►NQuantLib | |
►Ndetail | |
CImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
CRoot | Utility for the numerical time solver |
CAbcd | Abcd interpolation factory and traits |
CAbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
CAbcdFunction | Abcd functional form for instantaneous volatility |
CAbcdInterpolation | Abcd interpolation between discrete points |
CAbcdVol | Abcd-interpolated volatility structure |
CAccountingEngine | Engine collecting cash flows along a market-model simulation |
CActual360 | Actual/360 day count convention |
CActual365Fixed | Actual/365 (Fixed) day count convention |
CActual365NoLeap | Actual/365 (No Leap) day count convention |
CActualActual | Actual/Actual day count |
CAcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
CAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
CAffineModel | Affine model class |
CAliMikhailHaqCopula | Ali-Mikhail-Haq copula |
CAmericanCondition | American exercise condition |
CAmericanExercise | American exercise |
CAmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
CAmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
CAmortizingCmsRateBond | Amortizing CMS-rate bond |
CAmortizingFixedRateBond | Amortizing fixed-rate bond |
CAmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored) |
CAmortizingPayment | Amortizing payment |
CAnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option |
CAnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
CAnalyticBinaryBarrierEngine | Analytic pricing engine for American binary barriers options |
CAnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
CAnalyticCapFloorEngine | Analytic engine for cap/floor |
CAnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
CAnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae |
CAnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
CAnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
CAnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
CAnalyticContinuousPartialFixedLookbackEngine | Pricing engine for European continuous partial-time fixed-strike lookback options |
CAnalyticContinuousPartialFloatingLookbackEngine | Pricing engine for European continuous partial-time floating-strike lookback option |
CAnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
CAnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
CAnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option |
CAnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
CAnalyticDoubleBarrierEngine | Pricing engine for barrier options using analytical formulae |
CAnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
CAnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option |
CAnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine |
CAnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation |
CAnalyticHaganPricer | CMS-coupon pricer |
CAnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
CAnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
CAnalyticPDFHestonEngine | Analytic engine for arbitrary European payoffs under the Heston model |
CAnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
CAnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine |
CAnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option |
CAnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets |
CAnalyticTwoAssetCorrelationEngine | Analytic two-asset correlation option engine |
CAnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options |
CArgentina | Argentinian calendars |
CArmijoLineSearch | Armijo line search |
CArray | 1-D array used in linear algebra |
CARSCurrency | Argentinian peso |
CAssetOrNothingPayoff | Binary asset-or-nothing payoff |
►CAssetSwap | Bullet bond vs Libor swap |
Carguments | Arguments for asset swap calculation |
Cresults | Results from simple swap calculation |
CAtomicDefault | Atomic (single contractual event) default events |
CATSCurrency | Austrian shilling |
CAUCPI | AU CPI index (either quarterly or annual) |
CAUDCurrency | Australian dollar |
CAUDLibor | AUD LIBOR rate |
CAustralia | Australian calendar |
CAustraliaRegion | Australia as geographical/economic region |
CAverage | Placeholder for enumerated averaging types |
CAverageBMACoupon | Average BMA coupon |
CAverageBMALeg | Helper class building a sequence of average BMA coupons |
CBachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons |
CBackwardFlat | Backward-flat interpolation factory and traits |
CBackwardFlatInterpolation | Backward-flat interpolation between discrete points |
CBaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
CBarrier | Placeholder for enumerated barrier types |
►CBarrierOption | Barrier option on a single asset |
Carguments | Arguments for barrier option calculation |
Cengine | Barrier-option engine base class |
CBaseCorrelationLossModel | |
CBaseCorrelationTermStructure | |
CBasket | |
►CBasketOption | Basket option on a number of assets |
Cengine | Basket-option engine base class |
CBatesEngine | Bates model engines based on Fourier transform |
CBatesModel | Bates stochastic-volatility model |
CBatesProcess | Square-root stochastic-volatility Bates process |
CBDTCurrency | Bangladesh taka |
CBEFCurrency | Belgian franc |
CBermudanExercise | Bermudan exercise |
CBernsteinPolynomial | Class of Bernstein polynomials |
CBespokeCalendar | Bespoke calendar |
CBFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm |
CBGLCurrency | Bulgarian lev |
CBicubic | Bicubic-spline-interpolation factory |
CBicubicSpline | Bicubic-spline interpolation between discrete points |
CBilinear | Bilinear-interpolation factory |
CBilinearInterpolation | bilinear interpolation between discrete points |
CBinomialBarrierEngine | Pricing engine for barrier options using binomial trees |
CBinomialConvertibleEngine | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
CBinomialDistribution | Binomial probability distribution function |
CBinomialLossModel | |
CBinomialProbabilityOfAtLeastNEvents | Probability of at least N events |
CBinomialTree | Binomial tree base class |
CBinomialVanillaEngine | Pricing engine for vanilla options using binomial trees |
CBisection | Bisection 1-D solver |
CBivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
CBivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
CBivariateCumulativeStudentDistribution | Cumulative Student t-distribution |
CBjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
CBlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
CBlackCalculator | Black 1976 calculator class |
CBlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine |
CBlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine |
CBlackCapFloorEngine | Black-formula cap/floor engine |
CBlackCdsOptionEngine | Black-formula CDS-option engine |
CBlackConstantVol | Constant Black volatility, no time-strike dependence |
CBlackDeltaCalculator | Black delta calculator class |
CBlackIborCouponPricer | Black-formula pricer for capped/floored Ibor coupons |
►CBlackKarasinski | Standard Black-Karasinski model class |
CDynamics | Short-rate dynamics in the Black-Karasinski model |
CBlackProcess | Black (1976) stochastic process |
CBlackScholesCalculator | Black-Scholes 1973 calculator class |
CBlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model |
CBlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
CBlackScholesProcess | Black-Scholes (1973) stochastic process |
CBlackSwaptionEngine | Black-formula swaption engine |
CBlackVarianceCurve | Black volatility curve modelled as variance curve |
CBlackVarianceSurface | Black volatility surface modelled as variance surface |
CBlackVarianceTermStructure | Black variance term structure |
CBlackVolatilityTermStructure | Black-volatility term structure |
CBlackVolSurface | Black volatility (smile) surface |
CBlackVolTermStructure | Black-volatility term structure |
CBlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons |
CBMAIndex | Bond Market Association index |
CBMASwap | Swap paying Libor against BMA coupons |
CBMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
CBond | Base bond class |
CBondFunctions | Bond adapters of CashFlows functions |
CBondHelper | Bond helper for curve bootstrap |
CBootstrapError | Bootstrap error |
CBootstrapHelper | Base helper class for bootstrapping |
CBoundaryCondition | Abstract boundary condition class for finite difference problems |
CBoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
CBoxMullerGaussianRng | Gaussian random number generator |
CBrazil | Brazilian calendar |
CBrent | Brent 1-D solver |
CBRLCurrency | Brazilian real |
CBrownianBridge | Builds Wiener process paths using Gaussian variates |
CBSMOperator | Black-Scholes-Merton differential operator |
CBSpline | B-spline basis functions |
CBTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond |
CBusiness252 | Business/252 day count convention |
CBYRCurrency | Belarussian ruble |
CCADCurrency | Canadian dollar |
CCADLibor | CAD LIBOR rate |
CCADLiborON | Overnight CAD Libor index |
►CCalendar | calendar class |
CImpl | Abstract base class for calendar implementations |
COrthodoxImpl | Partial calendar implementation |
CWesternImpl | Partial calendar implementation |
CCalibratedModel | Calibrated model class |
CCalibrationHelper | Liquid market instrument used during calibration |
►CCallability | instrument callability |
CPrice | Amount to be paid upon callability |
►CCallableBond | Callable bond base class |
Cengine | Base class for callable fixed rate bond engine |
Cresults | Results for a callable bond calculation |
CCallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence |
CCallableBondVolatilityStructure | Callable-bond volatility structure |
CCallableFixedRateBond | Callable/puttable fixed rate bond |
CCallableZeroCouponBond | Callable/puttable zero coupon bond |
CCanada | Canadian calendar |
CCap | Concrete cap class |
►CCapFloor | Base class for cap-like instruments |
Carguments | Arguments for cap/floor calculation |
Cengine | Base class for cap/floor engines |
CCapFloorTermVolatilityStructure | Cap/floor term-volatility structure |
CCapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
CCapFloorTermVolSurface | Cap/floor smile volatility surface |
CCapHelper | Calibration helper for ATM cap |
CCappedFlooredCoupon | Capped and/or floored floating-rate coupon |
CCappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
CCapPseudoDerivative | |
CCashFlow | Base class for cash flows |
CCashFlows | cashflow-analysis functions |
CCashOrNothingPayoff | Binary cash-or-nothing payoff |
CCCTEU | |
CCDO | Collateralized debt obligation |
CCdor | CDOR rate |
CCdsHelper | |
►CCdsOption | CDS option |
Carguments | Arguments for CDS-option calculation |
Cengine | Base class for swaption engines |
Cresults | Results from CDS-option calculation |
CCeilingTruncation | Ceiling truncation |
CCHFCurrency | Swiss franc |
CCHFLibor | CHF LIBOR rate |
CChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class |
CChina | Chinese calendar |
CClaim | Claim associated to a default event |
CClaytonCopula | Clayton copula |
CClaytonCopulaRng | Clayton copula random-number generator |
CCLGaussianRng | Gaussian random number generator |
►CCliquetOption | Cliquet (Ratchet) option |
Carguments | Arguments for cliquet option calculation |
Cengine | Cliquet engine base class |
CClone | Cloning proxy to an underlying object |
CClosestRounding | Closest rounding |
CCLPCurrency | Chilean peso |
CCmsCoupon | CMS coupon class |
CCmsCouponPricer | Base pricer for vanilla CMS coupons |
CCmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
CCmsMarket | Set of CMS quotes |
CCMSMMDriftCalculator | Drift computation for CMS market models |
CCmsRateBond | CMS-rate bond |
CCMSwapCurveState | Curve state for constant-maturity-swap market models |
CCNYCurrency | Chinese yuan |
CCoinArchBooster | Booster derivative |
CCoinArchMaximizer | Maximizer derivative |
CCollar | Concrete collar class |
CCommodity | Commodity base class |
CCommodityCurve | Commodity term structure |
CCommodityIndex | Base class for commodity indexes |
CCommodityPricingHelper | Commodity index helper |
CCommoditySettings | Global repository for run-time library settings |
CCommodityType | Commodity type |
CComposite | Composite pattern |
CCompositeConstraint | Constraint enforcing both given sub-constraints |
CCompositeInstrument | Composite instrument |
CCompositeQuote | Market element whose value depends on two other market element |
►CCompoundOption | Compound option on a single asset |
Cengine | Compound-option engine base class |
CConjugateGradient | Multi-dimensional Conjugate Gradient class |
CConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence |
CConstantCPIVolatility | Constant surface, no K or T dependence |
CConstantEstimator | Constant-estimator volatility model |
CConstantLossLatentmodel | |
CConstantLossModel | |
CConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence |
CConstantParameter | Standard constant parameter \( a(t) = a \) |
CConstantRecoveryModel | |
CConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence |
CConstantYoYOptionletVolatility | Constant surface, no K or T dependence |
CConstrainedEvolver | Constrained market-model evolver |
►CConstraint | Base constraint class |
CImpl | Base class for constraint implementations |
CContinuousArithmeticAsianVecerEngine | Vecer engine for continuous-avaeraging Asian options |
►CContinuousAveragingAsianOption | Continuous-averaging Asian option |
Carguments | Extra arguments for single-asset continuous-average Asian option |
Cengine | Continuous-averaging Asian engine base class |
►CContinuousFixedLookbackOption | Continuous-fixed lookback option |
Carguments | Arguments for continuous fixed lookback option calculation |
Cengine | Continuous fixed lookback engine base class |
►CContinuousFloatingLookbackOption | Continuous-floating lookback option |
Carguments | Arguments for continuous floating lookback option calculation |
Cengine | Continuous floating lookback engine base class |
►CContinuousPartialFixedLookbackOption | Continuous-partial-fixed lookback option |
Carguments | Arguments for continuous partial fixed lookback option calculation |
Cengine | Continuous partial fixed lookback engine base class |
►CContinuousPartialFloatingLookbackOption | Continuous-partial-floating lookback option |
Carguments | Arguments for continuous partial floating lookback option calculation |
Cengine | Continuous partial floating lookback engine base class |
CContinuousTime | Continous day counter |
CConvergenceStatistics | Statistics class with convergence table |
CConvertibleBond | Base class for convertible bonds |
CConvertibleFixedCouponBond | Convertible fixed-coupon bond |
CConvertibleFloatingRateBond | Convertible floating-rate bond |
CConvertibleZeroCouponBond | Convertible zero-coupon bond |
CConvexMonotone | Convex-monotone interpolation factory and traits |
CConvexMonotoneInterpolation | Convex monotone yield-curve interpolation method |
CCOPCurrency | Colombian peso |
CCorrelationTermStructure | |
CCostFunction | Cost function abstract class for optimization problem |
CCoterminalSwapCurveState | Curve state for coterminal-swap market models |
CCoupon | coupon accruing over a fixed period |
CCovarianceDecomposition | Covariance decomposition into correlation and variances |
►CCoxIngersollRoss | Cox-Ingersoll-Ross model class |
CDynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
CCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
CCPIBond | |
CCPIBondHelper | CPI bond helper for curve bootstrap |
CCPICapFloor | CPI cap or floor |
CCPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity) |
CCPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index |
CCPICoupon | Coupon paying the performance of a CPI (zero inflation) index |
CCPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO |
CCPILeg | Helper class building a sequence of capped/floored CPI coupons |
►CCPISwap | Zero-inflation-indexed swap, |
Carguments | Arguments for swap calculation |
Cresults | Results from swap calculation |
CCPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
CCrankNicolson | Crank-Nicolson scheme for finite difference methods |
CCreditDefaultSwap | Credit default swap |
CCreditRiskPlus | |
CCryptoCurrencyFuture | CryptoCurrencyFuture |
CCryptoPayoff | CryptoPayoff |
CCryptoPayoffInverse | CryptoPayoffInverse |
CCryptoPayoffQuanto | CryptoPayoffQuanto |
CCubic | Cubic interpolation factory and traits |
CCubicBSplinesFitting | CubicSpline B-splines fitting method |
CCubicInterpolation | Cubic interpolation between discrete points |
CCumulativeBehrensFisher | Cumulative (generalized) BehrensFisher distribution |
CCumulativeBinomialDistribution | Cumulative binomial distribution function |
CCumulativeNormalDistribution | Cumulative normal distribution function |
CCumulativePoissonDistribution | Cumulative Poisson distribution function |
CCumulativeStudentDistribution | Cumulative Student t-distribution |
CCuriouslyRecurringTemplate | Support for the curiously recurring template pattern |
CCurrency | Currency specification |
CCurve | Abstract curve class |
CCurveState | Curve state for market-model simulations |
CCustomRegion | Custom geographical/economic region |
CCYPCurrency | Cyprus pound |
CCzechRepublic | Czech calendars |
CCZKCurrency | Czech koruna |
CDailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes |
CDailyTenorEURLibor | Base class for the one day deposit BBA EUR LIBOR indexes |
CDailyTenorGBPLibor | Base class for the one day deposit BBA GBP LIBOR indexes |
CDailyTenorJPYLibor | Base class for the one day deposit BBA JPY LIBOR indexes |
CDailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones |
CDailyTenorUSDLibor | Base class for the one day deposit BBA USD LIBOR indexes |
CDate | Concrete Date class |
CDatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
CDateGeneration | Date-generation rule |
CDateInterval | Date interval described by a number of a given time unit |
►CDayCounter | Day counter class |
CImpl | Abstract base class for day counter implementations |
CDefaultDensity | Default-density-curve traits |
CDefaultDensityStructure | Default-density term structure |
CDefaultEvent | Credit event on a bond of a certain seniority(ies)/currency |
CDefaultLatentModel | Default event Latent Model |
CDefaultLossModel | |
CDefaultProbabilityTermStructure | Default probability term structure |
CDefaultProbKey | |
CDefaultType | Atomic credit-event type |
CDeltaVolQuote | Class for the quotation of delta vs vol |
CDEMCurrency | Deutsche mark |
CDenmark | Danish calendar |
CDepositRateHelper | Rate helper for bootstrapping over deposit rates |
CDerivedQuote | Market quote whose value depends on another quote |
CDifferentialEvolution | Differential Evolution configuration object |
CDigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
CDigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
CDigitalCoupon | Digital-payoff coupon |
CDigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
CDigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
CDirichletBC | Neumann boundary condition (i.e., constant value) |
CDiscount | Discount-curve traits |
CDiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
►CDiscreteAveragingAsianOption | Discrete-averaging Asian option |
Carguments | Extra arguments for single-asset discrete-average Asian option |
Cengine | Discrete-averaging Asian engine base class |
CDiscretizedAsset | Discretized asset class used by numerical methods |
CDiscretizedDiscountBond | Useful discretized discount bond asset |
CDiscretizedOption | Discretized option on a given asset |
CDisposable | Generic disposable object with move semantics |
CDividend | Predetermined cash flow |
►CDividendBarrierOption | Single-asset barrier option with discrete dividends |
Carguments | Arguments for dividend barrier option calculation |
Cengine | Dividend-barrier-option engine base class |
►CDividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
Carguments | Arguments for dividend vanilla option calculation |
Cengine | Dividend-vanilla-option engine base class |
CDKKCurrency | Danish krone |
CDKKLibor | DKK LIBOR rate |
CDMinus | \( D_{-} \) matricial representation |
►CDoubleBarrierOption | Barrier option on a single asset |
Carguments | Arguments for barrier option calculation |
Cengine | Barrier-option engine base class |
CDoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
CDownRounding | Down-rounding |
CDPlus | \( D_{+} \) matricial representation |
CDPlusDMinus | \( D_{+}D_{-} \) matricial representation |
CDriftTermStructure | Drift term structure |
CDuration | duration type |
CDZero | \( D_{0} \) matricial representation |
Cearlier_than | Compare two objects by date |
CEarlyExercise | Early-exercise base class |
CEarlyExercisePathPricer | Base class for early exercise path pricers |
CECB | European Central Bank reserve maintenance dates |
CEEKCurrency | Estonian kroon |
CEndCriteria | Criteria to end optimization process: |
CEndEulerDiscretization | Euler end-point discretization for stochastic processes |
CEnergyBasisSwap | Energy basis swap |
CEnergyCommodity | Energy commodity class |
CEnergyFuture | Energy future |
CEnergyVanillaSwap | Vanilla energy swap |
CEonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB |
CEqualJumpsBinomialTree | Base class for equal jumps binomial tree |
CEqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
CEquityFXVolSurface | Equity/FX volatility (smile) surface |
CError | Base error class |
CErrorFunction | Error function |
CESPCurrency | Spanish peseta |
CEUHICP | EU HICP index |
CEUHICPXT | EU HICPXT index |
CEulerDiscretization | Euler discretization for stochastic processes |
CEURCurrency | European Euro |
CEURegion | European Union as geographical/economic region |
CEuribor | Euribor index |
CEuribor10M | 10-months Euribor index |
CEuribor11M | 11-months Euribor index |
CEuribor1M | 1-month Euribor index |
CEuribor1Y | 1-year Euribor index |
CEuribor2M | 2-months Euribor index |
CEuribor2W | 2-weeks Euribor index |
CEuribor365 | Actual/365 Euribor index |
CEuribor365_10M | 10-months Euribor365 index |
CEuribor365_11M | 11-months Euribor365 index |
CEuribor365_1M | 1-month Euribor365 index |
CEuribor365_1Y | 1-year Euribor365 index |
CEuribor365_2M | 2-months Euribor365 index |
CEuribor365_2W | 2-weeks Euribor365 index |
CEuribor365_3M | 3-months Euribor365 index |
CEuribor365_3W | 3-weeks Euribor365 index |
CEuribor365_4M | 4-months Euribor365 index |
CEuribor365_5M | 5-months Euribor365 index |
CEuribor365_6M | 6-months Euribor365 index |
CEuribor365_7M | 7-months Euribor365 index |
CEuribor365_8M | 8-months Euribor365 index |
CEuribor365_9M | 9-months Euribor365 index |
CEuribor365_SW | 1-week Euribor365 index |
CEuribor3M | 3-months Euribor index |
CEuribor3W | 3-weeks Euribor index |
CEuribor4M | 4-months Euribor index |
CEuribor5M | 5-months Euribor index |
CEuribor6M | 6-months Euribor index |
CEuribor7M | 7-months Euribor index |
CEuribor8M | 8-months Euribor index |
CEuribor9M | 9-months Euribor index |
CEuriborSW | 1-week Euribor index |
CEuriborSwapIfrFix | EuriborSwapIfrFix index base class |
CEuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class |
CEuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class |
CEURLibor | Base class for all BBA EUR LIBOR indexes but the O/N |
CEURLibor10M | 10-months EUR Libor index |
CEURLibor11M | 11-months EUR Libor index |
CEURLibor1M | 1-month EUR Libor index |
CEURLibor1Y | 1-year EUR Libor index |
CEURLibor2M | 2-months EUR Libor index |
CEURLibor2W | 2-weeks EUR Libor index |
CEURLibor3M | 3-months EUR Libor index |
CEURLibor4M | 4-months EUR Libor index |
CEURLibor5M | 5-months EUR Libor index |
CEURLibor6M | 6-months EUR Libor index |
CEURLibor7M | 7-months EUR Libor index |
CEURLibor8M | 8-months EUR Libor index |
CEURLibor9M | 9-months EUR Libor index |
CEURLiborON | Overnight EUR Libor index |
CEURLiborSW | 1-week EUR Libor index |
CEurLiborSwapIfrFix | EurLiborSwapIfrFix index base class |
CEurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class |
CEurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class |
CEurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
CEuropeanExercise | European exercise |
CEuropeanOption | European option on a single asset |
CEvent | Base class for event |
CEvolutionDescription | Market-model evolution description |
CExchangeRate | Exchange rate between two currencies |
CExchangeRateManager | Exchange-rate repository |
CExercise | Base exercise class |
CExplicitEuler | Forward Euler scheme for finite difference methods |
CExponentialJump1dMesher | |
CExponentialSplinesFitting | Exponential-splines fitting method |
CExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
CExtendedBinomialTree | Binomial tree base class |
CExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process |
CExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve |
CExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface |
►CExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
CDynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
CExtendedEqualJumpsBinomialTree | Base class for equal jumps binomial tree |
CExtendedEqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
CExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
CExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach |
CExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class |
CExtendedTian | Tian tree: third moment matching, multiplicative approach |
CExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
CExtOUWithJumpsProcess | |
CExtrapolator | Base class for classes possibly allowing extrapolation |
CFaceValueAccrualClaim | Claim on the notional of a reference security, including accrual |
CFaceValueClaim | Claim on a notional |
CFactorial | Factorial numbers calculator |
CFactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates |
CFailureToPay | Failure to Pay atomic event type |
CFalsePosition | False position 1-D solver |
CFarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula |
CFarlieGumbelMorgensternCopulaRng | Farlie-Gumbel-Morgenstern copula random-number generator |
CFastFourierTransform | FFT implementation |
CFaureRsg | Faure low-discrepancy sequence generator |
CFd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine |
CFDAmericanEngine | Finite-differences pricing engine for American one asset options |
CFdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine |
CFDBermudanEngine | Finite-differences Bermudan engine |
CFdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine |
CFdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine |
CFDDividendAmericanEngine | Finite-differences pricing engine for dividend American options |
CFDDividendEngineBase | Abstract base class for dividend engines |
CFDDividendEngineMerton73 | Finite-differences pricing engine for dividend options using escowed dividends model |
CFDDividendEngineShiftScale | Finite-differences engine for dividend options using shifted dividends |
CFDDividendEuropeanEngine | Finite-differences pricing engine for dividend European options |
CFDDividendShoutEngine | Finite-differences shout engine with dividends |
CFDEuropeanEngine | Pricing engine for European options using finite-differences |
CFdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine |
CFdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine |
CFdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine |
CFdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine |
CFdmExtOUJumpOp | |
CFdmKlugeExtOUOp | |
CFDShoutEngine | Finite-differences pricing engine for shout vanilla options |
CFDStepConditionEngine | Finite-differences pricing engine for American-style vanilla options |
CFDVanillaEngine | Finite-differences pricing engine for BSM one asset options |
CFedFunds | Fed Funds rate fixed by the FED |
CFFTEngine | Base class for FFT pricing engines for European vanilla options |
CFFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process |
CFFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process |
CFilonIntegral | Integral of a one-dimensional function |
CFIMCurrency | Finnish markka |
CFiniteDifferenceModel | Generic finite difference model |
CFiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives |
CFinland | Finnish calendar |
►CFittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
CFittingMethod | Base fitting method used to construct a fitted bond discount curve |
CFixedDividend | Predetermined cash flow |
CFixedRateBond | Fixed-rate bond |
CFixedRateBondForward | Forward contract on a fixed-rate bond |
CFixedRateBondHelper | Fixed-coupon bond helper for curve bootstrap |
CFixedRateCoupon | Coupon paying a fixed interest rate |
CFixedRateLeg | Helper class building a sequence of fixed rate coupons |
CFlatForward | Flat interest-rate curve |
CFlatHazardRate | Flat hazard-rate curve |
►CFloatFloatSwap | Float float swap |
Carguments | Arguments for float float swap calculation |
Cresults | Results from float float swap calculation |
►CFloatFloatSwaption | Floatfloat swaption class |
Carguments | Arguments for cms swaption calculation |
Cengine | Base class for cms swaption engines |
CFloatingCatBond | Floating-rate cat bond (possibly capped and/or floored) |
CFloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
CFloatingRateCoupon | Base floating-rate coupon class |
CFloatingRateCouponPricer | Generic pricer for floating-rate coupons |
CFloatingTypePayoff | Payoff based on a floating strike |
CFloor | Concrete floor class |
CFloorTruncation | Floor truncation |
CFordeHestonExpansion | |
CForward | Abstract base forward class |
CForwardFlat | Forward-flat interpolation factory and traits |
CForwardFlatInterpolation | Forward-flat interpolation between discrete points |
CForwardMeasureProcess | Forward-measure stochastic process |
CForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
CForwardOptionArguments | Arguments for forward (strike-resetting) option calculation |
CForwardPerformanceVanillaEngine | Forward performance engine for vanilla options |
CForwardRate | Forward-curve traits |
CForwardRateStructure | Forward-rate term structure |
CForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
CForwardSwapQuote | Quote for a forward starting swap |
CForwardTypePayoff | Class for forward type payoffs |
CForwardValueQuote | quote for the forward value of an index |
CForwardVanillaEngine | Forward engine for vanilla options |
CForwardVanillaOption | Forward version of a vanilla option |
CFractionalDividend | Predetermined cash flow |
CFranceRegion | France as geographical/economic region |
CFrankCopula | Frank copula |
CFrankCopulaRng | Frank copula random-number generator |
CFraRateHelper | Rate helper for bootstrapping over FRA rates |
CFRFCurrency | French franc |
CFRHICP | FR HICP index |
CFuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
CFuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices |
►CG2 | Two-additive-factor gaussian model class |
CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CG2ForwardProcess | Forward G2 stochastic process |
CG2Process | G2 stochastic process |
CG2SwaptionEngine | Swaption priced by means of the Black formula |
CGalambosCopula | Galambos copula |
CGammaFunction | Gamma function class |
CGapPayoff | Binary gap payoff |
CGarch11 | GARCH volatility model |
CGarmanKlassAbstract | Garman-Klass volatility model |
CGarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
CGaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind) |
CGaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind) |
CGaussChebyshevIntegration | Gauss-Chebyshev integration |
CGaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
CGaussGegenbauerIntegration | Gauss-Gegenbauer integration |
CGaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
CGaussHermiteIntegration | Generalized Gauss-Hermite integration |
CGaussHermitePolynomial | Gauss-Hermite polynomial |
CGaussHyperbolicIntegration | Gauss-Hyperbolic integration |
CGaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
CGaussian1dCapFloorEngine | Gaussian1d cap/floor engine |
CGaussian1dFloatFloatSwaptionEngine | One factor model float float swaption engine |
CGaussian1dJamshidianSwaptionEngine | Jamshidian swaption engine |
CGaussian1dModel | |
CGaussian1dNonstandardSwaptionEngine | One factor model non standard swaption engine |
CGaussian1dSwaptionEngine | One factor model swaption engine |
CGaussianCopula | Gaussian copula |
CGaussianCopulaPolicy | |
CGaussianKernel | Gaussian kernel function |
CGaussianLHPLossModel | |
CGaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
CGaussianQuadMultidimIntegrator | Integrates a vector or scalar function of vector domain |
CGaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
CGaussianRandomDefaultModel | |
CGaussJacobiIntegration | Gauss-Jacobi integration |
CGaussJacobiPolynomial | Gauss-Jacobi polynomial |
CGaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
CGaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
CGaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
CGaussLaguerrePolynomial | Gauss-Laguerre polynomial |
CGaussLegendreIntegration | Gauss-Legendre integration |
CGaussLegendrePolynomial | Gauss-Legendre polynomial |
CGaussLobattoIntegral | Integral of a one-dimensional function |
CGBPCurrency | British pound sterling |
CGBPLibor | GBP LIBOR rate |
CGBPLiborON | Overnight GBP Libor index |
CGbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class |
CGemanRoncoroniProcess | Geman-Roncoroni process class |
CGeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
►CGeneralizedHullWhite | Generalized Hull-White model class |
CDynamics | Short-rate dynamics in the generalized Hull-White model |
CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CGeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class |
CGeneralLinearLeastSquares | General linear least squares regression |
CGeneralStatistics | Statistics tool |
CGenericCPI | Generic CPI index |
CGenericEngine | Template base class for option pricing engines |
CGenericGaussianStatistics | Statistics tool for gaussian-assumption risk measures |
CGenericModelEngine | Base class for some pricing engine on a particular model |
CGenericRegion | Generic geographical/economic region |
CGenericRiskStatistics | Empirical-distribution risk measures |
CGenericSequenceStatistics | Statistics analysis of N-dimensional (sequence) data |
CGeometricBrownianMotionProcess | Geometric brownian-motion process |
CGermany | German calendars |
CGJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset |
CGJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process |
CGRDCurrency | Greek drachma |
CGreeks | Additional option results |
CGsr | One factor gsr model, formulation is in forward measure |
CGsrProcess | GSR stochastic process |
CGumbelCopula | Gumbel copula |
CHaganIrregularSwaptionEngine | Pricing engine for irregular swaptions |
CHaganPricer | CMS-coupon pricer |
CHaltonRsg | Halton low-discrepancy sequence generator |
CHandle | Shared handle to an observable |
CHazardRate | Hazard-rate-curve traits |
CHazardRateStructure | Hazard-rate term structure |
CHestonExpansion | |
CHestonExpansionEngine | Heston-model engine for European options based on analytic expansions |
CHestonModel | Heston model for the stochastic volatility of an asset |
CHestonModelHelper | Calibration helper for Heston model |
CHestonProcess | Square-root stochastic-volatility Heston process |
CHimalayaOption | Himalaya option |
CHistogram | Histogram class |
CHistoricalForwardRatesAnalysisImpl | Historical correlation class |
CHistoricalRatesAnalysis | Historical rate analysis class |
CHKDCurrency | Hong Kong dollar |
CHomogeneousPoolLossModel | Default loss distribution convolution for finite homogeneous pool |
CHongKong | Hong Kong calendars |
CHUFCurrency | Hungarian forint |
►CHullWhite | Single-factor Hull-White (extended Vasicek) model class |
CDynamics | Short-rate dynamics in the Hull-White model |
CFittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CHullWhiteForwardProcess | Forward Hull-White stochastic process |
CHullWhiteProcess | Hull-White stochastic process |
CHungary | Hungarian calendar |
CHuslerReissCopula | Husler-Reiss copula |
CHybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
CIborCoupon | Coupon paying a Libor-type index |
CIborCouponPricer | Base pricer for capped/floored Ibor coupons |
CIborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
CIborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
CIceland | Icelandic calendars |
CIEPCurrency | Irish punt |
CILSCurrency | Israeli shekel |
CIMM | Main cycle of the International Money Market (a.k.a. IMM) months |
CImplicitEuler | Backward Euler scheme for finite difference methods |
CImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
CImpliedTermStructure | Implied term structure at a given date in the future |
CImpliedVolTermStructure | Implied vol term structure at a given date in the future |
CIncrementalStatistics | Statistics tool based on incremental accumulation |
CIndependentCopula | Independent copula |
CIndex | Purely virtual base class for indexes |
CIndexedCashFlow | Cash flow dependent on an index ratio |
CIndexManager | Global repository for past index fixings |
CIndia | Indian calendars |
CIndonesia | Indonesian calendars |
CInflationCoupon | Base inflation-coupon class |
CInflationCouponPricer | Base inflation-coupon pricer |
CInflationIndex | Base class for inflation-rate indexes, |
CInflationTermStructure | Interface for inflation term structures |
CInhomogeneousPoolLossModel | Default loss distribution convolution for finite non homogeneous pool |
CINRCurrency | Indian rupee |
CInstrument | Abstract instrument class |
CIntegralEngine | Pricing engine for European vanilla options using integral approach |
CIntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine |
CInterestRate | Concrete interest rate class |
CInterestRateIndex | Base class for interest rate indexes |
CInterestRateVolSurface | Interest rate volatility (smile) surface |
CInterpolatedCurve | Helper class to build interpolated term structures |
CInterpolatedDefaultDensityCurve | DefaultProbabilityTermStructure based on interpolation of default densities |
CInterpolatedDiscountCurve | YieldTermStructure based on interpolation of discount factors |
CInterpolatedForwardCurve | YieldTermStructure based on interpolation of forward rates |
CInterpolatedHazardRateCurve | DefaultProbabilityTermStructure based on interpolation of hazard rates |
CInterpolatedPiecewiseZeroSpreadedTermStructure | Yield curve with an added vector of spreads on the zero-yield rate |
CInterpolatedSurvivalProbabilityCurve | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
CInterpolatedYoYInflationCurve | Inflation term structure based on interpolated year-on-year rates |
CInterpolatedYoYOptionletStripper | |
CInterpolatedYoYOptionletVolatilityCurve | Interpolated flat smile surface |
CInterpolatedZeroCurve | YieldTermStructure based on interpolation of zero rates |
CInterpolatedZeroInflationCurve | Inflation term structure based on the interpolation of zero rates |
CInterpolatingCPICapFloorEngine | |
►CInterpolation | Base class for 1-D interpolations |
CImpl | Abstract base class for interpolation implementations |
CtemplateImpl | Basic template implementation |
►CInterpolation2D | Base class for 2-D interpolations |
CImpl | Abstract base class for 2-D interpolation implementations |
CtemplateImpl | Basic template implementation |
CIntervalPrice | Interval price |
CInverseCumulativeBehrensFisher | Inverse of the cumulative of the convolution of odd-T distributions |
CInverseCumulativeNormal | Inverse cumulative normal distribution function |
CInverseCumulativePoisson | Inverse cumulative Poisson distribution function |
CInverseCumulativeRng | Inverse cumulative random number generator |
CInverseCumulativeRsg | Inverse cumulative random sequence generator |
CInverseCumulativeStudent | Inverse cumulative Student t-distribution |
CIQDCurrency | Iraqi dinar |
CIRRCurrency | Iranian rial |
CIrregularSettlement | settlement information |
►CIrregularSwap | Irregular swap: fixed vs floating leg |
Carguments | Arguments for irregular-swap calculation |
Cresults | Results from irregular-swap calculation |
►CIrregularSwaption | Irregular Swaption class |
Carguments | Arguments for irregular-swaption calculation |
Cengine | Base class for irregular-swaption engines |
CISKCurrency | Icelandic krona |
CItaly | Italian calendars |
CIterativeBootstrap | Universal piecewise-term-structure boostrapper |
CITLCurrency | Italian lira |
CJamshidianSwaptionEngine | Jamshidian swaption engine |
CJapan | Japanese calendar |
CJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
CJibar | JIBAR rate |
CJointCalendar | Joint calendar |
CJPYCurrency | Japanese yen |
CJPYLibor | JPY LIBOR rate |
CJpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class |
CJpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class |
CJumpDiffusionEngine | Jump-diffusion engine for vanilla options |
CJuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
CKernelFunction | |
CKernelInterpolation | Kernel interpolation between discrete points |
CKernelInterpolation2D | |
CKInterpolatedYoYOptionletVolatilitySurface | K-interpolated YoY optionlet volatility |
CKirkEngine | Pricing engine for spread option on two futures |
CKirkSpreadOptionEngine | Kirk approximation for European spread option on futures |
CKlugeExtOUProcess | |
CKnuthUniformRng | Uniform random number generator |
CKRWCurrency | South-Korean won |
CKWDCurrency | Kuwaiti dinar |
CLastFixingQuote | Quote adapter for the last fixing available of a given Index |
►CLatentModel | Generic multifactor latent variable model |
CFactorSampler | |
CFactorSampler< RandomSequenceGenerator< BoxMullerGaussianRng< URNG > >, dummy > | Specialization for direct Gaussian Box-Muller generation |
CFactorSampler< RandomSequenceGenerator< PolarStudentTRng< URNG > >, dummy > | Specialization for direct T samples generation |
CLattice | Lattice (tree, finite-differences) base class |
CLatticeShortRateModelEngine | Engine for a short-rate model specialized on a lattice |
CLazyObject | Framework for calculation on demand and result caching |
CLeastSquareFunction | Cost function for least-square problems |
CLeastSquareProblem | Base class for least square problem |
CLecuyerUniformRng | Uniform random number generator |
CLeisenReimer | Leisen & Reimer tree: multiplicative approach |
CLevenbergMarquardt | Levenberg-Marquardt optimization method |
CLexicographicalView | Lexicographical 2-D view of a contiguous set of data |
CLfmCovarianceParameterization | Libor market model parameterization |
CLfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
CLfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
CLfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
CLibor | Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones |
CLiborForwardModel | Libor forward model |
CLiborForwardModelProcess | Libor-forward-model process |
CLinear | Linear-interpolation factory and traits |
CLinearInterpolation | Linear interpolation between discrete points |
CLinearTsrPricer | CMS-coupon pricer |
CLineSearch | Base class for line search |
CLmConstWrapperVolatilityModel | Caplet const volatility model |
CLmCorrelationModel | libor forward correlation model |
CLmExponentialCorrelationModel | Exponential correlation model |
CLmExtLinearExponentialVolModel | Extended linear exponential volatility model |
CLmLinearExponentialCorrelationModel | linear exponential correlation model |
CLmLinearExponentialVolatilityModel | linear exponential volatility model |
CLMMCurveState | Curve state for Libor market models |
CLMMDriftCalculator | Drift computation for log-normal Libor market models |
CLMMNormalDriftCalculator | Drift computation for normal Libor market models |
CLmVolatilityModel | Caplet volatility model |
CLocalBootstrap | Localised-term-structure bootstrapper for most curve types |
CLocalConstantVol | Constant local volatility, no time-strike dependence |
CLocalVolCurve | Local volatility curve derived from a Black curve |
CLocalVolSurface | Local volatility surface derived from a Black vol surface |
CLocalVolTermStructure | |
CLogCubic | Log-cubic interpolation factory and traits |
CLogCubicInterpolation | log-cubic interpolation between discrete points |
CLogLinear | Log-linear interpolation factory and traits |
CLogLinearInterpolation | log-linear interpolation between discrete points |
CLogNormalCmSwapRatePc | Predictor-Corrector |
CLogNormalCotSwapRatePc | Predictor-Corrector |
CLogNormalFwdRateBalland | Iterative Predictor-Corrector |
CLogNormalFwdRateEuler | Euler |
CLogNormalFwdRateEulerConstrained | Euler stepping |
CLogNormalFwdRateiBalland | Iterative Predictor-Corrector |
CLogNormalFwdRateIpc | Iterative Predictor-Corrector |
CLogNormalFwdRatePc | Predictor-Corrector |
CLongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options |
CLongstaffSchwartzPathPricer | Longstaff-Schwarz path pricer for early exercise options |
CLossDist | Probability formulas and algorithms |
CLossDistBinomial | Binomial loss distribution |
CLossDistBucketing | Loss distribution with Hull-White bucketing |
CLossDistHomogeneous | Loss Distribution for Homogeneous Pool |
CLossDistMonteCarlo | Loss distribution with Monte Carlo simulation |
CLPP2HestonExpansion | |
CLPP3HestonExpansion | |
CLTLCurrency | Lithuanian litas |
CLUFCurrency | Luxembourg franc |
CLVLCurrency | Latvian lat |
CMaddockCumulativeNormal | Maddock's cumulative normal distribution class |
CMaddockInverseCumulativeNormal | Maddock's Inverse cumulative normal distribution class |
CMakeCapFloor | Helper class |
CMakeCms | Helper class for instantiating CMS |
CMakeMCAmericanBasketEngine | Monte Carlo American basket-option engine factory |
CMakeMCAmericanEngine | Monte Carlo American engine factory |
CMakeMCAmericanPathEngine | Monte Carlo American basket-option engine factory |
CMakeMCBarrierEngine | Monte Carlo barrier-option engine factory |
CMakeMCDigitalEngine | Monte Carlo digital engine factory |
CMakeMCEuropeanBasketEngine | Monte Carlo basket-option engine factory |
CMakeMCEuropeanEngine | Monte Carlo European engine factory |
CMakeMCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH European engine factory |
CMakeMCEuropeanHestonEngine | Monte Carlo Heston European engine factory |
CMakeMCEverestEngine | Monte Carlo Everest-option engine factory |
CMakeMCHestonHullWhiteEngine | Monte Carlo Heston/Hull-White engine factory |
CMakeMCHimalayaEngine | Monte Carlo Himalaya-option engine factory |
CMakeMCHullWhiteCapFloorEngine | Monte Carlo Hull-White cap-floor engine factory |
CMakeMCPagodaEngine | Monte Carlo pagoda-option engine factory |
CMakeMCPathBasketEngine | Monte Carlo Path Basket engine factory |
CMakeMCPerformanceEngine | Monte Carlo performance-option engine factory |
CMakeMCVarianceSwapEngine | Monte Carlo variance-swap engine factory |
CMakeOIS | Helper class |
CMakeSchedule | Helper class |
CMakeSwaption | Helper class |
CMakeVanillaSwap | Helper class |
CMakeYoYInflationCapFloor | Helper class |
►CMargrabeOption | Margrabe option on two assets |
Carguments | Extra arguments for Margrabe option |
Cengine | Margrabe option engine base class |
Cresults | Extra results for Margrabe option |
CMarketModel | Base class for market models |
CMarketModelCashRebate | |
CMarketModelComposite | Composition of two or more market-model products |
CMarketModelEvolver | Market-model evolver |
CMarketModelFactory | Base class for market-model factories |
CMarketModelMultiProduct | Market-model product |
CMarketModelPathwiseCashRebate | |
CMarketModelPathwiseCoterminalSwaptionsDeflated | |
CMarketModelPathwiseCoterminalSwaptionsNumericalDeflated | |
CMarketModelPathwiseDiscounter | |
CMarketModelPathwiseInverseFloater | |
CMarketModelPathwiseMultiCaplet | Market-model pathwise caplet |
CMarketModelPathwiseMultiDeflatedCap | |
CMarketModelPathwiseMultiProduct | Market-model pathwise product |
CMarketModelPathwiseSwap | |
CMarketModelVolProcess | |
CMarkovFunctional | |
CMarshallOlkinCopula | Marshall-Olkin copula |
CMatrix | Matrix used in linear algebra |
CMaxCopula | Max copula |
CMCAmericanBasketEngine | Least-square Monte Carlo engine |
CMCAmericanEngine | American Monte Carlo engine |
CMCAmericanPathEngine | Least-square Monte Carlo engine |
CMCBarrierEngine | Pricing engine for barrier options using Monte Carlo simulation |
CMCDigitalEngine | Pricing engine for digital options using Monte Carlo simulation |
CMCDiscreteArithmeticAPEngine | Monte Carlo pricing engine for discrete arithmetic average price Asian |
CMCDiscreteArithmeticASEngine | Monte Carlo pricing engine for discrete arithmetic average-strike Asian |
CMCDiscreteAveragingAsianEngine | Pricing engine for discrete average Asians using Monte Carlo simulation |
CMCDiscreteGeometricAPEngine | Monte Carlo pricing engine for discrete geometric average price Asian |
CMCEuropeanBasketEngine | Pricing engine for European basket options using Monte Carlo simulation |
CMCEuropeanEngine | European option pricing engine using Monte Carlo simulation |
CMCEuropeanGJRGARCHEngine | Monte Carlo GJR-GARCH-model engine for European options |
CMCEuropeanHestonEngine | Monte Carlo Heston-model engine for European options |
CMCHullWhiteCapFloorEngine | Monte Carlo Hull-White engine for cap/floors |
CMCLongstaffSchwartzEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options |
CMCLongstaffSchwartzPathEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options |
CMCPagodaEngine | Pricing engine for pagoda options using Monte Carlo simulation |
CMCPathBasketEngine | Pricing engine for path dependent basket options using |
CMCPerformanceEngine | Pricing engine for performance options using Monte Carlo simulation |
CMcSimulation | Base class for Monte Carlo engines |
CMCVanillaEngine | Pricing engine for vanilla options using Monte Carlo simulation |
CMCVarianceSwapEngine | Variance-swap pricing engine using Monte Carlo simulation, |
CMeanRevertingPricer | |
CMersenneTwisterUniformRng | Uniform random number generator |
CMerton76Process | Merton-76 jump-diffusion process |
CMexico | Mexican calendars |
CMfStateProcess | Markov functional state process class |
CMidPointCDOEngine | CDO base engine taking schedule steps |
CMinCopula | Min copula |
CMixedLinearCubic | Mixed linear/cubic interpolation factory and traits |
CMixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points |
CMixedScheme | Mixed (explicit/implicit) scheme for finite difference methods |
CModifiedCraigSneydScheme | Modified Craig-Sneyd scheme |
CMoney | Amount of cash |
CMonteCarloModel | General-purpose Monte Carlo model for path samples |
CMoreGreeks | More additional option results |
CMoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
CMTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
CMTLCurrency | Maltese lira |
►CMultiAssetOption | Base class for options on multiple assets |
Cresults | Results from multi-asset option calculation |
CMultiCubicSpline | N-dimensional cubic spline interpolation between discrete points |
CMultidimIntegral | Integrates a vector or scalar function of vector domain |
CMultiPath | Correlated multiple asset paths |
CMultiPathGenerator | Generates a multipath from a random number generator |
CMultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc) |
CMultiProductComposite | Composition of one or more market-model products |
CMultiProductMultiStep | Multiple-step market-model product |
CMultiProductOneStep | Single-step market-model product |
CMultiProductPathwiseWrapper | |
CMultiStepSwaption | |
CMultiVariate | Default Monte Carlo traits for multi-variate models |
CMXNCurrency | Mexican peso |
CNelsonSiegelFitting | Nelson-Siegel fitting method |
CNeumannBC | Neumann boundary condition (i.e., constant derivative) |
CNewton | Newton 1-D solver |
CNewtonSafe | Safe Newton 1-D solver |
CNewZealand | New Zealand calendar |
CNLGCurrency | Dutch guilder |
CNoArbSabr | No arbtrage sabr interpolation factory and traits |
CNoArbSabrInterpolation | No arbitrage sabr smile interpolation between discrete volatility points |
CNoConstraint | No constraint |
CNOKCurrency | Norwegian krone |
CNonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i |
CNonLinearLeastSquare | Non-linear least-square method |
►CNonstandardSwap | Nonstandard swap |
Carguments | Arguments for nonstandard swap calculation |
Cresults | Results from nonstandard swap calculation |
►CNonstandardSwaption | Nonstandard swaption class |
Carguments | Arguments for nonstandard swaption calculation |
Cengine | Base class for nonstandard swaption engines |
CNormalDistribution | Normal distribution function |
CNormalFwdRatePc | Predictor-Corrector |
CNorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt |
CNorway | Norwegian calendar |
CNPRCurrency | Nepal rupee |
►CNthToDefault | N-th to default swap |
Cengine | NTD base engine |
CNull | Template class providing a null value for a given type |
CNull< Array > | Specialization of null template for this class |
CNull< Date > | Specialization of Null template for the Date class |
CNullCalendar | Calendar for reproducing theoretical calculations |
CNullCondition | null step condition |
CNullParameter | Parameter which is always zero \( a(t) = 0 \) |
CNullPayoff | Dummy payoff class |
CNumericHaganPricer | CMS-coupon pricer |
CNZDCurrency | New Zealand dollar |
CNZDLibor | NZD LIBOR rate |
CObservable | Object that notifies its changes to a set of observers |
CObservableValue | observable and assignable proxy to concrete value |
CObserver | Object that gets notified when a given observable changes |
COISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
►COneAssetOption | Base class for options on a single asset |
Cresults | Results from single-asset option calculation |
COneDayCounter | 1/1 day count convention |
COneFactorAffineModel | Single-factor affine base class |
COneFactorCopula | Abstract base class for one-factor copula models |
COneFactorGaussianCopula | One-factor Gaussian Copula |
COneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula |
►COneFactorModel | Single-factor short-rate model abstract class |
CShortRateDynamics | Base class describing the short-rate dynamics |
CShortRateTree | Recombining trinomial tree discretizing the state variable |
COneFactorStudentCopula | One-factor Double Student t-Copula |
COneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula |
COperatorFactory | Black-Scholes-Merton differential operator |
COptimizationMethod | Abstract class for constrained optimization method |
►COption | Base option class |
Carguments | Basic option arguments |
COptionletStripper | |
COptionletStripper1 | |
COptionletStripper2 | |
COptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
COrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
COrthogonalizedBumpFinder | |
COrthogonalProjections | |
COvernightIndexedCoupon | Overnight coupon |
COvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate |
COvernightIndexedSwapIndex | Base class for overnight indexed swap indexes |
COvernightLeg | Helper class building a sequence of overnight coupons |
►CPagodaOption | Roofed Asian option on a number of assets |
Cengine | Pagoda-option engine base class |
►CParameter | Base class for model arguments |
CImpl | Base class for model parameter implementation |
CPath | Single-factor random walk |
CPathGenerator | Generates random paths using a sequence generator |
►CPathMultiAssetOption | Base class for path-dependent options on multiple assets |
Carguments | Arguments for multi-asset option calculation |
Cresults | Results from multi-asset option calculation |
CPathPayoff | Abstract base class for path-dependent option payoffs |
CPathPricer | Base class for path pricers |
CPathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas |
CPathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
CPathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
CPayoff | Abstract base class for option payoffs |
CPEHCurrency | Peruvian sol |
CPEICurrency | Peruvian inti |
CPENCurrency | Peruvian nuevo sol |
CPercentageStrikePayoff | Payoff with strike expressed as percentage |
CPeriod | |
CPerturbativeBarrierOptionEngine | Perturbative barrier-option engine |
CPiecewiseConstantParameter | Piecewise-constant parameter |
CPiecewiseDefaultCurve | Piecewise default-probability term structure |
CPiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model |
CPiecewiseYieldCurve | Piecewise yield term structure |
CPiecewiseYoYInflationCurve | Piecewise year-on-year inflation term structure |
CPiecewiseYoYOptionletVolatilityCurve | Piecewise year-on-year inflation volatility term structure |
CPiecewiseZeroInflationCurve | Piecewise zero-inflation term structure |
CPKRCurrency | Pakistani rupee |
CPlackettCopula | Plackett copula |
CPlainVanillaPayoff | Plain-vanilla payoff |
CPLNCurrency | Polish zloty |
CPoissonDistribution | Poisson distribution function |
CPoland | Polish calendar |
CPolarStudentTRng | Student t random number generator |
CPolynomial | Polynomial2D-spline-interpolation factory |
CPolynomial2DSpline | Polynomial2D-spline interpolation between discrete points |
CPositiveConstraint | Constraint imposing positivity to all arguments |
CPricingEngine | Interface for pricing engines |
CPricingPeriod | Time pricingperiod described by a number of a given time unit |
CPrimeNumbers | Prime numbers calculator |
CProbabilityOfAtLeastNEvents | Probability of at least N events |
CProbabilityOfNEvents | Probability of N events |
CProblem | Constrained optimization problem |
CProjectedCostFunction | Parameterized cost function |
CProtection | Information on a default-protection contract |
CProxyIbor | IborIndex calculated as proxy of some other IborIndex |
CPTECurrency | Portuguese escudo |
CQuantity | Amount of a commodity |
CQuantoBarrierOption | Quanto version of a barrier option |
CQuantoEngine | Quanto engine |
CQuantoForwardVanillaOption | Quanto version of a forward vanilla option |
CQuantoOptionResults | Results from quanto option calculation |
CQuantoTermStructure | Quanto term structure |
CQuantoVanillaOption | Quanto version of a vanilla option |
CQuote | Purely virtual base class for market observables |
CRandomDefaultLM | |
CRandomDefaultModel | Base class for random default models |
CRandomizedLDS | Randomized (random shift) low-discrepancy sequence |
CRandomLM | |
CRandomLossLM | |
CRandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator |
CRangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
CRanlux3UniformRng | Uniform random number generator |
CRatchetMaxPayoff | RatchetMax payoff (double option) |
CRatchetMinPayoff | RatchetMin payoff (double option) |
CRatchetPayoff | Ratchet payoff (single option) |
CRebatedExercise | Rebated exercise |
CRecoveryRateModel | |
CRecoveryRateQuote | Stores a recovery rate market quote and the associated seniority |
CRecursiveLossModel | |
CRedemption | Bond redemption |
CRegion | Region class, used for inflation applicability |
CRelativeDateBootstrapHelper | Bootstrap helper with date schedule relative to global evaluation date |
CRelinkableHandle | Relinkable handle to an observable |
CRendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter |
CRendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter |
CReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
CReplication | Digital option replication strategy |
CRestructuring | Restructuring type |
CRichardsonExtrapolation | Richardson Extrapolation |
CRidder | Ridder 1-D solver |
CRiskyAssetSwap | Risky asset-swap instrument |
CRiskyAssetSwapOption | Option on risky asset swap |
CRiskyBond | |
CRiskyFixedBond | |
CRiskyFloatingBond | |
CROLCurrency | Romanian leu |
CRONCurrency | Romanian new leu |
CRounding | Basic rounding class |
CRussia | Russian calendar |
CSABR | SABR interpolation factory and traits |
CSABRInterpolation | SABR smile interpolation between discrete volatility points |
CSabrVolSurface | SABR volatility (smile) surface |
CSaddlePointLossModel | Saddle point portfolio credit default loss model |
CSalvagingAlgorithm | Algorithm used for matricial pseudo square root |
CSample | Weighted sample |
CSampledCurve | This class contains a sampled curve |
CSARCurrency | Saudi riyal |
CSaudiArabia | Saudi Arabian calendar |
CSchedule | Payment schedule |
CSeasonality | A transformation of an existing inflation swap rate |
CSecant | Secant 1-D solver |
CSeedGenerator | Random seed generator |
CSegmentIntegral | Integral of a one-dimensional function |
CSEKCurrency | Swedish krona |
CSEKLibor | SEK LIBOR rate |
CSettings | Global repository for run-time library settings |
CSettlement | settlement information |
CSGDCurrency | Singapore dollar |
CShortRateModel | Abstract short-rate model class |
CShoutCondition | Shout option condition |
CsimEvent | |
CSimpleCashFlow | Predetermined cash flow |
►CSimpleChooserOption | Simple chooser option |
Carguments | Extra arguments for single chooser option |
Cengine | Simple chooser option engine base class |
CSimpleDayCounter | Simple day counter for reproducing theoretical calculations |
CSimpleLocalEstimator | Local-estimator volatility model |
CSimplePolynomialFitting | Simple polynomial fitting method |
CSimpleQuote | Market element returning a stored value |
CSimplex | Multi-dimensional simplex class |
CSimpsonIntegral | Integral of a one-dimensional function |
CSimulatedAnnealing | |
CSingapore | Singapore calendars |
CSingleProductComposite | Composition of one or more market-model products |
CSingleton | Basic support for the singleton pattern |
CSingleVariate | Default Monte Carlo traits for single-variate models |
CSITCurrency | Slovenian tolar |
CSKKCurrency | Slovak koruna |
CSlovakia | Slovak calendars |
CSmileSection | Interest rate volatility smile section |
CSmileSectionUtils | Smile-section utilities |
CSMMDriftCalculator | Drift computation for coterminal swap market models |
CSobolBrownianGenerator | Sobol Brownian generator for market-model simulations |
CSobolRsg | Sobol low-discrepancy sequence generator |
CSoftCallability | callability leaving to the holder the possibility to convert |
CSolver1D | Base class for 1-D solvers |
CSonia | Sonia (Sterling Overnight Index Average) rate |
CSouthAfrica | South-African calendar |
CSouthKorea | South Korean calendars |
CSparseILUPreconditioner | |
CSphereCylinderOptimizer | |
CSpotRecoveryLatentModel | Random spot recovery rate latent variable portfolio model |
CSpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper |
CSpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates |
►CSpreadOption | Spread option on two assets |
Cengine | Spread option engine base class |
CSquareRootAndersen | |
CSquareRootProcess | Square-root process class |
CStatsHolder | Helper class for precomputed distributions |
CSteepestDescent | Multi-dimensional steepest-descent class |
Cstep_iterator | Iterator advancing in constant steps |
CStepCondition | Condition to be applied at every time step |
CStepConditionSet | Parallel evolver for multiple arrays |
CStickyMaxPayoff | StickyMax payoff (double option) |
CStickyMinPayoff | StickyMin payoff (double option) |
CStickyPayoff | Sticky payoff (single option) |
►CStochasticProcess | Multi-dimensional stochastic process class |
Cdiscretization | Discretization of a stochastic process over a given time interval |
►CStochasticProcess1D | 1-dimensional stochastic process |
Cdiscretization | Discretization of a 1-D stochastic process |
CStochasticProcessArray | Array of correlated 1-D stochastic processes |
CStock | Simple stock class |
CStrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
CStrippedOptionlet | |
CStrippedOptionletAdapter | |
CStrippedOptionletBase | |
CStudentDistribution | Student t-distribution |
CStulzEngine | Pricing engine for 2D European Baskets |
CSuperFundPayoff | Binary supershare and superfund payoffs |
CSuperSharePayoff | Binary supershare payoff |
CSurvivalProbability | Survival-Probability-curve traits |
CSurvivalProbabilityStructure | Hazard-rate term structure |
CSVD | Singular value decomposition |
CSVDDFwdRatePc | |
CSvenssonFitting | Svensson Fitting method |
CSwap | Interest rate swap |
CSwapIndex | Base class for swap-rate indexes |
CSwapRateHelper | Rate helper for bootstrapping over swap rates |
►CSwaption | Swaption class |
Carguments | Arguments for swaption calculation |
Cengine | Base class for swaption engines |
CSwaptionHelper | Calibration helper for ATM swaption |
CSwaptionVolatilityCube | Swaption-volatility cube |
CSwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
CSwaptionVolatilityStructure | Swaption-volatility structure |
CSweden | Swedish calendar |
CSwingExercise | Swing exercise |
CSwitzerland | Swiss calendar |
CSymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
►CSyntheticCDO | Synthetic Collateralized Debt Obligation |
Cengine | CDO base engine |
CTabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
CTaiwan | Taiwanese calendars |
CTARGET | TARGET calendar |
►CTCopulaPolicy | Sudent-T Latent Model's copula policy |
CinitTraits | |
CTermStructure | Basic term-structure functionality |
CTermStructureConsistentModel | Term-structure consistent model class |
CTermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
CTHBCurrency | Thai baht |
CThirty360 | 30/360 day count convention |
CTian | Tian tree: third moment matching, multiplicative approach |
CTibor | JPY TIBOR index |
CTimeBasket | Distribution over a number of dates |
CTimeGrid | Time grid class |
CTimeSeries | Container for historical data |
CTqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
CTransformedGrid | Transformed grid |
CTrapezoidIntegral | Integral of a one-dimensional function |
CTRBDF2 | TR-BDF2 scheme for finite difference methods |
CTree | Tree approximating a single-factor diffusion |
CTreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds |
CTreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds |
CTreeCapFloorEngine | Numerical lattice engine for cap/floors |
CTreeLattice | Tree-based lattice-method base class |
CTreeLattice1D | One-dimensional tree-based lattice |
CTreeLattice2D | Two-dimensional tree-based lattice |
CTreeSwaptionEngine | Numerical lattice engine for swaptions |
CTreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
►CTridiagonalOperator | Base implementation for tridiagonal operator |
CTimeSetter | Encapsulation of time-setting logic |
CTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
CTrinomialTree | Recombining trinomial tree class |
CTRLCurrency | Turkish lira |
CTRLibor | TRY LIBOR rate |
CTRYCurrency | New Turkish lira |
CTsiveriotisFernandesLattice | Binomial lattice approximating the Tsiveriotis-Fernandes model |
CTTDCurrency | Trinidad & Tobago dollar |
CTurkey | Turkish calendar |
CTWDCurrency | Taiwan dollar |
►CTwoAssetBarrierOption | Barrier option on two assets |
Carguments | Arguments for two-asset barrier option calculation |
Cengine | Two-asset barrier-option engine base class |
CTwoDimensionalIntegral | Integral of a two-dimensional function |
►CTwoFactorModel | Abstract base-class for two-factor models |
CShortRateDynamics | Class describing the dynamics of the two state variables |
CShortRateTree | Recombining two-dimensional tree discretizing the state variable |
CTypePayoff | Intermediate class for put/call payoffs |
CUkraine | Ukrainian calendars |
CUKRegion | United Kingdom as geographical/economic region |
CUKRPI | UK Retail Price Inflation Index |
CUnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
CUnitedKingdom | United Kingdom calendars |
CUnitedStates | United States calendars |
CUnitOfMeasure | Unit of measure specification |
CUnitOfMeasureConversionManager | Repository of conversion factors between units of measure |
CUpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper |
CUpperBoundEngine | Market-model engine for upper-bound estimation |
CUpRounding | Up-rounding |
CUSCPI | US CPI index |
CUSDCurrency | U.S. dollar |
CUSDLibor | USD LIBOR rate |
CUSDLiborON | Overnight USD Libor index |
CUsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class |
CUsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class |
CUSRegion | USA as geographical/economic region |
CVanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
CVanillaStorageOption | Base option class |
►CVanillaSwap | Plain-vanilla swap: fix vs floating leg |
Carguments | Arguments for simple swap calculation |
Cresults | Results from simple swap calculation |
CVanillaSwingOption | Base option class |
CVannaVolga | VannaVolga-interpolation factory and traits |
CVannaVolgaBarrierEngine | Vanna Volga barrier option engine |
CVannaVolgaDoubleBarrierEngine | Vanna Volga double-barrier option engine |
CVannaVolgaInterpolation | Vanna Volga interpolation between discrete points |
CVarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach |
CVarianceGammaModel | Variance Gamma model |
CVarianceGammaProcess | Variance gamma process |
►CVarianceOption | Variance option |
Carguments | Arguments for forward fair-variance calculation |
Cengine | Base class for variance-option engines |
Cresults | Results from variance-option calculation |
►CVarianceSwap | Variance swap |
Carguments | Arguments for forward fair-variance calculation |
Cengine | Base class for variance-swap engines |
Cresults | Results from variance-swap calculation |
►CVasicek | Vasicek model class |
CDynamics | Short-rate dynamics in the Vasicek model |
CVEBCurrency | Venezuelan bolivar |
CVegaBumpCollection | |
CVegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests |
CVisitor | Visitor for a specific class |
CVolatilityTermStructure | Volatility term structure |
CWeekendsOnly | Weekends-only calendar |
►CWriterExtensibleOption | Writer-extensible option |
Carguments | Additional arguments for writer-extensible option |
Cengine | Base engine |
►CYearOnYearInflationSwap | Year-on-year inflation-indexed swap |
Carguments | Arguments for YoY swap calculation |
Cresults | Results from YoY swap calculation |
CYearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper |
CYieldTermStructure | Interest-rate term structure |
CYoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure |
CYoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CYoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CYoYInflationCap | Concrete YoY Inflation cap class |
►CYoYInflationCapFloor | Base class for yoy inflation cap-like instruments |
Carguments | Arguments for YoY Inflation cap/floor calculation |
Cengine | Base class for cap/floor engines |
CYoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
CYoYInflationCollar | Concrete YoY Inflation collar class |
CYoYInflationCoupon | Coupon paying a YoY-inflation type index |
CYoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
CYoYInflationFloor | Concrete YoY Inflation floor class |
CYoYInflationIndex | Base class for year-on-year inflation indices |
CyoyInflationLeg | |
CYoYInflationTermStructure | Base class for year-on-year inflation term structures |
CYoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
CYoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CYoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap |
CYoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper |
CYoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces |
CYoYOptionletVolatilitySurface | |
CYYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio) |
CYYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio) |
CYYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) |
CYYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP) |
CYYEUHICPXT | Genuine year-on-year EU HICPXT |
CYYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio) |
CYYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio) |
CYYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio) |
CYYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio) |
CYYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) |
CYYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI) |
CYYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI) |
CYYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI) |
CYYZACPI | Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI) |
CYYZACPIr | Fake year-on-year South African CPI (i.e. a ratio of ZA CPI) |
CZACPI | South African Comsumer Price Inflation Index |
CZARCurrency | South-African rand |
CZARegion | South Africa as geographical/economic region |
CZeroCondition | Zero exercise condition |
CZeroCouponBond | Zero-coupon bond |
CZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
CZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper |
CZeroInflationIndex | Base class for zero inflation indices |
CZeroInflationTermStructure | Interface for zero inflation term structures |
CZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
CZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
CZeroYield | Zero-curve traits |
CZeroYieldStructure | Zero-yield term structure |
CZibor | CHF ZIBOR rate |
CZigguratRng | Ziggurat random-number generator |