Class Hierarchy

Go to the graphical class hierarchy

This inheritance list is sorted roughly, but not completely, alphabetically:
[detail level 1234567]
oCBoundaryCondition< FdmLinearOp >
oCBoundaryCondition< TridiagonalOperator >
oCClone< ExerciseStrategy< QuantLib::CurveState > >
oCClone< MarketModelBasisSystem >
oCClone< MarketModelExerciseValue >
oCClone< MarketModelParametricExercise >
oCClone< QuantLib::FittedBondDiscountCurve::FittingMethod >
oCClone< QuantLib::MarketModelMultiProduct >
oCClone< QuantLib::MarketModelPathwiseMultiProduct >
oCCuriouslyRecurringTemplate< AdditiveEQPBinomialTree >
oCCuriouslyRecurringTemplate< Bisection >
oCCuriouslyRecurringTemplate< BlackScholesLattice< T > >
oCCuriouslyRecurringTemplate< Brent >
oCCuriouslyRecurringTemplate< CoxRossRubinstein >
oCCuriouslyRecurringTemplate< ExtendedAdditiveEQPBinomialTree >
oCCuriouslyRecurringTemplate< ExtendedCoxRossRubinstein >
oCCuriouslyRecurringTemplate< ExtendedJarrowRudd >
oCCuriouslyRecurringTemplate< ExtendedJoshi4 >
oCCuriouslyRecurringTemplate< ExtendedLeisenReimer >
oCCuriouslyRecurringTemplate< ExtendedTian >
oCCuriouslyRecurringTemplate< ExtendedTrigeorgis >
oCCuriouslyRecurringTemplate< FalsePosition >
oCCuriouslyRecurringTemplate< FiniteDifferenceNewtonSafe >
oCCuriouslyRecurringTemplate< JarrowRudd >
oCCuriouslyRecurringTemplate< Joshi4 >
oCCuriouslyRecurringTemplate< LeisenReimer >
oCCuriouslyRecurringTemplate< Newton >
oCCuriouslyRecurringTemplate< NewtonSafe >
oCCuriouslyRecurringTemplate< OneFactorModel::ShortRateTree >
oCCuriouslyRecurringTemplate< Ridder >
oCCuriouslyRecurringTemplate< Secant >
oCCuriouslyRecurringTemplate< T >
oCCuriouslyRecurringTemplate< Tian >
oCCuriouslyRecurringTemplate< Trigeorgis >
oCCuriouslyRecurringTemplate< TrinomialTree >
oCCuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree >
oCearlier_than< T >Compare two objects by date
oCEarlyExercisePathPricer< MultiPath >
oCEarlyExercisePathPricer< Path >
oCForwardOptionArguments< VanillaOption::arguments >
oCHandle< AffineModel >
oCHandle< BatesModel >
oCHandle< copulaT >
oCHandle< FdmQuantoHelper >
oCHandle< G2 >
oCHandle< GJRGARCHModel >
oCHandle< HestonModel >
oCHandle< HullWhite >
oCHandle< LiborForwardModel >
oCHandle< ModelType >
oCHandle< OneFactorAffineModel >
oCHandle< OneFactorGaussianCopula >
oCHandle< OneFactorStudentCopula >
oCHandle< PiecewiseTimeDependentHestonModel >
oCHandle< QuantLib::AbcdAtmVolCurve >
oCHandle< QuantLib::BatesProcess >
oCHandle< QuantLib::BlackAtmVolCurve >
oCHandle< QuantLib::BlackVarianceCurve >
oCHandle< QuantLib::BlackVolTermStructure >
oCHandle< QuantLib::CallableBondVolatilityStructure >
oCHandle< QuantLib::CapFloorTermVolCurve >
oCHandle< QuantLib::CPICapFloorTermPriceSurface >
oCHandle< QuantLib::CPIVolatilitySurface >
oCHandle< QuantLib::DefaultProbabilityTermStructure >
oCHandle< QuantLib::ExtendedOrnsteinUhlenbeckProcess >
oCHandle< QuantLib::ExtOUWithJumpsProcess >
oCHandle< QuantLib::GeneralizedBlackScholesProcess >
oCHandle< QuantLib::HestonProcess >
oCHandle< QuantLib::HullWhiteProcess >
oCHandle< QuantLib::InterestRateVolSurface >
oCHandle< QuantLib::KlugeExtOUProcess >
oCHandle< QuantLib::LocalVolTermStructure >
oCHandle< QuantLib::OneFactorCopula >
oCHandle< QuantLib::OptionletVolatilityStructure >
oCHandle< QuantLib::Quote >
oCHandle< QuantLib::RecoveryRateQuote >
oCHandle< QuantLib::SwaptionVolatilityStructure >
oCHandle< QuantLib::YieldTermStructure >
oCHandle< QuantLib::YoYInflationTermStructure >
oCHandle< QuantLib::YoYOptionletVolatilitySurface >
oCHandle< QuantLib::ZeroInflationIndex >
oCHandle< QuantLib::ZeroInflationTermStructure >
oCHandle< ShortRateModel >
oCInverseCumulativeRsg< QuantLib::SobolRsg, QuantLib::InverseCumulativeNormal >
oCMcSimulation< MultiVariate, RNG, S >
oCMcSimulation< MultiVariate, RNG, Statistics >
oCMcSimulation< SingleVariate, RNG, S >
oCNull< Type >Template class providing a null value for a given type
oCObservableValue< Date >
oCObservableValue< TimeSeries< Real > >
oCPathPricer< MultiPath >
oCPathPricer< Path >
oCPathPricer< PathType >
oCAbcdFunctionAbcd functional form for instantaneous volatility
oCAccountingEngineEngine collecting cash flows along a market-model simulation
oCAcyclicVisitorDegenerate base class for the Acyclic Visitor pattern
oCAliMikhailHaqCopulaAli-Mikhail-Haq copula
oCAmericanConditionAmerican exercise condition
oCAmericanPayoffAtExpiryAnalytic formula for American exercise payoff at-expiry options
oCAmericanPayoffAtHitAnalytic formula for American exercise payoff at-hit options
oCAnalyticDigitalAmericanEngineAnalytic pricing engine for American vanilla options with digital payoff
oCAnalyticEuropeanEnginePricing engine for European vanilla options using analytical formulae
oCArray1-D array used in linear algebra
oCAssetSwap::argumentsArguments for asset swap calculation
oCAssetSwap::resultsResults from simple swap calculation
oCAtomicDefaultAtomic (single contractual event) default events
oCAveragePlaceholder for enumerated averaging types
oCAverageBMALegHelper class building a sequence of average BMA coupons
oCBackwardFlatBackward-flat interpolation factory and traits
oCBaroneAdesiWhaleyApproximationEngineBarone-Adesi and Whaley pricing engine for American options (1987)
oCBarrierPlaceholder for enumerated barrier types
oCBarrierOption::argumentsArguments for barrier option calculation
oCBernsteinPolynomialClass of Bernstein polynomials
oCBFGSBroyden-Fletcher-Goldfarb-Shanno algorithm
oCBicubicBicubic-spline-interpolation factory
oCBilinearBilinear-interpolation factory
oCBinomialConvertibleEngine< T >Binomial Tsiveriotis-Fernandes engine for convertible bonds
oCBinomialDistributionBinomial probability distribution function
oCBinomialProbabilityOfAtLeastNEventsProbability of at least N events
oCBinomialVanillaEngine< T >Pricing engine for vanilla options using binomial trees
oCBivariateCumulativeNormalDistributionDr78Cumulative bivariate normal distribution function
oCBivariateCumulativeNormalDistributionWe04DPCumulative bivariate normal distibution function (West 2004)
oCBjerksundStenslandApproximationEngineBjerksund and Stensland pricing engine for American options (1993)
oCBlackCalculatorBlack 1976 calculator class
oCBlackDeltaCalculatorBlack delta calculator class
oCBondFunctionsBond adapters of CashFlows functions
oCBootstrapError< Curve >Bootstrap error
oCBoundaryCondition< Operator >Abstract boundary condition class for finite difference problems
oCBoxMullerGaussianRng< RNG >Gaussian random number generator
oCBrownianBridgeBuilds Wiener process paths using Gaussian variates
oCBSplineB-spline basis functions
oCCalendarcalendar class
oCCalendar::ImplAbstract base class for calendar implementations
oCCallability::PriceAmount to be paid upon callability
oCCallableBond::resultsResults for a callable bond calculation
oCCapFloor::argumentsArguments for cap/floor calculation
oCCapPseudoDerivative
oCCashFlowscashflow-analysis functions
oCCdsOption::resultsResults from CDS-option calculation
oCClaytonCopulaClayton copula
oCClaytonCopulaRng< RNG >Clayton copula random-number generator
oCCLGaussianRng< RNG >Gaussian random number generator
oCClone< T >Cloning proxy to an underlying object
oCCmsLegHelper class building a sequence of capped/floored cms-rate coupons
oCCMSMMDriftCalculatorDrift computation for CMS market models
oCCommodityPricingHelperCommodity index helper
oCCommodityTypeCommodity type
oCComposite< T >Composite pattern
oCConjugateGradientMulti-dimensional Conjugate Gradient class
oCConstantEstimatorConstant-estimator volatility model
oCConstraintBase constraint class
oCConstraint::ImplBase class for constraint implementations
oCContinuousAveragingAsianOption::argumentsExtra arguments for single-asset continuous-average Asian option
oCContinuousFixedLookbackOption::argumentsArguments for continuous fixed lookback option calculation
oCContinuousFloatingLookbackOption::argumentsArguments for continuous floating lookback option calculation
oCConvergenceStatistics< T, U >Statistics class with convergence table
oCConvexMonotoneConvex-monotone interpolation factory and traits
oCCostFunctionCost function abstract class for optimization problem
oCCovarianceDecompositionCovariance decomposition into correlation and variances
oCCPILegHelper class building a sequence of capped/floored CPI coupons
oCCPISwap::argumentsArguments for swap calculation
oCCPISwap::resultsResults from swap calculation
oCCubicCubic interpolation factory and traits
oCCumulativeBinomialDistributionCumulative binomial distribution function
oCCumulativeNormalDistributionCumulative normal distribution function
oCCumulativePoissonDistributionCumulative Poisson distribution function
oCCumulativeStudentDistributionCumulative Student t-distribution
oCCuriouslyRecurringTemplate< Impl >Support for the curiously recurring template pattern
oCCurrencyCurrency specification
oCCurveAbstract curve class
oCCurveStateCurve state for market-model simulations
oCDateConcrete date class
oCDateGenerationDate-generation rule
oCDateIntervalDate interval described by a number of a given time unit
oCDayCounterDay counter class
oCDayCounter::ImplAbstract base class for day counter implementations
oCDefaultDensityDefault-density-curve traits
oCDefaultProbKey
oCDefaultTypeAtomic credit-event type
oCImpliedVolatilityHelperHelper class for one-asset implied-volatility calculation
oCDigitalCmsLegHelper class building a sequence of digital ibor-rate coupons
oCDigitalIborLegHelper class building a sequence of digital ibor-rate coupons
oCDiscountDiscount-curve traits
oCDiscreteAveragingAsianOption::argumentsExtra arguments for single-asset discrete-average Asian option
oCDiscretizedAssetDiscretized asset class used by numerical methods
oCDisposable< T >Generic disposable object with move semantics
oCDividendVanillaOption::argumentsArguments for dividend vanilla option calculation
oCDomaindomain abstract lcass
oCDurationduration type
oCEarlyExercisePathPricer< PathType, TimeType, ValueType >Base class for early exercise path pricers
oCECBEuropean Central Bank reserve maintenance dates
oCEndCriteriaCriteria to end optimization process:
oCEnergyBasisSwapEnergy basis swap
oCEnergyVanillaSwapVanilla energy swap
oCEoniaEonia (Euro Overnight Index Average) rate fixed by the ECB
oCErrorFunctionError function
oCEvolutionDescriptionMarket-model evolution description
oCExchangeRateExchange rate between two currencies
oCExerciseBase exercise class
oCExponentialJump1dMesher
oCExtrapolatorBase class for classes possibly allowing extrapolation
oCFactorialFactorial numbers calculator
oCFarlieGumbelMorgensternCopulaFarlie-Gumbel-Morgenstern copula
oCFarlieGumbelMorgensternCopulaRng< RNG >Farlie-Gumbel-Morgenstern copula random-number generator
oCFastFourierTransformFFT implementation
oCFaureRsgFaure low-discrepancy sequence generator
oCFDAmericanEngine< Scheme >Finite-differences pricing engine for American one asset options
oCFDBermudanEngine< Scheme >Finite-differences Bermudan engine
oCFDDividendAmericanEngine< Scheme >Finite-differences pricing engine for dividend American options
oCFDDividendEngineBase< Scheme >Abstract base class for dividend engines
oCFDDividendEuropeanEngine< Scheme >Finite-differences pricing engine for dividend European options
oCFDDividendShoutEngine< Scheme >Finite-differences shout engine with dividends
oCFdmExtOUJumpOp
oCFdmKlugeExtOUOp
oCFDShoutEngine< Scheme >Finite-differences pricing engine for shout vanilla options
oCFDVanillaEngineFinite-differences pricing engine for BSM one asset options
oCFFTEngineBase class for FFT pricing engines for European vanilla options
oCFiniteDifferenceModel< Evolver >Generic finite difference model
oCFittedBondDiscountCurve::FittingMethodBase fitting method used to construct a fitted bond discount curve
oCFixedRateLegHelper class building a sequence of fixed rate coupons
oCForwardFlatForward-flat interpolation factory and traits
oCForwardOptionArguments< ArgumentsType >Arguments for forward (strike-resetting) option calculation
oCForwardRateForward-curve traits
oCFrankCopulaFrank copula
oCFrankCopulaRng< RNG >Frank copula random-number generator
oCGalambosCopulaGalambos copula
oCGammaFunctionGamma function class
oCGarch11GARCH volatility model
oCGarmanKlassAbstractGarman-Klass volatility model
oCGaussianCopulaGaussian copula
oCGaussianLHPCDOEngine< CDOEngine >
oCGaussianOrthogonalPolynomialOrthogonal polynomial for Gaussian quadratures
oCGaussianQuadratureIntegral of a 1-dimensional function using the Gauss quadratures method
oCGaussKronrodAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
oCGaussKronrodNonAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
oCGaussLobattoIntegralIntegral of a one-dimensional function
oCGeneralizedHullWhite::DynamicsShort-rate dynamics in the generalized Hull-White model
oCGeneralLinearLeastSquaresGeneral linear least squares regression
oCGeneralStatisticsStatistics tool
oCGenericGaussianStatistics< Stat >Statistics tool for gaussian-assumption risk measures
oCGenericRiskStatistics< S >Empirical-distribution risk measures
oCGenericSequenceStatistics< StatisticsType >Statistics analysis of N-dimensional (sequence) data
oCGreeksAdditional option results
oCGumbelCopulaGumbel copula
oCHaltonRsgHalton low-discrepancy sequence generator
oCHandle< T >Shared handle to an observable
oCHazardRateHazard-rate-curve traits
oCHistogramHistogram class
oCHistoricalForwardRatesAnalysisImpl< Traits, Interpolator >Historical correlation class
oCHistoricalRatesAnalysisHistorical rate analysis class
oCHomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss distribution convolution for finite homogeneous pool
oCHuslerReissCopulaHusler-Reiss copula
oCIborLegHelper class building a sequence of capped/floored ibor-rate coupons
oCIMMMain cycle of the International Money Market (a.k.a. IMM) months
oCIncrementalStatisticsStatistics tool based on incremental accumulation
oCIndependentCopulaIndependent copula
oCInhomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss disctribution bucketing for finite inhomogeneous pool
oCIntegralEnginePricing engine for European vanilla options using integral approach
oCInterestRateConcrete interest rate class
oCInterpolatedCurve< Interpolator >Helper class to build interpolated term structures
oCInterpolatingCPICapFloorEngine
oCInterpolation2D::ImplAbstract base class for 2-D interpolation implementations
oCInterpolation::ImplAbstract base class for interpolation implementations
oCIntervalPriceInterval price
oCInverseCumulativeNormalInverse cumulative normal distribution function
oCInverseCumulativePoissonInverse cumulative Poisson distribution function
oCInverseCumulativeRng< RNG, IC >Inverse cumulative random number generator
oCInverseCumulativeRsg< USG, IC >Inverse cumulative random sequence generator
oCInverseCumulativeStudentInverse cumulative Student t-distribution
oCIterativeBootstrap< Curve >Universal piecewise-term-structure boostrapper
oCJumpDiffusionEngineJump-diffusion engine for vanilla options
oCJuQuadraticApproximationEnginePricing engine for American options with Ju quadratic approximation
oCKernelFunction
oCKnuthUniformRngUniform random number generator
oCLatticeLattice (tree, finite-differences) base class
oCLeastSquareProblemBase class for least square problem
oCLecuyerUniformRngUniform random number generator
oCLexicographicalView< RandomAccessIterator >Lexicographical 2-D view of a contiguous set of data
oCLfmCovarianceParameterizationLibor market model parameterization
oCLinearLinear-interpolation factory and traits
oCLineSearchBase class for line search
oCLmCorrelationModellibor forward correlation model
oCLMMDriftCalculatorDrift computation for log-normal Libor market models
oCLMMNormalDriftCalculatorDrift computation for normal Libor market models
oCLmVolatilityModelCaplet volatility model
oCLocalBootstrap< Curve >Localised-term-structure bootstrapper for most curve types
oCLogCubicLog-cubic interpolation factory and traits
oCLogLinearLog-linear interpolation factory and traits
oCLossDistProbability formulas and algorithms
oCMakeCapFloorHelper class
oCMakeCmsHelper class for instantiating CMS
oCMakeMCAmericanBasketEngine< RNG >Monte Carlo American basket-option engine factory
oCMakeMCAmericanEngine< RNG, S >Monte Carlo American engine factory
oCMakeMCAmericanPathEngine< RNG >Monte Carlo American basket-option engine factory
oCMakeMCBarrierEngine< RNG, S >Monte Carlo barrier-option engine factory
oCMakeMCDigitalEngine< RNG, S >Monte Carlo digital engine factory
oCMakeMCEuropeanBasketEngine< RNG, S >Monte Carlo basket-option engine factory
oCMakeMCEuropeanEngine< RNG, S >Monte Carlo European engine factory
oCMakeMCEuropeanGJRGARCHEngine< RNG, S >Monte Carlo GJR-GARCH European engine factory
oCMakeMCEuropeanHestonEngine< RNG, S >Monte Carlo Heston European engine factory
oCMakeMCEverestEngine< RNG, S >Monte Carlo Everest-option engine factory
oCMakeMCHestonHullWhiteEngine< RNG, S >Monte Carlo Heston/Hull-White engine factory
oCMakeMCHimalayaEngine< RNG, S >Monte Carlo Himalaya-option engine factory
oCMakeMCHullWhiteCapFloorEngine< RNG, S >Monte Carlo Hull-White cap-floor engine factory
oCMakeMCPagodaEngine< RNG, S >Monte Carlo pagoda-option engine factory
oCMakeMCPathBasketEngine< RNG, S >Monte Carlo Path Basket engine factory
oCMakeMCPerformanceEngine< RNG, S >Monte Carlo performance-option engine factory
oCMakeMCVarianceSwapEngine< RNG, S >Monte Carlo variance-swap engine factory
oCMakeOISHelper class
oCMakeScheduleHelper class
oCMakeSwaptionHelper class
oCMakeVanillaSwapHelper class
oCMakeYoYInflationCapFloorHelper class
oCMarketModelBase class for market models
oCMarketModelEvolverMarket-model evolver
oCMarketModelMultiProductMarket-model product
oCMarketModelPathwiseDiscounter
oCMarketModelPathwiseMultiProductMarket-model pathwise product
oCMarketModelVolProcess
oCMarshallOlkinCopulaMarshall-Olkin copula
oCMatrixMatrix used in linear algebra
oCMaxCopulaMax copula
oCMcSimulation< MC, RNG, S >Base class for Monte Carlo engines
oCMersenneTwisterUniformRngUniform random number generator
oCMinCopulaMin copula
oCMixedLinearCubicMixed linear/cubic interpolation factory and traits
oCMixedScheme< Operator >Mixed (explicit/implicit) scheme for finite difference methods
oCModifiedCraigSneydSchemeModified Craig-Sneyd scheme
oCMoneyAmount of cash
oCMonteCarloModel< MC, RNG, S >General-purpose Monte Carlo model for path samples
oCMoreGreeksMore additional option results
oCMoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
oCMTBrownianGeneratorMersenne-twister Brownian generator for market-model simulations
oCMultiCubicSpline< i >N-dimensional cubic spline interpolation between discrete points
oCMultiPathCorrelated multiple asset paths
oCMultiPathGenerator< GSG >Generates a multipath from a random number generator
oCMultiVariate< RNG >Default Monte Carlo traits for multi-variate models
oCNonLinearLeastSquareNon-linear least-square method
oCNormalDistributionNormal distribution function
oCNull< Array >Specialization of null template for this class
oCNull< Date >Specialization of Null template for the Date class
oCObservableObject that notifies its changes to a set of observers
oCObservableValue< T >observable and assignable proxy to concrete value
oCObserverObject that gets notified when a given observable changes
oCOneFactorModel::ShortRateDynamicsBase class describing the short-rate dynamics
oCOperatorFactoryBlack-Scholes-Merton differential operator
oCOptimizationMethodAbstract class for constrained optimization method
oCOption::argumentsBasic option arguments
oCOrthogonalizedBumpFinder
oCOrthogonalProjections
oCOvernightLegHelper class building a sequence of overnight coupons
oCParameterBase class for model arguments
oCParameter::ImplBase class for model parameter implementation
oCPathSingle-factor random walk
oCPathGenerator< GSG >Generates random paths using a sequence generator
oCPathMultiAssetOption::argumentsArguments for multi-asset option calculation
oCPathMultiAssetOption::resultsResults from multi-asset option calculation
oCPathPayoffAbstract base class for path-dependent option payoffs
oCPathPricer< PathType, ValueType >Base class for path pricers
oCPathwiseAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas
oCPathwiseVegasAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
oCPathwiseVegasOuterAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
oCPayoffAbstract base class for option payoffs
oCPeriod
oCPlackettCopulaPlackett copula
oCPoissonDistributionPoisson distribution function
oCPolynomialPolynomial2D-spline-interpolation factory
oCPrimeNumbersPrime numbers calculator
oCProbabilityOfAtLeastNEventsProbability of at least N events
oCProbabilityOfNEventsProbability of N events
oCProblemConstrained optimization problem
oCProtectionInformation on a default-protection contract
oCQuantityAmount of a commodity
oCQuantoOptionResults< ResultsType >Results from quanto option calculation
oCRandomDefaultModelBase class for random default models
oCRandomizedLDS< LDS, PRS >Randomized (random shift) low-discrepancy sequence
oCRandomSequenceGenerator< RNG >Random sequence generator based on a pseudo-random number generator
oCRangeAccrualLegHelper class building a sequence of range-accrual floating-rate coupons
oCRanlux3UniformRngUniform random number generator
oCRecursiveCdoEngine< CDOEngine, copulaT >
oCRegionRegion class, used for inflation applicability
oCReplicationDigital option replication strategy
oCRestructuringRestructuring type
oCRoundingBasic rounding class
oCSABRSABR interpolation factory and traits
oCSalvagingAlgorithmAlgorithm used for matricial pseudo square root
oCSample< T >Weighted sample
oCSampledCurveThis class contains a sampled curve
oCSchedulePayment schedule
oCSeasonalityA transformation of an existing inflation swap rate
oCSegmentIntegralIntegral of a one-dimensional function
oCSettlementsettlement information
oCShoutConditionShout option condition
oCSimpleChooserOption::argumentsExtra arguments for single chooser option
oCSimpleLocalEstimatorLocal-estimator volatility model
oCSingleton< T >Basic support for the singleton pattern
oCSingleVariate< RNG >Default Monte Carlo traits for single-variate models
oCSMMDriftCalculatorDrift computation for coterminal swap market models
oCSobolBrownianGeneratorSobol Brownian generator for market-model simulations
oCSobolRsgSobol low-discrepancy sequence generator
oCSoniaSonia (Sterling Overnight Index Average) rate
oCSparseILUPreconditioner
oCSphereCylinderOptimizer
oCStatsHolderHelper class for precomputed distributions
oCSteepestDescentMulti-dimensional steepest-descent class
oCstep_iterator< Iterator >Iterator advancing in constant steps
oCStepCondition< array_type >Condition to be applied at every time step
oCStepConditionSet< array_type >Parallel evolver for multiple arrays
oCStochasticProcess1D::discretizationDiscretization of a 1-D stochastic process
oCStochasticProcess::discretizationDiscretization of a stochastic process over a given time interval
oCStudentDistributionStudent t-distribution
oCSurfaceSurface abstract class
oCSurvivalProbabilitySurvival-Probability-curve traits
oCSVDSingular value decomposition
oCSwaptionVolatilityCubeSwaption-volatility cube
oCSwaptionVolatilityMatrixAt-the-money swaption-volatility matrix
oCSymmetricSchurDecompositionSymmetric threshold Jacobi algorithm
oCTabulatedGaussLegendreTabulated Gauss-Legendre quadratures
oCTimeGridTime grid class
oCTimeSeries< T, Container >Container for historical data
oCTqrEigenDecompositionTridiag. QR eigen decomposition with explicite shift aka Wilkinson
oCTransformedGridTransformed grid
oCTrapezoidIntegral< IntegrationPolicy >Integral of a one-dimensional function
oCTRBDF2< Operator >TR-BDF2 scheme for finite difference methods
oCTridiagonalOperatorBase implementation for tridiagonal operator
oCTridiagonalOperator::TimeSetterEncapsulation of time-setting logic
oCTwoFactorModel::ShortRateDynamicsClass describing the dynamics of the two state variables
oCUnitOfMeasureUnit of measure specification
oCUpperBoundEngineMarket-model engine for upper-bound estimation
oCVanillaSwap::argumentsArguments for simple swap calculation
oCVanillaSwap::resultsResults from simple swap calculation
oCVarianceGammaEngineVariance Gamma Pricing engine for European vanilla options using integral approach
oCVarianceOption::argumentsArguments for forward fair-variance calculation
oCVarianceOption::resultsResults from variance-option calculation
oCVarianceSwap::argumentsArguments for forward fair-variance calculation
oCVarianceSwap::resultsResults from variance-swap calculation
oCVegaBumpCollection
oCVisitor< T >Visitor for a specific class
oCYearOnYearInflationSwap::argumentsArguments for YoY swap calculation
oCYearOnYearInflationSwap::resultsResults from YoY swap calculation
oCYoYInflationCapFloor::argumentsArguments for YoY Inflation cap/floor calculation
oCyoyInflationLeg
oCYoYInflationTraitsBootstrap traits to use for PiecewiseZeroInflationCurve
oCYoYInflationVolatilityTraitsTraits for inflation-volatility bootstrap
oCYoYOptionletStripperInterface for inflation cap stripping, i.e. from price surfaces
oCZeroInflationTraitsBootstrap traits to use for PiecewiseZeroInflationCurve
oCZeroYieldZero-curve traits
oCZigguratRngZiggurat random-number generator
oCQuantoOptionResults< Instr::results >
oCRandomSequenceGenerator< QuantLib::MersenneTwisterUniformRng >
oCRecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula >
oCRecursiveCdoEngine< CDOEngine, OneFactorStudentCopula >
oCSample< MultiPath >
oCSample< Path >
oCSample< std::vector< Real > >
oCSingleton< CommoditySettings >
oCSingleton< ExchangeRateManager >
oCSingleton< IndexManager >
oCSingleton< SeedGenerator >
oCSingleton< Settings >
oCSingleton< Tracing >
oCSingleton< UnitOfMeasureConversionManager >
oCexceptionSTL class
oCmap< K, T >STL class
oCStepCondition< Array >
oCTimeSeries< Real >
\CTrapezoidIntegral< Default >