericCPIr |
Fake year-on-year GenericCPI (i.e. a ratio) More... | |
class | InterpolatedYoYOptionletStripper |
class | KInterpolatedYoYOptionletVolatilitySurface |
K-interpolated YoY optionlet volatility. More... | |
class | YoYInflationVolatilityTraits |
traits for inflation-volatility bootstrap More... | |
class | PiecewiseYoYOptionletVolatilityCurve |
Piecewise year-on-year inflation volatility term structure. More... | |
class | Polynomial2DSpline |
polynomial2D-spline interpolation between discrete points More... | |
class | Polynomial |
polynomial2D-spline-interpolation factory More... | |
class | YoYCapFloorTermPriceSurface |
Abstract base class, inheriting from InflationTermStructure. More... | |
class | InterpolatedYoYOptionletVolatilityCurve |
Interpolated flat smile surface. More... | |
class | YoYOptionletHelper |
Year-on-year inflation-volatility bootstrap helper. More... | |
class | YoYOptionletStripper |
Interface for inflation cap stripping, i.e. from price surfaces. More... | |
class | ExtendedBinomialTree |
Binomial tree base class. More... | |
class | ExtendedEqualProbabilitiesBinomialTree |
Base class for equal probabilities binomial tree. More... | |
class | ExtendedEqualJumpsBinomialTree |
Base class for equal jumps binomial tree. More... | |
class | ExtendedJarrowRudd |
Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More... | |
class | ExtendedCoxRossRubinstein |
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More... | |
class | ExtendedAdditiveEQPBinomialTree |
Additive equal probabilities binomial tree. More... | |
class | ExtendedTrigeorgis |
Trigeorgis (additive equal jumps) binomial tree More... | |
class | ExtendedTian |
Tian tree: third moment matching, multiplicative approach More... | |
class | ExtendedLeisenReimer |
Leisen & Reimer tree: multiplicative approach. More... | |
class | ClaytonCopulaRng |
Clayton copula random-number generator. More... | |
class | FarlieGumbelMorgensternCopulaRng |
Farlie-Gumbel-Morgenstern copula random-number generator. More... | |
class | FastFourierTransform |
FFT implementation. More... | |
class | FrankCopulaRng |
Frank copula random-number generator. More... | |
class | ZigguratRng |
Ziggurat random-number generator. More... | |
class | LongstaffSchwartzMultiPathPricer |
Longstaff-Schwarz path pricer for early exercise options. More... | |
class | MCAmericanPathEngine |
least-square Monte Carlo engine More... | |
class | MakeMCAmericanPathEngine |
Monte Carlo American basket-option engine factory. More... | |
class | MCLongstaffSchwartzPathEngine |
Longstaff-Schwarz Monte Carlo engine for early exercise options. More... | |
class | MCPathBasketEngine |
Pricing engine for path dependent basket options using. More... | |
class | MakeMCPathBasketEngine |
Monte Carlo Path Basket engine factory. More... | |
class | PathMultiAssetOption |
Base class for path-dependent options on multiple assets. More... | |
class | PathPayoff |
Abstract base class for path-dependent option payoffs. More... | |
class | ExtendedBlackScholesMertonProcess |
experimental Black-Scholes-Merton stochastic process More... | |
class | ExtendedOrnsteinUhlenbeckProcess |
Extended Ornstein-Uhlenbeck process class. More... | |
class | ExtOUWithJumpsProcess |
class | GemanRoncoroniProcess |
Geman-Roncoroni process class. More... | |
class | KlugeExtOUProcess |
class | VegaStressedBlackScholesProcess |
Black-Scholes process which supports local vega stress tests. More... | |
class | GeneralizedHullWhite |
Generalized Hull-White model class. More... | |
class | GeneralizedOrnsteinUhlenbeckProcess |
Piecewise linear Ornstein-Uhlenbeck process class. More... | |
class | VarianceGammaEngine |
Variance Gamma Pricing engine for European vanilla options using integral approach. More... | |
class | FFTEngine |
Base class for FFT pricing engines for European vanilla options. More... | |
class | FFTVanillaEngine |
FFT Pricing engine vanilla options under a Black Scholes process. More... | |
class | FFTVarianceGammaEngine |
FFT engine for vanilla options under a Variance Gamma process. More... | |
class | VarianceGammaModel |
Variance Gamma model. More... | |
class | VarianceGammaProcess |
Variance gamma process. More... | |
class | IntegralHestonVarianceOptionEngine |
integral Heston-model variance-option engine More... | |
class | VarianceOption |
Variance option. More... | |
class | AbcdAtmVolCurve |
Abcd-interpolated at-the-money (no-smile) volatility curve. More... | |
class | BlackAtmVolCurve |
Black at-the-money (no-smile) volatility curve. More... | |
class | BlackVolSurface |
Black volatility (smile) surface. More... | |
class | EquityFXVolSurface |
Equity/FX volatility (smile) surface. More... | |
class | ExtendedBlackVarianceCurve |
Black volatility curve modelled as variance curve. More... | |
class | ExtendedBlackVarianceSurface |
Black volatility surface modelled as variance surface. More... | |
class | InterestRateVolSurface |
Interest rate volatility (smile) surface. More... | |
class | SabrVolSurface |
SABR volatility (smile) surface. More... | |
class | Handle |
Shared handle to an observable. More... | |
class | RelinkableHandle |
Relinkable handle to an observable. More... | |
class | Index |
purely virtual base class for indexes More... | |
class | BMAIndex |
Bond Market Association index. More... | |
class | AUDLibor |
AUD LIBOR rate More... | |
class | CADLibor |
CAD LIBOR rate More... | |
class | CADLiborON |
Overnight CAD Libor index. More... | |
class | Cdor |
CDOR rate More... | |
class | CHFLibor |
CHF LIBOR rate More... | |
class | DailyTenorCHFLibor |
base class for the one day deposit BBA CHF LIBOR indexes More... | |
class | DKKLibor |
DKK LIBOR rate More... | |
class | Eonia |
Eonia (Euro Overnight Index Average) rate fixed by the ECB. More... | |
class | Euribor |
Euribor index More... | |
class | Euribor365 |
Actual/365 Euribor index. More... | |
class | EuriborSW |
1-week Euribor index More... | |
class | Euribor2W |
2-weeks Euribor index More... | |
class | Euribor3W |
3-weeks Euribor index More... | |
class | Euribor1M |
1-month Euribor index More... | |
class | Euribor2M |
2-months Euribor index More... | |
class | Euribor3M |
3-months Euribor index More... | |
class | Euribor4M |
4-months Euribor index More... | |
class | Euribor5M |
5-months Euribor index More... | |
class | Euribor6M |
6-months Euribor index More... | |
class | Euribor7M |
7-months Euribor index More... | |
class | Euribor8M |
8-months Euribor index More... | |
class | Euribor9M |
9-months Euribor index More... | |
class | Euribor10M |
10-months Euribor index More... | |
class | Euribor11M |
11-months Euribor index More... | |
class | Euribor1Y |
1-year Euribor index More... | |
class | Euribor365_SW |
1-week Euribor365 index More... | |
class | Euribor365_2W |
2-weeks Euribor365 index More... | |
class | Euribor365_3W |
3-weeks Euribor365 index More... | |
class | Euribor365_1M |
1-month Euribor365 index More... | |
class | Euribor365_2M |
2-months Euribor365 index More... | |
class | Euribor365_3M |
3-months Euribor365 index More... | |
class | Euribor365_4M |
4-months Euribor365 index More... | |
class | Euribor365_5M |
5-months Euribor365 index More... | |
class | Euribor365_6M |
6-months Euribor365 index More... | |
class | Euribor365_7M |
7-months Euribor365 index More... | |
class | Euribor365_8M |
8-months Euribor365 index More... | |
class | Euribor365_9M |
9-months Euribor365 index More... | |
class | Euribor365_10M |
10-months Euribor365 index More... | |
class | Euribor365_11M |
11-months Euribor365 index More... | |
class | Euribor365_1Y |
1-year Euribor365 index More... | |
class | EURLibor |
base class for all BBA EUR LIBOR indexes but the O/N More... | |
class | DailyTenorEURLibor |
base class for the one day deposit BBA EUR LIBOR indexes More... | |
class | EURLiborON |
Overnight EUR Libor index. More... | |
class | EURLiborSW |
1-week EUR Libor index More... | |
class | EURLibor2W |
2-weeks EUR Libor index More... | |
class | EURLibor1M |
1-month EUR Libor index More... | |
class | EURLibor2M |
2-months EUR Libor index More... | |
class | EURLibor3M |
3-months EUR Libor index More... | |
class | EURLibor4M |
4-months EUR Libor index More... | |
class | EURLibor5M |
5-months EUR Libor index More... | |
class | EURLibor6M |
6-months EUR Libor index More... | |
class | EURLibor7M |
7-months EUR Libor index More... | |
class | EURLibor8M |
8-months EUR Libor index More... | |
class | EURLibor9M |
9-months EUR Libor index More... | |
class | EURLibor10M |
10-months EUR Libor index More... | |
class | EURLibor11M |
11-months EUR Libor index More... | |
class | EURLibor1Y |
1-year EUR Libor index More... | |
class | GBPLibor |
GBP LIBOR rate More... | |
class | DailyTenorGBPLibor |
base class for the one day deposit BBA GBP LIBOR indexes More... | |
class | GBPLiborON |
Overnight GBP Libor index. More... | |
class | Jibar |
JIBAR rate More... | |
class | JPYLibor |
JPY LIBOR rate More... | |
class | DailyTenorJPYLibor |
base class for the one day deposit BBA JPY LIBOR indexes More... | |
class | Libor |
base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones More... | |
class | DailyTenorLibor |
base class for all O/N-S/N BBA LIBOR indexes but the EUR ones More... | |
class | NZDLibor |
NZD LIBOR rate More... | |
class | SEKLibor |
SEK LIBOR rate More... | |
class | Sonia |
Sonia (Sterling Overnight Index Average) rate. More... | |
class | Tibor |
JPY TIBOR index More... | |
class | TRLibor |
TRY LIBOR rate More... | |
class | USDLibor |
USD LIBOR rate More... | |
class | DailyTenorUSDLibor |
base class for the one day deposit BBA USD LIBOR indexes More... | |
class | USDLiborON |
Overnight USD Libor index. More... | |
class | Zibor |
CHF ZIBOR rate More... | |
class | IborIndex |
base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More... | |
class | IndexManager |
global repository for past index fixings More... | |
class | AUCPI |
AU CPI index (either quarterly or annual) More... | |
class | YYAUCPI |
Genuine year-on-year AU CPI (i.e. not a ratio) More... | |
class | YYAUCPIr |
Fake year-on-year AUCPI (i.e. a ratio) More... | |
class | EUHICP |
EU HICP index. More... | |
class | EUHICPXT |
EU HICPXT index. More... | |
class | YYEUHICP |
Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) More... | |
class | YYEUHICPXT |
Genuine year-on-year EU HICPXT. More... | |
class | YYEUHICPr |
Fake year-on-year EU HICP (i.e. a ratio of EU HICP) More... | |
class | FRHICP |
FR HICP index. More... | |
class | YYFRHICP |
Genuine year-on-year FR HICP (i.e. not a ratio) More... | |
class | YYFRHICPr |
Fake year-on-year FR HICP (i.e. a ratio) More... | |
class | UKRPI |
UK Retail Price Inflation Index. More... | |
class | YYUKRPI |
Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) More... | |
class | YYUKRPIr |
Fake year-on-year UK RPI (i.e. a ratio of UK RPI) More... | |
class | USCPI |
US CPI index. More... | |
class | YYUSCPI |
Genuine year-on-year US CPI (i.e. not a ratio of US CPI) More... | |
class | YYUSCPIr |
Fake year-on-year US CPI (i.e. a ratio of US CPI) More... | |
class | InflationIndex |
Base class for inflation-rate indexes,. More... | |
class | ZeroInflationIndex |
Base class for zero inflation indices. More... | |
class | YoYInflationIndex |
Base class for year-on-year inflation indices. More... | |
class | InterestRateIndex |
base class for interest rate indexes More... | |
class | Region |
Region class, used for inflation applicability. More... | |
class | AustraliaRegion |
Australia as geographical/economic region. More... | |
class | EURegion |
European Union as geographical/economic region. More... | |
class | FranceRegion |
France as geographical/economic region. More... | |
class | UKRegion |
United Kingdom as geographical/economic region. More... | |
class | USRegion |
USA as geographical/economic region. More... | |
class | ChfLiborSwapIsdaFix |
ChfLiborSwapIsdaFix index base class More... | |
class | EuriborSwapIsdaFixA |
EuriborSwapIsdaFixA index base class More... | |
class | EuriborSwapIsdaFixB |
EuriborSwapIsdaFixB index base class More... | |
class | EuriborSwapIfrFix |
EuriborSwapIfrFix index base class More... | |
class | EurLiborSwapIsdaFixA |
EurLiborSwapIsdaFixA index base class More... | |
class | EurLiborSwapIsdaFixB |
EurLiborSwapIsdaFixB index base class More... | |
class | EurLiborSwapIfrFix |
EurLiborSwapIfrFix index base class More... | |
class | GbpLiborSwapIsdaFix |
GbpLiborSwapIsdaFix index base class More... | |
class | JpyLiborSwapIsdaFixAm |
JpyLiborSwapIsdaFixAm index base class More... | |
class | JpyLiborSwapIsdaFixPm |
JpyLiborSwapIsdaFixPm index base class More... | |
class | UsdLiborSwapIsdaFixAm |
UsdLiborSwapIsdaFixAm index base class More... | |
class | UsdLiborSwapIsdaFixPm |
UsdLiborSwapIsdaFixPm index base class More... | |
class | SwapIndex |
base class for swap-rate indexes More... | |
class | OvernightIndexedSwapIndex |
base class for overnight indexed swap indexes More... | |
class | Instrument |
Abstract instrument class. More... | |
class | ContinuousAveragingAsianOption |
Continuous-averaging Asian option. More... | |
class | DiscreteAveragingAsianOption |
Discrete-averaging Asian option. More... | |
class | AssetSwap |
Bullet bond vs Libor swap. More... | |
struct | Average |
Placeholder for enumerated averaging types. More... | |
class | BarrierOption |
Barrier option on a single asset. More... | |
struct | Barrier |
Placeholder for enumerated barrier types. More... | |
class | BasketOption |
Basket option on a number of assets. More... | |
class | BMASwap |
swap paying Libor against BMA coupons More... | |
class | Bond |
Base bond class. More... | |
class | CCTEU |
class | BTP |
Italian BTP (Buono Poliennali del Tesoro) fixed rate bond. More... | |
class | RendistatoEquivalentSwapLengthQuote |
RendistatoCalculator equivalent swap lenth Quote adapter. More... | |
class | RendistatoEquivalentSwapSpreadQuote |
RendistatoCalculator equivalent swap spread Quote adapter. More... | |
class | CmsRateBond |
CMS-rate bond. More... | |
class | CPIBond |
class | FixedRateBond |
fixed-rate bond More... | |
class | FloatingRateBond |
floating-rate bond (possibly capped and/or floored) More... | |
class | ZeroCouponBond |
zero-coupon bond More... | |
class | Callability |
instrument callability More... | |
class | CapFloor |
Base class for cap-like instruments. More... | |
class | Cap |
Concrete cap class. More... | |
class | Floor |
Concrete floor class. More... | |
class | Collar |
Concrete collar class. More... | |
class | Claim |
Claim associated to a default event. More... | |
class | FaceValueClaim |
Claim on a notional. More... | |
class | FaceValueAccrualClaim |
Claim on the notional of a reference security, including accrual. More... | |
class | CliquetOption |
cliquet (Ratchet) option More... | |
class | CompositeInstrument |
Composite instrument More... | |
class | CPICapFloor |
CPI cap or floor. More... | |
class | CPISwap |
zero-inflation-indexed swap, More... | |
class | CreditDefaultSwap |
Credit default swap. More... | |
class | DividendBarrierOption |
Single-asset barrier option with discrete dividends. More... | |
class | DividendVanillaOption |
Single-asset vanilla option (no barriers) with discrete dividends. More... | |
class | EuropeanOption |
European option on a single asset. More... | |
class | FixedRateBondForward |
Forward contract on a fixed-rate bond More... | |
class | Forward |
Abstract base forward class. More... | |
class | ForwardTypePayoff |
Class for forward type payoffs. More... | |
class | ForwardOptionArguments |
Arguments for forward (strike-resetting) option calculation More... | |
class | ForwardVanillaOption |
Forward version of a vanilla option More... | |
class | YoYInflationCapFloor |
Base class for yoy inflation cap-like instruments. More... | |
class | YoYInflationCap |
Concrete YoY Inflation cap class. More... | |
class | YoYInflationFloor |
Concrete YoY Inflation floor class. More... | |
class | YoYInflationCollar |
Concrete YoY Inflation collar class. More... | |
class | ContinuousFloatingLookbackOption |
Continuous-floating lookback option. More... | |
class | ContinuousFixedLookbackOption |
Continuous-fixed lookback option. More... | |
class | MakeCapFloor |
helper class More... | |
class | MakeCms |
helper class for instantiating CMS More... | |
class | MakeOIS |
helper class More... | |
class | MakeSwaption |
helper class More... | |
class | MakeVanillaSwap |
helper class More... | |
class | MakeYoYInflationCapFloor |
helper class More... | |
class | MultiAssetOption |
Base class for options on multiple assets. More... | |
class | OneAssetOption |
Base class for options on a single asset. More... | |
class | OvernightIndexedSwap |
Overnight indexed swap: fix vs compounded overnight rate. More... | |
class | NullPayoff |
Dummy payoff class. More... | |
class | TypePayoff |
Intermediate class for put/call payoffs. More... | |
class | FloatingTypePayoff |
Payoff based on a floating strike More... | |
class | StrikedTypePayoff |
Intermediate class for payoffs based on a fixed strike. More... | |
class | PlainVanillaPayoff |
Plain-vanilla payoff. More... | |
class | PercentageStrikePayoff |
Payoff with strike expressed as percentage More... | |
class | AssetOrNothingPayoff |
Binary asset-or-nothing payoff. More... | |
class | CashOrNothingPayoff |
Binary cash-or-nothing payoff. More... | |
class | GapPayoff |
Binary gap payoff. More... | |
class | SuperFundPayoff |
Binary supershare and superfund payoffs. More... | |
class | SuperSharePayoff |
Binary supershare payoff. More... | |
class | QuantoBarrierOption |
Quanto version of a barrier option. More... | |
class | QuantoForwardVanillaOption |
Quanto version of a forward vanilla option. More... | |
class | QuantoOptionResults |
Results from quanto option calculation More... | |
class | QuantoVanillaOption |
quanto version of a vanilla option More... | |
class | DoubleStickyRatchetPayoff |
Intermediate class for single/double sticky/ratchet payoffs. More... | |
class | RatchetPayoff |
Ratchet payoff (single option) More... | |
class | StickyPayoff |
Sticky payoff (single option) More... | |
class | RatchetMaxPayoff |
RatchetMax payoff (double option) More... | |
class | RatchetMinPayoff |
RatchetMin payoff (double option) More... | |
class | StickyMaxPayoff |
StickyMax payoff (double option) More... | |
class | StickyMinPayoff |
StickyMin payoff (double option) More... | |
class | Stock |
Simple stock class. More... | |
class | Swap |
Interest rate swap. More... | |
struct | Settlement |
settlement information More... | |
class | Swaption |
Swaption class More... | |
class | VanillaOption |
Vanilla option (no discrete dividends, no barriers) on a single asset. More... | |
class | VanillaStorageOption |
base option class More... | |
class | VanillaSwap |
Plain-vanilla swap: fix vs floating leg. More... | |
class | SwingExercise |
Swing exercise. More... | |
class | VanillaSwingOption |
base option class More... | |
class | VarianceSwap |
Variance swap. More... | |
class | YearOnYearInflationSwap |
Year-on-year inflation-indexed swap. More... | |
class | ZeroCouponInflationSwap |
Zero-coupon inflation-indexed swap. More... | |
class | InterestRate |
Concrete interest rate class. More... | |
class | LfmCovarianceParameterization |
Libor market model parameterization More... | |
class | LfmCovarianceProxy |
proxy for a libor forward model covariance parameterization More... | |
class | LfmHullWhiteParameterization |
Libor market model parameterization based on Hull White paper More... | |
class | LiborForwardModelProcess |
libor-forward-model process More... | |
class | LfmSwaptionEngine |
Libor forward model swaption engine based on Black formula More... | |
class | LiborForwardModel |
Libor forward model More... | |
class | LmConstWrapperVolatilityModel |
caplet const volatility model More... | |
class | LmCorrelationModel |
libor forward correlation model More... | |
class | LmExponentialCorrelationModel |
exponential correlation model More... | |
class | LmExtLinearExponentialVolModel |
extended linear exponential volatility model More... | |
class | LmLinearExponentialCorrelationModel |
linear exponential correlation model More... | |
class | LmLinearExponentialVolatilityModel |
linear exponential volatility model More... | |
class | LmVolatilityModel |
caplet volatility model More... | |
class | Array |
1-D array used in linear algebra. More... | |
class | Null< Array > |
specialization of null template for this class More... | |
class | BernsteinPolynomial |
class of Bernstein polynomials More... | |
class | BSpline |
B-spline basis functions. More... | |
class | AliMikhailHaqCopula |
Ali-Mikhail-Haq copula. More... | |
class | ClaytonCopula |
Clayton copula. More... | |
class | FarlieGumbelMorgensternCopula |
Farlie-Gumbel-Morgenstern copula. More... | |
class | FrankCopula |
Frank copula. More... | |
class | GalambosCopula |
Galambos copula. More... | |
class | GaussianCopula |
Gaussian copula. More... | |
class | GumbelCopula |
Gumbel copula. More... | |
class | HuslerReissCopula |
Husler-Reiss copula. More... | |
class | IndependentCopula |
independent copula More... | |
class | MarshallOlkinCopula |
Marshall-Olkin copula. More... | |
class | MaxCopula |
max copula More... | |
class | MinCopula |
min copula More... | |
class | PlackettCopula |
Plackett copula. More... | |
class | Curve |
abstract curve class More... | |
class | BinomialDistribution |
Binomial probability distribution function. More... | |
class | CumulativeBinomialDistribution |
Cumulative binomial distribution function. More... | |
class | BivariateCumulativeNormalDistributionDr78 |
Cumulative bivariate normal distribution function. More... | |
class | BivariateCumulativeNormalDistributionWe04DP |
Cumulative bivariate normal distibution function (West 2004) More... | |
class | GammaFunction |
Gamma function class. More... | |
class | NormalDistribution |
Normal distribution function. More... | |
class | CumulativeNormalDistribution |
Cumulative normal distribution function. More... | |
class | InverseCumulativeNormal |
Inverse cumulative normal distribution function. More... | |
class | MoroInverseCumulativeNormal |
Moro Inverse cumulative normal distribution class. More... | |
class | PoissonDistribution |
Poisson distribution function. More... | |
class | CumulativePoissonDistribution |
Cumulative Poisson distribution function. More... | |
class | InverseCumulativePoisson |
Inverse cumulative Poisson distribution function. More... | |
class | StudentDistribution |
Student t-distribution. More... | |
class | CumulativeStudentDistribution |
Cumulative Student t-distribution. More... | |
class | InverseCumulativeStudent |
Inverse cumulative Student t-distribution. More... | |
class | Domain |
domain abstract lcass More... | |
class | ErrorFunction |
Error function More... | |
class | Factorial |
Factorial numbers calculator More... | |
class | GeneralLinearLeastSquares |
general linear least squares regression More... | |
class | GaussianOrthogonalPolynomial |
orthogonal polynomial for Gaussian quadratures More... | |
class | GaussLaguerrePolynomial |
Gauss-Laguerre polynomial. More... | |
class | GaussHermitePolynomial |
Gauss-Hermite polynomial. More... | |
class | GaussJacobiPolynomial |
Gauss-Jacobi polynomial. More... | |
class | GaussLegendrePolynomial |
Gauss-Legendre polynomial. More... | |
class | GaussChebyshevPolynomial |
Gauss-Chebyshev polynomial. More... | |
class | GaussChebyshev2ndPolynomial |
Gauss-Chebyshev polynomial (second kind) More... | |
class | GaussGegenbauerPolynomial |
Gauss-Gegenbauer polynomial. More... | |
class | GaussHyperbolicPolynomial |
Gauss hyperbolic polynomial. More... | |
class | GaussianQuadrature |
Integral of a 1-dimensional function using the Gauss quadratures method. More... | |
class | GaussLaguerreIntegration |
generalized Gauss-Laguerre integration More... | |
class | GaussHermiteIntegration |
generalized Gauss-Hermite integration More... | |
class | GaussJacobiIntegration |
Gauss-Jacobi integration. More... | |
class | GaussHyperbolicIntegration |
Gauss-Hyperbolic integration. More... | |
class | GaussLegendreIntegration |
Gauss-Legendre integration. More... | |
class | GaussChebyshevIntegration |
Gauss-Chebyshev integration. More... | |
class | GaussChebyshev2ndIntegration |
Gauss-Chebyshev integration (second kind) More... | |
class | GaussGegenbauerIntegration |
Gauss-Gegenbauer integration. More... | |
class | TabulatedGaussLegendre |
tabulated Gauss-Legendre quadratures More... | |
class | GaussLobattoIntegral |
Integral of a one-dimensional function. More... | |
class | GaussKronrodNonAdaptive |
Integral of a 1-dimensional function using the Gauss-Kronrod methods. More... | |
class | GaussKronrodAdaptive |
Integral of a 1-dimensional function using the Gauss-Kronrod methods. More... | |
class | SegmentIntegral |
Integral of a one-dimensional function. More... | |
class | SimpsonIntegral |
Integral of a one-dimensional function. More... | |
class | TrapezoidIntegral |
Integral of a one-dimensional function. More... | |
class | Interpolation |
base class for 1-D interpolations. More... | |
class | BackwardFlatInterpolation |
Backward-flat interpolation between discrete points. More... | |
class | BackwardFlat |
Backward-flat interpolation factory and traits. More... | |
class | BicubicSpline |
bicubic-spline interpolation between discrete points More... | |
class | Bicubic |
bicubic-spline-interpolation factory More... | |
class | BilinearInterpolation |
bilinear interpolation between discrete points More... | |
class | Bilinear |
bilinear-interpolation factory More... | |
class | ConvexMonotoneInterpolation |
Convex monotone yield-curve interpolation method. More... | |
class | ConvexMonotone |
Convex-monotone interpolation factory and traits. More... | |
class | CubicInterpolation |
Cubic interpolation between discrete points. More... | |
class | Cubic |
Cubic interpolation factory and traits More... | |
class | Extrapolator |
base class for classes possibly allowing extrapolation More... | |
class | ForwardFlatInterpolation |
Forward-flat interpolation between discrete points. More... | |
class | ForwardFlat |
Forward-flat interpolation factory and traits. More... | |
class | Interpolation2D |
base class for 2-D interpolations. More... | |
class | KernelInterpolation |
Kernel interpolation between discrete points. More... | |
class | KernelInterpolation2D |
class | LinearInterpolation |
Linear interpolation between discrete points More... | |
class | Linear |
Linear-interpolation factory and traits More... | |
class | LogLinearInterpolation |
log-linear interpolation between discrete points More... | |
class | LogLinear |
log-linear interpolation factory and traits More... | |
class | LogCubicInterpolation |
log-cubic interpolation between discrete points More... | |
class | LogCubic |
log-cubic interpolation factory and traits More... | |
class | MixedLinearCubicInterpolation |
mixed linear/cubic interpolation between discrete points More... | |
class | MixedLinearCubic |
mixed linear/cubic interpolation factory and traits More... | |
class | MultiCubicSpline |
N-dimensional cubic spline interpolation between discrete points. More... | |
class | SABRInterpolation |
SABR smile interpolation between discrete volatility points. More... | |
class | SABR |
SABR interpolation factory and traits More... | |
class | KernelFunction |
class | GaussianKernel |
Gaussian kernel function. More... | |
class | LexicographicalView |
Lexicographical 2-D view of a contiguous set of data. More... | |
class | Matrix |
Matrix used in linear algebra. More... | |
class | OrthogonalProjections |
class | CovarianceDecomposition |
Covariance decomposition into correlation and variances. More... | |
struct | SalvagingAlgorithm |
algorithm used for matricial pseudo square root More... | |
class | SparseILUPreconditioner |
class | SVD |
Singular value decomposition. More... | |
class | SymmetricSchurDecomposition |
symmetric threshold Jacobi algorithm. More... | |
class | TqrEigenDecomposition |
tridiag. QR eigen decomposition with explicite shift aka Wilkinson More... | |
class | ArmijoLineSearch |
Armijo line search. More... | |
class | BFGS |
Broyden-Fletcher-Goldfarb-Shanno algorithm. More... | |
class | ConjugateGradient |
Multi-dimensional Conjugate Gradient class. More... | |
class | Constraint |
Base constraint class. More... | |
class | NoConstraint |
No constraint. More... | |
class | PositiveConstraint |
Constraint imposing positivity to all arguments More... | |
class | BoundaryConstraint |
Constraint imposing all arguments to be in [low,high] More... | |
class | CompositeConstraint |
Constraint enforcing both given sub-constraints More... | |
class | CostFunction |
Cost function abstract class for optimization problem. More... | |
class | EndCriteria |
Criteria to end optimization process: More... | |
class | LeastSquareProblem |
Base class for least square problem. More... | |
class | LeastSquareFunction |
Cost function for least-square problems. More... | |
class | NonLinearLeastSquare |
Non-linear least-square method. More... | |
class | LevenbergMarquardt |
Levenberg-Marquardt optimization method. More... | |
class | LineSearch |
Base class for line search. More... | |
class | OptimizationMethod |
Abstract class for constrained optimization method. More... | |
class | Problem |
Constrained optimization problem. More... | |
class | ProjectedCostFunction |
Parameterized cost function. More... | |
class | Simplex |
Multi-dimensional simplex class. More... | |
class | SphereCylinderOptimizer |
class | SteepestDescent |
Multi-dimensional steepest-descent class. More... | |
class | PrimeNumbers |
Prime numbers calculator. More... | |
class | BoxMullerGaussianRng |
Gaussian random number generator. More... | |
class | CLGaussianRng |
Gaussian random number generator. More... | |
class | FaureRsg |
Faure low-discrepancy sequence generator. More... | |
class | HaltonRsg |
Halton low-discrepancy sequence generator. More... | |
class | InverseCumulativeRng |
Inverse cumulative random number generator. More... | |
class | InverseCumulativeRsg |
Inverse cumulative random sequence generator. More... | |
class | KnuthUniformRng |
Uniform random number generator. More... | |
class | LecuyerUniformRng |
Uniform random number generator. More... | |
class | MersenneTwisterUniformRng |
Uniform random number generator. More... | |
class | RandomizedLDS |
Randomized (random shift) low-discrepancy sequence. More... | |
class | RandomSequenceGenerator |
Random sequence generator based on a pseudo-random number generator. More... | |
class | Ranlux3UniformRng |
Uniform random number generator. More... | |
class | SeedGenerator |
Random seed generator. More... | |
class | SobolRsg |
Sobol low-discrepancy sequence generator. More... | |
class | Rounding |
basic rounding class More... | |
class | UpRounding |
Up-rounding. More... | |
class | DownRounding |
Down-rounding. More... | |
class | ClosestRounding |
Closest rounding. More... | |
class | CeilingTruncation |
Ceiling truncation. More... | |
class | FloorTruncation |
Floor truncation. More... | |
class | SampledCurve |
This class contains a sampled curve. More... | |
class | Solver1D |
Base class for 1-D solvers. More... | |
class | Bisection |
Bisection 1-D solver More... | |
class | Brent |
Brent 1-D solver More... | |
class | FalsePosition |
False position 1-D solver. More... | |
class | FiniteDifferenceNewtonSafe |
safe Newton 1-D solver with finite difference derivatives More... | |
class | Newton |
Newton 1-D solver More... | |
class | NewtonSafe |
safe Newton 1-D solver More... | |
class | Ridder |
Ridder 1-D solver More... | |
class | Secant |
Secant 1-D solver More... | |
class | ConvergenceStatistics |
statistics class with convergence table More... | |
class | DiscrepancyStatistics |
Statistic tool for sequences with discrepancy calculation. More... | |
class | GenericGaussianStatistics |
Statistics tool for gaussian-assumption risk measures. More... | |
class | StatsHolder |
Helper class for precomputed distributions. More... | |
class | GeneralStatistics |
Statistics tool. More... | |
class | Histogram |
Histogram class. More... | |
class | IncrementalStatistics |
Statistics tool based on incremental accumulation. More... | |
class | GenericRiskStatistics |
empirical-distribution risk measures More... | |
class | GenericSequenceStatistics |
Statistics analysis of N-dimensional (sequence) data. More... | |
class | Surface |
Surface abstract class More... | |
class | TransformedGrid |
transformed grid More... | |
class | AmericanCondition |
American exercise condition. More... | |
class | BoundaryCondition |
Abstract boundary condition class for finite difference problems. More... | |
class | NeumannBC |
Neumann boundary condition (i.e., constant derivative) More... | |
class | DirichletBC |
Neumann boundary condition (i.e., constant value) More... | |
class | BSMOperator |
Black-Scholes-Merton differential operator. More... | |
class | CrankNicolson |
Crank-Nicolson scheme for finite difference methods. More... | |
class | DMinus |
![]() | |
class | DPlus |
![]() | |
class | DPlusDMinus |
![]() | |
class | DZero |
![]() | |
class | ExplicitEuler |
Forward Euler scheme for finite difference methods More... | |
class | FiniteDifferenceModel |
Generic finite difference model. More... | |
class | ImplicitEuler |
Backward Euler scheme for finite difference methods. More... | |
class | ExponentialJump1dMesher |
class | MixedScheme |
Mixed (explicit/implicit) scheme for finite difference methods. More... | |
class | OperatorFactory |
Black-Scholes-Merton differential operator. More... | |
class | StepConditionSet |
Parallel evolver for multiple arrays. More... | |
class | ModifiedCraigSneydScheme |
modified Craig-Sneyd scheme More... | |
class | ShoutCondition |
Shout option condition. More... | |
class | StepCondition |
condition to be applied at every time step More... | |
class | NullCondition |
null step condition More... | |
class | TRBDF2 |
TR-BDF2 scheme for finite difference methods. More... | |
class | TridiagonalOperator |
Base implementation for tridiagonal operator. More... | |
class | ZeroCondition |
Zero exercise condition. More... | |
class | BinomialTree |
Binomial tree base class. More... | |
class | EqualProbabilitiesBinomialTree |
Base class for equal probabilities binomial tree. More... | |
class | EqualJumpsBinomialTree |
Base class for equal jumps binomial tree. More... | |
class | JarrowRudd |
Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More... | |
class | CoxRossRubinstein |
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More... | |
class | AdditiveEQPBinomialTree |
Additive equal probabilities binomial tree. More... | |
class | Trigeorgis |
Trigeorgis (additive equal jumps) binomial tree More... | |
class | Tian |
Tian tree: third moment matching, multiplicative approach More... | |
class | LeisenReimer |
Leisen & Reimer tree: multiplicative approach. More... | |
class | BlackScholesLattice |
Simple binomial lattice approximating the Black-Scholes model. More... | |
class | TreeLattice |
Tree-based lattice-method base class. More... | |
class | TreeLattice1D |
One-dimensional tree-based lattice. More... | |
class | TreeLattice2D |
Two-dimensional tree-based lattice. More... | |
class | Tree |
Tree approximating a single-factor diffusion More... | |
class | TrinomialTree |
Recombining trinomial tree class. More... | |
class | BrownianBridge |
Builds Wiener process paths using Gaussian variates. More... | |
class | EarlyExercisePathPricer |
base class for early exercise path pricers More... | |
class | LongstaffSchwartzPathPricer |
Longstaff-Schwarz path pricer for early exercise options. More... | |
struct | SingleVariate |
default Monte Carlo traits for single-variate models More... | |
struct | MultiVariate |
default Monte Carlo traits for multi-variate models More... | |
class | MonteCarloModel |
General-purpose Monte Carlo model for path samples. More... | |
class | MultiPath |
Correlated multiple asset paths. More... | |
class | MultiPathGenerator |
Generates a multipath from a random number generator. More... | |
class | Path |
single-factor random walk More... | |
class | PathGenerator |
Generates random paths using a sequence generator. More... | |
class | PathPricer |
base class for path pricers More... | |
struct | Sample |
weighted sample More... | |
class | CalibrationHelper |
liquid market instrument used during calibration More... | |
class | BatesModel |
Bates stochastic-volatility model. More... | |
class | GJRGARCHModel |
GJR-GARCH model for the stochastic volatility of an asset. More... | |
class | HestonModel |
Heston model for the stochastic volatility of an asset. More... | |
class | HestonModelHelper |
calibration helper for Heston model More... | |
class | PiecewiseTimeDependentHestonModel |
Piecewise time dependent Heston model. More... | |
class | AccountingEngine |
Engine collecting cash flows along a market-model simulation. More... | |
class | MTBrownianGenerator |
Mersenne-twister Brownian generator for market-model simulations. More... | |
class | SobolBrownianGenerator |
Sobol Brownian generator for market-model simulations. More... | |
class | UpperBoundEngine |
Market-model engine for upper-bound estimation. More... | |
class | ConstrainedEvolver |
Constrained market-model evolver. More... | |
class | CurveState |
Curve state for market-model simulations More... | |
class | CMSwapCurveState |
Curve state for constant-maturity-swap market models More... | |
class | CoterminalSwapCurveState |
Curve state for coterminal-swap market models More... | |
class | LMMCurveState |
Curve state for Libor market models More... | |
class | CMSMMDriftCalculator |
Drift computation for CMS market models. More... | |
class | LMMDriftCalculator |
Drift computation for log-normal Libor market models. More... | |
class | LMMNormalDriftCalculator |
Drift computation for normal Libor market models. More... | |
class | SMMDriftCalculator |
Drift computation for coterminal swap market models. More... | |
class | EvolutionDescription |
Market-model evolution description. More... | |
class | MarketModelEvolver |
Market-model evolver. More... | |
class | LogNormalCmSwapRatePc |
Predictor-Corrector. More... | |
class | LogNormalCotSwapRatePc |
Predictor-Corrector. More... | |
class | LogNormalFwdRateBalland |
Iterative Predictor-Corrector. More... | |
class | LogNormalFwdRateEuler |
Euler. More... | |
class | LogNormalFwdRateEulerConstrained |
euler stepping More... | |
class | LogNormalFwdRateiBalland |
Iterative Predictor-Corrector. More... | |
class | LogNormalFwdRateIpc |
Iterative Predictor-Corrector. More... | |
class | LogNormalFwdRatePc |
Predictor-Corrector. More... | |
class | MarketModelVolProcess |
class | NormalFwdRatePc |
Predictor-Corrector. More... | |
class | SVDDFwdRatePc |
class | SquareRootAndersen |
class | HistoricalForwardRatesAnalysisImpl |
Historical correlation class More... | |
class | HistoricalRatesAnalysis |
Historical rate analysis class More... | |
class | MarketModel |
base class for market models More... | |
class | MarketModelFactory |
base class for market-model factories More... | |
class | AbcdVol |
Abcd-interpolated volatility structure More... | |
class | MarketModelMultiProduct |
market-model product More... | |
class | PathwiseAccountingEngine |
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More... | |
class | PathwiseVegasAccountingEngine |
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More... | |
class | PathwiseVegasOuterAccountingEngine |
Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More... | |
class | MarketModelPathwiseDiscounter |
class | OrthogonalizedBumpFinder |
class | CapPseudoDerivative |
class | VegaBumpCollection |
class | MarketModelPathwiseMultiProduct |
market-model pathwise product More... | |
class | MarketModelComposite |
Composition of two or more market-model products. More... | |
class | MultiProductComposite |
Composition of one or more market-model products. More... | |
class | MultiProductMultiStep |
Multiple-step market-model product. More... | |
class | MultiProductOneStep |
Single-step market-model product. More... | |
class | MarketModelCashRebate |
class | MultiProductPathwiseWrapper |
class | MultiStepSwaption |
class | MarketModelPathwiseMultiCaplet |
market-model pathwise caplet More... | |
class | MarketModelPathwiseMultiDeflatedCap |
class | MarketModelPathwiseCashRebate |
class | MarketModelPathwiseInverseFloater |
class | MarketModelPathwiseSwap |
class | MarketModelPathwiseCoterminalSwaptionsDeflated |
class | MarketModelPathwiseCoterminalSwaptionsNumericalDeflated |
class | SingleProductComposite |
Composition of one or more market-model products. More... | |
class | AffineModel |
Affine model class. More... | |
class | TermStructureConsistentModel |
Term-structure consistent model class. More... | |
class | CalibratedModel |
Calibrated model class. More... | |
class | ShortRateModel |
Abstract short-rate model class. More... | |
class | Parameter |
Base class for model arguments. More... | |
class | ConstantParameter |
Standard constant parameter ![]() | |
class | NullParameter |
Parameter which is always zero ![]() | |
class | PiecewiseConstantParameter |
Piecewise-constant parameter. More... | |
class | TermStructureFittingParameter |
Deterministic time-dependent parameter used for yield-curve fitting. More... | |
class | CapHelper |
calibration helper for ATM cap More... | |
class | SwaptionHelper |
calibration helper for ATM swaption More... | |
class | OneFactorModel |
Single-factor short-rate model abstract class. More... | |
class | OneFactorAffineModel |
Single-factor affine base class. More... | |
class | BlackKarasinski |
Standard Black-Karasinski model class. More... | |
class | CoxIngersollRoss |
Cox-Ingersoll-Ross model class. More... | |
class | ExtendedCoxIngersollRoss |
Extended Cox-Ingersoll-Ross model class. More... | |
class | HullWhite |
Single-factor Hull-White (extended Vasicek) model class. More... | |
class | Vasicek |
Vasicek model class More... | |
class | TwoFactorModel |
Abstract base-class for two-factor models. More... | |
class | G2 |
Two-additive-factor gaussian model class. More... | |
class | ConstantEstimator |
Constant-estimator volatility model. More... | |
class | Garch11 |
GARCH volatility model. More... | |
class | GarmanKlassAbstract |
Garman-Klass volatility model. More... | |
class | SimpleLocalEstimator |
Local-estimator volatility model. More... | |
class | Money |
amount of cash More... | |
class | Lattice |
Lattice (tree, finite-differences) base class More... | |
class | Option |
base option class More... | |
class | Greeks |
additional option results More... | |
class | MoreGreeks |
more additional option results More... | |
class | Composite |
Composite pattern. More... | |
class | CuriouslyRecurringTemplate |
Support for the curiously recurring template pattern. More... | |
class | LazyObject |
Framework for calculation on demand and result caching. More... | |
class | Observable |
Object that notifies its changes to a set of observers. More... | |
class | Observer |
Object that gets notified when a given observable changes. More... | |
class | Singleton |
Basic support for the singleton pattern. More... | |
class | AcyclicVisitor |
degenerate base class for the Acyclic Visitor pattern More... | |
class | Visitor |
Visitor for a specific class More... | |
class | Payoff |
Abstract base class for option payoffs. More... | |
class | IntervalPrice |
interval price More... | |
class | PricingEngine |
interface for pricing engines More... | |
class | GenericEngine |
template base class for option pricing engines More... | |
class | AmericanPayoffAtExpiry |
Analytic formula for American exercise payoff at-expiry options. More... | |
class | AmericanPayoffAtHit |
Analytic formula for American exercise payoff at-hit options. More... | |
class | AnalyticContinuousGeometricAveragePriceAsianEngine |
Pricing engine for European continuous geometric average price Asian. More... | |
class | AnalyticDiscreteGeometricAveragePriceAsianEngine |
Pricing engine for European discrete geometric average price Asian. More... | |
class | AnalyticDiscreteGeometricAverageStrikeAsianEngine |
Pricing engine for European discrete geometric average-strike Asian option. More... | |
class | MCDiscreteArithmeticAPEngine |
Monte Carlo pricing engine for discrete arithmetic average price Asian. More... | |
class | MCDiscreteArithmeticASEngine |
Monte Carlo pricing engine for discrete arithmetic average-strike Asian. More... | |
class | MCDiscreteGeometricAPEngine |
Monte Carlo pricing engine for discrete geometric average price Asian. More... | |
class | MCDiscreteAveragingAsianEngine |
Pricing engine for discrete average Asians using Monte Carlo simulation. More... | |
class | AnalyticBarrierEngine |
Pricing engine for barrier options using analytical formulae. More... | |
class | FdBlackScholesBarrierEngine |
Finite-Differences Black Scholes barrier option engine. More... | |
class | FdBlackScholesRebateEngine |
Finite-Differences Black Scholes barrier option rebate helper engine. More... | |
class | FdHestonBarrierEngine |
Finite-Differences Heston Barrier Option engine. More... | |
class | FdHestonRebateEngine |
Finite-Differences Heston Barrier Option rebate helper engine. More... | |
class | MCBarrierEngine |
Pricing engine for barrier options using Monte Carlo simulation. More... | |
class | MakeMCBarrierEngine |
Monte Carlo barrier-option engine factory. More... | |
class | Fd2dBlackScholesVanillaEngine |
Two dimensional finite-differences Black Scholes vanilla option engine. More... | |
class | KirkEngine |
Pricing engine for spread option on two futures. More... | |
class | MCAmericanBasketEngine |
least-square Monte Carlo engine More... | |
class | MakeMCAmericanBasketEngine |
Monte Carlo American basket-option engine factory. More... | |
class | MCEuropeanBasketEngine |
Pricing engine for European basket options using Monte Carlo simulation. More... | |
class | MakeMCEuropeanBasketEngine |
Monte Carlo basket-option engine factory. More... | |
class | StulzEngine |
Pricing engine for 2D European Baskets. More... | |
class | BlackCalculator |
Black 1976 calculator class. More... | |
class | BlackScholesCalculator |
Black-Scholes 1973 calculator class. More... | |
struct | BondFunctions |
Bond adapters of CashFlows functions. More... | |
class | AnalyticCapFloorEngine |
Analytic engine for cap/floor. More... | |
class | BlackCapFloorEngine |
Black-formula cap/floor engine. More... | |
class | MCHullWhiteCapFloorEngine |
Monte Carlo Hull-White engine for cap/floors. More... | |
class | MakeMCHullWhiteCapFloorEngine |
Monte Carlo Hull-White cap-floor engine factory. More... | |
class | TreeCapFloorEngine |
Numerical lattice engine for cap/floors. More... | |
class | AnalyticCliquetEngine |
Pricing engine for Cliquet options using analytical formulae. More... | |
class | AnalyticPerformanceEngine |
Pricing engine for performance options using analytical formulae. More... | |
class | MCPerformanceEngine |
Pricing engine for performance options using Monte Carlo simulation. More... | |
class | MakeMCPerformanceEngine |
Monte Carlo performance-option engine factory. More... | |
class | ForwardVanillaEngine |
Forward engine for vanilla options More... | |
class | ForwardPerformanceVanillaEngine |
Forward performance engine for vanilla options More... | |
class | MCVarianceSwapEngine |
Variance-swap pricing engine using Monte Carlo simulation,. More... | |
class | MakeMCVarianceSwapEngine |
Monte Carlo variance-swap engine factory. More... | |
class | ReplicatingVarianceSwapEngine |
Variance-swap pricing engine using replicating cost,. More... | |
class | GenericModelEngine |
Base class for some pricing engine on a particular model. More... | |
class | YoYInflationCapFloorEngine |
Base YoY inflation cap/floor engine. More... | |
class | YoYInflationBlackCapFloorEngine |
Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More... | |
class | YoYInflationUnitDisplacedBlackCapFloorEngine |
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More... | |
class | YoYInflationBachelierCapFloorEngine |
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) More... | |
class | LatticeShortRateModelEngine |
Engine for a short-rate model specialized on a lattice. More... | |
class | AnalyticContinuousFixedLookbackEngine |
Pricing engine for European continuous fixed-strike lookback. More... | |
class | AnalyticContinuousFloatingLookbackEngine |
Pricing engine for European continuous floating-strike lookback. More... | |
class | MCLongstaffSchwartzEngine |
Longstaff-Schwarz Monte Carlo engine for early exercise options. More... | |
class | McSimulation |
base class for Monte Carlo engines More... | |
class | QuantoEngine |
Quanto engine. More... | |
class | TreeVanillaSwapEngine |
Numerical lattice engine for simple swaps. More... | |
class | BlackSwaptionEngine |
Black-formula swaption engine. More... | |
class | G2SwaptionEngine |
Swaption priced by means of the Black formula More... | |
class | JamshidianSwaptionEngine |
Jamshidian swaption engine. More... | |
class | TreeSwaptionEngine |
Numerical lattice engine for swaptions. More... | |
class | AnalyticBSMHullWhiteEngine |
analytic european option pricer including stochastic interest rates More... | |
class | AnalyticDigitalAmericanEngine |
Analytic pricing engine for American vanilla options with digital payoff. More... | |
class | AnalyticDividendEuropeanEngine |
Analytic pricing engine for European options with discrete dividends. More... | |
class | AnalyticEuropeanEngine |
Pricing engine for European vanilla options using analytical formulae. More... | |
class | AnalyticGJRGARCHEngine |
GJR-GARCH(1,1) engine. More... | |
class | AnalyticHestonEngine |
analytic Heston-model engine based on Fourier transform More... | |
class | AnalyticHestonHullWhiteEngine |
Analytic Heston engine incl. stochastic interest rates. More... | |
class | AnalyticPTDHestonEngine |
analytic piecewise constant time dependent Heston-model engine More... | |
class | BaroneAdesiWhaleyApproximationEngine |
Barone-Adesi and Whaley pricing engine for American options (1987) More... | |
class | BatesEngine |
Bates model engines based on Fourier transform. More... | |
class | BinomialVanillaEngine |
Pricing engine for vanilla options using binomial trees. More... | |
class | BjerksundStenslandApproximationEngine |
Bjerksund and Stensland pricing engine for American options (1993) More... | |
class | FDAmericanEngine |
Finite-differences pricing engine for American one asset options. More... | |
class | FdBatesVanillaEngine |
Partial Integro FiniteDifferences Bates Vanilla Option engine. More... | |
class | FDBermudanEngine |
Finite-differences Bermudan engine. More... | |
class | FDDividendAmericanEngine |
Finite-differences pricing engine for dividend American options. More... | |
class | FDDividendEngineBase |
Abstract base class for dividend engines. More... | |
class | FDDividendEngineMerton73 |
Finite-differences pricing engine for dividend options using escowed dividends model. More... | |
class | FDDividendEngineShiftScale |
Finite-differences engine for dividend options using shifted dividends. More... | |
class | FDDividendEuropeanEngine |
Finite-differences pricing engine for dividend European options. More... | |
class | FDDividendShoutEngine |
Finite-differences shout engine with dividends. More... | |
class | FDEuropeanEngine |
Pricing engine for European options using finite-differences. More... | |
class | FdHestonHullWhiteVanillaEngine |
Finite-Differences Heston Hull-White Vanilla Option engine. More... | |
class | FdHestonVanillaEngine |
Finite-Differences Heston Vanilla Option engine. More... | |
class | FDShoutEngine |
Finite-differences pricing engine for shout vanilla options. More... | |
class | FDStepConditionEngine |
Finite-differences pricing engine for American-style vanilla options. More... | |
class | FDVanillaEngine |
Finite-differences pricing engine for BSM one asset options. More... | |
class | IntegralEngine |
Pricing engine for European vanilla options using integral approach. More... | |
class | JumpDiffusionEngine |
Jump-diffusion engine for vanilla options. More... | |
class | JuQuadraticApproximationEngine |
Pricing engine for American options with Ju quadratic approximation. More... | |
class | MCAmericanEngine |
American Monte Carlo engine. More... | |
class | MakeMCAmericanEngine |
Monte Carlo American engine factory. More... | |
class | MCDigitalEngine |
Pricing engine for digital options using Monte Carlo simulation. More... | |
class | MakeMCDigitalEngine |
Monte Carlo digital engine factory. More... | |
class | MCEuropeanEngine |
European option pricing engine using Monte Carlo simulation. More... | |
class | MakeMCEuropeanEngine |
Monte Carlo European engine factory. More... | |
class | MCEuropeanGJRGARCHEngine |
Monte Carlo GJR-GARCH-model engine for European options. More... | |
class | MakeMCEuropeanGJRGARCHEngine |
Monte Carlo GJR-GARCH European engine factory. More... | |
class | MCEuropeanHestonEngine |
Monte Carlo Heston-model engine for European options. More... | |
class | MakeMCEuropeanHestonEngine |
Monte Carlo Heston European engine factory. More... | |
class | MakeMCHestonHullWhiteEngine |
Monte Carlo Heston/Hull-White engine factory. More... | |
class | MCVanillaEngine |
Pricing engine for vanilla options using Monte Carlo simulation. More... | |
class | BatesProcess |
Square-root stochastic-volatility Bates process. More... | |
class | GeneralizedBlackScholesProcess |
Generalized Black-Scholes stochastic process. More... | |
class | BlackScholesProcess |
Black-Scholes (1973) stochastic process. More... | |
class | BlackScholesMertonProcess |
Merton (1973) extension to the Black-Scholes stochastic process. More... | |
class | BlackProcess |
Black (1976) stochastic process. More... | |
class | GarmanKohlagenProcess |
Garman-Kohlhagen (1983) stochastic process. More... | |
class | EndEulerDiscretization |
Euler end-point discretization for stochastic processes. More... | |
class | EulerDiscretization |
Euler discretization for stochastic processes. More... | |
class | ForwardMeasureProcess |
forward-measure stochastic process More... | |
class | ForwardMeasureProcess1D |
forward-measure 1-D stochastic process More... | |
class | G2Process |
G2 stochastic process More... | |
class | G2ForwardProcess |
Forward G2 stochastic process More... | |
class | GeometricBrownianMotionProcess |
Geometric brownian-motion process. More... | |
class | GJRGARCHProcess |
Stochastic-volatility GJR-GARCH(1,1) process. More... | |
class | HestonProcess |
Square-root stochastic-volatility Heston process. More... | |
class | HullWhiteProcess |
Hull-White stochastic process. More... | |
class | HullWhiteForwardProcess |
Forward Hull-White stochastic process More... | |
class | HybridHestonHullWhiteProcess |
Hybrid Heston Hull-White stochastic process. More... | |
class | Merton76Process |
Merton-76 jump-diffusion process. More... | |
class | OrnsteinUhlenbeckProcess |
Ornstein-Uhlenbeck process class. More... | |
class | SquareRootProcess |
Square-root process class. More... | |
class | StochasticProcessArray |
Array of correlated 1-D stochastic processes More... | |
class | Quote |
purely virtual base class for market observables More... | |
class | CompositeQuote |
market element whose value depends on two other market element More... | |
class | DerivedQuote |
market quote whose value depends on another quote More... | |
class | EurodollarFuturesImpliedStdDevQuote |
quote for the Eurodollar-future implied standard deviation More... | |
class | ForwardSwapQuote |
Quote for a forward starting swap. More... | |
class | ForwardValueQuote |
quote for the forward value of an index More... | |
class | FuturesConvAdjustmentQuote |
quote for the futures-convexity adjustment of an index More... | |
class | ImpliedStdDevQuote |
quote for the implied standard deviation of an underlying More... | |
class | LastFixingQuote |
Quote adapter for the last fixing available of a given Index. More... | |
class | SimpleQuote |
market element returning a stored value More... | |
class | Settings |
global repository for run-time library settings More... | |
class | StochasticProcess |
multi-dimensional stochastic process class. More... | |
class | StochasticProcess1D |
1-dimensional stochastic process More... | |
class | TermStructure |
Basic term-structure functionality. More... | |
class | BootstrapError |
bootstrap error More... | |
class | BootstrapHelper |
Base helper class for bootstrapping. More... | |
class | RelativeDateBootstrapHelper |
Bootstrap helper with date schedule relative to global evaluation date. More... | |
class | DefaultDensityStructure |
Default-density term structure. More... | |
class | CdsHelper |
class | SpreadCdsHelper |
Spread-quoted CDS hazard rate bootstrap helper. More... | |
class | UpfrontCdsHelper |
Upfront-quoted CDS hazard rate bootstrap helper. More... | |
class | FlatHazardRate |
Flat hazard-rate curve. More... | |
class | HazardRateStructure |
Hazard-rate term structure. More... | |
class | InterpolatedDefaultDensityCurve |
DefaultProbabilityTermStructure based on interpolation of default densities. More... | |
class | InterpolatedHazardRateCurve |
DefaultProbabilityTermStructure based on interpolation of hazard rates. More... | |
class | InterpolatedSurvivalProbabilityCurve |
DefaultProbabilityTermStructure based on interpolation of survival probabilities. More... | |
class | PiecewiseDefaultCurve |
Piecewise default-probability term structure. More... | |
struct | SurvivalProbability |
Survival-Probability-curve traits. More... | |
struct | HazardRate |
Hazard-rate-curve traits. More... | |
struct | DefaultDensity |
Default-density-curve traits. More... | |
class | SurvivalProbabilityStructure |
Hazard-rate term structure. More... | |
class | DefaultProbabilityTermStructure |
Default probability term structure. More... | |
class | ZeroCouponInflationSwapHelper |
Zero-coupon inflation-swap bootstrap helper. More... | |
class | YearOnYearInflationSwapHelper |
Year-on-year inflation-swap bootstrap helper. More... | |
class | ZeroInflationTraits |
Bootstrap traits to use for PiecewiseZeroInflationCurve. More... | |
class | YoYInflationTraits |
Bootstrap traits to use for PiecewiseZeroInflationCurve. More... | |
class | InterpolatedYoYInflationCurve |
Inflation term structure based on interpolated year-on-year rates. More... | |
class | InterpolatedZeroInflationCurve |
Inflation term structure based on the interpolation of zero rates. More... | |
class | PiecewiseYoYInflationCurve |
Piecewise year-on-year inflation term structure. More... | |
class | PiecewiseZeroInflationCurve |
Piecewise zero-inflation term structure. More... | |
class | Seasonality |
A transformation of an existing inflation swap rate. More... | |
class | MultiplicativePriceSeasonality |
Multiplicative seasonality in the price index (CPI/RPI/HICP/etc). More... | |
class | InflationTermStructure |
Interface for inflation term structures. More... | |
class | ZeroInflationTermStructure |
Interface for zero inflation term structures. More... | |
class | YoYInflationTermStructure |
Base class for year-on-year inflation term structures. More... | |
class | InterpolatedCurve |
Helper class to build interpolated term structures. More... | |
class | IterativeBootstrap |
Universal piecewise-term-structure boostrapper. More... | |
class | LocalBootstrap |
Localised-term-structure bootstrapper for most curve types. More... | |
class | AbcdFunction |
Abcd functional form for instantaneous volatility More... | |
class | CapFloorTermVolatilityStructure |
Cap/floor term-volatility structure. More... | |
class | CapFloorTermVolCurve |
Cap/floor at-the-money term-volatility vector. More... | |
class | CapFloorTermVolSurface |
Cap/floor smile volatility surface. More... | |
class | ConstantCapFloorTermVolatility |
Constant caplet volatility, no time-strike dependence. More... | |
class | BlackConstantVol |
Constant Black volatility, no time-strike dependence. More... | |
class | BlackVarianceCurve |
Black volatility curve modelled as variance curve. More... | |
class | BlackVarianceSurface |
Black volatility surface modelled as variance surface. More... | |
class | BlackVolTermStructure |
Black-volatility term structure. More... | |
class | BlackVolatilityTermStructure |
Black-volatility term structure. More... | |
class | BlackVarianceTermStructure |
Black variance term structure. More... | |
class | ImpliedVolTermStructure |
Implied vol term structure at a given date in the future. More... | |
class | LocalConstantVol |
Constant local volatility, no time-strike dependence. More... | |
class | LocalVolCurve |
Local volatility curve derived from a Black curve. More... | |
class | LocalVolSurface |
Local volatility surface derived from a Black vol surface. More... | |
class | LocalVolTermStructure |
class | ConstantCPIVolatility |
Constant surface, no K or T dependence. More... | |
class | CPIVolatilitySurface |
zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More... | |
class | YoYOptionletVolatilitySurface |
class | ConstantYoYOptionletVolatility |
Constant surface, no K or T dependence. More... | |
class | CapletVarianceCurve |
class | ConstantOptionletVolatility |
Constant caplet volatility, no time-strike dependence. More... | |
class | OptionletStripper |
class | OptionletStripper1 |
class | OptionletStripper2 |
class | OptionletVolatilityStructure |
Optionlet (caplet/floorlet) volatility structure. More... | |
class | StrippedOptionlet |
class | StrippedOptionletAdapter |
class | StrippedOptionletBase |
class | SmileSection |
interest rate volatility smile section More... | |
class | CmsMarket |
set of CMS quotes More... | |
class | ConstantSwaptionVolatility |
Constant swaption volatility, no time-strike dependence. More... | |
class | SwaptionVolatilityCube |
swaption-volatility cube More... | |
class | SwaptionVolatilityMatrix |
At-the-money swaption-volatility matrix. More... | |
class | SwaptionVolatilityStructure |
Swaption-volatility structure More... | |
class | VolatilityTermStructure |
Volatility term structure. More... | |
class | BondHelper |
fixed-coupon bond helper More... | |
struct | Discount |
Discount-curve traits. More... | |
struct | ZeroYield |
Zero-curve traits. More... | |
struct | ForwardRate |
Forward-curve traits. More... | |
class | InterpolatedDiscountCurve |
YieldTermStructure based on interpolation of discount factors. More... | |
class | DriftTermStructure |
Drift term structure. More... | |
class | FittedBondDiscountCurve |
Discount curve fitted to a set of fixed-coupon bonds. More... | |
class | FlatForward |
Flat interest-rate curve. More... | |
class | InterpolatedForwardCurve |
YieldTermStructure based on interpolation of forward rates. More... | |
class | ForwardSpreadedTermStructure |
Term structure with added spread on the instantaneous forward rate. More... | |
class | ForwardRateStructure |
Forward-rate term structure More... | |
class | ImpliedTermStructure |
Implied term structure at a given date in the future. More... | |
class | ExponentialSplinesFitting |
Exponential-splines fitting method. More... | |
class | NelsonSiegelFitting |
Nelson-Siegel fitting method. More... | |
class | SvenssonFitting |
Svensson Fitting method. More... | |
class | CubicBSplinesFitting |
CubicSpline B-splines fitting method. More... | |
class | SimplePolynomialFitting |
Simple polynomial fitting method. More... | |
class | OISRateHelper |
Rate helper for bootstrapping over Overnight Indexed Swap rates. More... | |
class | DatedOISRateHelper |
Rate helper for bootstrapping over Overnight Indexed Swap rates. More... | |
class | PiecewiseYieldCurve |
Piecewise yield term structure. More... | |
class | PiecewiseZeroSpreadedTermStructure |
Term structure with an added vector of spreads on the zero-yield rate. More... | |
class | QuantoTermStructure |
Quanto term structure. More... | |
class | FuturesRateHelper |
Rate helper for bootstrapping over IborIndex futures prices. More... | |
class | DepositRateHelper |
Rate helper for bootstrapping over deposit rates. More... | |
class | FraRateHelper |
Rate helper for bootstrapping over FRA rates. More... | |
class | SwapRateHelper |
Rate helper for bootstrapping over swap rates. More... | |
class | BMASwapRateHelper |
Rate helper for bootstrapping over BMA swap rates. More... | |
class | InterpolatedZeroCurve |
YieldTermStructure based on interpolation of zero rates. More... | |
class | ZeroSpreadedTermStructure |
Term structure with an added spread on the zero yield rate. More... | |
class | ZeroYieldStructure |
Zero-yield term structure. More... | |
class | YieldTermStructure |
Interest-rate term structure. More... | |
class | Calendar |
calendar class More... | |
class | Argentina |
Argentinian calendars. More... | |
class | Australia |
Australian calendar. More... | |
class | BespokeCalendar |
Bespoke calendar. More... | |
class | Brazil |
Brazilian calendar. More... | |
class | Canada |
Canadian calendar. More... | |
class | China |
Chinese calendar. More... | |
class | CzechRepublic |
Czech calendars. More... | |
class | Denmark |
Danish calendar. More... | |
class | Finland |
Finnish calendar. More... | |
class | Germany |
German calendars. More... | |
class | HongKong |
Hong Kong calendars. More... | |
class | Hungary |
Hungarian calendar. More... | |
class | Iceland |
Icelandic calendars. More... | |
class | India |
Indian calendars. More... | |
class | Indonesia |
Indonesian calendars More... | |
class | Italy |
Italian calendars. More... | |
class | Japan |
Japanese calendar. More... | |
class | JointCalendar |
Joint calendar. More... | |
class | Mexico |
Mexican calendars More... | |
class | NewZealand |
New Zealand calendar. More... | |
class | Norway |
Norwegian calendar. More... | |
class | NullCalendar |
Calendar for reproducing theoretical calculations. More... | |
class | Poland |
Polish calendar. More... | |
class | Russia |
Russian calendar. More... | |
class | SaudiArabia |
Saudi Arabian calendar. More... | |
class | Singapore |
Singapore calendars More... | |
class | Slovakia |
Slovak calendars. More... | |
class | SouthAfrica |
South-African calendar. More... | |
class | SouthKorea |
South Korean calendars. More... | |
class | Sweden |
Swedish calendar. More... | |
class | Switzerland |
Swiss calendar. More... | |
class | Taiwan |
Taiwanese calendars. More... | |
class | TARGET |
TARGET calendar More... | |
class | Turkey |
Turkish calendar. More... | |
class | Ukraine |
Ukrainian calendars. More... | |
class | UnitedKingdom |
United Kingdom calendars. More... | |
class | UnitedStates |
United States calendars. More... | |
class | WeekendsOnly |
Weekends-only calendar. More... | |
class | Date |
Concrete date class. More... | |
class | Null< Date > |
specialization of Null template for the Date class More... | |
struct | DateGeneration |
Date-generation rule. More... | |
class | DayCounter |
day counter class More... | |
class | Actual360 |
Actual/360 day count convention. More... | |
class | Actual365Fixed |
Actual/365 (Fixed) day count convention. More... | |
class | ActualActual |
Actual/Actual day count. More... | |
class | Business252 |
Business/252 day count convention. More... | |
class | OneDayCounter |
1/1 day count convention More... | |
class | SimpleDayCounter |
Simple day counter for reproducing theoretical calculations. More... | |
class | Thirty360 |
30/360 day count convention More... | |
struct | ECB |
European Central Bank reserve maintenance dates. More... | |
struct | IMM |
Main cycle of the International Money Market (a.k.a. IMM) months. More... | |
class | Period |
class | Schedule |
Payment schedule. More... | |
class | MakeSchedule |
helper class More... | |
class | TimeGrid |
time grid class More... | |
class | TimeSeries |
Container for historical data. More... | |
class | Clone |
cloning proxy to an underlying object More... | |
class | Disposable |
generic disposable object with move semantics More... | |
class | ObservableValue |
observable and assignable proxy to concrete value More... | |
class | step_iterator |
Iterator advancing in constant steps. More... | |
Typedefs | |
typedef std::vector < boost::shared_ptr< CashFlow > > | Leg |
Sequence of cash-flows. | |
typedef std::map< std::string, boost::any > | SecondaryCosts |
typedef std::map< std::string, Money > | SecondaryCostAmounts |
typedef std::vector< PricingError > | PricingErrors |
typedef std::map< Date, boost::shared_ptr < CommodityCashFlow > > | CommodityCashFlows |
typedef std::map< Date, EnergyDailyPosition > | EnergyDailyPositions |
typedef std::map< Date, ExchangeContract > | ExchangeContracts |
typedef std::vector < boost::shared_ptr < PricingPeriod > > | PricingPeriods |
typedef std::set < boost::shared_ptr < DefaultEvent >, earlier_than < boost::shared_ptr < DefaultEvent > > > | DefaultEventSet |
typedef GaussianRecursiveCdoEngine < MidPointCDOEngine > | GaussRecCDOEngine |
typedef StudentRecursiveCdoEngine < MidPointCDOEngine > | StudentRecCDOEngine |
typedef HomogeneousPoolCDOEngine < MidPointCDOEngine > | HPMidPointCDOEngine |
typedef HomogeneousPoolCDOEngine < IntegralCDOEngine > | HPIntegralCDOEngine |
typedef InhomogeneousPoolCDOEngine < MidPointCDOEngine > | IHPMidPointCDOEngine |
typedef InhomogeneousPoolCDOEngine < IntegralCDOEngine > | IHPIntegralCDOEngine |
typedef GaussianLHPCDOEngine < MidPointCDOEngine > | GLHPMidPointCDOEngine |
typedef GaussianLHPCDOEngine < IntegralCDOEngine > | GLHPIntegralCDOEngine |
typedef std::vector < boost::shared_ptr < Callability > > | CallabilitySchedule |
typedef std::vector < boost::shared_ptr< Dividend > > | DividendSchedule |
typedef BivariateCumulativeNormalDistributionWe04DP | BivariateCumulativeNormalDistribution |
default bivariate implementation | |
typedef NormalDistribution | GaussianDistribution |
typedef InverseCumulativeNormal | InvCumulativeNormalDistribution |
typedef detail::SplineGrid | SplineGrid |
typedef GenericPseudoRandom < MersenneTwisterUniformRng, InverseCumulativeNormal > | PseudoRandom |
default traits for pseudo-random number generation | |
typedef GenericPseudoRandom < MersenneTwisterUniformRng, InverseCumulativePoisson > | PoissonPseudoRandom |
traits for Poisson-distributed pseudo-random number generation | |
typedef GenericLowDiscrepancy < SobolRsg, InverseCumulativeNormal > | LowDiscrepancy |
default traits for low-discrepancy sequence generation | |
typedef SampledCurve | SampledCurveSet |
typedef GenericGaussianStatistics < GeneralStatistics > | GaussianStatistics |
default gaussian statistic tool | |
typedef GenericRiskStatistics < GaussianStatistics > | RiskStatistics |
default risk measures tool | |
typedef GenericSequenceStatistics < Statistics > | SequenceStatistics |
default multi-dimensional statistics tool | |
typedef GenericSequenceStatistics < IncrementalStatistics > | SequenceStatisticsInc |
typedef RiskStatistics | Statistics |
default statistics tool | |
typedef PdeOperator< PdeBSM > | BSMTermOperator |
Black-Scholes-Merton differential operator. | |
typedef FiniteDifferenceModel < CrankNicolson < TridiagonalOperator > > | StandardFiniteDifferenceModel |
default choice for finite-difference model | |
typedef FiniteDifferenceModel < ParallelEvolver < CrankNicolson < TridiagonalOperator > > > | StandardSystemFiniteDifferenceModel |
default choice for parallel finite-difference model | |
typedef StepCondition< Array > | StandardStepCondition |
default choice for step condition | |
typedef CurveDependentStepCondition < Array > | StandardCurveDependentStepCondition |
typedef PdeOperator< PdeShortRate > | OneFactorOperator |
Interest-rate single factor model differential operator. | |
typedef std::vector < boost::shared_ptr < FdmDirichletBoundary > > | FdmBoundaryConditionSet |
typedef BootstrapHelper < DefaultProbabilityTermStructure > | DefaultProbabilityHelper |
alias for default-probability bootstrap helpers | |
typedef RelativeDateBootstrapHelper < DefaultProbabilityTermStructure > | RelativeDateDefaultProbabilityHelper |
typedef Real | Probability |
probability | |
typedef InterpolatedYoYInflationCurve < Linear > | YoYInflationCurve |
typedef InterpolatedZeroInflationCurve < Linear > | ZeroInflationCurve |
typedef std::vector < std::vector < boost::shared_ptr< CapFloor > > > | CapFloorMatrix |
typedef InterpolatedDiscountCurve < LogLinear > | DiscountCurve |
Term structure based on log-linear interpolation of discount factors. | |
typedef InterpolatedForwardCurve < BackwardFlat > | ForwardCurve |
Term structure based on flat interpolation of forward rates. | |
typedef BootstrapHelper < YieldTermStructure > | RateHelper |
typedef RelativeDateBootstrapHelper < YieldTermStructure > | RelativeDateRateHelper |
typedef InterpolatedZeroCurve < Linear > | ZeroCurve |
Term structure based on linear interpolation of zero yields. | |
typedef Integer | Day |
Day number. | |
typedef Integer | Year |
Year number. | |
typedef QL_INTEGER | Integer |
integer number | |
typedef QL_BIG_INTEGER | BigInteger |
large integer number | |
typedef unsigned QL_INTEGER | Natural |
positive integer | |
typedef unsigned QL_BIG_INTEGER | BigNatural |
large positive integer | |
typedef QL_REAL | Real |
real number | |
typedef Real | Decimal |
decimal number | |
typedef std::size_t | Size |
size of a container | |
typedef Real | Time |
continuous quantity with 1-year units | |
typedef Real | DiscountFactor |
discount factor between dates | |
typedef Real | Rate |
interest rates | |
typedef Real | Spread |
spreads on interest rates | |
typedef Real | Volatility |
volatility | |
Enumerations | |
enum | Compounding { Simple = 0, Compounded = 1, Continuous = 2, SimpleThenCompounded } |
Interest rate coumpounding rule. More... | |
enum | Seniority { SecDom = 0, SnrFor, SubLT2, JrSubT2, PrefT1, NoSeniority, SeniorSec = SecDom, SeniorUnSec = SnrFor, SubTier1 = PrefT1, SubUpperTier2 = JrSubT2, SubLoweTier2 = SubLT2 } |
Seniority of a bond. More... | |
enum | SensitivityAnalysis { OneSide, Centered } |
Finite differences calculation. | |
enum | PriceType { Bid, Ask, Last, Close, Mid, MidEquivalent, MidSafe } |
Price types. More... | |
enum | BusinessDayConvention { Following, ModifiedFollowing, Preceding, ModifiedPreceding, Unadjusted } |
Business Day conventions. More... | |
enum | JointCalendarRule { JoinHolidays, JoinBusinessDays } |
rules for joining calendars More... | |
enum | Month { January = 1, February = 2, March = 3, April = 4, May = 5, June = 6, July = 7, August = 8, September = 9, October = 10, November = 11, December = 12, Jan = 1, Feb = 2, Mar = 3, Apr = 4, Jun = 6, Jul = 7, Aug = 8, Sep = 9, Oct = 10, Nov = 11, Dec = 12 } |
Month names. More... | |
enum | Frequency { NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2, EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12, EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365, OtherFrequency = 999 } |
Frequency of events. More... | |
enum | TimeUnit { Days, Weeks, Months, Years } |
Units used to describe time periods. More... | |
enum | Weekday { Sunday = 1, Monday = 2, Tuesday = 3, Wednesday = 4, Thursday = 5, Friday = 6, Saturday = 7, Sun = 1, Mon = 2, Tue = 3, Wed = 4, Thu = 5, Fri = 6, Sat = 7 } |
Functions | |
template<typename InterestRateIndexType , typename FloatingCouponType , typename CappedFlooredCouponType > | |
Leg | FloatingLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero) |
template<typename InterestRateIndexType , typename FloatingCouponType , typename DigitalCouponType > | |
Leg | FloatingDigitalLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const boost::shared_ptr< DigitalReplication > &replication) |
std::ostream & | operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type) |
void | setCouponPricer (const Leg &leg, const boost::shared_ptr< FloatingRateCouponPricer > &) |
void | setCouponPricers (const Leg &leg, const std::vector< boost::shared_ptr< FloatingRateCouponPricer > > &) |
std::vector< boost::shared_ptr < Dividend > > | DividendVector (const std::vector< Date > ÷ndDates, const std::vector< Real > ÷nds) |
helper function building a sequence of fixed dividends | |
bool | operator== (const Currency &c1, const Currency &c2) |
bool | operator!= (const Currency &c1, const Currency &c2) |
std::ostream & | operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) |
std::ostream & | operator<< (std::ostream &out, const PricingError &error) |
std::ostream & | operator<< (std::ostream &out, const PricingErrors &errors) |
bool | operator== (const CommodityCurve &c1, const CommodityCurve &c2) |
bool | operator== (const CommodityIndex &i1, const CommodityIndex &i2) |
bool | operator== (const CommodityType &c1, const CommodityType &c2) |
bool | operator!= (const CommodityType &c1, const CommodityType &c2) |
std::ostream & | operator<< (std::ostream &out, const CommodityUnitCost &unitCost) |
bool | operator== (const PaymentTerm &c1, const PaymentTerm &c2) |
bool | operator!= (const PaymentTerm &c1, const PaymentTerm &c2) |
Quantity | operator+ (const Quantity &m1, const Quantity &m2) |
Quantity | operator- (const Quantity &m1, const Quantity &m2) |
Quantity | operator* (const Quantity &m, Real x) |
Quantity | operator* (Real x, const Quantity &m) |
Quantity | operator/ (const Quantity &m, Real x) |
bool | operator!= (const Quantity &m1, const Quantity &m2) |
bool | operator> (const Quantity &m1, const Quantity &m2) |
bool | operator>= (const Quantity &m1, const Quantity &m2) |
bool | operator== (const UnitOfMeasure &c1, const UnitOfMeasure &c2) |
bool | operator!= (const UnitOfMeasure &c1, const UnitOfMeasure &c2) |
bool | operator== (const DefaultEvent &lhs, const DefaultEvent &rhs) |
bool | operator!= (const DefaultEvent &lhs, const DefaultEvent &rhs) |
bool | operator== (const DefaultProbKey &lhs, const DefaultProbKey &rhs) |
bool | operator== (const DefaultType &lhs, const DefaultType &rhs) |
bool | operator< (const Loss &l1, const Loss &l2) |
bool | operator> (const Loss &l1, const Loss &l2) |
bool | operator== (const Loss &l1, const Loss &l2) |
bool | operator!= (const Loss &l1, const Loss &l2) |
std::map< Seniority, Real > | makeIsdaConvMap () |
Helper function for conventional recoveries. Returns the ISDA. | |
template<typename ForwardIterator , typename OutputIterator > | |
void | convolutions (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Convolutions of the input sequence. | |
template<typename ForwardIterator , typename OutputIterator > | |
void | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Unbiased auto-covariances. | |
template<typename ForwardIterator , typename OutputIterator > | |
Real | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
Unbiased auto-covariances. | |
template<typename ForwardIterator , typename OutputIterator > | |
void | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Unbiased auto-correlations. | |
template<typename ForwardIterator , typename OutputIterator > | |
Real | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
Unbiased auto-correlations. | |
Real | aggregateNPV (const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities) |
utility fuction for weighted sum of NPVs | |
std::pair< Real, Real > | parallelAnalysis (const std::vector< Handle< SimpleQuote > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >()) |
parallel shift PV01 sensitivity analysis for a SimpleQuote vector | |
std::pair< Real, Real > | parallelAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >()) |
parallel shift PV01 sensitivity analysis for a SimpleQuote matrix | |
std::pair< Real, Real > | bucketAnalysis (Handle< SimpleQuote > quote, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >()) |
(bucket) PV01 sensitivity analysis for a (single) SimpleQuote | |
void | bucketAnalysis (std::vector< Real > &deltaVector, std::vector< Real > &gammaVector, std::vector< Real > &referenceValues, Handle< SimpleQuote > quote, const std::vector< Handle< Quote > > ¶meters, Real shift=0.0001, SensitivityAnalysis type=Centered) |
(bucket) parameters' sensitivity analysis for a (single) SimpleQuote | |
std::pair< std::vector< Real > , std::vector< Real > > | bucketAnalysis (const std::vector< Handle< SimpleQuote > > "es, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered) |
bucket PV01 sensitivity analysis for a SimpleQuote vector | |
void | bucketAnalysis (std::vector< std::vector< Real > > &deltaMatrix, std::vector< std::vector< Real > > &gammaMatrix, const std::vector< Handle< SimpleQuote > > "es, const std::vector< Handle< Quote > > ¶meters, Real shift=0.0001, SensitivityAnalysis type=Centered) |
bucket parameters' sensitivity analysis for a SimpleQuote vector | |
std::pair< std::vector < std::vector< Real > >, std::vector< std::vector < Real > > > | bucketAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered) |
bucket sensitivity analysis for a SimpleQuote matrix | |
Disposable< Array > | CenteredGrid (Real center, Real dx, Size steps) |
Disposable< Array > | BoundedGrid (Real xMin, Real xMax, Size steps) |
Disposable< Array > | BoundedLogGrid (Real xMin, Real xMax, Size steps) |
bool | operator== (const Region &r1, const Region &r2) |
bool | operator!= (const Region &r1, const Region &r2) |
std::ostream & | operator<< (std::ostream &out, Average::Type type) |
std::ostream & | operator<< (std::ostream &out, Barrier::Type type) |
std::ostream & | operator<< (std::ostream &, CapFloor::Type) |
std::ostream & | operator<< (std::ostream &out, CPISwap::Type t) |
std::ostream & | operator<< (std::ostream &, YoYInflationCapFloor::Type) |
std::ostream & | operator<< (std::ostream &out, Settlement::Type type) |
std::ostream & | operator<< (std::ostream &out, VanillaSwap::Type t) |
std::ostream & | operator<< (std::ostream &out, YearOnYearInflationSwap::Type t) |
Real | DotProduct (const Array &v1, const Array &v2) |
const Disposable< Array > | operator+ (const Array &v) |
const Disposable< Array > | operator- (const Array &v) |
const Disposable< Array > | operator+ (const Array &v1, const Array &v2) |
const Disposable< Array > | operator+ (const Array &v1, Real a) |
const Disposable< Array > | operator+ (Real a, const Array &v2) |
const Disposable< Array > | operator- (const Array &v1, const Array &v2) |
const Disposable< Array > | operator- (const Array &v1, Real a) |
const Disposable< Array > | operator- (Real a, const Array &v2) |
const Disposable< Array > | operator* (const Array &v1, const Array &v2) |
const Disposable< Array > | operator* (const Array &v1, Real a) |
const Disposable< Array > | operator* (Real a, const Array &v2) |
const Disposable< Array > | operator/ (const Array &v1, const Array &v2) |
const Disposable< Array > | operator/ (const Array &v1, Real a) |
const Disposable< Array > | operator/ (Real a, const Array &v2) |
const Disposable< Array > | Abs (const Array &v) |
const Disposable< Array > | Sqrt (const Array &v) |
const Disposable< Array > | Log (const Array &v) |
const Disposable< Array > | Exp (const Array &v) |
void | swap (Array &v, Array &w) |
std::ostream & | operator<< (std::ostream &out, const Array &a) |
Real | betaFunction (Real z, Real w) |
Real | betaContinuedFraction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100) |
Real | incompleteBetaFunction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100) |
Incomplete Beta function. | |
bool | close (Real x, Real y) |
bool | close (Real x, Real y, Size n) |
bool | close_enough (Real x, Real y) |
bool | close_enough (Real x, Real y, Size n) |
Real | binomialCoefficientLn (BigNatural n, BigNatural k) |
Real | binomialCoefficient (BigNatural n, BigNatural k) |
Real | PeizerPrattMethod2Inversion (Real z, BigNatural n) |
template<class F , class R > | |
clipped_function< F, R > | clip (const F &f, const R &r) |
template<class F , class G > | |
composed_function< F, G > | compose (const F &f, const G &g) |
template<class F , class G , class H > | |
binary_compose3_function< F, G, H > | compose3 (const F &f, const G &g, const H &h) |
Real | incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
Incomplete Gamma function. | |
Real | incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
Real | incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
const Disposable< Matrix > | operator+ (const Matrix &m1, const Matrix &m2) |
const Disposable< Matrix > | operator- (const Matrix &m1, const Matrix &m2) |
const Disposable< Matrix > | operator* (const Matrix &m, Real x) |
const Disposable< Matrix > | operator* (Real x, const Matrix &m) |
const Disposable< Matrix > | operator/ (const Matrix &m, Real x) |
const Disposable< Array > | operator* (const Array &v, const Matrix &m) |
const Disposable< Array > | operator* (const Matrix &m, const Array &v) |
const Disposable< Matrix > | operator* (const Matrix &m1, const Matrix &m2) |
const Disposable< Matrix > | transpose (const Matrix &m) |
const Disposable< Matrix > | outerProduct (const Array &v1, const Array &v2) |
template<class Iterator1 , class Iterator2 > | |
const Disposable< Matrix > | outerProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end) |
void | swap (Matrix &m1, Matrix &m2) |
std::ostream & | operator<< (std::ostream &out, const Matrix &m) |
Disposable< std::vector< Real > > | factorReduction (Matrix mtrx, Size maxIters=25) |
template<class DataIterator > | |
Disposable< Matrix > | getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12) |
Calculation of covariance from correlation and standard deviations. | |
Disposable< std::vector< Size > > | qrDecomposition (const Matrix &A, Matrix &q, Matrix &r, bool pivot=true) |
QR decompoisition. | |
Disposable< Array > | qrSolve (const Matrix &a, const Array &b, bool pivot=true, const Array &d=Array()) |
QR Solve. | |
Disposable< Matrix > | triangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank) |
Returns the Triangular Angles Parametrized correlation matrix. | |
Disposable< Matrix > | lmmTriangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank) |
Disposable< Matrix > | triangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank) |
Disposable< Matrix > | lmmTriangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank) |
Disposable< Matrix > | triangularAnglesParametrizationRankThree (Real alpha, Real t0, Real epsilon, Size nbRows) |
Returns the rank reduced Triangular Angles Parametrized correlation matrix. | |
Disposable< Matrix > | triangularAnglesParametrizationRankThreeVectorial (const Array ¶mters, Size nbRows) |
std::ostream & | operator<< (std::ostream &out, EndCriteria::Type ecType) |
std::vector< Real > | sphereCylinderOptimizerClosest (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Natural maxIterations, Real tolerance, Real finalWeight=1.0) |
void | swap (SampledCurve &, SampledCurve &) |
std::ostream & | operator<< (std::ostream &out, const SampledCurve &a) |
void | swap (TridiagonalOperator &, TridiagonalOperator &) |
Disposable< TridiagonalOperator > | operator+ (const TridiagonalOperator &D) |
Disposable< TridiagonalOperator > | operator- (const TridiagonalOperator &D) |
Disposable< TridiagonalOperator > | operator+ (const TridiagonalOperator &D1, const TridiagonalOperator &D2) |
Disposable< TridiagonalOperator > | operator- (const TridiagonalOperator &D1, const TridiagonalOperator &D2) |
Disposable< TridiagonalOperator > | operator* (Real a, const TridiagonalOperator &D) |
Disposable< TridiagonalOperator > | operator* (const TridiagonalOperator &D, Real a) |
Disposable< TridiagonalOperator > | operator/ (const TridiagonalOperator &D, Real a) |
Real | genericLongstaffSchwartzRegression (std::vector< std::vector< NodeData > > &simulationData, std::vector< std::vector< Real > > &basisCoefficients) |
returns the biased estimate obtained while regressing | |
Real | genericEarlyExerciseOptimization (std::vector< std::vector< NodeData > > &simulationData, const ParametricExercise &exercise, std::vector< std::vector< Real > > ¶meters, const EndCriteria &endCriteria, OptimizationMethod &method) |
returns the biased estimate obtained while optimizing | |
void | collectNodeData (MarketModelEvolver &evolver, MarketModelMultiProduct &product, MarketModelNodeDataProvider &dataProvider, MarketModelExerciseValue &rebate, MarketModelExerciseValue &control, Size numberOfPaths, std::vector< std::vector< NodeData > > &collectedData) |
Disposable< Matrix > | exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr=0.5, Real beta=0.2, Real gamma=1.0, Time t=0.0) |
void | forwardsFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &fwds) |
void | coterminalFromDiscountRatios (const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities) |
void | constantMaturityFromDiscountRatios (const Size spanningForwards, const Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities) |
void | checkCompatibility (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
bool | isInTerminalMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
bool | isInMoneyMarketPlusMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires, Size offset=1) |
bool | isInMoneyMarketMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
std::vector< Size > | terminalMeasure (const EvolutionDescription &evolution) |
Terminal measure: the last bond is used as numeraire. | |
std::vector< Size > | moneyMarketPlusMeasure (const EvolutionDescription &, Size offset=1) |
std::vector< Size > | moneyMarketMeasure (const EvolutionDescription &) |
template<class Traits , class Interpolator > | |
void | historicalForwardRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator()) |
void | historicalRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes) |
std::vector< Volatility > | rateVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2) |
std::vector< Spread > | rateInstVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2, Size index) |
std::vector< Real > | coterminalSwapPseudoRoots (const PiecewiseConstantCorrelation &, const std::vector< boost::shared_ptr< PiecewiseConstantVariance > > &, const std::vector< Time > &) |
Integer | capletSwaptionPeriodicCalibration (const EvolutionDescription &evolution, const boost::shared_ptr< PiecewiseConstantCorrelation > &corr, VolatilityInterpolationSpecifier &displacedSwapVariances, const std::vector< Volatility > &capletVols, const boost::shared_ptr< CurveState > &cs, const Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size period, Size max1dIterations, Real tolerance1d, Size maxUnperiodicIterations, Real toleranceUnperiodic, Size maxPeriodIterations, Real periodTolerance, Real &deformationSize, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots, std::vector< Real > &finalScales, Size &iterationsDone, Real &errorImprovement, Matrix &modelSwaptionVolsMatrix) |
void | mergeTimes (const std::vector< std::vector< Time > > ×, std::vector< Time > &mergedTimes, std::vector< std::valarray< bool > > &isPresent) |
std::valarray< bool > | isInSubset (const std::vector< Time > &set, const std::vector< Time > &subset) |
void | checkIncreasingTimes (const std::vector< Time > ×) |
check for strictly increasing times, first time greater than zero | |
void | checkIncreasingTimesAndCalculateTaus (const std::vector< Time > ×, std::vector< Time > &taus) |
Money | operator+ (const Money &m1, const Money &m2) |
Money | operator- (const Money &m1, const Money &m2) |
Money | operator* (const Money &m, Decimal x) |
Money | operator* (Decimal x, const Money &m) |
Money | operator/ (const Money &m, Decimal x) |
bool | operator!= (const Money &m1, const Money &m2) |
bool | operator> (const Money &m1, const Money &m2) |
bool | operator>= (const Money &m1, const Money &m2) |
Money | operator* (Decimal value, const Currency &c) |
Money | operator* (const Currency &c, Decimal value) |
std::ostream & | operator<< (std::ostream &out, Option::Type type) |
Real | midEquivalent (const Real bid, const Real ask, const Real last, const Real close) |
Real | midSafe (const Real bid, const Real ask) |
Real | blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | blackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaImpliedStdDevApproximation (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100) |
Real | blackFormulaImpliedStdDev (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100) |
Real | blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0) |
Real | blackFormulaCashItmProbability (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0) |
Real | blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, Real discount=1.0, Real displacement=0.0) |
Real | blackFormulaStdDevDerivative (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
Real | bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0) |
Real | bachelierBlackFormula (const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) |
Real | blackScholesTheta (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma) |
default theta calculation for Black-Scholes options | |
Real | defaultThetaPerDay (Real theta) |
default theta-per-day calculation | |
std::pair< Date, Date > | inflationPeriod (const Date &, Frequency) |
utility function giving the inflation period for a given date | |
Time | inflationYearFraction (Frequency, bool indexIsInterpolated, const DayCounter &, const Date &, const Date &) |
void | validateAbcdParameters (Real a, Real, Real c, Real d) |
Real | abcdBlackVolatility (Time u, Real a, Real b, Real c, Real d) |
Real | unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
Real | sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
void | validateSabrParameters (Real alpha, Real beta, Real nu, Real rho) |
bool | operator== (const Calendar &c1, const Calendar &c2) |
bool | operator!= (const Calendar &c1, const Calendar &c2) |
std::ostream & | operator<< (std::ostream &out, const Calendar &c) |
BigInteger | operator- (const Date &d1, const Date &d2) |
bool | operator== (const Date &d1, const Date &d2) |
bool | operator!= (const Date &d1, const Date &d2) |
bool | operator< (const Date &d1, const Date &d2) |
bool | operator<= (const Date &d1, const Date &d2) |
bool | operator> (const Date &d1, const Date &d2) |
bool | operator>= (const Date &d1, const Date &d2) |
bool | operator== (const DayCounter &d1, const DayCounter &d2) |
bool | operator!= (const DayCounter &d1, const DayCounter &d2) |
std::ostream & | operator<< (std::ostream &out, const DayCounter &d) |
template<typename T > | |
Period | operator* (T n, TimeUnit units) |
template<typename T > | |
Period | operator* (TimeUnit units, T n) |
Period | operator- (const Period &p) |
Period | operator* (Integer n, const Period &p) |
Period | operator* (const Period &p, Integer n) |
bool | operator== (const Period &p1, const Period &p2) |
bool | operator!= (const Period &p1, const Period &p2) |
bool | operator> (const Period &p1, const Period &p2) |
bool | operator<= (const Period &p1, const Period &p2) |
bool | operator>= (const Period &p1, const Period &p2) |
template<class T > | |
void | swap (Clone< T > &t, Clone< T > &u) |
abstract base class implementation specifies how to decide volatility structure for additional synthetic rates which are interleaved
Classes for computing derivative of the map taking rates one step to the next with respect to a change in the pseudo-root. We do it both numerically and analytically to provide an easy test of the analytic method. This is useful for pathwise vegas.
Evolution is log Euler.
One is tested against the other in MarketModelTest::testPathwiseVegas
In order to compute market vegas, we need a class that gives the derivative of a swaption implied vol against changes in pseudo-root elements. This is that class.
This is tested in the pathwise vegas routine in MarketModels.cpp
When bumping vols, bumping every pseudo-root element individually seems excessive so we need to couple some together.
typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativeNormal> PseudoRandom |
default traits for pseudo-random number generation
typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativePoisson> PoissonPseudoRandom |
traits for Poisson-distributed pseudo-random number generation
default risk measures tool
default multi-dimensional statistics tool
typedef RiskStatistics Statistics |
default statistics tool
enum Compounding |
enum Seniority |
Seniority of a bond.
They are also ISDA tier/seniorities used for CDS conventional spreads.
enum PriceType |
Price types.
enum JointCalendarRule |
bool QuantLib::operator== | ( | const DefaultEvent & | lhs, |
const DefaultEvent & | rhs | ||
) |
Two credit events are the same independently of their settlement member data. This has the side effect of overwritting different settlements from the same credit event when, say, inserting in a map. But on the other hand one given event can only have one settlement. This means we can not have two restructuring events on a bond on the same date.
bool QuantLib::operator== | ( | const DefaultType & | lhs, |
const DefaultType & | rhs | ||
) |
Equality is the criteria for indexing the curves. This depends only on the atomic types and not on idiosincracies of derived type as mentioned in the functional documentation (specific event characteristics are relevant to credit event matching but not to the probability meaning). operator== is also used to remove duplicates in some containers. This ensures we do not have two equal events (despite having different characteristics) in those containers. This makes sense, theres no logic in having two FailureToPay in a contract even if they have different characteristics.
void QuantLib::convolutions | ( | ForwardIterator | begin, |
ForwardIterator | end, | ||
OutputIterator | out, | ||
std::size_t | maxLag | ||
) |
Convolutions of the input sequence.
Calculates x[0]*x[n]+x[1]*x[n+1]+x[2]*x[n+2]+... for n = 0,1,...,maxLag via FFT.
void QuantLib::autocovariances | ( | ForwardIterator | begin, |
ForwardIterator | end, | ||
OutputIterator | out, | ||
std::size_t | maxLag | ||
) |
Unbiased auto-covariances.
Results are calculated via FFT.
Real QuantLib::autocovariances | ( | ForwardIterator | begin, |
ForwardIterator | end, | ||
OutputIterator | out, | ||
std::size_t | maxLag, | ||
bool | reuse | ||
) |
Unbiased auto-covariances.
Results are calculated via FFT.
This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.
void QuantLib::autocorrelations | ( | ForwardIterator | begin, |
ForwardIterator | end, | ||
OutputIterator | out, | ||
std::size_t | maxLag | ||
) |
Unbiased auto-correlations.
Results are calculated via FFT. The first element of the output is the unbiased sample variance.
Real QuantLib::autocorrelations | ( | ForwardIterator | begin, |
ForwardIterator | end, | ||
OutputIterator | out, | ||
std::size_t | maxLag, | ||
bool | reuse | ||
) |
Unbiased auto-correlations.
Results are calculated via FFT. The first element of the output is the unbiased sample variance.
This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.
std::pair<Real, Real> QuantLib::parallelAnalysis | ( | const std::vector< Handle< SimpleQuote > > & | , |
const std::vector< boost::shared_ptr< Instrument > > & | , | ||
const std::vector< Real > & | quantities, | ||
Real | shift = 0.0001 , |
||
SensitivityAnalysis | type = Centered , |
||
Real | referenceNpv = Null< Real >() |
||
) |
parallel shift PV01 sensitivity analysis for a SimpleQuote vector
returns a pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.
Empty quantities vector is considered as unit vector. The same if the vector is just one single element equal to one.
All SimpleQuotes are tweaked together in a parallel fashion.
std::pair<Real, Real> QuantLib::parallelAnalysis | ( | const std::vector< std::vector< Handle< SimpleQuote > > > & | , |
const std::vector< boost::shared_ptr< Instrument > > & | , | ||
const std::vector< Real > & | quantities, | ||
Real | shift = 0.0001 , |
||
SensitivityAnalysis | type = Centered , |
||
Real | referenceNpv = Null< Real >() |
||
) |
parallel shift PV01 sensitivity analysis for a SimpleQuote matrix
returns a pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.
Empty quantities vector is considered as unit vector. The same if the vector is of size one.
All SimpleQuotes are tweaked together in a parallel fashion.
std::pair<Real, Real> QuantLib::bucketAnalysis | ( | Handle< SimpleQuote > | quote, |
const std::vector< boost::shared_ptr< Instrument > > & | , | ||
const std::vector< Real > & | quantities, | ||
Real | shift = 0.0001 , |
||
SensitivityAnalysis | type = Centered , |
||
Real | referenceNpv = Null< Real >() |
||
) |
(bucket) PV01 sensitivity analysis for a (single) SimpleQuote
returns a pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.
Empty quantities vector is considered as unit vector. The same if the vector is of size one.
void QuantLib::bucketAnalysis | ( | std::vector< Real > & | deltaVector, |
std::vector< Real > & | gammaVector, | ||
std::vector< Real > & | referenceValues, | ||
Handle< SimpleQuote > | quote, | ||
const std::vector< Handle< Quote > > & | parameters, | ||
Real | shift = 0.0001 , |
||
SensitivityAnalysis | type = Centered |
||
) |
(bucket) parameters' sensitivity analysis for a (single) SimpleQuote
returns a vector (one element for each paramet) of pair of first and second derivative values calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.
Empty quantities vector is considered as unit vector. The same if the vector is of size one.
std::pair<std::vector<Real>, std::vector<Real> > QuantLib::bucketAnalysis | ( | const std::vector< Handle< SimpleQuote > > & | quotes, |
const std::vector< boost::shared_ptr< Instrument > > & | , | ||
const std::vector< Real > & | quantities, | ||
Real | shift = 0.0001 , |
||
SensitivityAnalysis | type = Centered |
||
) |
bucket PV01 sensitivity analysis for a SimpleQuote vector
returns a pair of first and second derivative vectors calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.
Empty quantities vector is considered as unit vector. The same if the vector is of size one.
The (bucket) SimpleQuotes are tweaked one by one separately.
void QuantLib::bucketAnalysis | ( | std::vector< std::vector< Real > > & | deltaMatrix, |
std::vector< std::vector< Real > > & | gammaMatrix, | ||
const std::vector< Handle< SimpleQuote > > & | quotes, | ||
const std::vector< Handle< Quote > > & | parameters, | ||
Real | shift = 0.0001 , |
||
SensitivityAnalysis | type = Centered |
||
) |
bucket parameters' sensitivity analysis for a SimpleQuote vector
returns a vector (one element for each paramet) of pair of first and second derivative vectors calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.
Empty quantities vector is considered as unit vector. The same if the vector is of size one.
The (bucket) SimpleQuotes are tweaked one by one separately.
std::pair<std::vector<std::vector<Real> >, std::vector<std::vector<Real> > > QuantLib::bucketAnalysis | ( | const std::vector< std::vector< Handle< SimpleQuote > > > & | , |
const std::vector< boost::shared_ptr< Instrument > > & | , | ||
const std::vector< Real > & | quantities, | ||
Real | shift = 0.0001 , |
||
SensitivityAnalysis | type = Centered |
||
) |
bucket sensitivity analysis for a SimpleQuote matrix
returns a pair of first and second derivative metrices calculated as prescribed by SensitivityAnalysis. Second derivative might not be available depending on SensitivityAnalysis value.
Empty quantities vector is considered as unit vector. The same if the vector is of size one.
The (bucket) SimpleQuotes are tweaked one by one separately.
Real QuantLib::incompleteBetaFunction | ( | Real | a, |
Real | b, | ||
Real | x, | ||
Real | accuracy = 1e-16 , |
||
Integer | maxIteration = 100 |
||
) |
Incomplete Beta function.
Incomplete Beta function
The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6
bool close | ( | Real | x, |
Real | y | ||
) |
Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:
where is
times the machine accuracy;
equals 42 if not given.
bool close_enough | ( | Real | x, |
Real | y | ||
) |
Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:
where is
times the machine accuracy;
equals 42 if not given.
Real QuantLib::PeizerPrattMethod2Inversion | ( | Real | z, |
BigNatural | n | ||
) |
Given an odd integer n and a real number z it returns p such that: 1 - CumulativeBinomialDistribution((n-1)/2, n, p) = CumulativeNormalDistribution(z)
Real QuantLib::incompleteGammaFunction | ( | Real | a, |
Real | x, | ||
Real | accuracy = 1.0e-13 , |
||
Integer | maxIteration = 100 |
||
) |
Incomplete Gamma function.
Incomplete Gamma function
The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6
Disposable<std::vector<Real> > QuantLib::factorReduction | ( | Matrix | mtrx, |
Size | maxIters = 25 |
||
) |
Iterative procedure to compute a correlation matrix reduction to a single factor dependence vector by minimizing the residuals.
It assumes that such a reduction is possible, notice that if the dependence can not be reduced to one factor the correlation factors might be above 1.
The matrix passed is destroyed.
See for instance: "Modern Factor Analysis", Harry H. Harman, University Of Chicago Press, 1976. Chapter 9 is relevant to this context.
Disposable<Matrix> QuantLib::getCovariance | ( | DataIterator | stdDevBegin, |
DataIterator | stdDevEnd, | ||
const Matrix & | corr, | ||
Real | tolerance = 1.0e-12 |
||
) |
Calculation of covariance from correlation and standard deviations.
Combines the correlation matrix and the vector of standard deviations to return the covariance matrix.
Note that only the symmetric part of the correlation matrix is used. Also it is assumed that the diagonal member of the correlation matrix equals one.
Disposable<std::vector<Size> > QuantLib::qrDecomposition | ( | const Matrix & | A, |
Matrix & | q, | ||
Matrix & | r, | ||
bool | pivot = true |
||
) |
QR decompoisition.
This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz)
This subroutine uses householder transformations with column pivoting (optional) to compute a qr factorization of the m by n matrix A. That is, qrfac determines an orthogonal matrix q, a permutation matrix p, and an upper trapezoidal matrix r with diagonal elements of nonincreasing magnitude, such that A*p = q*r.
Return value ipvt is an integer array of length n, which defines the permutation matrix p such that A*p = q*r. Column j of p is column ipvt(j) of the identity matrix.
See lmdiff.cpp for further details.
Disposable<Array> QuantLib::qrSolve | ( | const Matrix & | a, |
const Array & | b, | ||
bool | pivot = true , |
||
const Array & | d = Array() |
||
) |
QR Solve.
This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz)
Given an m by n matrix A, an n by n diagonal matrix d, and an m-vector b, the problem is to determine an x which solves the system
A*x = b , d*x = 0 ,
in the least squares sense.
d is an input array of length n which must contain the diagonal elements of the matrix d.
See lmdiff.cpp for further details.
Disposable<Matrix> QuantLib::triangularAnglesParametrization | ( | const Array & | angles, |
Size | matrixSize, | ||
Size | rank | ||
) |
Returns the Triangular Angles Parametrized correlation matrix.
The matrix is filled with values corresponding to angles given in the
vector. See equation (24) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio
Disposable<Matrix> QuantLib::triangularAnglesParametrizationRankThree | ( | Real | alpha, |
Real | t0, | ||
Real | epsilon, | ||
Size | nbRows | ||
) |
Returns the rank reduced Triangular Angles Parametrized correlation matrix.
The matrix is filled with values corresponding to angles corresponding to the 3D spherical spiral paramterized by
,
,
values. See equation (32) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio
Disposable<Matrix> QuantLib::exponentialCorrelations | ( | const std::vector< Time > & | rateTimes, |
Real | longTermCorr = 0.5 , |
||
Real | beta = 0.2 , |
||
Real | gamma = 1.0 , |
||
Time | t = 0.0 |
||
) |
Exponential correlation L = long term correlation beta = exponential decay of correlation between far away forward rates gamma = exponent for time to go t = time dependence
void QuantLib::checkCompatibility | ( | const EvolutionDescription & | evolution, |
const std::vector< Size > & | numeraires | ||
) |
Check that there is one numeraire for each evolution time. Each numeraire must be an index amongst the rate times so it ranges from 0 to n. Each numeraire must not have expired before the end of the step.
std::vector<Size> QuantLib::moneyMarketPlusMeasure | ( | const EvolutionDescription & | , |
Size | offset = 1 |
||
) |
Offsetted discretely compounded money market account measure: for each step the offset-th unexpired bond is used as numeraire. When offset=0 the result is the usual discretely compounded money market account measure
std::vector<Size> QuantLib::moneyMarketMeasure | ( | const EvolutionDescription & | ) |
Discretely compounded money market account measure: for each step the first unexpired bond is used as numeraire.
std::valarray<bool> QuantLib::isInSubset | ( | const std::vector< Time > & | set, |
const std::vector< Time > & | subset | ||
) |
Look for elements of a set in a subset. Returns a vector of booleans such that: element set[i] present/not present in subset.
Real QuantLib::midEquivalent | ( | const Real | bid, |
const Real | ask, | ||
const Real | last, | ||
const Real | close | ||
) |
return the MidEquivalent price, i.e. the mid if available, or a suitable substitute if the proper mid is not available
Real QuantLib::midSafe | ( | const Real | bid, |
const Real | ask | ||
) |
return the MidSafe price, i.e. the mid only if both bid and ask prices are available
Real QuantLib::blackFormula | ( | Option::Type | optionType, |
Real | strike, | ||
Real | forward, | ||
Real | stdDev, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 |
||
) |
Black 1976 formula
Real QuantLib::blackFormula | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, |
Real | forward, | ||
Real | stdDev, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 |
||
) |
Black 1976 formula
Real QuantLib::blackFormulaImpliedStdDevApproximation | ( | Option::Type | optionType, |
Real | strike, | ||
Real | forward, | ||
Real | blackPrice, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 |
||
) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)
Real QuantLib::blackFormulaImpliedStdDevApproximation | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, |
Real | forward, | ||
Real | blackPrice, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 |
||
) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)
Real QuantLib::blackFormulaImpliedStdDev | ( | Option::Type | optionType, |
Real | strike, | ||
Real | forward, | ||
Real | blackPrice, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 , |
||
Real | guess = Null< Real >() , |
||
Real | accuracy = 1.0e-6 , |
||
Natural | maxIterations = 100 |
||
) |
Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormulaImpliedStdDev | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, |
Real | forward, | ||
Real | blackPrice, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 , |
||
Real | guess = Null< Real >() , |
||
Real | accuracy = 1.0e-6 , |
||
Natural | maxIterations = 100 |
||
) |
Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)
Real QuantLib::blackFormulaCashItmProbability | ( | Option::Type | optionType, |
Real | strike, | ||
Real | forward, | ||
Real | stdDev, | ||
Real | displacement = 0.0 |
||
) |
Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.
Real QuantLib::blackFormulaCashItmProbability | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, |
Real | forward, | ||
Real | stdDev, | ||
Real | displacement = 0.0 |
||
) |
Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.
Real QuantLib::blackFormulaStdDevDerivative | ( | Real | strike, |
Real | forward, | ||
Real | stdDev, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 |
||
) |
Black 1976 formula for standard deviation derivative
Real QuantLib::blackFormulaVolDerivative | ( | Real | strike, |
Real | forward, | ||
Real | stdDev, | ||
Real | expiry, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 |
||
) |
Black 1976 formula for derivative with respect to implied vol, this is basically the vega, but if you want 1% change multiply by 1%
Real QuantLib::blackFormulaStdDevDerivative | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, |
Real | forward, | ||
Real | stdDev, | ||
Real | discount = 1.0 , |
||
Real | displacement = 0.0 |
||
) |
Black 1976 formula for standard deviation derivative
Real QuantLib::bachelierBlackFormula | ( | Option::Type | optionType, |
Real | strike, | ||
Real | forward, | ||
Real | stdDev, | ||
Real | discount = 1.0 |
||
) |
Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.
Real QuantLib::bachelierBlackFormula | ( | const boost::shared_ptr< PlainVanillaPayoff > & | payoff, |
Real | forward, | ||
Real | stdDev, | ||
Real | discount = 1.0 |
||
) |
Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.
Time QuantLib::inflationYearFraction | ( | Frequency | , |
bool | indexIsInterpolated, | ||
const DayCounter & | , | ||
const Date & | , | ||
const Date & | |||
) |
utility function giving the time between two dates depending on index frequency and interpolation, and a day counter