 ql | |
  cashflows | |
   averagebmacoupon.hpp | Coupon paying a weighted average of BMA-index fixings |
   capflooredcoupon.hpp | Floating rate coupon with additional cap/floor |
   capflooredinflationcoupon.hpp | Caplet and floorlet pricing for YoY inflation coupons |
   cashflows.hpp | Cash-flow analysis functions |
   cashflowvectors.hpp | Cash flow vector builders |
   cmscoupon.hpp | CMS coupon |
   conundrumpricer.hpp | CMS-coupon pricer |
   coupon.hpp | Coupon accruing over a fixed period |
   couponpricer.hpp | Coupon pricers |
   cpicoupon.hpp | Coupon paying a zero-inflation index |
   cpicouponpricer.hpp | Zero inflation-coupon pricer |
   digitalcmscoupon.hpp | Cms-rate coupon with digital call/put option |
   digitalcoupon.hpp | Floating-rate coupon with digital call/put option |
   digitaliborcoupon.hpp | Ibor-rate coupon with digital call/put option |
   dividend.hpp | A stock dividend |
   duration.hpp | Duration type enumeration |
   fixedratecoupon.hpp | Coupon paying a fixed annual rate |
   floatingratecoupon.hpp | Coupon paying a variable index-based rate |
   iborcoupon.hpp | Coupon paying a Libor-type index |
   inflationcouponpricer.hpp | Inflation-coupon pricers |
   overnightindexedcoupon.hpp | Coupon paying the compounded daily overnight rate |
   rangeaccrual.hpp | Range-accrual coupon |
   replication.hpp | Sub, Central, or Super replication |
   simplecashflow.hpp | Cash flow dependent on an index ratio (NOT a coupon, i.e. no accruals) |
   timebasket.hpp | Distribution over a number of date ranges |
   yoyinflationcoupon.hpp | Coupon paying a yoy inflation index |
  currencies | |
   africa.hpp | African currencies |
   america.hpp | American currencies |
   asia.hpp | Asian currencies |
   europe.hpp | European currencies |
   exchangeratemanager.hpp | Exchange-rate repository |
   oceania.hpp | Oceanian currencies |
  experimental | |
   amortizingbonds | |
    amortizingcmsratebond.hpp | Amortizing CMS-rate bond |
    amortizingfixedratebond.hpp | Amortizing fixed-rate bond |
    amortizingfloatingratebond.hpp | Amortizing floating-rate bond |
   barrieroption | |
    perturbativebarrieroptionengine.hpp | Perturbative barrier-option engine |
   callablebonds | |
    blackcallablebondengine.hpp | Black-formula callable bond engines |
    callablebond.hpp | Callable bond classes |
    callablebondconstantvol.hpp | Constant callable-bond volatility |
    callablebondvolstructure.hpp | Callable-bond volatility structure |
    discretizedcallablefixedratebond.hpp | Discretized callable fixed-rate bond class |
    treecallablebondengine.hpp | Numerical lattice engines for callable/puttable bonds |
   commodities | |
    commodity.hpp | Commodity base class |
    commoditycashflow.hpp | Commodity cash flow |
    commoditycurve.hpp | Commodity curve |
    commodityindex.hpp | Commodity index |
    commoditypricinghelpers.hpp | Commodity pricing helpers |
    commoditysettings.hpp | Commodity settings |
    commodityunitcost.hpp | Commodity unit cost |
    dateinterval.hpp | Date interval |
    energybasisswap.hpp | Energy basis swap |
    energycommodity.hpp | Energy commodity |
    energyfuture.hpp | Energy future |
    energyswap.hpp | Energy swap |
    energyvanillaswap.hpp | Vanilla energy swap |
    exchangecontract.hpp | Exchange contract |
    petroleumunitsofmeasure.hpp | Petroleum units of measure |
    pricingperiod.hpp | Pricing period |
    quantity.hpp | Amount of a commodity |
    unitofmeasure.hpp | Unit of measure |
    unitofmeasureconversionmanager.hpp | Unit-of-measure conversion manager |
   compoundoption | |
    analyticcompoundoptionengine.hpp | Analytic compound option engines |
    compoundoption.hpp | Compound option on a single asset |
   convertiblebonds | |
    binomialconvertibleengine.hpp | Binomial engine for convertible bonds |
    convertiblebond.hpp | Convertible bond class |
    discretizedconvertible.hpp | Discretized convertible |
    tflattice.hpp | Binomial Tsiveriotis-Fernandes tree model |
   coupons | |
    proxyibor.hpp | IborIndex calculated as proxy of some other IborIndex |
    quantocouponpricer.hpp | Quanto-adjusted coupon |
    subperiodcoupons.hpp | Averaging coupons |
   credit | |
    basket.hpp | Basket of issuers and related notionals |
    blackcdsoptionengine.hpp | Black credit default swap option engine |
    cdo.hpp | Collateralized debt obligation |
    cdsoption.hpp | CDS option |
    defaultevent.hpp | Classes for default-event description |
    defaultprobabilitykey.hpp | Classes for default-event description |
    defaulttype.hpp | Classes for default-event description |
    distribution.hpp | Discretized probability density and cumulative probability |
    factorspreadedhazardratecurve.hpp | Default-probability structure with a multiplicative spread on hazard rates |
    issuer.hpp | Classes for credit-name handling |
    loss.hpp | Pair of loss time and amount, sortable by loss time |
    lossdistribution.hpp | Loss distributions and probability of n defaults |
    nthtodefault.hpp | N-th to default swap |
    onefactorcopula.hpp | One-factor copula base class |
    onefactorgaussiancopula.hpp | One-factor Gaussian copula |
    onefactorstudentcopula.hpp | One-factor Student-t copula |
    pool.hpp | Pool of issuers |
    randomdefaultmodel.hpp | Random default-time scenarios for a pool of credit names |
    riskyassetswap.hpp | Risky asset-swap instrument |
    riskyassetswapoption.hpp | Option on risky asset swap |
    riskybond.hpp | Defaultable bonds |
    spreadedhazardratecurve.hpp | Default-probability structure with an additive spread on hazard rates |
    syntheticcdo.hpp | Synthetic Collateralized Debt Obligation and pricing engines |
    syntheticcdoengines.hpp | Pricing engines for the Synthetic CDO instrument |
   exoticoptions | |
    analyticamericanmargrabeengine.hpp | Analytic engine for American Margrabe option |
    analyticeuropeanmargrabeengine.hpp | Analytic engine for European Margrabe option |
    analyticsimplechooserengine.hpp | Analytic engine for simple chooser option |
    analytictwoassetbarrierengine.hpp | Analytic engine for barrier option on two assets |
    analyticwriterextensibleoptionengine.hpp | Analytic engine for writer-extensible options |
    continuousarithmeticasianlevyengine.hpp | Levy engine for continuous arithmetic Asian options |
    everestoption.hpp | Everest option on a number of assets |
    himalayaoption.hpp | Himalaya option on a number of assets |
    kirkspreadoptionengine.hpp | Kirk approximation for European spread option on futures |
    margrabeoption.hpp | Margrabe option on two assets |
    mceverestengine.hpp | Monte Carlo engine for Everest options |
    mchimalayaengine.hpp | Monte Carlo engine for Himalaya options |
    mcpagodaengine.hpp | Monte Carlo engine for pagoda options |
    pagodaoption.hpp | Roofed Asian option on a number of assets |
    simplechooseroption.hpp | Simple chooser option on a single asset |
    spreadoption.hpp | Spread option on two assets |
    twoassetbarrieroption.hpp | Barrier option on two assets |
    writerextensibleoption.hpp | Writer-extensible option |
   finitedifferences | |
    dynprogvppintrinsicvalueengine.hpp | Intrinsic value engine using dynamic programming |
    fdklugeextouspreadengine.hpp | FD Kluge/extended Ornstein-Uhlenbeck engine for a simple power-gas spread option |
    fdmblackscholesfwdop.hpp | Black Scholes linear operator for the Fokker-Planck forward equation |
    fdmexpextouinnervaluecalculator.hpp | Inner value calculator for an exponential extended Ornstein Uhlenbeck grid |
    fdmextendedornsteinuhlenbeckop.hpp | Ornstein Uhlenbeck process plus jumps (Kluge Model) |
    fdmextoujumpmodelinnervalue.hpp | Inner value calculator for the Ornstein Uhlenbeck plus exponential jumps model (Kluge Model) |
    fdmextoujumpop.hpp | Ornstein Uhlenbeck process plus jumps (Kluge Model) |
    fdmextoujumpsolver.hpp | |
    fdmhestonfwdop.hpp | Heston Fokker-Planck forward operator |
    fdmklugeextouop.hpp | Kluge process (power) plus Ornstein Uhlenbeck process (gas) |
    fdmklugeextousolver.hpp | Kluge/extended Ornstein-Uhlenbeck FDM solver |
    fdmsimple2dextousolver.hpp | Solver for simple swing options based on ext OU process |
    fdmsimple3dextoujumpsolver.hpp | Solver for simple swing options based on ext OU-Jump (Kluge) Model |
    fdmspreadpayoffinnervalue.hpp | Inner value calculator for a spread payoff |
    fdmsquarerootfwdop.hpp | Square root linear operator for the Fokker-Planck forward equation |
    fdmvppstartlimitstepcondition.hpp | VPP incl start limit step condition for FD models |
    fdmvppstepcondition.hpp | VPP step condition for FD models |
    fdmvppstepconditionfactory.hpp | Factory for VPP step conditions for FD models |
    fdsimpleextoujumpswingengine.hpp | Finite Differences engine for simple swing options |
    fdsimpleextoustorageengine.hpp | Finite Differences extended OU engine for simple storage options |
    glued1dmesher.hpp | One-dimensional grid mesher combining two existing ones |
    modtriplebandlinearop.hpp | Modifiable triple band linear operator |
    vanillavppoption.hpp | Vanilla virtual power plant option |
   fx | |
    blackdeltacalculator.hpp | Black-Scholes formula delta calculator class |
    deltavolquote.hpp | Class for the quotation of delta vs vol |
   inflation | |
    cpicapfloorengines.hpp | Engines for CPI options |
    cpicapfloortermpricesurface.hpp | Cpi inflation cap and floor term price structure. N.B. cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions |
    genericindexes.hpp | Generic inflation indexes |
    interpolatedyoyoptionletstripper.hpp | Interpolated yoy inflation-cap stripping |
    kinterpolatedyoyoptionletvolatilitysurface.hpp | K-interpolated yoy optionlet volatility |
    piecewiseyoyoptionletvolatility.hpp | Piecewise yoy inflation volatility term structure |
    polynomial2Dspline.hpp | Polynomial interpolation in the y-direction, spline interpolation x-direction |
    yoyinflationoptionletvolatilitystructure2.hpp | Experimental yoy inflation volatility structures |
    yoyoptionlethelpers.hpp | Yoy inflation cap and floor term-price structure |
    yoyoptionletstripper.hpp | Yoy inflation-cap stripping |
   lattices | |
    extendedbinomialtree.hpp | Time-dependent binomial tree class |
   math | |
    adaptiverungekutta.hpp | Runge-Kutta ODE integration |
    claytoncopularng.hpp | Clayton copula random-number generator |
    expm.hpp | Matrix exponential |
    farliegumbelmorgensterncopularng.hpp | Farlie-Gumbel-Morgenstern copula random-number generator |
    frankcopularng.hpp | Frank copula random-number generator |
    zigguratrng.hpp | Ziggurat random-number generator |
   mcbasket | |
    adaptedpathpayoff.hpp | Adapted Option payoff classes |
    mcpathbasketengine.hpp | Path-dependent European basket MC engine |
    pathmultiassetoption.hpp | Option on multiple assets |
    pathpayoff.hpp | Option payoff classes |
   models | |
    atmadjustedsmilesection.hpp | Smile section that allows for alternate specification of atm level and recentering the source volatility accordingly |
    atmsmilesection.hpp | Smile section that allows for explicit / alternate specification of atm level |
    kahalesmilesection.hpp | Arbitrage free smile section using a C^1 inter- and extrapolation method proposed by Kahale, see http://www.risk.net/data/Pay_per_view/risk/technical/2004/0504_tech_option2.pdf Exponential extrapolation for high strikes can be used alternatively to avoid a too slowly decreasing call price function. Note that in the leftmost interval and right from the last grid point the input smile is always replaced by the extrapolating functional forms, so if you are sure that the input smile is globally arbitrage free and you do not want to change it in these strike regions you should not use this class at all |
    markovfunctional.hpp | Markov Functional 1 Factor Model |
    mfstateprocess.hpp | State process for markov functional model |
    smilesectionutils.hpp | Additional utilities for smile sections |
   processes | |
    extendedblackscholesprocess.hpp | Experimental Black-Scholes-Merton process |
    extendedornsteinuhlenbeckprocess.hpp | Extended Ornstein-Uhlenbeck process |
    extouwithjumpsprocess.hpp | Ornstein Uhlenbeck process plus exp jumps (Kluge Model) |
    gemanroncoroniprocess.hpp | Geman-Roncoroni process |
    klugeextouprocess.hpp | Joint Kluge process an d Ornstein Uhlenbeck process |
    vegastressedblackscholesprocess.hpp | Black-Scholes process which supports local vega stress tests |
   risk | |
    sensitivityanalysis.hpp | Sensitivity analysis function |
   shortrate | |
    generalizedornsteinuhlenbeckprocess.hpp | Ornstein-Uhlenbeck process with piecewise linear coefficients |
   variancegamma | |
    analyticvariancegammaengine.hpp | Analytic Variance Gamma option engine for vanilla options |
    fftengine.hpp | Base class for FFT option pricing engines |
    fftvanillaengine.hpp | FFT engine for vanilla options under a Black Scholes process |
    fftvariancegammaengine.hpp | FFT engine for vanilla options under a Variance Gamma process |
    variancegammamodel.hpp | Variance Gamma model |
    variancegammaprocess.hpp | Variance Gamma stochastic process |
   varianceoption | |
    integralhestonvarianceoptionengine.hpp | Integral Heston-model variance-option engine |
    varianceoption.hpp | Variance option |
   volatility | |
    abcdatmvolcurve.hpp | Abcd-interpolated at-the-money (no-smile) interest rate vol curve |
    blackatmvolcurve.hpp | Black at-the-money (no-smile) volatility curve base class |
    blackvolsurface.hpp | Black volatility (smile) surface |
    equityfxvolsurface.hpp | Equity/FX vol (smile) surface |
    extendedblackvariancecurve.hpp | Black volatility curve modelled as variance curve |
    extendedblackvariancesurface.hpp | Black volatility surface modelled as variance surface |
    interestratevolsurface.hpp | Interest rate volatility (smile) surface |
    sabrvolsurface.hpp | SABR volatility (smile) surface |
    volcube.hpp | Interest rate (optionlet/swaption) volatility cube |
  indexes | |
   ibor | |
    audlibor.hpp | AUD LIBOR rate |
    cadlibor.hpp | CAD LIBOR rate |
    cdor.hpp | CDOR rate |
    chflibor.hpp | CHF LIBOR rate |
    dkklibor.hpp | DKK LIBOR rate |
    eonia.hpp | Eonia index |
    euribor.hpp | Euribor index |
    eurlibor.hpp | EUR LIBOR rate |
    gbplibor.hpp | GBP LIBOR rate |
    jibar.hpp | JIBAR rate |
    jpylibor.hpp | JPY LIBOR rate |
    libor.hpp | Base class for BBA LIBOR indexes |
    nzdlibor.hpp | NZD LIBOR rate |
    seklibor.hpp | SEK LIBOR rate |
    tibor.hpp | JPY TIBOR rate |
    trlibor.hpp | TRY LIBOR rate |
    usdlibor.hpp | USD LIBOR rate |
    zibor.hpp | CHF ZIBOR rate |
   inflation | |
    aucpi.hpp | Australian CPI inflation indexes |
    euhicp.hpp | EU HICP index |
    frhicp.hpp | French HICP inflation indexes |
    ukrpi.hpp | UKRPI index |
    uscpi.hpp | US CPI index |
   swap | |
    chfliborswap.hpp | CHF Libor Swap indexes |
    euriborswap.hpp | Euribor Swap indexes |
    eurliborswap.hpp | EUR Libor Swap indexes |
    gbpliborswap.hpp | GBP Libor Swap indexes |
    jpyliborswap.hpp | JPY Libor Swap indexes |
    usdliborswap.hpp | USD Libor Swap indexes |
   bmaindex.hpp | Bond Market Association index |
   iborindex.hpp | Base class for Inter-Bank-Offered-Rate indexes |
   indexmanager.hpp | Global repository for past index fixings |
   inflationindex.hpp | Base classes for inflation indexes |
   interestrateindex.hpp | Base class for interest rate indexes |
   region.hpp | Region, i.e. geographical area, specification |
   swapindex.hpp | Swap-rate indexes |
  instruments | |
   bonds | |
    btp.hpp | Italian BTP (Buoni Poliennali del Tesoro) fixed rate bond |
    cmsratebond.hpp | CMS-rate bond |
    cpibond.hpp | Zero-inflation-indexed-ratio-with-base bond |
    fixedratebond.hpp | Fixed-rate bond |
    floatingratebond.hpp | Floating-rate bond |
    zerocouponbond.hpp | Zero-coupon bond |
   asianoption.hpp | Asian option on a single asset |
   assetswap.hpp | Bullet bond vs Libor swap |
   averagetype.hpp | Averaging algorithm enumeration |
   barrieroption.hpp | Barrier option on a single asset |
   barriertype.hpp | Barrier type |
   basketoption.hpp | Basket option on a number of assets |
   bmaswap.hpp | Swap paying Libor against BMA coupons |
   bond.hpp | Concrete bond class |
   callabilityschedule.hpp | Schedule of put/call dates |
   capfloor.hpp | Cap and floor class |
   claim.hpp | Classes for default-event claims |
   cliquetoption.hpp | Cliquet option |
   compositeinstrument.hpp | Composite instrument class |
   cpicapfloor.hpp | Zero-inflation-indexed-ratio-with-base option |
   cpiswap.hpp | Zero-inflation-indexed-ratio-with-base swap |
   creditdefaultswap.hpp | Credit default swap |
   dividendbarrieroption.hpp | Barrier option on a single asset with discrete dividends |
   dividendschedule.hpp | Schedule of dividend dates |
   dividendvanillaoption.hpp | Vanilla option on a single asset with discrete dividends |
   europeanoption.hpp | European option on a single asset |
   fixedratebondforward.hpp | Forward contract on a fixed-rate bond |
   forward.hpp | Base forward class |
   forwardrateagreement.hpp | Forward rate agreement |
   forwardvanillaoption.hpp | Forward version of a vanilla option |
   impliedvolatility.hpp | Utilities for implied-volatility calculation |
   lookbackoption.hpp | Lookback option on a single asset |
   makecapfloor.hpp | Helper class to instantiate standard market cap/floor |
   makecms.hpp | Helper class to instantiate standard market CMS |
   makeois.hpp | Helper class to instantiate overnight indexed swaps |
   makeswaption.hpp | Helper class to instantiate standard market swaption |
   makevanillaswap.hpp | Helper class to instantiate standard market swaps |
   multiassetoption.hpp | Option on multiple assets |
   oneassetoption.hpp | Option on a single asset |
   overnightindexedswap.hpp | Overnight index swap paying compounded overnight vs. fixed |
   payoffs.hpp | Payoffs for various options |
   quantobarrieroption.hpp | Quanto version of a barrier option |
   quantoforwardvanillaoption.hpp | Quanto version of a forward vanilla option |
   quantovanillaoption.hpp | Quanto version of a vanilla option |
   stickyratchet.hpp | Payoffs for double nested options of sticky or ratchet type |
   stock.hpp | Concrete stock class |
   swap.hpp | Interest rate swap |
   swaption.hpp | Swaption class |
   vanillaoption.hpp | Vanilla option on a single asset |
   vanillastorageoption.hpp | Vanilla storage option class |
   vanillaswap.hpp | Simple fixed-rate vs Libor swap |
   vanillaswingoption.hpp | Vanilla swing option class |
   varianceswap.hpp | Variance swap |
   yearonyearinflationswap.hpp | Year-on-year inflation-indexed swap |
   zerocouponinflationswap.hpp | Zero-coupon inflation-indexed swap |
  legacy | |
   libormarketmodels | |
    lfmcovarparam.hpp | Volatility & correlation function for libor forward model process |
    lfmcovarproxy.hpp | Proxy for libor forward covariance parameterization |
    lfmhullwhiteparam.hpp | Libor market model parameterization based on Hull White |
    lfmprocess.hpp | Stochastic process of a libor forward model |
    lfmswaptionengine.hpp | Libor forward model swaption engine based on black formula |
    liborforwardmodel.hpp | Libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices |
    lmconstwrappercorrmodel.hpp | Const wrapper for correlation model for libor market models |
    lmconstwrappervolmodel.hpp | Const wrapper for a volatility model for libor market models |
    lmcorrmodel.hpp | Correlation model for libor market models |
    lmexpcorrmodel.hpp | Exponential correlation model for libor market models |
    lmextlinexpvolmodel.hpp | Volatility model for libor market models |
    lmfixedvolmodel.hpp | Model of constant volatilities for libor market models |
    lmlinexpcorrmodel.hpp | Exponential correlation model for libor market models |
    lmlinexpvolmodel.hpp | Volatility model for libor market models |
    lmvolmodel.hpp | Volatility model for libor market models |
  math | |
   copulas | |
    alimikhailhaqcopula.hpp | Ali-Mikhail-Haq copula |
    claytoncopula.hpp | Clayton copula |
    farliegumbelmorgensterncopula.hpp | Farlie-Gumbel-Morgenstern copula |
    frankcopula.hpp | Frank copula |
    galamboscopula.hpp | Galambos copula |
    gaussiancopula.hpp | Gaussian copula |
    gumbelcopula.hpp | Gumbel copula |
    huslerreisscopula.hpp | Husler-Reiss copula |
    independentcopula.hpp | Independent copula |
    marshallolkincopula.hpp | Marshall-Olkin copula |
    maxcopula.hpp | Max copula |
    mincopula.hpp | Min copula |
    plackettcopula.hpp | Plackett copula |
   distributions | |
    binomialdistribution.hpp | Binomial distribution |
    bivariatenormaldistribution.hpp | Bivariate cumulative normal distribution |
    chisquaredistribution.hpp | Chi-square (central and non-central) distributions |
    gammadistribution.hpp | Gamma distribution |
    normaldistribution.hpp | Normal, cumulative and inverse cumulative distributions |
    poissondistribution.hpp | Poisson distribution |
    studenttdistribution.hpp | Student's t-distribution |
   integrals | |
    gaussianorthogonalpolynomial.hpp | Orthogonal polynomials for gaussian quadratures |
    gaussianquadratures.hpp | Integral of a 1-dimensional function using the Gauss quadratures |
    gausslobattointegral.hpp | Integral of a one-dimensional function using the adaptive Gauss-Lobatto integral |
    integral.hpp | Integrators base class definition |
    kronrodintegral.hpp | Integral of a 1-dimensional function using the Gauss-Kronrod method |
    segmentintegral.hpp | Integral of a one-dimensional function using segment algorithm |
    simpsonintegral.hpp | Integral of a one-dimensional function using Simpson formula |
    trapezoidintegral.hpp | Integral of a one-dimensional function using the trapezoid formula |
   interpolations | |
    backwardflatinterpolation.hpp | Backward-flat interpolation between discrete points |
    bicubicsplineinterpolation.hpp | Bicubic spline interpolation between discrete points |
    bilinearinterpolation.hpp | Bilinear interpolation between discrete points |
    convexmonotoneinterpolation.hpp | Convex monotone interpolation method |
    cubicinterpolation.hpp | Cubic interpolation between discrete points |
    extrapolation.hpp | Class-wide extrapolation settings |
    flatextrapolation2d.hpp | Abstract base classes for 2-D flat extrapolations |
    forwardflatinterpolation.hpp | Forward-flat interpolation between discrete points |
    interpolation2d.hpp | Abstract base classes for 2-D interpolations |
    kernelinterpolation.hpp | Kernel interpolation |
    kernelinterpolation2d.hpp | 2D Kernel interpolation |
    linearinterpolation.hpp | Linear interpolation between discrete points |
    loginterpolation.hpp | Log-linear and log-cubic interpolation between discrete points |
    mixedinterpolation.hpp | Mixed interpolation between discrete points |
    multicubicspline.hpp | N-dimensional cubic spline interpolation between discrete points |
    sabrinterpolation.hpp | SABR interpolation interpolation between discrete points |
   matrixutilities | |
    bicgstab.hpp | Bi-conjugated gradient stableized algorithm |
    choleskydecomposition.hpp | Cholesky decomposition |
    factorreduction.hpp | Single factor correlation reduction |
    getcovariance.hpp | Covariance matrix calculation |
    pseudosqrt.hpp | Pseudo square root of a real symmetric matrix |
    qrdecomposition.hpp | QR decomposition |
    sparseilupreconditioner.hpp | Preconditioner using the Incomplete LU algorithm and sparse matrices |
    sparsematrix.hpp | Typedef for boost sparse matrix class |
    svd.hpp | Singular value decomposition |
    symmetricschurdecomposition.hpp | Eigenvalues/eigenvectors of a real symmetric matrix |
    tqreigendecomposition.hpp | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
   optimization | |
    armijo.hpp | Armijo line-search class |
    bfgs.hpp | Broyden-Fletcher-Goldfarb-Shanno optimization method |
    conjugategradient.hpp | Conjugate gradient optimization method |
    constraint.hpp | Abstract constraint class |
    costfunction.hpp | Optimization cost function class |
    differentialevolution.hpp | Differential Evolution optimization method |
    endcriteria.hpp | Optimization criteria class |
    leastsquare.hpp | Least square cost function |
    levenbergmarquardt.hpp | Levenberg-Marquardt optimization method |
    linesearch.hpp | Line search abstract class |
    linesearchbasedmethod.hpp | Abstract optimization method class |
    lmdif.hpp | Wrapper for MINPACK minimization routine |
    method.hpp | Abstract optimization method class |
    problem.hpp | Abstract optimization problem class |
    projectedcostfunction.hpp | Cost function utility |
    simplex.hpp | Simplex optimization method |
    spherecylinder.hpp | Find closest point of the intersection of a sphere and cylinder to a given point |
    steepestdescent.hpp | Steepest descent optimization method |
   randomnumbers | |
    boxmullergaussianrng.hpp | Box-Muller Gaussian random-number generator |
    centrallimitgaussianrng.hpp | Central limit Gaussian random-number generator |
    faurersg.hpp | Faure low-discrepancy sequence generator |
    haltonrsg.hpp | Halton low-discrepancy sequence generator |
    inversecumulativerng.hpp | Inverse cumulative Gaussian random-number generator |
    inversecumulativersg.hpp | Inverse cumulative random sequence generator |
    knuthuniformrng.hpp | Knuth uniform random number generator |
    latticersg.hpp | Lattice rule code for low discrepancy numbers |
    latticerules.hpp | |
    lecuyeruniformrng.hpp | L'Ecuyer uniform random number generator |
    mt19937uniformrng.hpp | Mersenne Twister uniform random number generator |
    randomizedlds.hpp | Randomized low-discrepancy sequence |
    randomsequencegenerator.hpp | Random sequence generator based on a pseudo-random number generator |
    ranluxuniformrng.hpp | "Luxury" random number generator |
    rngtraits.hpp | Random-number generation policies |
    seedgenerator.hpp | Random seed generator |
    sobolbrownianbridgersg.hpp | Interface class to map the functionality of SobolBrownianGenerator to the "conventional" sequence generator interface |
    sobolrsg.hpp | Sobol low-discrepancy sequence generator |
   solvers1d | |
    bisection.hpp | Bisection 1-D solver |
    brent.hpp | Brent 1-D solver |
    falseposition.hpp | False-position 1-D solver |
    finitedifferencenewtonsafe.hpp | Safe (bracketed) Newton 1-D solver with finite difference derivatives |
    newton.hpp | Newton 1-D solver |
    newtonsafe.hpp | Safe (bracketed) Newton 1-D solver |
    ridder.hpp | Ridder 1-D solver |
    secant.hpp | Secant 1-D solver |
   statistics | |
    convergencestatistics.hpp | Statistics tool with risk measures |
    discrepancystatistics.hpp | Statistic tool for sequences with discrepancy calculation |
    gaussianstatistics.hpp | Statistics tool for gaussian-assumption risk measures |
    generalstatistics.hpp | Statistics tool |
    histogram.hpp | Statistics tool for generating histogram of given data |
    incrementalstatistics.hpp | Statistics tool based on incremental accumulation |
    riskstatistics.hpp | Empirical-distribution risk measures |
    sequencestatistics.hpp | Statistics tools for sequence (vector, list, array) samples |
    statistics.hpp | Statistics tool with risk measures |
   array.hpp | 1-D array used in linear algebra |
   autocovariance.hpp | Autocovariance and convolution calculation |
   bernsteinpolynomial.hpp | Bernstein polynomials |
   beta.hpp | Beta and beta incomplete functions |
   bspline.hpp | B-spline basis functions |
   comparison.hpp | Floating-point comparisons |
   curve.hpp | Curve |
   domain.hpp | Domain |
   errorfunction.hpp | Error function |
   factorial.hpp | Factorial numbers calculator |
   fastfouriertransform.hpp | Fast Fourier Transform |
   functional.hpp | Functionals and combinators not included in the STL |
   incompletegamma.hpp | Incomplete Gamma function |
   interpolation.hpp | Base class for 1-D interpolations |
   kernelfunctions.hpp | Kernel functions |
   lexicographicalview.hpp | Lexicographical 2-D view of a contiguous set of data |
   linearleastsquaresregression.hpp | General linear least square regression |
   matrix.hpp | Matrix used in linear algebra |
   primenumbers.hpp | Prime numbers calculator |
   quadratic.hpp | Quadratic formula |
   richardsonextrapolation.hpp | |
   rounding.hpp | Rounding implementation |
   sampledcurve.hpp | Class that contains a sampled curve |
   solver1d.hpp | Abstract 1-D solver class |
   surface.hpp | Surface |
   transformedgrid.hpp | Encapuslates a grid |
  methods | |
   finitedifferences | |
    meshers | |
     concentrating1dmesher.hpp | One-dimensional grid mesher concentrating around critical points |
     exponentialjump1dmesher.hpp | Mesher for a exponential jump mesher with high mean reversion rate and low jump intensity |
     fdm1dmesher.hpp | One-dimensional simple FDM mesher object working on an index |
     fdmblackscholesmesher.hpp | 1-d mesher for the Black-Scholes process (in ln(S)) |
     fdmblackscholesmultistrikemesher.hpp | 1-d mesher for the Black-Scholes process (in ln(S)) |
     fdmhestonvariancemesher.hpp | One-dimensional grid mesher for the variance in the heston problem |
     fdmmesher.hpp | Mesher for a fdm grid |
     fdmmeshercomposite.hpp | FdmMesher which is a composite of Fdm1dMesher |
     fdmsimpleprocess1dmesher.hpp | One-dimensional grid mesher |
     predefined1dmesher.hpp | One-dimensional mesher build from a given set of points |
     uniform1dmesher.hpp | One-dimensional simple uniform grid mesher |
     uniformgridmesher.hpp | Uniform grid mesher |
    operators | |
     fdm2dblackscholesop.hpp | |
     fdmbatesop.hpp | Bates linear operator |
     fdmblackscholesop.hpp | Black Scholes linear operator |
     fdmhestonhullwhiteop.hpp | Heston Hull White linear operator |
     fdmhestonop.hpp | Heston linear operator |
     fdmhullwhiteop.hpp | FDM operator for the Hull-White interest rate model |
     fdmlinearop.hpp | Linear operator to model a multi dimensinal pde system |
     fdmlinearopcomposite.hpp | Composite pattern for linear operators |
     fdmlinearopiterator.hpp | Iterator for a linear fdm operator |
     fdmlinearoplayout.hpp | Memory layout of a fdm linear operator |
     firstderivativeop.hpp | First derivative linear operator |
     ninepointlinearop.hpp | Nine point linear operator |
     secondderivativeop.hpp | Second derivative operator |
     secondordermixedderivativeop.hpp | Second order mixed derivative linear operator |
     triplebandlinearop.hpp | General triple band linear operator |
    schemes | |
     boundaryconditionschemehelper.hpp | |
     craigsneydscheme.hpp | Craig-Sneyd operator splitting |
     douglasscheme.hpp | Douglas operator splitting |
     expliciteulerscheme.hpp | Explicit-Euler scheme |
     hundsdorferscheme.hpp | Hundsdorfer operator splitting |
     impliciteulerscheme.hpp | Implicit-Euler scheme |
     modifiedcraigsneydscheme.hpp | Modified Craig-Sneyd operator splitting |
    solvers | |
     fdm1dimsolver.hpp | |
     fdm2dblackscholessolver.hpp | |
     fdm2dimsolver.hpp | |
     fdm3dimsolver.hpp | |
     fdmbackwardsolver.hpp | |
     fdmbatessolver.hpp | |
     fdmblackscholessolver.hpp | |
     fdmg2solver.hpp | |
     fdmhestonhullwhitesolver.hpp | |
     fdmhestonsolver.hpp | |
     fdmhullwhitesolver.hpp | |
     fdmndimsolver.hpp | |
     fdmsimple2dbssolver.hpp | |
     fdmsolverdesc.hpp | |
    stepconditions | |
     fdmamericanstepcondition.hpp | American step condition for multi dimensional problems |
     fdmarithmeticaveragecondition.hpp | Step condition to handle arithmetic average |
     fdmbermudanstepcondition.hpp | Bermudan step condition for multi dimensional problems |
     fdmsimplestoragecondition.hpp | Simple storage step condition |
     fdmsimpleswingcondition.hpp | Simple swing step condition |
     fdmsnapshotcondition.hpp | Step condition for value inspection |
     fdmstepconditioncomposite.hpp | Composite of fdm step conditions |
    utilities | |
     fdmaffinemodelswapinnervalue.hpp | |
     fdmaffinemodeltermstructure.hpp | |
     fdmboundaryconditionset.hpp | |
     fdmdirichletboundary.hpp | Dirichlet boundary conditions for differential operators |
     fdmdividendhandler.hpp | Dividend handler for fdm method for one equity direction |
     fdmindicesonboundary.hpp | Helper class to extract the indices on a boundary |
     fdminnervaluecalculator.hpp | Layer of abstraction to calculate the inner value |
     fdmquantohelper.hpp | Helper class storing market data needed for the quanto adjustment |
     fdmtimedepdirichletboundary.hpp | Time dependent Dirichlet boundary conditions |
    americancondition.hpp | American option exercise condition |
    boundarycondition.hpp | Boundary conditions for differential operators |
    bsmoperator.hpp | Differential operator for Black-Scholes-Merton equation |
    bsmtermoperator.hpp | Differential operator for Black-Scholes-Merton equation |
    cranknicolson.hpp | Crank-Nicolson scheme for finite difference methods |
    dminus.hpp | matricial representation |
    dplus.hpp | matricial representation |
    dplusdminus.hpp | matricial representation |
    dzero.hpp | matricial representation |
    expliciteuler.hpp | Explicit Euler scheme for finite difference methods |
    fdtypedefs.hpp | Default choices for template instantiations |
    finitedifferencemodel.hpp | Generic finite difference model |
    impliciteuler.hpp | Implicit Euler scheme for finite difference methods |
    mixedscheme.hpp | Mixed (explicit/implicit) scheme for finite difference methods |
    onefactoroperator.hpp | General differential operator for one-factor interest rate models |
    operatorfactory.hpp | Factory for finite difference operators |
    operatortraits.hpp | Differential operator traits |
    parallelevolver.hpp | Parallel evolver for multiple arrays |
    pde.hpp | General class for one dimensional PDE's |
    pdebsm.hpp | Black-Scholes-Merton PDE |
    pdeshortrate.hpp | Adapter to short rate |
    shoutcondition.hpp | Shout option exercise condition |
    stepcondition.hpp | Conditions to be applied at every time step |
    trbdf2.hpp | TR-BDF2 scheme for finite difference methods |
    tridiagonaloperator.hpp | Tridiagonal operator |
    zerocondition.hpp | Zero option exercise condition |
   lattices | |
    binomialtree.hpp | Binomial tree class |
    bsmlattice.hpp | Binomial trees under the BSM model |
    lattice.hpp | Tree-based lattice-method class |
    lattice1d.hpp | One-dimensional lattice class |
    lattice2d.hpp | Two-dimensional lattice class |
    tree.hpp | Tree class |
    trinomialtree.hpp | Trinomial tree class |
   montecarlo | |
    brownianbridge.hpp | Browian bridge |
    earlyexercisepathpricer.hpp | Base class for early exercise single-path pricers |
    longstaffschwartzpathpricer.hpp | Longstaff-Schwarz path pricer for early exercise options |
    lsmbasissystem.hpp | Utility classes for Longstaff-Schwartz early-exercise Monte Carlo |
    mctraits.hpp | Monte Carlo policies |
    montecarlomodel.hpp | General-purpose Monte Carlo model |
    multipath.hpp | Correlated multiple asset paths |
    multipathgenerator.hpp | Generates a multi path from a random-array generator |
    path.hpp | Single factor random walk |
    pathgenerator.hpp | Generates random paths using a sequence generator |
    pathpricer.hpp | Base class for single-path pricers |
    sample.hpp | Weighted sample |
  models | |
   equity | |
    batesmodel.hpp | Extended versions of the Heston model |
    gjrgarchmodel.hpp | GJR-GARCH model for the stochastic volatility of an asset |
    hestonmodel.hpp | Heston model for the stochastic volatility of an asset |
    hestonmodelhelper.hpp | Heston-model calibration helper |
    piecewisetimedependenthestonmodel.hpp | Piecewise constant time dependent Heston-model |
   marketmodels | |
    correlations | |
     expcorrelations.hpp | Exponential correlation matrix |
    driftcomputation | |
     cmsmmdriftcalculator.hpp | Drift computation for CMS market model |
     lmmdriftcalculator.hpp | Drift computation for Libor market model |
     lmmnormaldriftcalculator.hpp | Drift computation for normal Libor market model |
     smmdriftcalculator.hpp | Drift computation for coterminal-swap market model |
    forwardforwardmappings.hpp | Utility functions for mapping between forward rates of varying tenor |
    historicalforwardratesanalysis.hpp | Statistical analysis of historical forward rates |
    historicalratesanalysis.hpp | Statistical analysis of historical rates |
    swapforwardmappings.hpp | Utility functions for mapping between swap rate and forward rate |
   shortrate | |
    calibrationhelpers | |
     caphelper.hpp | CapHelper calibration helper |
     swaptionhelper.hpp | Swaption calibration helper |
    onefactormodels | |
     blackkarasinski.hpp | Black-Karasinski model |
     coxingersollross.hpp | Cox-Ingersoll-Ross model |
     extendedcoxingersollross.hpp | Extended Cox-Ingersoll-Ross model |
     hullwhite.hpp | Hull & White (HW) model |
     vasicek.hpp | Vasicek model class |
    twofactormodels | |
     g2.hpp | Two-factor additive Gaussian Model G2++ |
    onefactormodel.hpp | Abstract one-factor interest rate model class |
    twofactormodel.hpp | Abstract two-factor interest rate model class |
   volatility | |
    constantestimator.hpp | Constant volatility estimator |
    garch.hpp | GARCH volatility model |
    garmanklass.hpp | Volatility estimators using high low data |
    simplelocalestimator.hpp | Constant volatility estimator |
   calibrationhelper.hpp | Calibration helper class |
   model.hpp | Abstract interest rate model class |
   parameter.hpp | Model parameter classes |
  patterns | |
   composite.hpp | Composite pattern |
   curiouslyrecurring.hpp | Curiously recurring template pattern |
   lazyobject.hpp | Framework for calculation on demand and result caching |
   observable.hpp | Observer/observable pattern |
   singleton.hpp | Basic support for the singleton pattern |
   visitor.hpp | Degenerate base class for the Acyclic Visitor pattern |
  pricingengines | |
   asian | |
    analytic_cont_geom_av_price.hpp | Analytic engine for continuous geometric average price Asian |
    analytic_discr_geom_av_price.hpp | Analytic engine for discrete geometric average price Asian |
    analytic_discr_geom_av_strike.hpp | Analytic engine for discrete geometric average-strike Asian option |
    fdblackscholesasianengine.hpp | Finite-Differences Black Scholes arithmentic asian option engine |
    mc_discr_arith_av_price.hpp | Monte Carlo engine for discrete arithmetic average price Asian |
    mc_discr_arith_av_strike.hpp | Monte Carlo engine for discrete arithmetic average-strike Asian |
    mc_discr_geom_av_price.hpp | Monte Carlo engine for discrete geometric average price Asian |
    mcdiscreteasianengine.hpp | Monte Carlo pricing engine for discrete average Asians |
   barrier | |
    analyticbarrierengine.hpp | Analytic barrier option engines |
    fdblackscholesbarrierengine.hpp | Finite-Differences Black Scholes barrier option engine |
    fdblackscholesrebateengine.hpp | Finite-Differences Black Scholes barrier option rebate helper engine |
    fdhestonbarrierengine.hpp | Finite-Differences Heston barrier option engine |
    fdhestonrebateengine.hpp | Finite-Differences Heston barrier option rebate helper engine |
    mcbarrierengine.hpp | Monte Carlo barrier option engines |
   basket | |
    fd2dblackscholesvanillaengine.hpp | Finite-Differences 2 dim Black Scholes vanilla option engine |
    kirkengine.hpp | Kirk formulae, due to Kirk (1995) |
    mcamericanbasketengine.hpp | Least-square Monte Carlo engines |
    mceuropeanbasketengine.hpp | European basket MC Engine |
    stulzengine.hpp | 2D European Basket formulae, due to Stulz (1982) |
   bond | |
    bondfunctions.hpp | Bond functions |
    discountingbondengine.hpp | Discounting bond engine |
   capfloor | |
    analyticcapfloorengine.hpp | Analytic engine for caps/floors |
    blackcapfloorengine.hpp | Black-formula cap/floor engine |
    discretizedcapfloor.hpp | Discretized cap/floor |
    mchullwhiteengine.hpp | Monte Carlo Hull-White engine for cap/floors |
    treecapfloorengine.hpp | Numerical lattice engine for cap/floors |
   cliquet | |
    analyticcliquetengine.hpp | Analytic Cliquet engine |
    analyticperformanceengine.hpp | Analytic performance engine |
   credit | |
    integralcdsengine.hpp | Integral engine for credit default swaps |
    midpointcdsengine.hpp | Mid-point engine for credit default swaps |
   forward | |
    forwardengine.hpp | Forward (strike-resetting) vanilla-option engine |
    forwardperformanceengine.hpp | Forward (strike-resetting) performance vanilla-option engine |
    mcvarianceswapengine.hpp | Monte Carlo variance-swap engine |
    replicatingvarianceswapengine.hpp | Replicating engine for variance swaps |
   inflation | |
    inflationcapfloorengines.hpp | Inflation cap/floor engines |
   lookback | |
    analyticcontinuousfixedlookback.hpp | Analytic engine for continuous fixed-strike lookback |
    analyticcontinuousfloatinglookback.hpp | Analytic engine for continuous floating-strike lookback |
   quanto | |
    quantoengine.hpp | Quanto option engine |
   swap | |
    discountingswapengine.hpp | Discounting swap engine |
    discretizedswap.hpp | Discretized swap class |
    treeswapengine.hpp | Numerical lattice engine for swaps |
   swaption | |
    blackswaptionengine.hpp | Black-formula swaption engine |
    discretizedswaption.hpp | Discretized swaption class |
    fdg2swaptionengine.hpp | Finite differences swaption engine |
    fdhullwhiteswaptionengine.hpp | Finite differences swaption engine |
    g2swaptionengine.hpp | Swaption pricing engine for two-factor additive Gaussian Model G2++ |
    jamshidianswaptionengine.hpp | Swaption engine using Jamshidian's decomposition Concerning the start delay cf. http://ssrn.com/abstract=2246054 |
    treeswaptionengine.hpp | Numerical lattice engine for swaptions |
   vanilla | |
    analyticbsmhullwhiteengine.hpp | Analytic Black-Scholes engines including stochastic interest rates |
    analyticdigitalamericanengine.hpp | Analytic digital American option engine |
    analyticdividendeuropeanengine.hpp | Analytic discrete-dividend European engine |
    analyticeuropeanengine.hpp | Analytic European engine |
    analyticgjrgarchengine.hpp | Analytic GJR-GARCH-model engine |
    analytich1hwengine.hpp | Analytic Heston-Hull-White engine based on the H1-HW approximation |
    analytichestonengine.hpp | Analytic Heston-model engine |
    analytichestonhullwhiteengine.hpp | Analytic heston engine incl. stochastic interest rates |
    analyticptdhestonengine.hpp | Analytic piecewise time dependent Heston-model engine |
    baroneadesiwhaleyengine.hpp | Barone-Adesi and Whaley approximation engine |
    batesengine.hpp | Analytic Bates model engine |
    binomialengine.hpp | Binomial option engine |
    bjerksundstenslandengine.hpp | Bjerksund and Stensland approximation engine |
    discretizedvanillaoption.hpp | Discretized vanilla option |
    fdamericanengine.hpp | Finite-differences American option engine |
    fdbatesvanillaengine.hpp | Partial Integro Finite-Differences Bates vanilla option engine |
    fdbermudanengine.hpp | Finite-difference Bermudan engine |
    fdblackscholesvanillaengine.hpp | Finite-Differences Black Scholes vanilla option engine |
    fdconditions.hpp | Finite-difference templates to generate engines |
    fddividendamericanengine.hpp | American engine with discrete deterministic dividends |
    fddividendengine.hpp | Base engine for option with dividends |
    fddividendeuropeanengine.hpp | Finite-differences engine for European option with dividends |
    fddividendshoutengine.hpp | Base class for shout engine with dividends |
    fdeuropeanengine.hpp | Finite-difference European engine |
    fdhestonhullwhitevanillaengine.hpp | Finite-Differences Heston Hull-White vanilla option engine |
    fdhestonvanillaengine.hpp | Finite-Differences Heston vanilla option engine |
    fdmultiperiodengine.hpp | Base engine for options with events happening at specific times |
    fdshoutengine.hpp | Finite-differences shout engine |
    fdsimplebsswingengine.hpp | Finite Differences Ornstein Uhlenbeck plus exponential jumps engine for vanilla options |
    fdstepconditionengine.hpp | Finite-differences step-condition engine |
    fdvanillaengine.hpp | Finite-differences vanilla-option engine |
    integralengine.hpp | Integral option engine |
    jumpdiffusionengine.hpp | Jump diffusion (Merton 1976) engine |
    juquadraticengine.hpp | Ju quadratic (1999) approximation engine |
    mcamericanengine.hpp | American Monte Carlo engine |
    mcdigitalengine.hpp | Digital option Monte Carlo engine |
    mceuropeanengine.hpp | Monte Carlo European option engine |
    mceuropeangjrgarchengine.hpp | Monte Carlo GJR-GARCH-model engine for European options |
    mceuropeanhestonengine.hpp | Monte Carlo Heston-model engine for European options |
    mchestonhullwhiteengine.hpp | Monte Carlo vanilla option engine for stochastic interest rates |
    mcvanillaengine.hpp | Monte Carlo vanilla option engine |
   americanpayoffatexpiry.hpp | Analytical formulae for american exercise with payoff at expiry |
   americanpayoffathit.hpp | Analytical formulae for american exercise with payoff at hit |
   blackcalculator.hpp | Black-formula calculator class |
   blackformula.hpp | Black formula |
   blackscholescalculator.hpp | Black-Scholes formula calculator class |
   genericmodelengine.hpp | Generic option engine based on a model |
   greeks.hpp | Default greek calculations |
   latticeshortratemodelengine.hpp | Engine for a short-rate model specialized on a lattice |
   mclongstaffschwartzengine.hpp | Longstaff Schwartz Monte Carlo engine for early exercise options |
   mcsimulation.hpp | Framework for Monte Carlo engines |
  processes | |
   batesprocess.hpp | Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size |
   blackscholesprocess.hpp | Black-Scholes processes |
   endeulerdiscretization.hpp | Euler end-point discretization for stochastic processes |
   eulerdiscretization.hpp | Euler discretization for stochastic processes |
   forwardmeasureprocess.hpp | Forward-measure stochastic processes |
   g2process.hpp | G2 stochastic processes |
   geometricbrownianprocess.hpp | Geometric Brownian-motion process |
   gjrgarchprocess.hpp | GJR-GARCH(1,1) stochastic process |
   hestonprocess.hpp | Heston stochastic process |
   hullwhiteprocess.hpp | Hull-White stochastic processes |
   hybridhestonhullwhiteprocess.hpp | Hybrid equity (heston model) with stochastic interest rates (hull white model) |
   jointstochasticprocess.hpp | Multi model process for hybrid products |
   merton76process.hpp | Merton-76 process |
   ornsteinuhlenbeckprocess.hpp | Ornstein-Uhlenbeck process |
   squarerootprocess.hpp | Square-root process |
   stochasticprocessarray.hpp | Array of correlated 1-D stochastic processes |
  quotes | |
   compositequote.hpp | Purely virtual base class for market observables |
   derivedquote.hpp | Market quote whose value depends on another quote |
   eurodollarfuturesquote.hpp | Quote for the Eurodollar-future implied standard deviation |
   forwardswapquote.hpp | Quote for a forward starting swap |
   forwardvaluequote.hpp | Quote for the forward value of an index |
   futuresconvadjustmentquote.hpp | Quote for the futures-convexity adjustment of an index |
   impliedstddevquote.hpp | Quote for the implied standard deviation of an underlying |
   lastfixingquote.hpp | Quote for the last fixing available for a given index |
   simplequote.hpp | Simple quote class |
  termstructures | |
   credit | |
    defaultdensitystructure.hpp | Default-density term structure |
    defaultprobabilityhelpers.hpp | Bootstrap helpers for default-probability term structures |
    flathazardrate.hpp | Flat hazard-rate term structure |
    hazardratestructure.hpp | Hazard-rate term structure |
    interpolateddefaultdensitycurve.hpp | Interpolated default-density term structure |
    interpolatedhazardratecurve.hpp | Interpolated hazard-rate term structure |
    interpolatedsurvivalprobabilitycurve.hpp | Interpolated survival-probability term structure |
    piecewisedefaultcurve.hpp | Piecewise-interpolated default-probability structure |
    probabilitytraits.hpp | Default-probability bootstrap traits |
    survivalprobabilitystructure.hpp | Survival-probability term structure |
   inflation | |
    inflationhelpers.hpp | Bootstrap helpers for inflation term structures |
    inflationtraits.hpp | Inflation bootstrap traits |
    interpolatedyoyinflationcurve.hpp | Inflation term structure based on the interpolation of year-on-year rates |
    interpolatedzeroinflationcurve.hpp | Inflation term structure based on the interpolation of zero rates |
    piecewiseyoyinflationcurve.hpp | Piecewise year-on-year inflation term structure |
    piecewisezeroinflationcurve.hpp | Piecewise zero-inflation term structure |
   volatility | |
    capfloor | |
     capfloortermvolatilitystructure.hpp | Cap/floor term-volatility structure |
     capfloortermvolcurve.hpp | Cap/floor at-the-money term-volatility curve |
     capfloortermvolsurface.hpp | Cap/floor smile volatility surface |
     constantcapfloortermvol.hpp | Constant cap/floor term volatility |
    equityfx | |
     blackconstantvol.hpp | Black constant volatility, no time dependence, no strike dependence |
     blackvariancecurve.hpp | Black volatility curve modelled as variance curve |
     blackvariancesurface.hpp | Black volatility surface modelled as variance surface |
     blackvoltermstructure.hpp | Black volatility term structure base classes |
     impliedvoltermstructure.hpp | Implied Black Vol Term Structure |
     localconstantvol.hpp | Local constant volatility, no time dependence, no asset dependence |
     localvolcurve.hpp | Local volatility curve derived from a Black curve |
     localvolsurface.hpp | Local volatility surface derived from a Black vol surface |
     localvoltermstructure.hpp | Local volatility term structure base class |
    inflation | |
     constantcpivolatility.hpp | Constant CPI volatility structure |
     cpivolatilitystructure.hpp | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
     yoyinflationoptionletvolatilitystructure.hpp | Yoy inflation volatility structures |
    optionlet | |
     capletvariancecurve.hpp | Caplet variance curve |
     constantoptionletvol.hpp | Constant caplet/floorlet volatility |
     optionletstripper.hpp | Optionlet (caplet/floorlet) volatility stripper |
     optionletstripper1.hpp | Optionlet (caplet/floorlet) volatility stripper |
     optionletstripper2.hpp | Optionlet (caplet/floorlet) volatility stripper |
     optionletvolatilitystructure.hpp | Optionlet (caplet/floorlet) volatility structure |
     spreadedoptionletvol.hpp | Spreaded caplet/floorlet volatility |
     strippedoptionlet.hpp | |
     strippedoptionletadapter.hpp | StrippedOptionlet Adapter |
     strippedoptionletbase.hpp | |
    swaption | |
     cmsmarket.hpp | Set of CMS quotes |
     cmsmarketcalibration.hpp | |
     spreadedswaptionvol.hpp | Spreaded swaption volatility |
     swaptionconstantvol.hpp | Constant swaption volatility |
     swaptionvolcube.hpp | Swaption volatility cube |
     swaptionvolcube1.hpp | Swaption volatility cube, fit-early-interpolate-later approach |
     swaptionvolcube2.hpp | Swaption volatility cube, fit-later-interpolate-early approach |
     swaptionvoldiscrete.hpp | Discretized swaption volatility |
     swaptionvolmatrix.hpp | Swaption at-the-money volatility matrix |
     swaptionvolstructure.hpp | Swaption volatility structure |
    flatsmilesection.hpp | Flat SmileSection |
    interpolatedsmilesection.hpp | Interpolated smile section class |
    sabr.hpp | SABR functions |
    sabrinterpolatedsmilesection.hpp | Interpolated smile section class |
    smilesection.hpp | Smile section base class |
    spreadedsmilesection.hpp | Spreaded SmileSection class |
   yield | |
    bondhelpers.hpp | Bond rate helpers |
    bootstraptraits.hpp | Bootstrap traits |
    discountcurve.hpp | Interpolated discount factor structure |
    drifttermstructure.hpp | Drift term structure |
    fittedbonddiscountcurve.hpp | Discount curve fitted to a set of bonds |
    flatforward.hpp | Flat forward rate term structure |
    forwardcurve.hpp | Interpolated forward-rate structure |
    forwardspreadedtermstructure.hpp | Forward-spreaded term structure |
    forwardstructure.hpp | Forward-based yield term structure |
    impliedtermstructure.hpp | Implied term structure |
    nonlinearfittingmethods.hpp | Nonlinear methods to fit a bond discount function |
    oisratehelper.hpp | Overnight Indexed Swap (aka OIS) rate helpers |
    piecewiseyieldcurve.hpp | Piecewise-interpolated term structure |
    piecewisezerospreadedtermstructure.hpp | Piecewise-zero-spreaded term structure |
    quantotermstructure.hpp | Quanto term structure |
    ratehelpers.hpp | Deposit, FRA, futures, and swap rate helpers |
    zerocurve.hpp | Interpolated zero-rates structure |
    zerospreadedtermstructure.hpp | Zero spreaded term structure |
    zeroyieldstructure.hpp | Zero-yield based term structure |
   bootstraperror.hpp | Boostrap error |
   bootstraphelper.hpp | Base helper class used for bootstrapping |
   defaulttermstructure.hpp | Default-probability term structure |
   inflationtermstructure.hpp | Base classes for inflation term structures |
   interpolatedcurve.hpp | Helper class to build interpolated term structures |
   iterativebootstrap.hpp | Universal piecewise-term-structure boostrapper |
   localbootstrap.hpp | Localised-term-structure bootstrapper for most curve types |
   voltermstructure.hpp | Volatility term structure |
   yieldtermstructure.hpp | Interest-rate term structure |
  time | |
   calendars | |
    argentina.hpp | Argentinian calendars |
    australia.hpp | Australian calendar |
    bespokecalendar.hpp | Bespoke calendar |
    brazil.hpp | Brazilian calendar |
    canada.hpp | Canadian calendar |
    china.hpp | Chinese calendar |
    czechrepublic.hpp | Czech calendars |
    denmark.hpp | Danish calendar |
    finland.hpp | Finnish calendar |
    germany.hpp | German calendars |
    hongkong.hpp | Hong Kong calendars |
    hungary.hpp | Hungarian calendar |
    iceland.hpp | Icelandic calendars |
    india.hpp | Indian calendars |
    indonesia.hpp | Indonesian calendars |
    italy.hpp | Italian calendars |
    japan.hpp | Japanese calendar |
    jointcalendar.hpp | Joint calendar |
    mexico.hpp | Mexican calendars |
    newzealand.hpp | New Zealand calendar |
    norway.hpp | Norwegian calendar |
    nullcalendar.hpp | Calendar for reproducing theoretical calculations |
    poland.hpp | Polish calendar |
    russia.hpp | Russian calendar |
    saudiarabia.hpp | Saudi Arabian calendar |
    singapore.hpp | Singapore calendars |
    slovakia.hpp | Slovak calendars |
    southafrica.hpp | South-African calendar |
    southkorea.hpp | South Korean calendars |
    sweden.hpp | Swedish calendar |
    switzerland.hpp | Swiss calendar |
    taiwan.hpp | Taiwanese calendars |
    target.hpp | TARGET calendar |
    turkey.hpp | Turkish calendar |
    ukraine.hpp | Ukrainian calendars |
    unitedkingdom.hpp | UK calendars |
    unitedstates.hpp | US calendars |
    weekendsonly.hpp | Weekends-only calendar |
   daycounters | |
    actual360.hpp | Act/360 day counter |
    actual365fixed.hpp | Actual/365 (Fixed) day counter |
    actualactual.hpp | Act/act day counters |
    business252.hpp | Business/252 day counter |
    one.hpp | 1/1 day counter |
    simpledaycounter.hpp | Simple day counter for reproducing theoretical calculations |
    thirty360.hpp | 30/360 day counters |
   businessdayconvention.hpp | BusinessDayConvention enumeration |
   calendar.hpp | calendar class |
   date.hpp | Date- and time-related classes, typedefs and enumerations |
   dategenerationrule.hpp | Date generation rule |
   daycounter.hpp | Day counter class |
   ecb.hpp | European Central Bank reserve maintenance date functions |
   frequency.hpp | Frequency enumeration |
   imm.hpp | IMM-related date functions |
   period.hpp | Period- and frequency-related classes and enumerations |
   schedule.hpp | Date schedule |
   timeunit.hpp | TimeUnit enumeration |
   weekday.hpp | Weekday enumeration |
  utilities | |
   clone.hpp | Cloning proxy to an underlying object |
   dataformatters.hpp | Output manipulators |
   dataparsers.hpp | Classes used to parse data for input |
   disposable.hpp | Generic disposable object with move semantics |
   null.hpp | Null values |
   observablevalue.hpp | Observable and assignable proxy to concrete value |
   steppingiterator.hpp | Iterator advancing in constant steps |
   tracing.hpp | Tracing facilities |
   vectors.hpp | Utilities for vector manipulation |
  cashflow.hpp | Base class for cash flows |
  compounding.hpp | Compounding enumeration |
  currency.hpp | Currency specification |
  default.hpp | Classes for default-event handling |
  discretizedasset.hpp | Discretized asset classes |
  errors.hpp | Classes and functions for error handling |
  event.hpp | Base class for events associated with a given date |
  exchangerate.hpp | Exchange rate between two currencies |
  exercise.hpp | Option exercise classes and payoff function |
  grid.hpp | Grid constructors |
  handle.hpp | Globally accessible relinkable pointer |
  index.hpp | Virtual base class for indexes |
  instrument.hpp | Abstract instrument class |
  interestrate.hpp | Instrument rate class |
  money.hpp | Cash amount in a given currency |
  numericalmethod.hpp | Numerical method class |
  option.hpp | Base option class |
  payoff.hpp | Option payoff classes |
  position.hpp | Short or long position |
  prices.hpp | Price classes |
  pricingengine.hpp | Base class for pricing engines |
  qldefines.hpp | Global definitions and compiler switches |
  quote.hpp | Purely virtual base class for market observables |
  settings.hpp | Global repository for run-time library settings |
  stochasticprocess.hpp | Stochastic processes |
  termstructure.hpp | Base class for term structures |
  timegrid.hpp | Discrete time grid |
  timeseries.hpp | Container for historical data |
  types.hpp | Custom types |
  version.hpp | Version number |
  volatilitymodel.hpp | Volatility term structures |