 QuantLib | |
  detail | |
   ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
  CashFlow | Base class for cash flows |
  AverageBMACoupon | Average BMA coupon |
  AverageBMALeg | Helper class building a sequence of average BMA coupons |
  CappedFlooredCoupon | Capped and/or floored floating-rate coupon |
  CappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
  CashFlows | cashflow-analysis functions |
  CmsCoupon | CMS coupon class |
  CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
  HaganPricer | CMS-coupon pricer |
  NumericHaganPricer | CMS-coupon pricer |
  AnalyticHaganPricer | CMS-coupon pricer |
  Coupon | coupon accruing over a fixed period |
  FloatingRateCouponPricer | Generic pricer for floating-rate coupons |
  IborCouponPricer | Base pricer for capped/floored Ibor coupons |
  BlackIborCouponPricer | Black-formula pricer for capped/floored Ibor coupons |
  CmsCouponPricer | Base pricer for vanilla CMS coupons |
  CPICoupon | Coupon paying the performance of a CPI (zero inflation) index |
  CPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index |
  CPILeg | Helper class building a sequence of capped/floored CPI coupons |
  CPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO |
  DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
  DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
  DigitalCoupon | Digital-payoff coupon |
  DigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
  DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
  Dividend | Predetermined cash flow |
  FixedDividend | Predetermined cash flow |
  FractionalDividend | Predetermined cash flow |
  Duration | duration type |
  FixedRateCoupon | Coupon paying a fixed interest rate |
  FixedRateLeg | Helper class building a sequence of fixed rate coupons |
  FloatingRateCoupon | Base floating-rate coupon class |
  IborCoupon | Coupon paying a Libor-type index |
  IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
  IndexedCashFlow | Cash flow dependent on an index ratio |
  InflationCoupon | Base inflation-coupon class |
  InflationCouponPricer | Base inflation-coupon pricer |
  YoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
  BlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons |
  UnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
  BachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons |
  OvernightIndexedCoupon | Overnight coupon |
  OvernightLeg | Helper class building a sequence of overnight coupons |
  RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
  Replication | Digital option replication strategy |
  SimpleCashFlow | Predetermined cash flow |
  Redemption | Bond redemption |
  AmortizingPayment | Amortizing payment |
  TimeBasket | Distribution over a number of dates |
  YoYInflationCoupon | Coupon paying a YoY-inflation type index |
  yoyInflationLeg | |
  ZARCurrency | South-African rand |
  ARSCurrency | Argentinian peso |
  BRLCurrency | Brazilian real |
  CADCurrency | Canadian dollar |
  CLPCurrency | Chilean peso |
  COPCurrency | Colombian peso |
  MXNCurrency | Mexican peso |
  PENCurrency | Peruvian nuevo sol |
  PEICurrency | Peruvian inti |
  PEHCurrency | Peruvian sol |
  TTDCurrency | Trinidad & Tobago dollar |
  USDCurrency | U.S. dollar |
  VEBCurrency | Venezuelan bolivar |
  BDTCurrency | Bangladesh taka |
  CNYCurrency | Chinese yuan |
  HKDCurrency | Honk Kong dollar |
  ILSCurrency | Israeli shekel |
  INRCurrency | Indian rupee |
  IQDCurrency | Iraqi dinar |
  IRRCurrency | Iranian rial |
  JPYCurrency | Japanese yen |
  KRWCurrency | South-Korean won |
  KWDCurrency | Kuwaiti dinar |
  NPRCurrency | Nepal rupee |
  PKRCurrency | Pakistani rupee |
  SARCurrency | Saudi riyal |
  SGDCurrency | Singapore dollar |
  THBCurrency | Thai baht |
  TWDCurrency | Taiwan dollar |
  BGLCurrency | Bulgarian lev |
  BYRCurrency | Belarussian ruble |
  CHFCurrency | Swiss franc |
  CYPCurrency | Cyprus pound |
  CZKCurrency | Czech koruna |
  DKKCurrency | Danish krone |
  EEKCurrency | Estonian kroon |
  EURCurrency | European Euro |
  GBPCurrency | British pound sterling |
  HUFCurrency | Hungarian forint |
  ISKCurrency | Icelandic krona |
  LTLCurrency | Lithuanian litas |
  LVLCurrency | Latvian lat |
  MTLCurrency | Maltese lira |
  NOKCurrency | Norwegian krone |
  PLNCurrency | Polish zloty |
  ROLCurrency | Romanian leu |
  RONCurrency | Romanian new leu |
  SEKCurrency | Swedish krona |
  SITCurrency | Slovenian tolar |
  SKKCurrency | Slovak koruna |
  TRLCurrency | Turkish lira |
  TRYCurrency | New Turkish lira |
  ATSCurrency | Austrian shilling |
  BEFCurrency | Belgian franc |
  DEMCurrency | Deutsche mark |
  ESPCurrency | Spanish peseta |
  FIMCurrency | Finnish markka |
  FRFCurrency | French franc |
  GRDCurrency | Greek drachma |
  IEPCurrency | Irish punt |
  ITLCurrency | Italian lira |
  LUFCurrency | Luxembourg franc |
  NLGCurrency | Dutch guilder |
  PTECurrency | Portuguese escudo |
  ExchangeRateManager | Exchange-rate repository |
  AUDCurrency | Australian dollar |
  NZDCurrency | New Zealand dollar |
  Currency | Currency specification |
  Protection | Information on a default-protection contract |
  DiscretizedAsset | Discretized asset class used by numerical methods |
  DiscretizedDiscountBond | Useful discretized discount bond asset |
  DiscretizedOption | Discretized option on a given asset |
  Error | Base error class |
  Event | Base class for event |
  ExchangeRate | Exchange rate between two currencies |
  Exercise | Base exercise class |
  EarlyExercise | Early-exercise base class |
  AmericanExercise | American exercise |
  BermudanExercise | Bermudan exercise |
  EuropeanExercise | European exercise |
  AmortizingCmsRateBond | Amortizing CMS-rate bond |
  AmortizingFixedRateBond | Amortizing fixed-rate bond |
  AmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored) |
  PerturbativeBarrierOptionEngine | Perturbative barrier-option engine |
  BlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine |
  BlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine |
  CallableBond | Callable bond base class |
   engine | Base class for callable fixed rate bond engine |
   results | Results for a callable bond calculation |
  CallableFixedRateBond | Callable/puttable fixed rate bond |
  CallableZeroCouponBond | Callable/puttable zero coupon bond |
  CallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence |
  CallableBondVolatilityStructure | Callable-bond volatility structure |
  TreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds |
  TreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds |
  Commodity | Commodity base class |
  CommodityCurve | Commodity term structure |
  CommodityIndex | Base class for commodity indexes |
  CommodityPricingHelper | Commodity index helper |
  CommoditySettings | Global repository for run-time library settings |
  CommodityType | Commodity type |
  DateInterval | Date interval described by a number of a given time unit |
  EnergyBasisSwap | Energy basis swap |
  EnergyCommodity | Energy commodity class |
  EnergyFuture | Energy future |
  EnergyVanillaSwap | Vanilla energy swap |
  PricingPeriod | Time pricingperiod described by a number of a given time unit |
  Quantity | Amount of a commodity |
  UnitOfMeasure | Unit of measure specification |
  UnitOfMeasureConversionManager | Repository of conversion factors between units of measure |
  AnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae |
  CompoundOption | Compound option on a single asset |
   engine | Compound-option engine base class |
  BinomialConvertibleEngine | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
  SoftCallability | callability leaving to the holder the possibility to convert |
  ConvertibleBond | Base class for convertible bonds |
  ConvertibleZeroCouponBond | Convertible zero-coupon bond |
  ConvertibleFixedCouponBond | Convertible fixed-coupon bond |
  ConvertibleFloatingRateBond | Convertible floating-rate bond |
  TsiveriotisFernandesLattice | Binomial lattice approximating the Tsiveriotis-Fernandes model |
  ProxyIbor | IborIndex calculated as proxy of some other IborIndex |
  Basket | |
  BlackCdsOptionEngine | Black-formula CDS-option engine |
  CDO | Collateralized debt obligation |
  CdsOption | CDS option |
   arguments | Arguments for CDS-option calculation |
   engine | Base class for swaption engines |
   results | Results from CDS-option calculation |
  DefaultEvent | Credit event on a bond of a certain seniority(ies)/currency |
  DefaultProbKey | |
  NorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt |
  AtomicDefault | Atomic (single contractual event) default events |
  Restructuring | Restructuring type |
  DefaultType | Atomic credit-event type |
  FailureToPay | Failure to Pay atomic event type |
  FactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates |
  LossDist | Probability formulas and algorithms |
  ProbabilityOfNEvents | Probability of N events |
  ProbabilityOfAtLeastNEvents | Probability of at least N events |
  BinomialProbabilityOfAtLeastNEvents | Probability of at least N events |
  LossDistBinomial | Binomial loss distribution |
  LossDistHomogeneous | Loss Distribution for Homogeneous Pool |
  LossDistBucketing | Loss distribution with Hull-White bucketing |
  LossDistMonteCarlo | Loss distribution with Monte Carlo simulation |
  NthToDefault | N-th to default swap |
  OneFactorCopula | Abstract base class for one-factor copula models |
  OneFactorGaussianCopula | One-factor Gaussian Copula |
  OneFactorStudentCopula | One-factor Double Student t-Copula |
  OneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula |
  OneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula |
  RandomDefaultModel | Base class for random default models |
  GaussianRandomDefaultModel | |
  RecoveryRateModel | |
  ConstantRecoveryModel | |
  RecoveryRateQuote | Stores a recovery rate market quote and the associated seniority |
  RecursiveCdoEngine | |
  GaussianRecursiveCdoEngine | Specialization for Gaussian copula, the integration still remains |
  RiskyAssetSwap | Risky asset-swap instrument |
  RiskyAssetSwapOption | Option on risky asset swap |
  RiskyBond | |
  RiskyFixedBond | |
  RiskyFloatingBond | |
  SpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates |
  SyntheticCDO | Synthetic Collateralized Debt Obligation |
   engine | CDO base engine |
  MidPointCDOEngine | CDO base engine taking schedule steps |
  IntegralCDOEngine | CDO base engine taking (possibly) small time steps |
  MonteCarloCDOEngine1 | CDO engine, Monte Carlo for the exptected tranche loss distribution |
  MonteCarloCDOEngine2 | CDO engine, Monte Carlo for the sample payoff |
  HomogeneousPoolCDOEngine | CDO engine, loss distribution convolution for finite homogeneous pool |
  InhomogeneousPoolCDOEngine | CDO engine, loss disctribution bucketing for finite inhomogeneous pool |
  GaussianLHPCDOEngine | |
  AnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option |
  AnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option |
  AnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option |
  AnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options |
  HimalayaOption | Himalaya option |
  KirkSpreadOptionEngine | Kirk approximation for European spread option on futures |
  MargrabeOption | Margrabe option on two assets |
   arguments | Extra arguments for Margrabe option |
   engine | Margrabe option engine base class |
   results | Extra results for Margrabe option |
  MakeMCEverestEngine | Monte Carlo Everest-option engine factory |
  MakeMCHimalayaEngine | Monte Carlo Himalaya-option engine factory |
  MCPagodaEngine | Pricing engine for pagoda options using Monte Carlo simulation |
  MakeMCPagodaEngine | Monte Carlo pagoda-option engine factory |
  PagodaOption | Roofed Asian option on a number of assets |
   engine | Pagoda-option engine base class |
  SimpleChooserOption | Simple chooser option |
   arguments | Extra arguments for single chooser option |
   engine | Simple chooser option engine base class |
  SpreadOption | Spread option on two assets |
   engine | Spread option engine base class |
  WriterExtensibleOption | Writer-extensible option |
   arguments | Additional arguments for writer-extensible option |
   engine | Base engine |
  FdmExtOUJumpOp | |
  FdmKlugeExtOUOp | |
  BlackDeltaCalculator | Black delta calculator class |
  DeltaVolQuote | Class for the quotation of delta vs vol |
  InterpolatingCPICapFloorEngine | |
  CPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity) |
  GenericRegion | Generic geographical/economic region |
  GenericCPI | Generic CPI index |
  YYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio) |
  YYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio) |
  InterpolatedYoYOptionletStripper | |
  KInterpolatedYoYOptionletVolatilitySurface | K-interpolated YoY optionlet volatility |
  YoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap |
  PiecewiseYoYOptionletVolatilityCurve | Piecewise year-on-year inflation volatility term structure |
  Polynomial2DSpline | Polynomial2D-spline interpolation between discrete points |
  Polynomial | Polynomial2D-spline-interpolation factory |
  YoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure |
  InterpolatedYoYOptionletVolatilityCurve | Interpolated flat smile surface |
  YoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper |
  YoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces |
  ExtendedBinomialTree | Binomial tree base class |
  ExtendedEqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
  ExtendedEqualJumpsBinomialTree | Base class for equal jumps binomial tree |
  ExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
  ExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
  ExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
  ExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
  ExtendedTian | Tian tree: third moment matching, multiplicative approach |
  ExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach |
  ClaytonCopulaRng | Clayton copula random-number generator |
  FarlieGumbelMorgensternCopulaRng | Farlie-Gumbel-Morgenstern copula random-number generator |
  FastFourierTransform | FFT implementation |
  FrankCopulaRng | Frank copula random-number generator |
  ZigguratRng | Ziggurat random-number generator |
  LongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options |
  MCAmericanPathEngine | Least-square Monte Carlo engine |
  MakeMCAmericanPathEngine | Monte Carlo American basket-option engine factory |
  MCLongstaffSchwartzPathEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options |
  MCPathBasketEngine | Pricing engine for path dependent basket options using |
  MakeMCPathBasketEngine | Monte Carlo Path Basket engine factory |
  PathMultiAssetOption | Base class for path-dependent options on multiple assets |
   arguments | Arguments for multi-asset option calculation |
   results | Results from multi-asset option calculation |
  PathPayoff | Abstract base class for path-dependent option payoffs |
  ExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process |
  ExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class |
  ExtOUWithJumpsProcess | |
  GemanRoncoroniProcess | Geman-Roncoroni process class |
  KlugeExtOUProcess | |
  VegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests |
  GeneralizedHullWhite | Generalized Hull-White model class |
   Dynamics | Short-rate dynamics in the generalized Hull-White model |
  GeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class |
  VarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach |
  FFTEngine | Base class for FFT pricing engines for European vanilla options |
  FFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process |
  FFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process |
  VarianceGammaModel | Variance Gamma model |
  VarianceGammaProcess | Variance gamma process |
  IntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine |
  VarianceOption | Variance option |
   arguments | Arguments for forward fair-variance calculation |
   engine | Base class for variance-option engines |
   results | Results from variance-option calculation |
  AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
  BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
  BlackVolSurface | Black volatility (smile) surface |
  EquityFXVolSurface | Equity/FX volatility (smile) surface |
  ExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve |
  ExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface |
  InterestRateVolSurface | Interest rate volatility (smile) surface |
  SabrVolSurface | SABR volatility (smile) surface |
  Handle | Shared handle to an observable |
  RelinkableHandle | Relinkable handle to an observable |
  Index | Purely virtual base class for indexes |
  BMAIndex | Bond Market Association index |
  AUDLibor | AUD LIBOR rate |
  CADLibor | CAD LIBOR rate |
  CADLiborON | Overnight CAD Libor index |
  Cdor | CDOR rate |
  CHFLibor | CHF LIBOR rate |
  DailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes |
  DKKLibor | DKK LIBOR rate |
  Eonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB |
  Euribor | Euribor index |
  Euribor365 | Actual/365 Euribor index |
  EuriborSW | 1-week Euribor index |
  Euribor2W | 2-weeks Euribor index |
  Euribor3W | 3-weeks Euribor index |
  Euribor1M | 1-month Euribor index |
  Euribor2M | 2-months Euribor index |
  Euribor3M | 3-months Euribor index |
  Euribor4M | 4-months Euribor index |
  Euribor5M | 5-months Euribor index |
  Euribor6M | 6-months Euribor index |
  Euribor7M | 7-months Euribor index |
  Euribor8M | 8-months Euribor index |
  Euribor9M | 9-months Euribor index |
  Euribor10M | 10-months Euribor index |
  Euribor11M | 11-months Euribor index |
  Euribor1Y | 1-year Euribor index |
  Euribor365_SW | 1-week Euribor365 index |
  Euribor365_2W | 2-weeks Euribor365 index |
  Euribor365_3W | 3-weeks Euribor365 index |
  Euribor365_1M | 1-month Euribor365 index |
  Euribor365_2M | 2-months Euribor365 index |
  Euribor365_3M | 3-months Euribor365 index |
  Euribor365_4M | 4-months Euribor365 index |
  Euribor365_5M | 5-months Euribor365 index |
  Euribor365_6M | 6-months Euribor365 index |
  Euribor365_7M | 7-months Euribor365 index |
  Euribor365_8M | 8-months Euribor365 index |
  Euribor365_9M | 9-months Euribor365 index |
  Euribor365_10M | 10-months Euribor365 index |
  Euribor365_11M | 11-months Euribor365 index |
  Euribor365_1Y | 1-year Euribor365 index |
  EURLibor | Base class for all BBA EUR LIBOR indexes but the O/N |
  DailyTenorEURLibor | Base class for the one day deposit BBA EUR LIBOR indexes |
  EURLiborON | Overnight EUR Libor index |
  EURLiborSW | 1-week EUR Libor index |
  EURLibor2W | 2-weeks EUR Libor index |
  EURLibor1M | 1-month EUR Libor index |
  EURLibor2M | 2-months EUR Libor index |
  EURLibor3M | 3-months EUR Libor index |
  EURLibor4M | 4-months EUR Libor index |
  EURLibor5M | 5-months EUR Libor index |
  EURLibor6M | 6-months EUR Libor index |
  EURLibor7M | 7-months EUR Libor index |
  EURLibor8M | 8-months EUR Libor index |
  EURLibor9M | 9-months EUR Libor index |
  EURLibor10M | 10-months EUR Libor index |
  EURLibor11M | 11-months EUR Libor index |
  EURLibor1Y | 1-year EUR Libor index |
  GBPLibor | GBP LIBOR rate |
  DailyTenorGBPLibor | Base class for the one day deposit BBA GBP LIBOR indexes |
  GBPLiborON | Overnight GBP Libor index |
  Jibar | JIBAR rate |
  JPYLibor | JPY LIBOR rate |
  DailyTenorJPYLibor | Base class for the one day deposit BBA JPY LIBOR indexes |
  Libor | Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones |
  DailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones |
  NZDLibor | NZD LIBOR rate |
  SEKLibor | SEK LIBOR rate |
  Sonia | Sonia (Sterling Overnight Index Average) rate |
  Tibor | JPY TIBOR index |
  TRLibor | TRY LIBOR rate |
  USDLibor | USD LIBOR rate |
  DailyTenorUSDLibor | Base class for the one day deposit BBA USD LIBOR indexes |
  USDLiborON | Overnight USD Libor index |
  Zibor | CHF ZIBOR rate |
  IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
  IndexManager | Global repository for past index fixings |
  AUCPI | AU CPI index (either quarterly or annual) |
  YYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio) |
  YYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio) |
  EUHICP | EU HICP index |
  EUHICPXT | EU HICPXT index |
  YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) |
  YYEUHICPXT | Genuine year-on-year EU HICPXT |
  YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP) |
  FRHICP | FR HICP index |
  YYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio) |
  YYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio) |
  UKRPI | UK Retail Price Inflation Index |
  YYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) |
  YYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI) |
  USCPI | US CPI index |
  YYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI) |
  YYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI) |
  InflationIndex | Base class for inflation-rate indexes, |
  ZeroInflationIndex | Base class for zero inflation indices |
  YoYInflationIndex | Base class for year-on-year inflation indices |
  InterestRateIndex | Base class for interest rate indexes |
  Region | Region class, used for inflation applicability |
  AustraliaRegion | Australia as geographical/economic region |
  EURegion | European Union as geographical/economic region |
  FranceRegion | France as geographical/economic region |
  UKRegion | United Kingdom as geographical/economic region |
  USRegion | USA as geographical/economic region |
  ChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class |
  EuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class |
  EuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class |
  EuriborSwapIfrFix | EuriborSwapIfrFix index base class |
  EurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class |
  EurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class |
  EurLiborSwapIfrFix | EurLiborSwapIfrFix index base class |
  GbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class |
  JpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class |
  JpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class |
  UsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class |
  UsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class |
  SwapIndex | Base class for swap-rate indexes |
  OvernightIndexedSwapIndex | Base class for overnight indexed swap indexes |
  Instrument | Abstract instrument class |
  ContinuousAveragingAsianOption | Continuous-averaging Asian option |
   arguments | Extra arguments for single-asset continuous-average Asian option |
   engine | Continuous-averaging Asian engine base class |
  DiscreteAveragingAsianOption | Discrete-averaging Asian option |
   arguments | Extra arguments for single-asset discrete-average Asian option |
   engine | Discrete-averaging Asian engine base class |
  AssetSwap | Bullet bond vs Libor swap |
   arguments | Arguments for asset swap calculation |
   results | Results from simple swap calculation |
  Average | Placeholder for enumerated averaging types |
  BarrierOption | Barrier option on a single asset |
   arguments | Arguments for barrier option calculation |
   engine | Barrier-option engine base class |
  Barrier | Placeholder for enumerated barrier types |
  BasketOption | Basket option on a number of assets |
   engine | Basket-option engine base class |
  BMASwap | Swap paying Libor against BMA coupons |
  Bond | Base bond class |
  CCTEU | |
  BTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond |
  RendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter |
  RendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter |
  CmsRateBond | CMS-rate bond |
  CPIBond | |
  FixedRateBond | Fixed-rate bond |
  FloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
  ZeroCouponBond | Zero-coupon bond |
  Callability | instrument callability |
   Price | Amount to be paid upon callability |
  CapFloor | Base class for cap-like instruments |
   arguments | Arguments for cap/floor calculation |
   engine | Base class for cap/floor engines |
  Cap | Concrete cap class |
  Floor | Concrete floor class |
  Collar | Concrete collar class |
  Claim | Claim associated to a default event |
  FaceValueClaim | Claim on a notional |
  FaceValueAccrualClaim | Claim on the notional of a reference security, including accrual |
  CliquetOption | Cliquet (Ratchet) option |
   arguments | Arguments for cliquet option calculation |
   engine | Cliquet engine base class |
  CompositeInstrument | Composite instrument |
  CPICapFloor | CPI cap or floor |
  CPISwap | Zero-inflation-indexed swap, |
   arguments | Arguments for swap calculation |
   results | Results from swap calculation |
  CreditDefaultSwap | Credit default swap |
  DividendBarrierOption | Single-asset barrier option with discrete dividends |
   arguments | Arguments for dividend barrier option calculation |
   engine | Dividend-barrier-option engine base class |
  DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
   arguments | Arguments for dividend vanilla option calculation |
   engine | Dividend-vanilla-option engine base class |
  EuropeanOption | European option on a single asset |
  FixedRateBondForward | Forward contract on a fixed-rate bond |
  Forward | Abstract base forward class |
  ForwardTypePayoff | Class for forward type payoffs |
  ForwardOptionArguments | Arguments for forward (strike-resetting) option calculation |
  ForwardVanillaOption | Forward version of a vanilla option |
  YoYInflationCapFloor | Base class for yoy inflation cap-like instruments |
   arguments | Arguments for YoY Inflation cap/floor calculation |
   engine | Base class for cap/floor engines |
  YoYInflationCap | Concrete YoY Inflation cap class |
  YoYInflationFloor | Concrete YoY Inflation floor class |
  YoYInflationCollar | Concrete YoY Inflation collar class |
  ContinuousFloatingLookbackOption | Continuous-floating lookback option |
   arguments | Arguments for continuous floating lookback option calculation |
   engine | Continuous floating lookback engine base class |
  ContinuousFixedLookbackOption | Continuous-fixed lookback option |
   arguments | Arguments for continuous fixed lookback option calculation |
   engine | Continuous fixed lookback engine base class |
  MakeCapFloor | Helper class |
  MakeCms | Helper class for instantiating CMS |
  MakeOIS | Helper class |
  MakeSwaption | Helper class |
  MakeVanillaSwap | Helper class |
  MakeYoYInflationCapFloor | Helper class |
  MultiAssetOption | Base class for options on multiple assets |
   results | Results from multi-asset option calculation |
  OneAssetOption | Base class for options on a single asset |
   results | Results from single-asset option calculation |
  OvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate |
  NullPayoff | Dummy payoff class |
  TypePayoff | Intermediate class for put/call payoffs |
  FloatingTypePayoff | Payoff based on a floating strike |
  StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
  PlainVanillaPayoff | Plain-vanilla payoff |
  PercentageStrikePayoff | Payoff with strike expressed as percentage |
  AssetOrNothingPayoff | Binary asset-or-nothing payoff |
  CashOrNothingPayoff | Binary cash-or-nothing payoff |
  GapPayoff | Binary gap payoff |
  SuperFundPayoff | Binary supershare and superfund payoffs |
  SuperSharePayoff | Binary supershare payoff |
  QuantoBarrierOption | Quanto version of a barrier option |
  QuantoForwardVanillaOption | Quanto version of a forward vanilla option |
  QuantoOptionResults | Results from quanto option calculation |
  QuantoVanillaOption | Quanto version of a vanilla option |
  DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
  RatchetPayoff | Ratchet payoff (single option) |
  StickyPayoff | Sticky payoff (single option) |
  RatchetMaxPayoff | RatchetMax payoff (double option) |
  RatchetMinPayoff | RatchetMin payoff (double option) |
  StickyMaxPayoff | StickyMax payoff (double option) |
  StickyMinPayoff | StickyMin payoff (double option) |
  Stock | Simple stock class |
  Swap | Interest rate swap |
  Settlement | settlement information |
  Swaption | Swaption class |
   arguments | Arguments for swaption calculation |
   engine | Base class for swaption engines |
  VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
  VanillaStorageOption | Base option class |
  VanillaSwap | Plain-vanilla swap: fix vs floating leg |
   arguments | Arguments for simple swap calculation |
   results | Results from simple swap calculation |
  SwingExercise | Swing exercise |
  VanillaSwingOption | Base option class |
  VarianceSwap | Variance swap |
   arguments | Arguments for forward fair-variance calculation |
   engine | Base class for variance-swap engines |
   results | Results from variance-swap calculation |
  YearOnYearInflationSwap | Year-on-year inflation-indexed swap |
   arguments | Arguments for YoY swap calculation |
   results | Results from YoY swap calculation |
  ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
  InterestRate | Concrete interest rate class |
  LfmCovarianceParameterization | Libor market model parameterization |
  LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
  LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
  LiborForwardModelProcess | Libor-forward-model process |
  LfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
  LiborForwardModel | Libor forward model |
  LmConstWrapperVolatilityModel | Caplet const volatility model |
  LmCorrelationModel | libor forward correlation model |
  LmExponentialCorrelationModel | Exponential correlation model |
  LmExtLinearExponentialVolModel | Extended linear exponential volatility model |
  LmLinearExponentialCorrelationModel | linear exponential correlation model |
  LmLinearExponentialVolatilityModel | linear exponential volatility model |
  LmVolatilityModel | Caplet volatility model |
  Array | 1-D array used in linear algebra |
  Null< Array > | Specialization of null template for this class |
  BernsteinPolynomial | Class of Bernstein polynomials |
  BSpline | B-spline basis functions |
  AliMikhailHaqCopula | Ali-Mikhail-Haq copula |
  ClaytonCopula | Clayton copula |
  FarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula |
  FrankCopula | Frank copula |
  GalambosCopula | Galambos copula |
  GaussianCopula | Gaussian copula |
  GumbelCopula | Gumbel copula |
  HuslerReissCopula | Husler-Reiss copula |
  IndependentCopula | Independent copula |
  MarshallOlkinCopula | Marshall-Olkin copula |
  MaxCopula | Max copula |
  MinCopula | Min copula |
  PlackettCopula | Plackett copula |
  Curve | Abstract curve class |
  BinomialDistribution | Binomial probability distribution function |
  CumulativeBinomialDistribution | Cumulative binomial distribution function |
  BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
  BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
  GammaFunction | Gamma function class |
  NormalDistribution | Normal distribution function |
  CumulativeNormalDistribution | Cumulative normal distribution function |
  InverseCumulativeNormal | Inverse cumulative normal distribution function |
  MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
  PoissonDistribution | Poisson distribution function |
  CumulativePoissonDistribution | Cumulative Poisson distribution function |
  InverseCumulativePoisson | Inverse cumulative Poisson distribution function |
  StudentDistribution | Student t-distribution |
  CumulativeStudentDistribution | Cumulative Student t-distribution |
  InverseCumulativeStudent | Inverse cumulative Student t-distribution |
  Domain | domain abstract lcass |
  ErrorFunction | Error function |
  Factorial | Factorial numbers calculator |
  GeneralLinearLeastSquares | General linear least squares regression |
  GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
  GaussLaguerrePolynomial | Gauss-Laguerre polynomial |
  GaussHermitePolynomial | Gauss-Hermite polynomial |
  GaussJacobiPolynomial | Gauss-Jacobi polynomial |
  GaussLegendrePolynomial | Gauss-Legendre polynomial |
  GaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
  GaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind) |
  GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
  GaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
  GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
  GaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
  GaussHermiteIntegration | Generalized Gauss-Hermite integration |
  GaussJacobiIntegration | Gauss-Jacobi integration |
  GaussHyperbolicIntegration | Gauss-Hyperbolic integration |
  GaussLegendreIntegration | Gauss-Legendre integration |
  GaussChebyshevIntegration | Gauss-Chebyshev integration |
  GaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind) |
  GaussGegenbauerIntegration | Gauss-Gegenbauer integration |
  TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
  GaussLobattoIntegral | Integral of a one-dimensional function |
  GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
  GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
  SegmentIntegral | Integral of a one-dimensional function |
  SimpsonIntegral | Integral of a one-dimensional function |
  TrapezoidIntegral | Integral of a one-dimensional function |
  Interpolation | Base class for 1-D interpolations |
   Impl | Abstract base class for interpolation implementations |
   templateImpl | Basic template implementation |
  BackwardFlatInterpolation | Backward-flat interpolation between discrete points |
  BackwardFlat | Backward-flat interpolation factory and traits |
  BicubicSpline | Bicubic-spline interpolation between discrete points |
  Bicubic | Bicubic-spline-interpolation factory |
  BilinearInterpolation | bilinear interpolation between discrete points |
  Bilinear | Bilinear-interpolation factory |
  ConvexMonotoneInterpolation | Convex monotone yield-curve interpolation method |
  ConvexMonotone | Convex-monotone interpolation factory and traits |
  CubicInterpolation | Cubic interpolation between discrete points |
  Cubic | Cubic interpolation factory and traits |
  Extrapolator | Base class for classes possibly allowing extrapolation |
  ForwardFlatInterpolation | Forward-flat interpolation between discrete points |
  ForwardFlat | Forward-flat interpolation factory and traits |
  Interpolation2D | Base class for 2-D interpolations |
   Impl | Abstract base class for 2-D interpolation implementations |
   templateImpl | Basic template implementation |
  KernelInterpolation | Kernel interpolation between discrete points |
  KernelInterpolation2D | |
  LinearInterpolation | Linear interpolation between discrete points |
  Linear | Linear-interpolation factory and traits |
  LogLinearInterpolation | log-linear interpolation between discrete points |
  LogLinear | Log-linear interpolation factory and traits |
  LogCubicInterpolation | log-cubic interpolation between discrete points |
  LogCubic | Log-cubic interpolation factory and traits |
  MixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points |
  MixedLinearCubic | Mixed linear/cubic interpolation factory and traits |
  MultiCubicSpline | N-dimensional cubic spline interpolation between discrete points |
  SABRInterpolation | SABR smile interpolation between discrete volatility points |
  SABR | SABR interpolation factory and traits |
  KernelFunction | |
  GaussianKernel | Gaussian kernel function |
  LexicographicalView | Lexicographical 2-D view of a contiguous set of data |
  Matrix | Matrix used in linear algebra |
  OrthogonalProjections | |
  CovarianceDecomposition | Covariance decomposition into correlation and variances |
  SalvagingAlgorithm | Algorithm used for matricial pseudo square root |
  SparseILUPreconditioner | |
  SVD | Singular value decomposition |
  SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
  TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
  ArmijoLineSearch | Armijo line search |
  BFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm |
  ConjugateGradient | Multi-dimensional Conjugate Gradient class |
  Constraint | Base constraint class |
   Impl | Base class for constraint implementations |
  NoConstraint | No constraint |
  PositiveConstraint | Constraint imposing positivity to all arguments |
  BoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
  CompositeConstraint | Constraint enforcing both given sub-constraints |
  CostFunction | Cost function abstract class for optimization problem |
  EndCriteria | Criteria to end optimization process: |
  LeastSquareProblem | Base class for least square problem |
  LeastSquareFunction | Cost function for least-square problems |
  NonLinearLeastSquare | Non-linear least-square method |
  LevenbergMarquardt | Levenberg-Marquardt optimization method |
  LineSearch | Base class for line search |
  OptimizationMethod | Abstract class for constrained optimization method |
  Problem | Constrained optimization problem |
  ProjectedCostFunction | Parameterized cost function |
  Simplex | Multi-dimensional simplex class |
  SphereCylinderOptimizer | |
  SteepestDescent | Multi-dimensional steepest-descent class |
  PrimeNumbers | Prime numbers calculator |
  BoxMullerGaussianRng | Gaussian random number generator |
  CLGaussianRng | Gaussian random number generator |
  FaureRsg | Faure low-discrepancy sequence generator |
  HaltonRsg | Halton low-discrepancy sequence generator |
  InverseCumulativeRng | Inverse cumulative random number generator |
  InverseCumulativeRsg | Inverse cumulative random sequence generator |
  KnuthUniformRng | Uniform random number generator |
  LecuyerUniformRng | Uniform random number generator |
  MersenneTwisterUniformRng | Uniform random number generator |
  RandomizedLDS | Randomized (random shift) low-discrepancy sequence |
  RandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator |
  Ranlux3UniformRng | Uniform random number generator |
  SeedGenerator | Random seed generator |
  SobolRsg | Sobol low-discrepancy sequence generator |
  Rounding | Basic rounding class |
  UpRounding | Up-rounding |
  DownRounding | Down-rounding |
  ClosestRounding | Closest rounding |
  CeilingTruncation | Ceiling truncation |
  FloorTruncation | Floor truncation |
  SampledCurve | This class contains a sampled curve |
  Solver1D | Base class for 1-D solvers |
  Bisection | Bisection 1-D solver |
  Brent | Brent 1-D solver |
  FalsePosition | False position 1-D solver |
  FiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives |
  Newton | Newton 1-D solver |
  NewtonSafe | Safe Newton 1-D solver |
  Ridder | Ridder 1-D solver |
  Secant | Secant 1-D solver |
  ConvergenceStatistics | Statistics class with convergence table |
  DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
  GenericGaussianStatistics | Statistics tool for gaussian-assumption risk measures |
  StatsHolder | Helper class for precomputed distributions |
  GeneralStatistics | Statistics tool |
  Histogram | Histogram class |
  IncrementalStatistics | Statistics tool based on incremental accumulation |
  GenericRiskStatistics | Empirical-distribution risk measures |
  GenericSequenceStatistics | Statistics analysis of N-dimensional (sequence) data |
  Surface | Surface abstract class |
  TransformedGrid | Transformed grid |
  AmericanCondition | American exercise condition |
  BoundaryCondition | Abstract boundary condition class for finite difference problems |
  NeumannBC | Neumann boundary condition (i.e., constant derivative) |
  DirichletBC | Neumann boundary condition (i.e., constant value) |
  BSMOperator | Black-Scholes-Merton differential operator |
  CrankNicolson | Crank-Nicolson scheme for finite difference methods |
  DMinus | matricial representation |
  DPlus | matricial representation |
  DPlusDMinus | matricial representation |
  DZero | matricial representation |
  ExplicitEuler | Forward Euler scheme for finite difference methods |
  FiniteDifferenceModel | Generic finite difference model |
  ImplicitEuler | Backward Euler scheme for finite difference methods |
  ExponentialJump1dMesher | |
  MixedScheme | Mixed (explicit/implicit) scheme for finite difference methods |
  OperatorFactory | Black-Scholes-Merton differential operator |
  StepConditionSet | Parallel evolver for multiple arrays |
  ModifiedCraigSneydScheme | Modified Craig-Sneyd scheme |
  ShoutCondition | Shout option condition |
  StepCondition | Condition to be applied at every time step |
  NullCondition | null step condition |
  TRBDF2 | TR-BDF2 scheme for finite difference methods |
  TridiagonalOperator | Base implementation for tridiagonal operator |
   TimeSetter | Encapsulation of time-setting logic |
  ZeroCondition | Zero exercise condition |
  BinomialTree | Binomial tree base class |
  EqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
  EqualJumpsBinomialTree | Base class for equal jumps binomial tree |
  JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
  CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
  AdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
  Trigeorgis | Trigeorgis (additive equal jumps) binomial tree |
  Tian | Tian tree: third moment matching, multiplicative approach |
  LeisenReimer | Leisen & Reimer tree: multiplicative approach |
  BlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model |
  TreeLattice | Tree-based lattice-method base class |
  TreeLattice1D | One-dimensional tree-based lattice |
  TreeLattice2D | Two-dimensional tree-based lattice |
  Tree | Tree approximating a single-factor diffusion |
  TrinomialTree | Recombining trinomial tree class |
  BrownianBridge | Builds Wiener process paths using Gaussian variates |
  EarlyExercisePathPricer | Base class for early exercise path pricers |
  LongstaffSchwartzPathPricer | Longstaff-Schwarz path pricer for early exercise options |
  SingleVariate | Default Monte Carlo traits for single-variate models |
  MultiVariate | Default Monte Carlo traits for multi-variate models |
  MonteCarloModel | General-purpose Monte Carlo model for path samples |
  MultiPath | Correlated multiple asset paths |
  MultiPathGenerator | Generates a multipath from a random number generator |
  Path | Single-factor random walk |
  PathGenerator | Generates random paths using a sequence generator |
  PathPricer | Base class for path pricers |
  Sample | Weighted sample |
  CalibrationHelper | Liquid market instrument used during calibration |
  BatesModel | Bates stochastic-volatility model |
  GJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset |
  HestonModel | Heston model for the stochastic volatility of an asset |
  HestonModelHelper | Calibration helper for Heston model |
  PiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model |
  AccountingEngine | Engine collecting cash flows along a market-model simulation |
  MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
  SobolBrownianGenerator | Sobol Brownian generator for market-model simulations |
  UpperBoundEngine | Market-model engine for upper-bound estimation |
  ConstrainedEvolver | Constrained market-model evolver |
  CurveState | Curve state for market-model simulations |
  CMSwapCurveState | Curve state for constant-maturity-swap market models |
  CoterminalSwapCurveState | Curve state for coterminal-swap market models |
  LMMCurveState | Curve state for Libor market models |
  CMSMMDriftCalculator | Drift computation for CMS market models |
  LMMDriftCalculator | Drift computation for log-normal Libor market models |
  LMMNormalDriftCalculator | Drift computation for normal Libor market models |
  SMMDriftCalculator | Drift computation for coterminal swap market models |
  EvolutionDescription | Market-model evolution description |
  MarketModelEvolver | Market-model evolver |
  LogNormalCmSwapRatePc | Predictor-Corrector |
  LogNormalCotSwapRatePc | Predictor-Corrector |
  LogNormalFwdRateBalland | Iterative Predictor-Corrector |
  LogNormalFwdRateEuler | Euler |
  LogNormalFwdRateEulerConstrained | Euler stepping |
  LogNormalFwdRateiBalland | Iterative Predictor-Corrector |
  LogNormalFwdRateIpc | Iterative Predictor-Corrector |
  LogNormalFwdRatePc | Predictor-Corrector |
  MarketModelVolProcess | |
  NormalFwdRatePc | Predictor-Corrector |
  SVDDFwdRatePc | |
  SquareRootAndersen | |
  HistoricalForwardRatesAnalysisImpl | Historical correlation class |
  HistoricalRatesAnalysis | Historical rate analysis class |
  MarketModel | Base class for market models |
  MarketModelFactory | Base class for market-model factories |
  AbcdVol | Abcd-interpolated volatility structure |
  MarketModelMultiProduct | Market-model product |
  PathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas |
  PathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
  PathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
  MarketModelPathwiseDiscounter | |
  OrthogonalizedBumpFinder | |
  CapPseudoDerivative | |
  VegaBumpCollection | |
  MarketModelPathwiseMultiProduct | Market-model pathwise product |
  MarketModelComposite | Composition of two or more market-model products |
  MultiProductComposite | Composition of one or more market-model products |
  MultiProductMultiStep | Multiple-step market-model product |
  MultiProductOneStep | Single-step market-model product |
  MarketModelCashRebate | |
  MultiProductPathwiseWrapper | |
  MultiStepSwaption | |
  MarketModelPathwiseMultiCaplet | Market-model pathwise caplet |
  MarketModelPathwiseMultiDeflatedCap | |
  MarketModelPathwiseCashRebate | |
  MarketModelPathwiseInverseFloater | |
  MarketModelPathwiseSwap | |
  MarketModelPathwiseCoterminalSwaptionsDeflated | |
  MarketModelPathwiseCoterminalSwaptionsNumericalDeflated | |
  SingleProductComposite | Composition of one or more market-model products |
  AffineModel | Affine model class |
  TermStructureConsistentModel | Term-structure consistent model class |
  CalibratedModel | Calibrated model class |
  ShortRateModel | Abstract short-rate model class |
  Parameter | Base class for model arguments |
   Impl | Base class for model parameter implementation |
  ConstantParameter | Standard constant parameter  |
  NullParameter | Parameter which is always zero  |
  PiecewiseConstantParameter | Piecewise-constant parameter |
  TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
  CapHelper | Calibration helper for ATM cap |
  SwaptionHelper | Calibration helper for ATM swaption |
  OneFactorModel | Single-factor short-rate model abstract class |
   ShortRateDynamics | Base class describing the short-rate dynamics |
   ShortRateTree | Recombining trinomial tree discretizing the state variable |
  OneFactorAffineModel | Single-factor affine base class |
  BlackKarasinski | Standard Black-Karasinski model class |
   Dynamics | Short-rate dynamics in the Black-Karasinski model |
  CoxIngersollRoss | Cox-Ingersoll-Ross model class |
   Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
  ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
   Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
   FittingParameter | Analytical term-structure fitting parameter  |
  HullWhite | Single-factor Hull-White (extended Vasicek) model class |
   Dynamics | Short-rate dynamics in the Hull-White model |
   FittingParameter | Analytical term-structure fitting parameter  |
  Vasicek | Vasicek model class |
   Dynamics | Short-rate dynamics in the Vasicek model |
  TwoFactorModel | Abstract base-class for two-factor models |
   ShortRateDynamics | Class describing the dynamics of the two state variables |
   ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
  G2 | Two-additive-factor gaussian model class |
   FittingParameter | Analytical term-structure fitting parameter  |
  ConstantEstimator | Constant-estimator volatility model |
  Garch11 | GARCH volatility model |
  GarmanKlassAbstract | Garman-Klass volatility model |
  SimpleLocalEstimator | Local-estimator volatility model |
  Money | Amount of cash |
  Lattice | Lattice (tree, finite-differences) base class |
  Option | Base option class |
   arguments | Basic option arguments |
  Greeks | Additional option results |
  MoreGreeks | More additional option results |
  Composite | Composite pattern |
  CuriouslyRecurringTemplate | Support for the curiously recurring template pattern |
  LazyObject | Framework for calculation on demand and result caching |
  Observable | Object that notifies its changes to a set of observers |
  Observer | Object that gets notified when a given observable changes |
  Singleton | Basic support for the singleton pattern |
  AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
  Visitor | Visitor for a specific class |
  Payoff | Abstract base class for option payoffs |
  IntervalPrice | Interval price |
  PricingEngine | Interface for pricing engines |
  GenericEngine | Template base class for option pricing engines |
  AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
  AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
  AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
  AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
  AnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option |
  MCDiscreteArithmeticAPEngine | Monte Carlo pricing engine for discrete arithmetic average price Asian |
  MCDiscreteArithmeticASEngine | Monte Carlo pricing engine for discrete arithmetic average-strike Asian |
  MCDiscreteGeometricAPEngine | Monte Carlo pricing engine for discrete geometric average price Asian |
  MCDiscreteAveragingAsianEngine | Pricing engine for discrete average Asians using Monte Carlo simulation |
  AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
  FdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine |
  FdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine |
  FdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine |
  FdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine |
  MCBarrierEngine | Pricing engine for barrier options using Monte Carlo simulation |
  MakeMCBarrierEngine | Monte Carlo barrier-option engine factory |
  Fd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine |
  KirkEngine | Pricing engine for spread option on two futures |
  MCAmericanBasketEngine | Least-square Monte Carlo engine |
  MakeMCAmericanBasketEngine | Monte Carlo American basket-option engine factory |
  MCEuropeanBasketEngine | Pricing engine for European basket options using Monte Carlo simulation |
  MakeMCEuropeanBasketEngine | Monte Carlo basket-option engine factory |
  StulzEngine | Pricing engine for 2D European Baskets |
  BlackCalculator | Black 1976 calculator class |
  BlackScholesCalculator | Black-Scholes 1973 calculator class |
  BondFunctions | Bond adapters of CashFlows functions |
  AnalyticCapFloorEngine | Analytic engine for cap/floor |
  BlackCapFloorEngine | Black-formula cap/floor engine |
  MCHullWhiteCapFloorEngine | Monte Carlo Hull-White engine for cap/floors |
  MakeMCHullWhiteCapFloorEngine | Monte Carlo Hull-White cap-floor engine factory |
  TreeCapFloorEngine | Numerical lattice engine for cap/floors |
  AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
  AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
  MCPerformanceEngine | Pricing engine for performance options using Monte Carlo simulation |
  MakeMCPerformanceEngine | Monte Carlo performance-option engine factory |
  ForwardVanillaEngine | Forward engine for vanilla options |
  ForwardPerformanceVanillaEngine | Forward performance engine for vanilla options |
  MCVarianceSwapEngine | Variance-swap pricing engine using Monte Carlo simulation, |
  MakeMCVarianceSwapEngine | Monte Carlo variance-swap engine factory |
  ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
  GenericModelEngine | Base class for some pricing engine on a particular model |
  YoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
  YoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
  YoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
  YoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
  LatticeShortRateModelEngine | Engine for a short-rate model specialized on a lattice |
  AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
  AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
  MCLongstaffSchwartzEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options |
  McSimulation | Base class for Monte Carlo engines |
  QuantoEngine | Quanto engine |
  TreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
  BlackSwaptionEngine | Black-formula swaption engine |
  G2SwaptionEngine | Swaption priced by means of the Black formula |
  JamshidianSwaptionEngine | Jamshidian swaption engine |
  TreeSwaptionEngine | Numerical lattice engine for swaptions |
  AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
  AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
  AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
  AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
  AnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine |
  AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
  AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
  AnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine |
  BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
  BatesEngine | Bates model engines based on Fourier transform |
  BinomialVanillaEngine | Pricing engine for vanilla options using binomial trees |
  BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
  FDAmericanEngine | Finite-differences pricing engine for American one asset options |
  FdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine |
  FDBermudanEngine | Finite-differences Bermudan engine |
  FDDividendAmericanEngine | Finite-differences pricing engine for dividend American options |
  FDDividendEngineBase | Abstract base class for dividend engines |
  FDDividendEngineMerton73 | Finite-differences pricing engine for dividend options using escowed dividends model |
  FDDividendEngineShiftScale | Finite-differences engine for dividend options using shifted dividends |
  FDDividendEuropeanEngine | Finite-differences pricing engine for dividend European options |
  FDDividendShoutEngine | Finite-differences shout engine with dividends |
  FDEuropeanEngine | Pricing engine for European options using finite-differences |
  FdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine |
  FdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine |
  FDShoutEngine | Finite-differences pricing engine for shout vanilla options |
  FDStepConditionEngine | Finite-differences pricing engine for American-style vanilla options |
  FDVanillaEngine | Finite-differences pricing engine for BSM one asset options |
  IntegralEngine | Pricing engine for European vanilla options using integral approach |
  JumpDiffusionEngine | Jump-diffusion engine for vanilla options |
  JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
  MCAmericanEngine | American Monte Carlo engine |
  MakeMCAmericanEngine | Monte Carlo American engine factory |
  MCDigitalEngine | Pricing engine for digital options using Monte Carlo simulation |
  MakeMCDigitalEngine | Monte Carlo digital engine factory |
  MCEuropeanEngine | European option pricing engine using Monte Carlo simulation |
  MakeMCEuropeanEngine | Monte Carlo European engine factory |
  MCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH-model engine for European options |
  MakeMCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH European engine factory |
  MCEuropeanHestonEngine | Monte Carlo Heston-model engine for European options |
  MakeMCEuropeanHestonEngine | Monte Carlo Heston European engine factory |
  MakeMCHestonHullWhiteEngine | Monte Carlo Heston/Hull-White engine factory |
  MCVanillaEngine | Pricing engine for vanilla options using Monte Carlo simulation |
  BatesProcess | Square-root stochastic-volatility Bates process |
  GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
  BlackScholesProcess | Black-Scholes (1973) stochastic process |
  BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
  BlackProcess | Black (1976) stochastic process |
  GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
  EndEulerDiscretization | Euler end-point discretization for stochastic processes |
  EulerDiscretization | Euler discretization for stochastic processes |
  ForwardMeasureProcess | Forward-measure stochastic process |
  ForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
  G2Process | G2 stochastic process |
  G2ForwardProcess | Forward G2 stochastic process |
  GeometricBrownianMotionProcess | Geometric brownian-motion process |
  GJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process |
  HestonProcess | Square-root stochastic-volatility Heston process |
  HullWhiteProcess | Hull-White stochastic process |
  HullWhiteForwardProcess | Forward Hull-White stochastic process |
  HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
  Merton76Process | Merton-76 jump-diffusion process |
  OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
  SquareRootProcess | Square-root process class |
  StochasticProcessArray | Array of correlated 1-D stochastic processes |
  Quote | Purely virtual base class for market observables |
  CompositeQuote | Market element whose value depends on two other market element |
  DerivedQuote | Market quote whose value depends on another quote |
  EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
  ForwardSwapQuote | Quote for a forward starting swap |
  ForwardValueQuote | quote for the forward value of an index |
  FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
  ImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
  LastFixingQuote | Quote adapter for the last fixing available of a given Index |
  SimpleQuote | Market element returning a stored value |
  Settings | Global repository for run-time library settings |
  StochasticProcess | Multi-dimensional stochastic process class |
   discretization | Discretization of a stochastic process over a given time interval |
  StochasticProcess1D | 1-dimensional stochastic process |
   discretization | Discretization of a 1-D stochastic process |
  TermStructure | Basic term-structure functionality |
  BootstrapError | Bootstrap error |
  BootstrapHelper | Base helper class for bootstrapping |
  RelativeDateBootstrapHelper | Bootstrap helper with date schedule relative to global evaluation date |
  DefaultDensityStructure | Default-density term structure |
  CdsHelper | |
  SpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper |
  UpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper |
  FlatHazardRate | Flat hazard-rate curve |
  HazardRateStructure | Hazard-rate term structure |
  InterpolatedDefaultDensityCurve | DefaultProbabilityTermStructure based on interpolation of default densities |
  InterpolatedHazardRateCurve | DefaultProbabilityTermStructure based on interpolation of hazard rates |
  InterpolatedSurvivalProbabilityCurve | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
  PiecewiseDefaultCurve | Piecewise default-probability term structure |
  SurvivalProbability | Survival-Probability-curve traits |
  HazardRate | Hazard-rate-curve traits |
  DefaultDensity | Default-density-curve traits |
  SurvivalProbabilityStructure | Hazard-rate term structure |
  DefaultProbabilityTermStructure | Default probability term structure |
  ZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper |
  YearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper |
  ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
  YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
  InterpolatedYoYInflationCurve | Inflation term structure based on interpolated year-on-year rates |
  InterpolatedZeroInflationCurve | Inflation term structure based on the interpolation of zero rates |
  PiecewiseYoYInflationCurve | Piecewise year-on-year inflation term structure |
  PiecewiseZeroInflationCurve | Piecewise zero-inflation term structure |
  Seasonality | A transformation of an existing inflation swap rate |
  MultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc) |
  InflationTermStructure | Interface for inflation term structures |
  ZeroInflationTermStructure | Interface for zero inflation term structures |
  YoYInflationTermStructure | Base class for year-on-year inflation term structures |
  InterpolatedCurve | Helper class to build interpolated term structures |
  IterativeBootstrap | Universal piecewise-term-structure boostrapper |
  LocalBootstrap | Localised-term-structure bootstrapper for most curve types |
  AbcdFunction | Abcd functional form for instantaneous volatility |
  CapFloorTermVolatilityStructure | Cap/floor term-volatility structure |
  CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
  CapFloorTermVolSurface | Cap/floor smile volatility surface |
  ConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence |
  BlackConstantVol | Constant Black volatility, no time-strike dependence |
  BlackVarianceCurve | Black volatility curve modelled as variance curve |
  BlackVarianceSurface | Black volatility surface modelled as variance surface |
  BlackVolTermStructure | Black-volatility term structure |
  BlackVolatilityTermStructure | Black-volatility term structure |
  BlackVarianceTermStructure | Black variance term structure |
  ImpliedVolTermStructure | Implied vol term structure at a given date in the future |
  LocalConstantVol | Constant local volatility, no time-strike dependence |
  LocalVolCurve | Local volatility curve derived from a Black curve |
  LocalVolSurface | Local volatility surface derived from a Black vol surface |
  LocalVolTermStructure | |
  ConstantCPIVolatility | Constant surface, no K or T dependence |
  CPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
  YoYOptionletVolatilitySurface | |
  ConstantYoYOptionletVolatility | Constant surface, no K or T dependence |
  CapletVarianceCurve | |
  ConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence |
  OptionletStripper | |
  OptionletStripper1 | |
  OptionletStripper2 | |
  OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
  StrippedOptionlet | |
  StrippedOptionletAdapter | |
  StrippedOptionletBase | |
  SmileSection | Interest rate volatility smile section |
  CmsMarket | Set of CMS quotes |
  ConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence |
  SwaptionVolatilityCube | Swaption-volatility cube |
  SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
  SwaptionVolatilityStructure | Swaption-volatility structure |
  VolatilityTermStructure | Volatility term structure |
  BondHelper | Fixed-coupon bond helper |
  Discount | Discount-curve traits |
  ZeroYield | Zero-curve traits |
  ForwardRate | Forward-curve traits |
  InterpolatedDiscountCurve | YieldTermStructure based on interpolation of discount factors |
  DriftTermStructure | Drift term structure |
  FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
   FittingMethod | Base fitting method used to construct a fitted bond discount curve |
  FlatForward | Flat interest-rate curve |
  InterpolatedForwardCurve | YieldTermStructure based on interpolation of forward rates |
  ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
  ForwardRateStructure | Forward-rate term structure |
  ImpliedTermStructure | Implied term structure at a given date in the future |
  ExponentialSplinesFitting | Exponential-splines fitting method |
  NelsonSiegelFitting | Nelson-Siegel fitting method |
  SvenssonFitting | Svensson Fitting method |
  CubicBSplinesFitting | CubicSpline B-splines fitting method |
  SimplePolynomialFitting | Simple polynomial fitting method |
  OISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
  DatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
  PiecewiseYieldCurve | Piecewise yield term structure |
  PiecewiseZeroSpreadedTermStructure | Term structure with an added vector of spreads on the zero-yield rate |
  QuantoTermStructure | Quanto term structure |
  FuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices |
  DepositRateHelper | Rate helper for bootstrapping over deposit rates |
  FraRateHelper | Rate helper for bootstrapping over FRA rates |
  SwapRateHelper | Rate helper for bootstrapping over swap rates |
  BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
  InterpolatedZeroCurve | YieldTermStructure based on interpolation of zero rates |
  ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
  ZeroYieldStructure | Zero-yield term structure |
  YieldTermStructure | Interest-rate term structure |
  Calendar | calendar class |
   Impl | Abstract base class for calendar implementations |
   OrthodoxImpl | Partial calendar implementation |
   WesternImpl | Partial calendar implementation |
  Argentina | Argentinian calendars |
  Australia | Australian calendar |
  BespokeCalendar | Bespoke calendar |
  Brazil | Brazilian calendar |
  Canada | Canadian calendar |
  China | Chinese calendar |
  CzechRepublic | Czech calendars |
  Denmark | Danish calendar |
  Finland | Finnish calendar |
  Germany | German calendars |
  HongKong | Hong Kong calendars |
  Hungary | Hungarian calendar |
  Iceland | Icelandic calendars |
  India | Indian calendars |
  Indonesia | Indonesian calendars |
  Italy | Italian calendars |
  Japan | Japanese calendar |
  JointCalendar | Joint calendar |
  Mexico | Mexican calendars |
  NewZealand | New Zealand calendar |
  Norway | Norwegian calendar |
  NullCalendar | Calendar for reproducing theoretical calculations |
  Poland | Polish calendar |
  Russia | Russian calendar |
  SaudiArabia | Saudi Arabian calendar |
  Singapore | Singapore calendars |
  Slovakia | Slovak calendars |
  SouthAfrica | South-African calendar |
  SouthKorea | South Korean calendars |
  Sweden | Swedish calendar |
  Switzerland | Swiss calendar |
  Taiwan | Taiwanese calendars |
  TARGET | TARGET calendar |
  Turkey | Turkish calendar |
  Ukraine | Ukrainian calendars |
  UnitedKingdom | United Kingdom calendars |
  UnitedStates | United States calendars |
  WeekendsOnly | Weekends-only calendar |
  Date | Concrete date class |
  Null< Date > | Specialization of Null template for the Date class |
  DateGeneration | Date-generation rule |
  DayCounter | Day counter class |
   Impl | Abstract base class for day counter implementations |
  Actual360 | Actual/360 day count convention |
  Actual365Fixed | Actual/365 (Fixed) day count convention |
  ActualActual | Actual/Actual day count |
  Business252 | Business/252 day count convention |
  OneDayCounter | 1/1 day count convention |
  SimpleDayCounter | Simple day counter for reproducing theoretical calculations |
  Thirty360 | 30/360 day count convention |
  ECB | European Central Bank reserve maintenance dates |
  IMM | Main cycle of the International Money Market (a.k.a. IMM) months |
  Period | |
  Schedule | Payment schedule |
  MakeSchedule | Helper class |
  TimeGrid | Time grid class |
  TimeSeries | Container for historical data |
  Clone | Cloning proxy to an underlying object |
  Disposable | Generic disposable object with move semantics |
  ObservableValue | observable and assignable proxy to concrete value |
  step_iterator | Iterator advancing in constant steps |
 earlier_than | Compare two objects by date |
 Null | Template class providing a null value for a given type |