 BoundaryCondition< FdmLinearOp > | |
 BoundaryCondition< TridiagonalOperator > | |
  DirichletBC | Neumann boundary condition (i.e., constant value) |
  NeumannBC | Neumann boundary condition (i.e., constant derivative) |
 Clone< ExerciseStrategy< QuantLib::CurveState > > | |
 Clone< MarketModelBasisSystem > | |
 Clone< MarketModelExerciseValue > | |
 Clone< MarketModelParametricExercise > | |
 Clone< QuantLib::FittedBondDiscountCurve::FittingMethod > | |
 Clone< QuantLib::MarketModelMultiProduct > | |
 Clone< QuantLib::MarketModelPathwiseMultiProduct > | |
 CuriouslyRecurringTemplate< AdditiveEQPBinomialTree > | |
  Tree< AdditiveEQPBinomialTree > | |
   BinomialTree< AdditiveEQPBinomialTree > | |
    EqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree > | |
     AdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
 CuriouslyRecurringTemplate< Bisection > | |
  Solver1D< Bisection > | |
   Bisection | Bisection 1-D solver |
 CuriouslyRecurringTemplate< BlackScholesLattice< T > > | |
  TreeLattice< BlackScholesLattice< T > > | |
   TreeLattice1D< BlackScholesLattice< T > > | |
    BlackScholesLattice< T > | Simple binomial lattice approximating the Black-Scholes model |
     TsiveriotisFernandesLattice< T > | Binomial lattice approximating the Tsiveriotis-Fernandes model |
 CuriouslyRecurringTemplate< Brent > | |
  Solver1D< Brent > | |
   Brent | Brent 1-D solver |
 CuriouslyRecurringTemplate< CoxRossRubinstein > | |
  Tree< CoxRossRubinstein > | |
   BinomialTree< CoxRossRubinstein > | |
    EqualJumpsBinomialTree< CoxRossRubinstein > | |
     CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
 CuriouslyRecurringTemplate< ExtendedAdditiveEQPBinomialTree > | |
  Tree< ExtendedAdditiveEQPBinomialTree > | |
   ExtendedBinomialTree< ExtendedAdditiveEQPBinomialTree > | |
    ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree > | |
     ExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
 CuriouslyRecurringTemplate< ExtendedCoxRossRubinstein > | |
  Tree< ExtendedCoxRossRubinstein > | |
   ExtendedBinomialTree< ExtendedCoxRossRubinstein > | |
    ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein > | |
     ExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
 CuriouslyRecurringTemplate< ExtendedJarrowRudd > | |
  Tree< ExtendedJarrowRudd > | |
   ExtendedBinomialTree< ExtendedJarrowRudd > | |
    ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd > | |
     ExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
 CuriouslyRecurringTemplate< ExtendedJoshi4 > | |
  Tree< ExtendedJoshi4 > | |
   ExtendedBinomialTree< ExtendedJoshi4 > | |
 CuriouslyRecurringTemplate< ExtendedLeisenReimer > | |
  Tree< ExtendedLeisenReimer > | |
   ExtendedBinomialTree< ExtendedLeisenReimer > | |
    ExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach |
 CuriouslyRecurringTemplate< ExtendedTian > | |
  Tree< ExtendedTian > | |
   ExtendedBinomialTree< ExtendedTian > | |
    ExtendedTian | Tian tree: third moment matching, multiplicative approach |
 CuriouslyRecurringTemplate< ExtendedTrigeorgis > | |
  Tree< ExtendedTrigeorgis > | |
   ExtendedBinomialTree< ExtendedTrigeorgis > | |
    ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis > | |
     ExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
 CuriouslyRecurringTemplate< FalsePosition > | |
  Solver1D< FalsePosition > | |
   FalsePosition | False position 1-D solver |
 CuriouslyRecurringTemplate< FiniteDifferenceNewtonSafe > | |
  Solver1D< FiniteDifferenceNewtonSafe > | |
   FiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives |
 CuriouslyRecurringTemplate< JarrowRudd > | |
  Tree< JarrowRudd > | |
   BinomialTree< JarrowRudd > | |
    EqualProbabilitiesBinomialTree< JarrowRudd > | |
     JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
 CuriouslyRecurringTemplate< Joshi4 > | |
  Tree< Joshi4 > | |
   BinomialTree< Joshi4 > | |
 CuriouslyRecurringTemplate< LeisenReimer > | |
  Tree< LeisenReimer > | |
   BinomialTree< LeisenReimer > | |
    LeisenReimer | Leisen & Reimer tree: multiplicative approach |
 CuriouslyRecurringTemplate< Newton > | |
  Solver1D< Newton > | |
   Newton | Newton 1-D solver |
 CuriouslyRecurringTemplate< NewtonSafe > | |
  Solver1D< NewtonSafe > | |
   NewtonSafe | Safe Newton 1-D solver |
 CuriouslyRecurringTemplate< OneFactorModel::ShortRateTree > | |
  TreeLattice< OneFactorModel::ShortRateTree > | |
   TreeLattice1D< OneFactorModel::ShortRateTree > | |
    OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable |
 CuriouslyRecurringTemplate< Ridder > | |
  Solver1D< Ridder > | |
   Ridder | Ridder 1-D solver |
 CuriouslyRecurringTemplate< Secant > | |
  Solver1D< Secant > | |
   Secant | Secant 1-D solver |
 CuriouslyRecurringTemplate< T > | |
  Tree< T > | Tree approximating a single-factor diffusion |
   BinomialTree< T > | Binomial tree base class |
    EqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
    EqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
   ExtendedBinomialTree< T > | Binomial tree base class |
    ExtendedEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
    ExtendedEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
 CuriouslyRecurringTemplate< Tian > | |
  Tree< Tian > | |
   BinomialTree< Tian > | |
    Tian | Tian tree: third moment matching, multiplicative approach |
 CuriouslyRecurringTemplate< Trigeorgis > | |
  Tree< Trigeorgis > | |
   BinomialTree< Trigeorgis > | |
    EqualJumpsBinomialTree< Trigeorgis > | |
     Trigeorgis | Trigeorgis (additive equal jumps) binomial tree |
 CuriouslyRecurringTemplate< TrinomialTree > | |
  Tree< TrinomialTree > | |
   TrinomialTree | Recombining trinomial tree class |
 CuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree > | |
  TreeLattice< TwoFactorModel::ShortRateTree > | |
   TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
    TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
 EarlyExercisePathPricer< MultiPath > | |
 EarlyExercisePathPricer< Path > | |
 ForwardOptionArguments< VanillaOption::arguments > | |
 Handle< AffineModel > | |
 Handle< BatesModel > | |
 Handle< copulaT > | |
  RelinkableHandle< copulaT > | |
 Handle< FdmQuantoHelper > | |
 Handle< G2 > | |
 Handle< GJRGARCHModel > | |
 Handle< HestonModel > | |
 Handle< HullWhite > | |
 Handle< LiborForwardModel > | |
 Handle< MarkovFunctional > | |
 Handle< ModelType > | |
 Handle< OneFactorAffineModel > | |
 Handle< OneFactorGaussianCopula > | |
  RelinkableHandle< OneFactorGaussianCopula > | |
 Handle< OneFactorStudentCopula > | |
  RelinkableHandle< OneFactorStudentCopula > | |
 Handle< PiecewiseTimeDependentHestonModel > | |
 Handle< QuantLib::AbcdAtmVolCurve > | |
 Handle< QuantLib::BatesProcess > | |
 Handle< QuantLib::BlackAtmVolCurve > | |
 Handle< QuantLib::BlackVarianceCurve > | |
 Handle< QuantLib::BlackVolTermStructure > | |
 Handle< QuantLib::CallableBondVolatilityStructure > | |
 Handle< QuantLib::CapFloorTermVolCurve > | |
 Handle< QuantLib::CPICapFloorTermPriceSurface > | |
 Handle< QuantLib::CPIVolatilitySurface > | |
 Handle< QuantLib::DefaultProbabilityTermStructure > | |
  RelinkableHandle< QuantLib::DefaultProbabilityTermStructure > | |
 Handle< QuantLib::ExtendedOrnsteinUhlenbeckProcess > | |
 Handle< QuantLib::ExtOUWithJumpsProcess > | |
 Handle< QuantLib::G2 > | |
 Handle< QuantLib::GeneralizedBlackScholesProcess > | |
 Handle< QuantLib::HestonProcess > | |
 Handle< QuantLib::HullWhite > | |
 Handle< QuantLib::HullWhiteProcess > | |
 Handle< QuantLib::InterestRateVolSurface > | |
 Handle< QuantLib::KlugeExtOUProcess > | |
 Handle< QuantLib::LocalVolTermStructure > | |
  RelinkableHandle< QuantLib::LocalVolTermStructure > | |
 Handle< QuantLib::OneFactorCopula > | |
 Handle< QuantLib::OptionletVolatilityStructure > | |
 Handle< QuantLib::Quote > | |
  RelinkableHandle< QuantLib::Quote > | |
 Handle< QuantLib::RecoveryRateQuote > | |
 Handle< QuantLib::SwaptionVolatilityStructure > | |
 Handle< QuantLib::YieldTermStructure > | |
  RelinkableHandle< QuantLib::YieldTermStructure > | |
 Handle< QuantLib::YoYInflationTermStructure > | |
 Handle< QuantLib::YoYOptionletVolatilitySurface > | |
 Handle< QuantLib::ZeroInflationIndex > | |
 Handle< QuantLib::ZeroInflationTermStructure > | |
 Handle< ShortRateModel > | |
 InverseCumulativeRsg< QuantLib::SobolRsg, QuantLib::InverseCumulativeNormal > | |
 McSimulation< MultiVariate, RNG, S > | |
  MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation |
  MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation |
  MCPathBasketEngine< RNG, S > | Pricing engine for path dependent basket options using |
 McSimulation< MultiVariate, RNG, Statistics > | |
 McSimulation< SingleVariate, RNG, S > | |
  MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation |
  MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation |
   MCDiscreteArithmeticAPEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average price Asian |
   MCDiscreteArithmeticASEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average-strike Asian |
   MCDiscreteGeometricAPEngine< RNG, S > | Monte Carlo pricing engine for discrete geometric average price Asian |
  MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors |
  MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation |
  MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation, |
 ObservableValue< Date > | |
 ObservableValue< TimeSeries< Real > > | |
 PathPricer< MultiPath > | |
  LongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options |
 PathPricer< Path > | |
 PathPricer< PathType > | |
  LongstaffSchwartzPathPricer< PathType > | Longstaff-Schwarz path pricer for early exercise options |
 AbcdFunction | Abcd functional form for instantaneous volatility |
 AccountingEngine | Engine collecting cash flows along a market-model simulation |
 AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
 AliMikhailHaqCopula | Ali-Mikhail-Haq copula |
 AmericanCondition | American exercise condition |
 AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
 AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
 AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
 AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
 Array | 1-D array used in linear algebra |
 AssetSwap::arguments | Arguments for asset swap calculation |
 AssetSwap::results | Results from simple swap calculation |
 AtomicDefault | Atomic (single contractual event) default events |
 Average | Placeholder for enumerated averaging types |
 AverageBMALeg | Helper class building a sequence of average BMA coupons |
 BackwardFlat | Backward-flat interpolation factory and traits |
 BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
 Barrier | Placeholder for enumerated barrier types |
 BarrierOption::arguments | Arguments for barrier option calculation |
  DividendBarrierOption::arguments | Arguments for dividend barrier option calculation |
 BernsteinPolynomial | Class of Bernstein polynomials |
 BFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm |
 Bicubic | Bicubic-spline-interpolation factory |
 Bilinear | Bilinear-interpolation factory |
 BinomialConvertibleEngine< T > | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
 BinomialDistribution | Binomial probability distribution function |
 BinomialProbabilityOfAtLeastNEvents | Probability of at least N events |
 BinomialVanillaEngine< T > | Pricing engine for vanilla options using binomial trees |
 BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
 BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
 BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
 BlackCalculator | Black 1976 calculator class |
  BlackScholesCalculator | Black-Scholes 1973 calculator class |
 BlackDeltaCalculator | Black delta calculator class |
 BondFunctions | Bond adapters of CashFlows functions |
 BootstrapError< Curve > | Bootstrap error |
 BoundaryCondition< Operator > | Abstract boundary condition class for finite difference problems |
 BoxMullerGaussianRng< RNG > | Gaussian random number generator |
 BrownianBridge | Builds Wiener process paths using Gaussian variates |
 BSpline | B-spline basis functions |
 Calendar | calendar class |
  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 |
 Calendar::Impl | Abstract base class for calendar implementations |
  Calendar::OrthodoxImpl | Partial calendar implementation |
  Calendar::WesternImpl | Partial calendar implementation |
 Callability::Price | Amount to be paid upon callability |
 CallableBond::results | Results for a callable bond calculation |
 CapFloor::arguments | Arguments for cap/floor calculation |
 CapPseudoDerivative | |
 CashFlows | cashflow-analysis functions |
 CdsOption::results | Results from CDS-option calculation |
 ClaytonCopula | Clayton copula |
 ClaytonCopulaRng< RNG > | Clayton copula random-number generator |
 CLGaussianRng< RNG > | Gaussian random number generator |
 Clone< T > | Cloning proxy to an underlying object |
 CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
 CMSMMDriftCalculator | Drift computation for CMS market models |
 CommodityPricingHelper | Commodity index helper |
 CommodityType | Commodity type |
 Composite< T > | Composite pattern |
 ConjugateGradient | Multi-dimensional Conjugate Gradient class |
 ConstantEstimator | Constant-estimator volatility model |
 Constraint | Base constraint class |
  BoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
  CompositeConstraint | Constraint enforcing both given sub-constraints |
  NoConstraint | No constraint |
  NonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i |
  PositiveConstraint | Constraint imposing positivity to all arguments |
 Constraint::Impl | Base class for constraint implementations |
 ContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option |
 ContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation |
 ContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation |
 ConvergenceStatistics< T, U > | Statistics class with convergence table |
 ConvexMonotone | Convex-monotone interpolation factory and traits |
 CostFunction | Cost function abstract class for optimization problem |
  LeastSquareFunction | Cost function for least-square problems |
  ProjectedCostFunction | Parameterized cost function |
 CovarianceDecomposition | Covariance decomposition into correlation and variances |
 CPILeg | Helper class building a sequence of capped/floored CPI coupons |
 CPISwap::arguments | Arguments for swap calculation |
 CPISwap::results | Results from swap calculation |
 Cubic | Cubic interpolation factory and traits |
 CumulativeBinomialDistribution | Cumulative binomial distribution function |
 CumulativeNormalDistribution | Cumulative normal distribution function |
 CumulativePoissonDistribution | Cumulative Poisson distribution function |
 CumulativeStudentDistribution | Cumulative Student t-distribution |
 CuriouslyRecurringTemplate< Impl > | Support for the curiously recurring template pattern |
  Solver1D< Impl > | Base class for 1-D solvers |
  TreeLattice< Impl > | Tree-based lattice-method base class |
   TreeLattice1D< Impl > | One-dimensional tree-based lattice |
   TreeLattice2D< Impl, T > | Two-dimensional tree-based lattice |
 Currency | Currency specification |
  ARSCurrency | Argentinian peso |
  ATSCurrency | Austrian shilling |
  AUDCurrency | Australian dollar |
  BDTCurrency | Bangladesh taka |
  BEFCurrency | Belgian franc |
  BGLCurrency | Bulgarian lev |
  BRLCurrency | Brazilian real |
  BYRCurrency | Belarussian ruble |
  CADCurrency | Canadian dollar |
  CHFCurrency | Swiss franc |
  CLPCurrency | Chilean peso |
  CNYCurrency | Chinese yuan |
  COPCurrency | Colombian peso |
  CYPCurrency | Cyprus pound |
  CZKCurrency | Czech koruna |
  DEMCurrency | Deutsche mark |
  DKKCurrency | Danish krone |
  EEKCurrency | Estonian kroon |
  ESPCurrency | Spanish peseta |
  EURCurrency | European Euro |
  FIMCurrency | Finnish markka |
  FRFCurrency | French franc |
  GBPCurrency | British pound sterling |
  GRDCurrency | Greek drachma |
  HKDCurrency | Honk Kong dollar |
  HUFCurrency | Hungarian forint |
  IEPCurrency | Irish punt |
  ILSCurrency | Israeli shekel |
  INRCurrency | Indian rupee |
  IQDCurrency | Iraqi dinar |
  IRRCurrency | Iranian rial |
  ISKCurrency | Icelandic krona |
  ITLCurrency | Italian lira |
  JPYCurrency | Japanese yen |
  KRWCurrency | South-Korean won |
  KWDCurrency | Kuwaiti dinar |
  LTLCurrency | Lithuanian litas |
  LUFCurrency | Luxembourg franc |
  LVLCurrency | Latvian lat |
  MTLCurrency | Maltese lira |
  MXNCurrency | Mexican peso |
  NLGCurrency | Dutch guilder |
  NOKCurrency | Norwegian krone |
  NPRCurrency | Nepal rupee |
  NZDCurrency | New Zealand dollar |
  PEHCurrency | Peruvian sol |
  PEICurrency | Peruvian inti |
  PENCurrency | Peruvian nuevo sol |
  PKRCurrency | Pakistani rupee |
  PLNCurrency | Polish zloty |
  PTECurrency | Portuguese escudo |
  ROLCurrency | Romanian leu |
  RONCurrency | Romanian new leu |
  SARCurrency | Saudi riyal |
  SEKCurrency | Swedish krona |
  SGDCurrency | Singapore dollar |
  SITCurrency | Slovenian tolar |
  SKKCurrency | Slovak koruna |
  THBCurrency | Thai baht |
  TRLCurrency | Turkish lira |
  TRYCurrency | New Turkish lira |
  TTDCurrency | Trinidad & Tobago dollar |
  TWDCurrency | Taiwan dollar |
  USDCurrency | U.S. dollar |
  VEBCurrency | Venezuelan bolivar |
  ZARCurrency | South-African rand |
 Curve | Abstract curve class |
 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 |
 Date | Concrete date class |
 DateGeneration | Date-generation rule |
 DateInterval | Date interval described by a number of a given time unit |
  PricingPeriod | Time pricingperiod described by a number of a given time unit |
 DayCounter | Day counter class |
  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 |
 DayCounter::Impl | Abstract base class for day counter implementations |
 DefaultDensity | Default-density-curve traits |
 DefaultProbKey | |
  NorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt |
 DefaultType | Atomic credit-event type |
  FailureToPay | Failure to Pay atomic event type |
 ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
 DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
 DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
 Discount | Discount-curve traits |
 DiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option |
 DiscretizedAsset | Discretized asset class used by numerical methods |
  DiscretizedDiscountBond | Useful discretized discount bond asset |
  DiscretizedOption | Discretized option on a given asset |
 Disposable< T > | Generic disposable object with move semantics |
 DividendVanillaOption::arguments | Arguments for dividend vanilla option calculation |
 Domain | domain abstract lcass |
 Duration | duration type |
 earlier_than< T > | Compare two objects by date |
 EarlyExercisePathPricer< PathType, TimeType, ValueType > | Base class for early exercise path pricers |
 ECB | European Central Bank reserve maintenance dates |
 EndCriteria | Criteria to end optimization process: |
 EnergyBasisSwap | Energy basis swap |
 EnergyVanillaSwap | Vanilla energy swap |
 Eonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB |
 ErrorFunction | Error function |
 EvolutionDescription | Market-model evolution description |
 ExchangeRate | Exchange rate between two currencies |
 Exercise | Base exercise class |
  EarlyExercise | Early-exercise base class |
   AmericanExercise | American exercise |
   BermudanExercise | Bermudan exercise |
    SwingExercise | Swing exercise |
  EuropeanExercise | European exercise |
 ExponentialJump1dMesher | |
 Extrapolator | Base class for classes possibly allowing extrapolation |
  Interpolation | Base class for 1-D interpolations |
   BackwardFlatInterpolation | Backward-flat interpolation between discrete points |
   ConvexMonotoneInterpolation< I1, I2 > | Convex monotone yield-curve interpolation method |
   CubicInterpolation | Cubic interpolation between discrete points |
   ForwardFlatInterpolation | Forward-flat interpolation between discrete points |
   KernelInterpolation | Kernel interpolation between discrete points |
   LinearInterpolation | Linear interpolation between discrete points |
   LogCubicInterpolation | log-cubic interpolation between discrete points |
   LogLinearInterpolation | log-linear interpolation between discrete points |
   MixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points |
   SABRInterpolation | SABR smile interpolation between discrete volatility points |
  Interpolation2D | Base class for 2-D interpolations |
   BicubicSpline | Bicubic-spline interpolation between discrete points |
   BilinearInterpolation | bilinear interpolation between discrete points |
   KernelInterpolation2D | |
   Polynomial2DSpline | Polynomial2D-spline interpolation between discrete points |
  TermStructure | Basic term-structure functionality |
   CallableBondVolatilityStructure | Callable-bond volatility structure |
    CallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence |
   CommodityCurve | Commodity term structure |
   DefaultProbabilityTermStructure | Default probability term structure |
    DefaultDensityStructure | Default-density term structure |
     InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities |
    HazardRateStructure | Hazard-rate term structure |
     FactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates |
     FlatHazardRate | Flat hazard-rate curve |
     InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates |
     SpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates |
    SurvivalProbabilityStructure | Hazard-rate term structure |
     InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
   InflationTermStructure | Interface for inflation term structures |
    CPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity) |
    YoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure |
    YoYInflationTermStructure | Base class for year-on-year inflation term structures |
     InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates |
      PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure |
    ZeroInflationTermStructure | Interface for zero inflation term structures |
     InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates |
      PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure |
   VolatilityTermStructure | Volatility term structure |
    BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
     AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
     BlackVolSurface | Black volatility (smile) surface |
      EquityFXVolSurface | Equity/FX volatility (smile) surface |
      InterestRateVolSurface | Interest rate volatility (smile) surface |
       SabrVolSurface | SABR volatility (smile) surface |
    BlackVolTermStructure | Black-volatility term structure |
     BlackVarianceTermStructure | Black variance term structure |
      BlackVarianceCurve | Black volatility curve modelled as variance curve |
      BlackVarianceSurface | Black volatility surface modelled as variance surface |
      ExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve |
      ExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface |
      ImpliedVolTermStructure | Implied vol term structure at a given date in the future |
     BlackVolatilityTermStructure | Black-volatility term structure |
      BlackConstantVol | Constant Black volatility, no time-strike dependence |
    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 |
    CPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
     ConstantCPIVolatility | Constant surface, no K or T dependence |
    LocalVolTermStructure | |
     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 |
    OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
     CapletVarianceCurve | |
     ConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence |
     StrippedOptionletAdapter | |
    SwaptionVolatilityStructure | Swaption-volatility structure |
     ConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence |
    YoYOptionletVolatilitySurface | |
     InterpolatedYoYOptionletVolatilityCurve< Interpolator > | |
      PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure |
     ConstantYoYOptionletVolatility | Constant surface, no K or T dependence |
     InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface |
     KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > | K-interpolated YoY optionlet volatility |
   YieldTermStructure | Interest-rate term structure |
    FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
    FlatForward | Flat interest-rate curve |
    ForwardRateStructure | Forward-rate term structure |
     ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
     InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates |
    ImpliedTermStructure | Implied term structure at a given date in the future |
    InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors |
    ZeroYieldStructure | Zero-yield term structure |
     DriftTermStructure | Drift term structure |
     InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates |
     PiecewiseZeroSpreadedTermStructure | Term structure with an added vector of spreads on the zero-yield rate |
     QuantoTermStructure | Quanto term structure |
     ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
 Factorial | Factorial numbers calculator |
 FarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula |
 FarlieGumbelMorgensternCopulaRng< RNG > | Farlie-Gumbel-Morgenstern copula random-number generator |
 FastFourierTransform | FFT implementation |
 FaureRsg | Faure low-discrepancy sequence generator |
 FDAmericanEngine< Scheme > | Finite-differences pricing engine for American one asset options |
 FDBermudanEngine< Scheme > | Finite-differences Bermudan engine |
 FDDividendAmericanEngine< Scheme > | Finite-differences pricing engine for dividend American options |
 FDDividendEngineBase< Scheme > | Abstract base class for dividend engines |
  FDDividendEngineMerton73< Scheme > | Finite-differences pricing engine for dividend options using escowed dividends model |
  FDDividendEngineShiftScale< Scheme > | Finite-differences engine for dividend options using shifted dividends |
 FDDividendEuropeanEngine< Scheme > | Finite-differences pricing engine for dividend European options |
 FDDividendShoutEngine< Scheme > | Finite-differences shout engine with dividends |
 FdmExtOUJumpOp | |
 FdmKlugeExtOUOp | |
 FDShoutEngine< Scheme > | Finite-differences pricing engine for shout vanilla options |
 FDVanillaEngine | Finite-differences pricing engine for BSM one asset options |
  FDEuropeanEngine< Scheme > | Pricing engine for European options using finite-differences |
  FDStepConditionEngine< Scheme > | Finite-differences pricing engine for American-style vanilla options |
 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 |
 FiniteDifferenceModel< Evolver > | Generic finite difference model |
 FittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve |
  CubicBSplinesFitting | CubicSpline B-splines fitting method |
  ExponentialSplinesFitting | Exponential-splines fitting method |
  NelsonSiegelFitting | Nelson-Siegel fitting method |
  SimplePolynomialFitting | Simple polynomial fitting method |
  SvenssonFitting | Svensson Fitting method |
 FixedRateLeg | Helper class building a sequence of fixed rate coupons |
 ForwardFlat | Forward-flat interpolation factory and traits |
 ForwardOptionArguments< ArgumentsType > | Arguments for forward (strike-resetting) option calculation |
 ForwardRate | Forward-curve traits |
 FrankCopula | Frank copula |
 FrankCopulaRng< RNG > | Frank copula random-number generator |
 GalambosCopula | Galambos copula |
 GammaFunction | Gamma function class |
 Garch11 | GARCH volatility model |
 GarmanKlassAbstract | Garman-Klass volatility model |
 GaussianCopula | Gaussian copula |
 GaussianLHPCDOEngine< CDOEngine > | |
 GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
  GaussHermitePolynomial | Gauss-Hermite polynomial |
  GaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
  GaussJacobiPolynomial | Gauss-Jacobi polynomial |
   GaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind) |
   GaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
   GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
   GaussLegendrePolynomial | Gauss-Legendre polynomial |
  GaussLaguerrePolynomial | Gauss-Laguerre polynomial |
 GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
  GaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind) |
  GaussChebyshevIntegration | Gauss-Chebyshev integration |
  GaussGegenbauerIntegration | Gauss-Gegenbauer integration |
  GaussHermiteIntegration | Generalized Gauss-Hermite integration |
  GaussHyperbolicIntegration | Gauss-Hyperbolic integration |
  GaussJacobiIntegration | Gauss-Jacobi integration |
  GaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
  GaussLegendreIntegration | Gauss-Legendre integration |
 GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
 GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
 GaussLobattoIntegral | Integral of a one-dimensional function |
 GeneralizedHullWhite::Dynamics | Short-rate dynamics in the generalized Hull-White model |
 GeneralLinearLeastSquares | General linear least squares regression |
 GeneralStatistics | Statistics tool |
 GenericGaussianStatistics< Stat > | Statistics tool for gaussian-assumption risk measures |
 GenericRiskStatistics< S > | Empirical-distribution risk measures |
 GenericSequenceStatistics< StatisticsType > | Statistics analysis of N-dimensional (sequence) data |
  DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
 Greeks | Additional option results |
  MultiAssetOption::results | Results from multi-asset option calculation |
   MargrabeOption::results | Extra results for Margrabe option |
  OneAssetOption::results | Results from single-asset option calculation |
 GumbelCopula | Gumbel copula |
 HaltonRsg | Halton low-discrepancy sequence generator |
 Handle< T > | Shared handle to an observable |
  RelinkableHandle< T > | Relinkable handle to an observable |
 HazardRate | Hazard-rate-curve traits |
 Histogram | Histogram class |
 HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > | Historical correlation class |
 HistoricalRatesAnalysis | Historical rate analysis class |
 HomogeneousPoolCDOEngine< CDOEngine > | CDO engine, loss distribution convolution for finite homogeneous pool |
 HuslerReissCopula | Husler-Reiss copula |
 IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
 IMM | Main cycle of the International Money Market (a.k.a. IMM) months |
 IncrementalStatistics | Statistics tool based on incremental accumulation |
 IndependentCopula | Independent copula |
 InhomogeneousPoolCDOEngine< CDOEngine > | CDO engine, loss disctribution bucketing for finite inhomogeneous pool |
 IntegralEngine | Pricing engine for European vanilla options using integral approach |
 InterestRate | Concrete interest rate class |
 InterpolatedCurve< Interpolator > | Helper class to build interpolated term structures |
  InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities |
  InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors |
  InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates |
  InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates |
  InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
  InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates |
  InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates |
  InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates |
 InterpolatingCPICapFloorEngine | |
 Interpolation2D::Impl | Abstract base class for 2-D interpolation implementations |
  Interpolation2D::templateImpl< I1, I2, M > | Basic template implementation |
 Interpolation::Impl | Abstract base class for interpolation implementations |
  Interpolation::templateImpl< I1, I2 > | Basic template implementation |
 IntervalPrice | Interval price |
 InverseCumulativeNormal | Inverse cumulative normal distribution function |
 InverseCumulativePoisson | Inverse cumulative Poisson distribution function |
 InverseCumulativeRng< RNG, IC > | Inverse cumulative random number generator |
 InverseCumulativeRsg< USG, IC > | Inverse cumulative random sequence generator |
 InverseCumulativeStudent | Inverse cumulative Student t-distribution |
 IterativeBootstrap< Curve > | Universal piecewise-term-structure boostrapper |
 JumpDiffusionEngine | Jump-diffusion engine for vanilla options |
 JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
 KernelFunction | |
  GaussianKernel | Gaussian kernel function |
 KnuthUniformRng | Uniform random number generator |
 Lattice | Lattice (tree, finite-differences) base class |
  TreeLattice< Impl > | Tree-based lattice-method base class |
  TreeLattice< BlackScholesLattice< T > > | |
  TreeLattice< OneFactorModel::ShortRateTree > | |
  TreeLattice< TwoFactorModel::ShortRateTree > | |
 LeastSquareProblem | Base class for least square problem |
 LecuyerUniformRng | Uniform random number generator |
 LexicographicalView< RandomAccessIterator > | Lexicographical 2-D view of a contiguous set of data |
 LfmCovarianceParameterization | Libor market model parameterization |
  LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
  LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
 Linear | Linear-interpolation factory and traits |
 LineSearch | Base class for line search |
  ArmijoLineSearch | Armijo line search |
 LmCorrelationModel | libor forward correlation model |
  LmExponentialCorrelationModel | Exponential correlation model |
  LmLinearExponentialCorrelationModel | linear exponential correlation model |
 LMMDriftCalculator | Drift computation for log-normal Libor market models |
 LMMNormalDriftCalculator | Drift computation for normal Libor market models |
 LmVolatilityModel | Caplet volatility model |
  LmConstWrapperVolatilityModel | Caplet const volatility model |
  LmLinearExponentialVolatilityModel | linear exponential volatility model |
   LmExtLinearExponentialVolModel | Extended linear exponential volatility model |
 LocalBootstrap< Curve > | Localised-term-structure bootstrapper for most curve types |
 LogCubic | Log-cubic interpolation factory and traits |
 LogLinear | Log-linear interpolation factory and traits |
 LossDist | Probability formulas and algorithms |
  LossDistBinomial | Binomial loss distribution |
  LossDistBucketing | Loss distribution with Hull-White bucketing |
  LossDistHomogeneous | Loss Distribution for Homogeneous Pool |
  LossDistMonteCarlo | Loss distribution with Monte Carlo simulation |
 MakeCapFloor | Helper class |
 MakeCms | Helper class for instantiating CMS |
 MakeMCAmericanBasketEngine< RNG > | Monte Carlo American basket-option engine factory |
 MakeMCAmericanEngine< RNG, S > | Monte Carlo American engine factory |
 MakeMCAmericanPathEngine< RNG > | Monte Carlo American basket-option engine factory |
 MakeMCBarrierEngine< RNG, S > | Monte Carlo barrier-option engine factory |
 MakeMCDigitalEngine< RNG, S > | Monte Carlo digital engine factory |
 MakeMCEuropeanBasketEngine< RNG, S > | Monte Carlo basket-option engine factory |
 MakeMCEuropeanEngine< RNG, S > | Monte Carlo European engine factory |
 MakeMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH European engine factory |
 MakeMCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston European engine factory |
 MakeMCEverestEngine< RNG, S > | Monte Carlo Everest-option engine factory |
 MakeMCHestonHullWhiteEngine< RNG, S > | Monte Carlo Heston/Hull-White engine factory |
 MakeMCHimalayaEngine< RNG, S > | Monte Carlo Himalaya-option engine factory |
 MakeMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White cap-floor engine factory |
 MakeMCPagodaEngine< RNG, S > | Monte Carlo pagoda-option engine factory |
 MakeMCPathBasketEngine< RNG, S > | Monte Carlo Path Basket engine factory |
 MakeMCPerformanceEngine< RNG, S > | Monte Carlo performance-option engine factory |
 MakeMCVarianceSwapEngine< RNG, S > | Monte Carlo variance-swap engine factory |
 MakeOIS | Helper class |
 MakeSchedule | Helper class |
 MakeSwaption | Helper class |
 MakeVanillaSwap | Helper class |
 MakeYoYInflationCapFloor | Helper class |
 MarketModel | Base class for market models |
  AbcdVol | Abcd-interpolated volatility structure |
 MarketModelEvolver | Market-model evolver |
  ConstrainedEvolver | Constrained market-model evolver |
   LogNormalFwdRateEulerConstrained | Euler stepping |
  LogNormalCmSwapRatePc | Predictor-Corrector |
  LogNormalCotSwapRatePc | Predictor-Corrector |
  LogNormalFwdRateBalland | Iterative Predictor-Corrector |
  LogNormalFwdRateEuler | Euler |
  LogNormalFwdRateiBalland | Iterative Predictor-Corrector |
  LogNormalFwdRateIpc | Iterative Predictor-Corrector |
  LogNormalFwdRatePc | Predictor-Corrector |
  NormalFwdRatePc | Predictor-Corrector |
  SVDDFwdRatePc | |
 MarketModelMultiProduct | Market-model product |
  MarketModelCashRebate | |
  MarketModelComposite | Composition of two or more market-model products |
   MultiProductComposite | Composition of one or more market-model products |
   SingleProductComposite | Composition of one or more market-model products |
  MultiProductMultiStep | Multiple-step market-model product |
   MultiStepSwaption | |
  MultiProductOneStep | Single-step market-model product |
  MultiProductPathwiseWrapper | |
 MarketModelPathwiseDiscounter | |
 MarketModelPathwiseMultiProduct | Market-model pathwise product |
  MarketModelPathwiseCashRebate | |
  MarketModelPathwiseCoterminalSwaptionsDeflated | |
  MarketModelPathwiseCoterminalSwaptionsNumericalDeflated | |
  MarketModelPathwiseInverseFloater | |
  MarketModelPathwiseMultiCaplet | Market-model pathwise caplet |
  MarketModelPathwiseMultiDeflatedCap | |
  MarketModelPathwiseSwap | |
 MarketModelVolProcess | |
  SquareRootAndersen | |
 MarshallOlkinCopula | Marshall-Olkin copula |
 Matrix | Matrix used in linear algebra |
  Disposable< QuantLib::Matrix > | |
 MaxCopula | Max copula |
 McSimulation< MC, RNG, S > | Base class for Monte Carlo engines |
  MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > | |
   MCAmericanBasketEngine< RNG > | Least-square Monte Carlo engine |
  MCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S > | |
   MCAmericanEngine< RNG, S > | American Monte Carlo engine |
  MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG > | |
   MCAmericanPathEngine< RNG > | Least-square Monte Carlo engine |
  MCVanillaEngine< MultiVariate, RNG, S > | |
   MCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH-model engine for European options |
   MCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston-model engine for European options |
  MCVanillaEngine< SingleVariate, RNG, S > | |
   MCDigitalEngine< RNG, S > | Pricing engine for digital options using Monte Carlo simulation |
   MCEuropeanEngine< RNG, S > | European option pricing engine using Monte Carlo simulation |
  MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
  MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
  MCVanillaEngine< MC, RNG, S, Inst > | Pricing engine for vanilla options using Monte Carlo simulation |
 MersenneTwisterUniformRng | Uniform random number generator |
 MinCopula | Min copula |
 MixedLinearCubic | Mixed linear/cubic interpolation factory and traits |
 MixedScheme< Operator > | Mixed (explicit/implicit) scheme for finite difference methods |
  CrankNicolson< Operator > | Crank-Nicolson scheme for finite difference methods |
  ExplicitEuler< Operator > | Forward Euler scheme for finite difference methods |
  ImplicitEuler< Operator > | Backward Euler scheme for finite difference methods |
 ModifiedCraigSneydScheme | Modified Craig-Sneyd scheme |
 Money | Amount of cash |
 MonteCarloModel< MC, RNG, S > | General-purpose Monte Carlo model for path samples |
 MoreGreeks | More additional option results |
  OneAssetOption::results | Results from single-asset option calculation |
 MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
 MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
 MultiCubicSpline< i > | N-dimensional cubic spline interpolation between discrete points |
 MultiPath | Correlated multiple asset paths |
 MultiPathGenerator< GSG > | Generates a multipath from a random number generator |
 MultiVariate< RNG > | Default Monte Carlo traits for multi-variate models |
 NonLinearLeastSquare | Non-linear least-square method |
 NormalDistribution | Normal distribution function |
 Null< Type > | Template class providing a null value for a given type |
 Null< Array > | Specialization of null template for this class |
 Null< Date > | Specialization of Null template for the Date class |
 Observable | Object that notifies its changes to a set of observers |
  BootstrapHelper< YoYInflationTermStructure > | |
   YearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper |
  BootstrapHelper< YoYOptionletVolatilitySurface > | |
   YoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper |
  BootstrapHelper< ZeroInflationTermStructure > | |
   ZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper |
  AffineModel | Affine model class |
   G2 | Two-additive-factor gaussian model class |
   LiborForwardModel | Libor forward model |
   OneFactorAffineModel | Single-factor affine base class |
    CoxIngersollRoss | Cox-Ingersoll-Ross model class |
     ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
    Vasicek | Vasicek model class |
     HullWhite | Single-factor Hull-White (extended Vasicek) model class |
  BootstrapHelper< TS > | Base helper class for bootstrapping |
   BondHelper | Fixed-coupon bond helper |
   DatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
   FuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices |
   RelativeDateBootstrapHelper< TS > | Bootstrap helper with date schedule relative to global evaluation date |
    BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
    CdsHelper | |
     SpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper |
     UpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper |
    DepositRateHelper | Rate helper for bootstrapping over deposit rates |
    FraRateHelper | Rate helper for bootstrapping over FRA rates |
    OISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
    SwapRateHelper | Rate helper for bootstrapping over swap rates |
  CalibratedModel | Calibrated model class |
   GJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset |
   HestonModel | Heston model for the stochastic volatility of an asset |
    BatesModel | Bates stochastic-volatility model |
   LiborForwardModel | Libor forward model |
   MarkovFunctional | |
   PiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model |
   ShortRateModel | Abstract short-rate model class |
    OneFactorModel | Single-factor short-rate model abstract class |
     BlackKarasinski | Standard Black-Karasinski model class |
     GeneralizedHullWhite | Generalized Hull-White model class |
     OneFactorAffineModel | Single-factor affine base class |
    TwoFactorModel | Abstract base-class for two-factor models |
     G2 | Two-additive-factor gaussian model class |
   VarianceGammaModel | Variance Gamma model |
  Claim | Claim associated to a default event |
   FaceValueAccrualClaim | Claim on the notional of a reference security, including accrual |
   FaceValueClaim | Claim on a notional |
  CommodityIndex | Base class for commodity indexes |
  Event | Base class for event |
   Callability | instrument callability |
    SoftCallability | callability leaving to the holder the possibility to convert |
   CashFlow | Base class for cash flows |
    Coupon | coupon accruing over a fixed period |
     FixedRateCoupon | Coupon paying a fixed interest rate |
     FloatingRateCoupon | Base floating-rate coupon class |
      AverageBMACoupon | Average BMA coupon |
      CappedFlooredCoupon | Capped and/or floored floating-rate coupon |
      CmsCoupon | CMS coupon class |
      DigitalCoupon | Digital-payoff coupon |
       DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
       DigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
      IborCoupon | Coupon paying a Libor-type index |
      OvernightIndexedCoupon | Overnight coupon |
     InflationCoupon | Base inflation-coupon class |
      CPICoupon | Coupon paying the performance of a CPI (zero inflation) index |
      YoYInflationCoupon | Coupon paying a YoY-inflation type index |
       CappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
    Dividend | Predetermined cash flow |
     FixedDividend | Predetermined cash flow |
     FractionalDividend | Predetermined cash flow |
    IndexedCashFlow | Cash flow dependent on an index ratio |
     CPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index |
    SimpleCashFlow | Predetermined cash flow |
     AmortizingPayment | Amortizing payment |
     Redemption | Bond redemption |
   DefaultEvent | Credit event on a bond of a certain seniority(ies)/currency |
  FloatingRateCouponPricer | Generic pricer for floating-rate coupons |
   CmsCouponPricer | Base pricer for vanilla CMS coupons |
    HaganPricer | CMS-coupon pricer |
     AnalyticHaganPricer | CMS-coupon pricer |
     NumericHaganPricer | CMS-coupon pricer |
   IborCouponPricer | Base pricer for capped/floored Ibor coupons |
    BlackIborCouponPricer | Black-formula pricer for capped/floored Ibor coupons |
  Index | Purely virtual base class for indexes |
   InflationIndex | Base class for inflation-rate indexes, |
    YoYInflationIndex | Base class for year-on-year inflation indices |
     YYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio) |
     YYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio) |
     YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) |
     YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP) |
     YYEUHICPXT | Genuine year-on-year EU HICPXT |
     YYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio) |
     YYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio) |
     YYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio) |
     YYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio) |
     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) |
     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) |
    ZeroInflationIndex | Base class for zero inflation indices |
     AUCPI | AU CPI index (either quarterly or annual) |
     EUHICP | EU HICP index |
     EUHICPXT | EU HICPXT index |
     FRHICP | FR HICP index |
     GenericCPI | Generic CPI index |
     UKRPI | UK Retail Price Inflation Index |
     USCPI | US CPI index |
   InterestRateIndex | Base class for interest rate indexes |
    BMAIndex | Bond Market Association index |
    IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
     Cdor | CDOR rate |
     DailyTenorEURLibor | Base class for the one day deposit BBA EUR LIBOR indexes |
      EURLiborON | Overnight EUR Libor index |
     DailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones |
      CADLiborON | Overnight CAD Libor index |
      DailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes |
      DailyTenorGBPLibor | Base class for the one day deposit BBA GBP LIBOR indexes |
       GBPLiborON | Overnight GBP Libor index |
      DailyTenorJPYLibor | Base class for the one day deposit BBA JPY LIBOR indexes |
      DailyTenorUSDLibor | Base class for the one day deposit BBA USD LIBOR indexes |
       USDLiborON | Overnight USD Libor index |
     Euribor | Euribor index |
      Euribor10M | 10-months Euribor index |
      Euribor11M | 11-months Euribor index |
      Euribor1M | 1-month Euribor index |
      Euribor1Y | 1-year Euribor index |
      Euribor2M | 2-months Euribor index |
      Euribor2W | 2-weeks Euribor index |
      Euribor3M | 3-months Euribor index |
      Euribor3W | 3-weeks 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 |
      EuriborSW | 1-week Euribor index |
     Euribor365 | Actual/365 Euribor index |
      Euribor365_10M | 10-months Euribor365 index |
      Euribor365_11M | 11-months Euribor365 index |
      Euribor365_1M | 1-month Euribor365 index |
      Euribor365_1Y | 1-year Euribor365 index |
      Euribor365_2M | 2-months Euribor365 index |
      Euribor365_2W | 2-weeks Euribor365 index |
      Euribor365_3M | 3-months Euribor365 index |
      Euribor365_3W | 3-weeks 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_SW | 1-week Euribor365 index |
     EURLibor | Base class for all BBA EUR LIBOR indexes but the O/N |
      EURLibor10M | 10-months EUR Libor index |
      EURLibor11M | 11-months EUR Libor index |
      EURLibor1M | 1-month EUR Libor index |
      EURLibor1Y | 1-year EUR Libor index |
      EURLibor2M | 2-months EUR Libor index |
      EURLibor2W | 2-weeks 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 |
      EURLiborSW | 1-week EUR Libor index |
     Jibar | JIBAR rate |
     Libor | Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones |
      AUDLibor | AUD LIBOR rate |
      CADLibor | CAD LIBOR rate |
      CHFLibor | CHF LIBOR rate |
      DKKLibor | DKK LIBOR rate |
      GBPLibor | GBP LIBOR rate |
      JPYLibor | JPY LIBOR rate |
      NZDLibor | NZD LIBOR rate |
      SEKLibor | SEK LIBOR rate |
      USDLibor | USD LIBOR rate |
     ProxyIbor | IborIndex calculated as proxy of some other IborIndex |
     Tibor | JPY TIBOR index |
     TRLibor | TRY LIBOR rate |
     Zibor | CHF ZIBOR rate |
    SwapIndex | Base class for swap-rate indexes |
     ChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class |
     EuriborSwapIfrFix | EuriborSwapIfrFix index base class |
     EuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class |
     EuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class |
     EurLiborSwapIfrFix | EurLiborSwapIfrFix index base class |
     EurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class |
     EurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class |
     GbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class |
     JpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class |
     JpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class |
     OvernightIndexedSwapIndex | Base class for overnight indexed swap indexes |
     UsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class |
     UsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class |
  InflationCouponPricer | Base inflation-coupon pricer |
   CPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO |
   YoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
    BachelierYoYInflationCouponPricer | Bachelier-formula 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 |
  LazyObject | Framework for calculation on demand and result caching |
   AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
   Basket | |
   CalibrationHelper | Liquid market instrument used during calibration |
    CapHelper | Calibration helper for ATM cap |
    HestonModelHelper | Calibration helper for Heston model |
    SwaptionHelper | Calibration helper for ATM swaption |
   CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
   CapFloorTermVolSurface | Cap/floor smile volatility surface |
   CmsMarket | Set of CMS quotes |
   EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
   FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
   FlatForward | Flat interest-rate curve |
   ForwardSwapQuote | Quote for a forward starting swap |
   ImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
   Instrument | Abstract instrument class |
    Bond | Base bond class |
     AmortizingCmsRateBond | Amortizing CMS-rate bond |
     AmortizingFixedRateBond | Amortizing fixed-rate bond |
     AmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored) |
     CallableBond | Callable bond base class |
      CallableFixedRateBond | Callable/puttable fixed rate bond |
       CallableZeroCouponBond | Callable/puttable zero coupon bond |
     CmsRateBond | CMS-rate bond |
     ConvertibleBond | Base class for convertible bonds |
      ConvertibleFixedCouponBond | Convertible fixed-coupon bond |
      ConvertibleFloatingRateBond | Convertible floating-rate bond |
      ConvertibleZeroCouponBond | Convertible zero-coupon bond |
     CPIBond | |
     FixedRateBond | Fixed-rate bond |
      BTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond |
     FloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
      CCTEU | |
     ZeroCouponBond | Zero-coupon bond |
    CapFloor | Base class for cap-like instruments |
     Cap | Concrete cap class |
     Collar | Concrete collar class |
     Floor | Concrete floor class |
    CDO | Collateralized debt obligation |
    Commodity | Commodity base class |
     EnergyCommodity | Energy commodity class |
      EnergyFuture | Energy future |
    CompositeInstrument | Composite instrument |
    CPICapFloor | CPI cap or floor |
    CreditDefaultSwap | Credit default swap |
    Forward | Abstract base forward class |
     FixedRateBondForward | Forward contract on a fixed-rate bond |
    NthToDefault | N-th to default swap |
    Option | Base option class |
     CdsOption | CDS option |
     MultiAssetOption | Base class for options on multiple assets |
      BasketOption | Basket option on a number of assets |
      HimalayaOption | Himalaya option |
      MargrabeOption | Margrabe option on two assets |
      PagodaOption | Roofed Asian option on a number of assets |
      SpreadOption | Spread option on two assets |
     OneAssetOption | Base class for options on a single asset |
      BarrierOption | Barrier option on a single asset |
       DividendBarrierOption | Single-asset barrier option with discrete dividends |
       QuantoBarrierOption | Quanto version of a barrier option |
      CliquetOption | Cliquet (Ratchet) option |
      CompoundOption | Compound option on a single asset |
      ContinuousAveragingAsianOption | Continuous-averaging Asian option |
      ContinuousFixedLookbackOption | Continuous-fixed lookback option |
      ContinuousFloatingLookbackOption | Continuous-floating lookback option |
      DiscreteAveragingAsianOption | Discrete-averaging Asian option |
      DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
      ForwardVanillaOption | Forward version of a vanilla option |
       QuantoForwardVanillaOption | Quanto version of a forward vanilla option |
      QuantoVanillaOption | Quanto version of a vanilla option |
      SimpleChooserOption | Simple chooser option |
      VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
       EuropeanOption | European option on a single asset |
      VanillaStorageOption | Base option class |
      VanillaSwingOption | Base option class |
      WriterExtensibleOption | Writer-extensible option |
     Swaption | Swaption class |
     TwoAssetBarrierOption | Barrier option on two assets |
    PathMultiAssetOption | Base class for path-dependent options on multiple assets |
    RiskyAssetSwap | Risky asset-swap instrument |
    RiskyAssetSwapOption | Option on risky asset swap |
    RiskyBond | |
     RiskyFixedBond | |
     RiskyFloatingBond | |
    Stock | Simple stock class |
    Swap | Interest rate swap |
     AssetSwap | Bullet bond vs Libor swap |
     BMASwap | Swap paying Libor against BMA coupons |
     CPISwap | Zero-inflation-indexed swap, |
     OvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate |
     VanillaSwap | Plain-vanilla swap: fix vs floating leg |
     YearOnYearInflationSwap | Year-on-year inflation-indexed swap |
     ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
    SyntheticCDO | Synthetic Collateralized Debt Obligation |
    VarianceOption | Variance option |
    VarianceSwap | Variance swap |
    YoYInflationCapFloor | Base class for yoy inflation cap-like instruments |
     YoYInflationCap | Concrete YoY Inflation cap class |
     YoYInflationCollar | Concrete YoY Inflation collar class |
     YoYInflationFloor | Concrete YoY Inflation floor class |
   MarkovFunctional | |
   OneFactorCopula | Abstract base class for one-factor copula models |
    OneFactorGaussianCopula | One-factor Gaussian Copula |
    OneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula |
    OneFactorStudentCopula | One-factor Double Student t-Copula |
    OneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula |
   PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > | Piecewise default-probability term structure |
   PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > | Piecewise yield term structure |
   PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure |
   PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure |
   PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure |
   StrippedOptionletAdapter | |
   StrippedOptionletBase | |
    OptionletStripper | |
     OptionletStripper1 | |
     OptionletStripper2 | |
    StrippedOptionlet | |
  MarketModelFactory | Base class for market-model factories |
  PricingEngine | Interface for pricing engines |
   GenericEngine< Arguments, Results > | |
    GenericModelEngine< ShortRateModel, Arguments, Results > | |
     LatticeShortRateModelEngine< Arguments, Results > | Engine for a short-rate model specialized on a lattice |
   GenericEngine< BarrierOption::arguments, BarrierOption::results > | |
    BarrierOption::engine | Barrier-option engine base class |
     AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
     MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation |
     PerturbativeBarrierOptionEngine | Perturbative barrier-option engine |
   GenericEngine< BasketOption::arguments, BasketOption::results > | |
    BasketOption::engine | Basket-option engine base class |
     MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > | |
     Fd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine |
     KirkEngine | Pricing engine for spread option on two futures |
     MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation |
     StulzEngine | Pricing engine for 2D European Baskets |
   GenericEngine< Bond::arguments, Bond::results > | |
   GenericEngine< CallableBond::arguments, CallableBond::results > | |
    GenericModelEngine< ShortRateModel, CallableBond::arguments, CallableBond::results > | |
     LatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results > | |
      TreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds |
       TreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds |
    CallableBond::engine | Base class for callable fixed rate bond engine |
     BlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine |
      BlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine |
   GenericEngine< CapFloor::arguments, CapFloor::results > | |
    GenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results > | |
     AnalyticCapFloorEngine | Analytic engine for cap/floor |
    GenericModelEngine< MarkovFunctional, CapFloor::arguments, CapFloor::results > | |
     MarkovFunctionalCapFloorEngine | Markov functional cap/floor engine |
    GenericModelEngine< ShortRateModel, CapFloor::arguments, CapFloor::results > | |
     LatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results > | |
      TreeCapFloorEngine | Numerical lattice engine for cap/floors |
    CapFloor::engine | Base class for cap/floor engines |
     BlackCapFloorEngine | Black-formula cap/floor engine |
     MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors |
   GenericEngine< CdsOption::arguments, CdsOption::results > | |
    CdsOption::engine | Base class for swaption engines |
     BlackCdsOptionEngine | Black-formula CDS-option engine |
   GenericEngine< CliquetOption::arguments, CliquetOption::results > | |
    CliquetOption::engine | Cliquet engine base class |
     AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
     AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
     MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation |
   GenericEngine< CompoundOption::arguments, CompoundOption::results > | |
    CompoundOption::engine | Compound-option engine base class |
     AnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae |
   GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
    ContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class |
     AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
   GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
    ContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class |
     AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
   GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > | |
    ContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class |
     AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
   GenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > | |
   GenericEngine< CPICapFloor::arguments, CPICapFloor::results > | |
   GenericEngine< CPISwap::arguments, CPISwap::results > | |
   GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > | |
   GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
    DiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class |
     AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
     AnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option |
     MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation |
   GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
    GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results > | |
     FdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine |
     FdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine |
    DividendBarrierOption::engine | Dividend-barrier-option engine base class |
     FdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine |
     FdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine |
   GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
    GenericModelEngine< BatesModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
     FdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine |
    GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
     FdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine |
     FdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine |
    DividendVanillaOption::engine | Dividend-vanilla-option engine base class |
     AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
   GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > | |
   GenericEngine< EverestOption::arguments, EverestOption::results > | |
   GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
    ForwardVanillaEngine< Engine > | Forward engine for vanilla options |
     ForwardPerformanceVanillaEngine< Engine > | Forward performance engine for vanilla options |
   GenericEngine< HimalayaOption::arguments, HimalayaOption::results > | |
   GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
    QuantoEngine< Instr, Engine > | Quanto engine |
   GenericEngine< MargrabeOption::arguments, MargrabeOption::results > | |
    MargrabeOption::engine | Margrabe option engine base class |
     AnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option |
     AnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option |
   GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > | |
   GenericEngine< OneAssetOption::arguments, OneAssetOption::results > | |
   GenericEngine< PagodaOption::arguments, PagodaOption::results > | |
    PagodaOption::engine | Pagoda-option engine base class |
     MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation |
   GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > | |
   GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > | |
    SimpleChooserOption::engine | Simple chooser option engine base class |
     AnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option |
   GenericEngine< SpreadOption::arguments, SpreadOption::results > | |
    SpreadOption::engine | Spread option engine base class |
     KirkSpreadOptionEngine | Kirk approximation for European spread option on futures |
   GenericEngine< Swap::arguments, Swap::results > | |
   GenericEngine< Swaption::arguments, Swaption::results > | |
    GenericModelEngine< G2, Swaption::arguments, Swaption::results > | |
     G2SwaptionEngine | Swaption priced by means of the Black formula |
    GenericModelEngine< HullWhite, Swaption::arguments, Swaption::results > | |
    GenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results > | |
     LfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
    GenericModelEngine< MarkovFunctional, Swaption::arguments, Swaption::results > | |
     MarkovFunctionalSwaptionEngine | Markov functional swaption engine |
    GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results > | |
     JamshidianSwaptionEngine | Jamshidian swaption engine |
    GenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results > | |
     LatticeShortRateModelEngine< Swaption::arguments, Swaption::results > | |
      TreeSwaptionEngine | Numerical lattice engine for swaptions |
    Swaption::engine | Base class for swaption engines |
     BlackSwaptionEngine | Black-formula swaption engine |
   GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
    SyntheticCDO::engine | CDO base engine |
     IntegralCDOEngine | CDO base engine taking (possibly) small time steps |
     MidPointCDOEngine | CDO base engine taking schedule steps |
      MonteCarloCDOEngine1 | CDO engine, Monte Carlo for the exptected tranche loss distribution |
     MonteCarloCDOEngine2 | CDO engine, Monte Carlo for the sample payoff |
   GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
    TwoAssetBarrierOption::engine | Two-asset barrier-option engine base class |
     AnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets |
   GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
    GenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results > | |
     AnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine |
    GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
     AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
      AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
       AnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation |
      BatesEngine | Bates model engines based on Fourier transform |
    GenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results > | |
     AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
    GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > | |
     AnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine |
   GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > | |
   GenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
    GenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results > | |
     LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results > | |
      TreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
   GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > | |
   GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > | |
   GenericEngine< VarianceOption::arguments, VarianceOption::results > | |
    VarianceOption::engine | Base class for variance-option engines |
     IntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine |
   GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
    VarianceSwap::engine | Base class for variance-swap engines |
     MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation, |
     ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
   GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > | |
    WriterExtensibleOption::engine | Base engine |
     AnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options |
   GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > | |
   GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
    YoYInflationCapFloor::engine | Base class for cap/floor engines |
     YoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
      YoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
      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) |
   GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > | |
   GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines |
    GenericModelEngine< ModelType, ArgumentsType, ResultsType > | Base class for some pricing engine on a particular model |
    MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
    MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
  Quote | Purely virtual base class for market observables |
   CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element |
   DeltaVolQuote | Class for the quotation of delta vs vol |
   DerivedQuote< UnaryFunction > | 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 |
   RecoveryRateQuote | Stores a recovery rate market quote and the associated seniority |
   RendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter |
   RendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter |
   SimpleQuote | Market element returning a stored value |
  RecoveryRateModel | |
   ConstantRecoveryModel | |
  SmileSection | Interest rate volatility smile section |
  StochasticProcess | Multi-dimensional stochastic process class |
   ExtOUWithJumpsProcess | |
   ForwardMeasureProcess | Forward-measure stochastic process |
    G2ForwardProcess | Forward G2 stochastic process |
   G2Process | G2 stochastic process |
   GJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process |
   HestonProcess | Square-root stochastic-volatility Heston process |
    BatesProcess | Square-root stochastic-volatility Bates process |
   HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
   KlugeExtOUProcess | |
   LiborForwardModelProcess | Libor-forward-model process |
   StochasticProcess1D | 1-dimensional stochastic process |
    ExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class |
    ForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
     HullWhiteForwardProcess | Forward Hull-White stochastic process |
    GemanRoncoroniProcess | Geman-Roncoroni process class |
    GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
     BlackProcess | Black (1976) stochastic process |
     BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
     BlackScholesProcess | Black-Scholes (1973) stochastic process |
     ExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process |
     GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
     VegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests |
    GeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class |
    GeometricBrownianMotionProcess | Geometric brownian-motion process |
    HullWhiteProcess | Hull-White stochastic process |
    Merton76Process | Merton-76 jump-diffusion process |
    MfStateProcess | Markov functional state process class |
    OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
    SquareRootProcess | Square-root process class |
    VarianceGammaProcess | Variance gamma process |
   StochasticProcessArray | Array of correlated 1-D stochastic processes |
  TermStructure | Basic term-structure functionality |
  TermStructureConsistentModel | Term-structure consistent model class |
   BlackKarasinski | Standard Black-Karasinski model class |
   ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
   G2 | Two-additive-factor gaussian model class |
   GeneralizedHullWhite | Generalized Hull-White model class |
   HullWhite | Single-factor Hull-White (extended Vasicek) model class |
   MarkovFunctional | |
 ObservableValue< T > | observable and assignable proxy to concrete value |
 Observer | Object that gets notified when a given observable changes |
  BootstrapHelper< YoYInflationTermStructure > | |
  BootstrapHelper< YoYOptionletVolatilitySurface > | |
  BootstrapHelper< ZeroInflationTermStructure > | |
  GenericEngine< Arguments, Results > | |
  GenericEngine< BarrierOption::arguments, BarrierOption::results > | |
  GenericEngine< BasketOption::arguments, BasketOption::results > | |
  GenericEngine< Bond::arguments, Bond::results > | |
  GenericEngine< CallableBond::arguments, CallableBond::results > | |
  GenericEngine< CapFloor::arguments, CapFloor::results > | |
  GenericEngine< CdsOption::arguments, CdsOption::results > | |
  GenericEngine< CliquetOption::arguments, CliquetOption::results > | |
  GenericEngine< CompoundOption::arguments, CompoundOption::results > | |
  GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
  GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
  GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > | |
  GenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > | |
  GenericEngine< CPICapFloor::arguments, CPICapFloor::results > | |
  GenericEngine< CPISwap::arguments, CPISwap::results > | |
  GenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > | |
  GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
  GenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
  GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
  GenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > | |
  GenericEngine< EverestOption::arguments, EverestOption::results > | |
  GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
  GenericEngine< HimalayaOption::arguments, HimalayaOption::results > | |
  GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
  GenericEngine< MargrabeOption::arguments, MargrabeOption::results > | |
  GenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > | |
  GenericEngine< OneAssetOption::arguments, OneAssetOption::results > | |
  GenericEngine< PagodaOption::arguments, PagodaOption::results > | |
  GenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > | |
  GenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > | |
  GenericEngine< SpreadOption::arguments, SpreadOption::results > | |
  GenericEngine< Swap::arguments, Swap::results > | |
  GenericEngine< Swaption::arguments, Swaption::results > | |
  GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
  GenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
  GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
  GenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > | |
  GenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
  GenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > | |
  GenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > | |
  GenericEngine< VarianceOption::arguments, VarianceOption::results > | |
  GenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
  GenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > | |
  GenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > | |
  GenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
  GenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > | |
  BootstrapHelper< TS > | Base helper class for bootstrapping |
  CalibratedModel | Calibrated model class |
  Claim | Claim associated to a default event |
  CommodityIndex | Base class for commodity indexes |
  CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element |
  ConstantRecoveryModel | |
  DeltaVolQuote | Class for the quotation of delta vs vol |
  DerivedQuote< UnaryFunction > | Market quote whose value depends on another quote |
  FloatingRateCoupon | Base floating-rate coupon class |
  FloatingRateCouponPricer | Generic pricer for floating-rate coupons |
  ForwardValueQuote | quote for the forward value of an index |
  FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
  GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines |
  IndexedCashFlow | Cash flow dependent on an index ratio |
  InflationCoupon | Base inflation-coupon class |
  InflationCouponPricer | Base inflation-coupon pricer |
  InflationIndex | Base class for inflation-rate indexes, |
  InterestRateIndex | Base class for interest rate indexes |
  LastFixingQuote | Quote adapter for the last fixing available of a given Index |
  LazyObject | Framework for calculation on demand and result caching |
  SmileSection | Interest rate volatility smile section |
  StochasticProcess | Multi-dimensional stochastic process class |
  TermStructure | Basic term-structure functionality |
 OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics |
  BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
  CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
   ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
  HullWhite::Dynamics | Short-rate dynamics in the Hull-White model |
  Vasicek::Dynamics | Short-rate dynamics in the Vasicek model |
 OperatorFactory | Black-Scholes-Merton differential operator |
 OptimizationMethod | Abstract class for constrained optimization method |
  DifferentialEvolution | Differential Evolution configuration object |
  LevenbergMarquardt | Levenberg-Marquardt optimization method |
  Simplex | Multi-dimensional simplex class |
 Option::arguments | Basic option arguments |
  CdsOption::arguments | Arguments for CDS-option calculation |
  CliquetOption::arguments | Arguments for cliquet option calculation |
  MargrabeOption::arguments | Extra arguments for Margrabe option |
  Swaption::arguments | Arguments for swaption calculation |
  TwoAssetBarrierOption::arguments | Arguments for two-asset barrier option calculation |
  WriterExtensibleOption::arguments | Additional arguments for writer-extensible option |
 OrthogonalizedBumpFinder | |
 OrthogonalProjections | |
 OvernightLeg | Helper class building a sequence of overnight coupons |
 Parameter | Base class for model arguments |
  ConstantParameter | Standard constant parameter |
  NullParameter | Parameter which is always zero |
  PiecewiseConstantParameter | Piecewise-constant parameter |
  TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
   ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter |
   G2::FittingParameter | Analytical term-structure fitting parameter |
   HullWhite::FittingParameter | Analytical term-structure fitting parameter |
 Parameter::Impl | Base class for model parameter implementation |
 Path | Single-factor random walk |
 PathGenerator< GSG > | Generates random paths using a sequence generator |
 PathMultiAssetOption::arguments | Arguments for multi-asset option calculation |
 PathMultiAssetOption::results | Results from multi-asset option calculation |
 PathPayoff | Abstract base class for path-dependent option payoffs |
 PathPricer< PathType, ValueType > | Base class for path pricers |
 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 |
 Payoff | Abstract base class for option payoffs |
  DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
   RatchetMaxPayoff | RatchetMax payoff (double option) |
   RatchetMinPayoff | RatchetMin payoff (double option) |
   RatchetPayoff | Ratchet payoff (single option) |
   StickyMaxPayoff | StickyMax payoff (double option) |
   StickyMinPayoff | StickyMin payoff (double option) |
   StickyPayoff | Sticky payoff (single option) |
  ForwardTypePayoff | Class for forward type payoffs |
  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 |
    AssetOrNothingPayoff | Binary asset-or-nothing payoff |
    CashOrNothingPayoff | Binary cash-or-nothing payoff |
    GapPayoff | Binary gap payoff |
    PercentageStrikePayoff | Payoff with strike expressed as percentage |
    PlainVanillaPayoff | Plain-vanilla payoff |
    SuperFundPayoff | Binary supershare and superfund payoffs |
    SuperSharePayoff | Binary supershare payoff |
 Period | |
 PlackettCopula | Plackett copula |
 PoissonDistribution | Poisson distribution function |
 Polynomial | Polynomial2D-spline-interpolation factory |
 PrimeNumbers | Prime numbers calculator |
 ProbabilityOfAtLeastNEvents | Probability of at least N events |
 ProbabilityOfNEvents | Probability of N events |
 Problem | Constrained optimization problem |
 Protection | Information on a default-protection contract |
 Quantity | Amount of a commodity |
 QuantoOptionResults< ResultsType > | Results from quanto option calculation |
 RandomDefaultModel | Base class for random default models |
  GaussianRandomDefaultModel | |
 RandomizedLDS< LDS, PRS > | Randomized (random shift) low-discrepancy sequence |
 RandomSequenceGenerator< RNG > | Random sequence generator based on a pseudo-random number generator |
 RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
 Ranlux3UniformRng | Uniform random number generator |
 RecursiveCdoEngine< CDOEngine, copulaT > | |
 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 |
  GenericRegion | Generic geographical/economic region |
  UKRegion | United Kingdom as geographical/economic region |
  USRegion | USA as geographical/economic region |
 Replication | Digital option replication strategy |
 Restructuring | Restructuring type |
 RichardsonExtrapolation | Richardson Extrapolation |
 Rounding | Basic rounding class |
  CeilingTruncation | Ceiling truncation |
  ClosestRounding | Closest rounding |
  DownRounding | Down-rounding |
  FloorTruncation | Floor truncation |
  UpRounding | Up-rounding |
 SABR | SABR interpolation factory and traits |
 SalvagingAlgorithm | Algorithm used for matricial pseudo square root |
 Sample< T > | Weighted sample |
 SampledCurve | This class contains a sampled curve |
 Schedule | Payment schedule |
 Seasonality | A transformation of an existing inflation swap rate |
  MultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc) |
 SegmentIntegral | Integral of a one-dimensional function |
 Settlement | settlement information |
 ShoutCondition | Shout option condition |
 SimpleChooserOption::arguments | Extra arguments for single chooser option |
 SimpleLocalEstimator | Local-estimator volatility model |
 Singleton< T > | Basic support for the singleton pattern |
 SingleVariate< RNG > | Default Monte Carlo traits for single-variate models |
 SmileSectionUtils | Smile-section utilities |
 SMMDriftCalculator | Drift computation for coterminal swap market models |
 SobolBrownianGenerator | Sobol Brownian generator for market-model simulations |
 SobolRsg | Sobol low-discrepancy sequence generator |
 Sonia | Sonia (Sterling Overnight Index Average) rate |
 SparseILUPreconditioner | |
 SphereCylinderOptimizer | |
 StatsHolder | Helper class for precomputed distributions |
 SteepestDescent | Multi-dimensional steepest-descent class |
 step_iterator< Iterator > | Iterator advancing in constant steps |
 StepCondition< array_type > | Condition to be applied at every time step |
  NullCondition< array_type > | null step condition |
  ZeroCondition< array_type > | Zero exercise condition |
 StepConditionSet< array_type > | Parallel evolver for multiple arrays |
 StochasticProcess1D::discretization | Discretization of a 1-D stochastic process |
  EndEulerDiscretization | Euler end-point discretization for stochastic processes |
  EulerDiscretization | Euler discretization for stochastic processes |
 StochasticProcess::discretization | Discretization of a stochastic process over a given time interval |
  EndEulerDiscretization | Euler end-point discretization for stochastic processes |
  EulerDiscretization | Euler discretization for stochastic processes |
 StudentDistribution | Student t-distribution |
 Surface | Surface abstract class |
 SurvivalProbability | Survival-Probability-curve traits |
 SVD | Singular value decomposition |
 SwaptionVolatilityCube | Swaption-volatility cube |
 SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
 SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
 TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
 TimeGrid | Time grid class |
 TimeSeries< T, Container > | Container for historical data |
 TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
 TransformedGrid | Transformed grid |
 TrapezoidIntegral< IntegrationPolicy > | Integral of a one-dimensional function |
 TRBDF2< Operator > | TR-BDF2 scheme for finite difference methods |
 TridiagonalOperator | Base implementation for tridiagonal operator |
  BSMOperator | Black-Scholes-Merton differential operator |
  DMinus | matricial representation |
  DPlus | matricial representation |
  DPlusDMinus | matricial representation |
  DZero | matricial representation |
 TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic |
 TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables |
 UnitOfMeasure | Unit of measure specification |
 UpperBoundEngine | Market-model engine for upper-bound estimation |
 VanillaSwap::arguments | Arguments for simple swap calculation |
  Swaption::arguments | Arguments for swaption calculation |
 VanillaSwap::results | Results from simple swap calculation |
 VarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach |
 VarianceOption::arguments | Arguments for forward fair-variance calculation |
 VarianceOption::results | Results from variance-option calculation |
 VarianceSwap::arguments | Arguments for forward fair-variance calculation |
 VarianceSwap::results | Results from variance-swap calculation |
 VegaBumpCollection | |
 Visitor< T > | Visitor for a specific class |
 YearOnYearInflationSwap::arguments | Arguments for YoY swap calculation |
 YearOnYearInflationSwap::results | Results from YoY swap calculation |
 YoYInflationCapFloor::arguments | Arguments for YoY Inflation cap/floor calculation |
 yoyInflationLeg | |
 YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
 YoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap |
 YoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces |
  InterpolatedYoYOptionletStripper< Interpolator1D > | |
 ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
 ZeroYield | Zero-curve traits |
 ZigguratRng | Ziggurat random-number generator |
 QuantoOptionResults< Instr::results > | |
 RandomSequenceGenerator< QuantLib::MersenneTwisterUniformRng > | |
 RecursiveCdoEngine< CDOEngine, OneFactorGaussianCopula > | |
  GaussianRecursiveCdoEngine< CDOEngine > | Specialization for Gaussian copula, the integration still remains |
 RecursiveCdoEngine< CDOEngine, OneFactorStudentCopula > | |
 Sample< MultiPath > | |
 Sample< Path > | |
 Sample< std::vector< Real > > | |
 Singleton< CommoditySettings > | |
  CommoditySettings | Global repository for run-time library settings |
 Singleton< ExchangeRateManager > | |
  ExchangeRateManager | Exchange-rate repository |
 Singleton< IndexManager > | |
  IndexManager | Global repository for past index fixings |
 Singleton< SeedGenerator > | |
  SeedGenerator | Random seed generator |
 Singleton< Settings > | |
  Settings | Global repository for run-time library settings |
 Singleton< Tracing > | |
 Singleton< UnitOfMeasureConversionManager > | |
  UnitOfMeasureConversionManager | Repository of conversion factors between units of measure |
 exception | STL class |
  Error | Base error class |
 map< K, T > | STL class |
  TimeBasket | Distribution over a number of dates |
 StepCondition< Array > | |
 TimeSeries< Real > | |
 TrapezoidIntegral< Default > | |
  SimpsonIntegral | Integral of a one-dimensional function |