Class List
Here are the classes, structs, unions and interfaces with brief descriptions:
AbcdAtmVolCurveAbcd-interpolated at-the-money (no-smile) volatility curve
AbcdFunctionAbcd functional form for instantaneous volatility
AbcdVolAbcd-interpolated volatility structure
AccountingEngineEngine collecting cash flows along a market-model simulation
Actual360Actual/360 day count convention
Actual365FixedActual/365 (Fixed) day count convention
ActualActualActual/Actual day count
AcyclicVisitorDegenerate base class for the Acyclic Visitor pattern
AdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
AffineModelAffine model class
AliMikhailHaqCopulaAli-Mikhail-Haq copula
AmericanConditionAmerican exercise condition
AmericanExerciseAmerican exercise
AmericanPayoffAtExpiryAnalytic formula for American exercise payoff at-expiry options
AmericanPayoffAtHitAnalytic formula for American exercise payoff at-hit options
AmortizingCmsRateBondAmortizing CMS-rate bond
AmortizingFixedRateBondAmortizing fixed-rate bond
AmortizingFloatingRateBondAmortizing floating-rate bond (possibly capped and/or floored)
AmortizingPaymentAmortizing payment
AnalyticAmericanMargrabeEngineAnalytic engine for American Margrabe option
AnalyticBarrierEnginePricing engine for barrier options using analytical formulae
AnalyticBSMHullWhiteEngineAnalytic european option pricer including stochastic interest rates
AnalyticCapFloorEngineAnalytic engine for cap/floor
AnalyticCliquetEnginePricing engine for Cliquet options using analytical formulae
AnalyticCompoundOptionEnginePricing engine for compound options using analytical formulae
AnalyticContinuousFixedLookbackEnginePricing engine for European continuous fixed-strike lookback
AnalyticContinuousFloatingLookbackEnginePricing engine for European continuous floating-strike lookback
AnalyticContinuousGeometricAveragePriceAsianEnginePricing engine for European continuous geometric average price Asian
AnalyticDigitalAmericanEngineAnalytic pricing engine for American vanilla options with digital payoff
AnalyticDiscreteGeometricAveragePriceAsianEnginePricing engine for European discrete geometric average price Asian
AnalyticDiscreteGeometricAverageStrikeAsianEnginePricing engine for European discrete geometric average-strike Asian option
AnalyticDividendEuropeanEngineAnalytic pricing engine for European options with discrete dividends
AnalyticEuropeanEnginePricing engine for European vanilla options using analytical formulae
AnalyticEuropeanMargrabeEngineAnalytic engine for European Margrabe option
AnalyticGJRGARCHEngineGJR-GARCH(1,1) engine
AnalyticHaganPricerCMS-coupon pricer
AnalyticHestonEngineAnalytic Heston-model engine based on Fourier transform
AnalyticHestonHullWhiteEngineAnalytic Heston engine incl. stochastic interest rates
AnalyticPerformanceEnginePricing engine for performance options using analytical formulae
AnalyticPTDHestonEngineAnalytic piecewise constant time dependent Heston-model engine
AnalyticSimpleChooserEnginePricing engine for European Simple Chooser option
AnalyticWriterExtensibleOptionEngineAnalytic engine for writer-extensible options
ArgentinaArgentinian calendars
ArmijoLineSearchArmijo line search
Array1-D array used in linear algebra
ARSCurrencyArgentinian peso
AssetOrNothingPayoffBinary asset-or-nothing payoff
AssetSwapBullet bond vs Libor swap
AssetSwap::argumentsArguments for asset swap calculation
AssetSwap::resultsResults from simple swap calculation
AtomicDefaultAtomic (single contractual event) default events
ATSCurrencyAustrian shilling
AUCPIAU CPI index (either quarterly or annual)
AUDCurrencyAustralian dollar
AUDLiborAUD LIBOR rate
AustraliaAustralian calendar
AustraliaRegionAustralia as geographical/economic region
AveragePlaceholder for enumerated averaging types
AverageBMACouponAverage BMA coupon
AverageBMALegHelper class building a sequence of average BMA coupons
BachelierYoYInflationCouponPricerBachelier-formula pricer for capped/floored yoy inflation coupons
BackwardFlatBackward-flat interpolation factory and traits
BackwardFlatInterpolationBackward-flat interpolation between discrete points
BaroneAdesiWhaleyApproximationEngineBarone-Adesi and Whaley pricing engine for American options (1987)
BarrierPlaceholder for enumerated barrier types
BarrierOptionBarrier option on a single asset
BarrierOption::argumentsArguments for barrier option calculation
BarrierOption::engineBarrier-option engine base class
Basket
BasketOptionBasket option on a number of assets
BasketOption::engineBasket-option engine base class
BatesEngineBates model engines based on Fourier transform
BatesModelBates stochastic-volatility model
BatesProcessSquare-root stochastic-volatility Bates process
BDTCurrencyBangladesh taka
BEFCurrencyBelgian franc
BermudanExerciseBermudan exercise
BernsteinPolynomialClass of Bernstein polynomials
BespokeCalendarBespoke calendar
BFGSBroyden-Fletcher-Goldfarb-Shanno algorithm
BGLCurrencyBulgarian lev
BicubicBicubic-spline-interpolation factory
BicubicSplineBicubic-spline interpolation between discrete points
BilinearBilinear-interpolation factory
BilinearInterpolationbilinear interpolation between discrete points
BinomialConvertibleEngine< T >Binomial Tsiveriotis-Fernandes engine for convertible bonds
BinomialDistributionBinomial probability distribution function
BinomialProbabilityOfAtLeastNEventsProbability of at least N events
BinomialTree< T >Binomial tree base class
BinomialVanillaEngine< T >Pricing engine for vanilla options using binomial trees
BisectionBisection 1-D solver
BivariateCumulativeNormalDistributionDr78Cumulative bivariate normal distribution function
BivariateCumulativeNormalDistributionWe04DPCumulative bivariate normal distibution function (West 2004)
BjerksundStenslandApproximationEngineBjerksund and Stensland pricing engine for American options (1993)
BlackAtmVolCurveBlack at-the-money (no-smile) volatility curve
BlackCalculatorBlack 1976 calculator class
BlackCallableFixedRateBondEngineBlack-formula callable fixed rate bond engine
BlackCallableZeroCouponBondEngineBlack-formula callable zero coupon bond engine
BlackCapFloorEngineBlack-formula cap/floor engine
BlackCdsOptionEngineBlack-formula CDS-option engine
BlackConstantVolConstant Black volatility, no time-strike dependence
BlackDeltaCalculatorBlack delta calculator class
BlackIborCouponPricerBlack-formula pricer for capped/floored Ibor coupons
BlackKarasinskiStandard Black-Karasinski model class
BlackKarasinski::DynamicsShort-rate dynamics in the Black-Karasinski model
BlackProcessBlack (1976) stochastic process
BlackScholesCalculatorBlack-Scholes 1973 calculator class
BlackScholesLattice< T >Simple binomial lattice approximating the Black-Scholes model
BlackScholesMertonProcessMerton (1973) extension to the Black-Scholes stochastic process
BlackScholesProcessBlack-Scholes (1973) stochastic process
BlackSwaptionEngineBlack-formula swaption engine
BlackVarianceCurveBlack volatility curve modelled as variance curve
BlackVarianceSurfaceBlack volatility surface modelled as variance surface
BlackVarianceTermStructureBlack variance term structure
BlackVolatilityTermStructureBlack-volatility term structure
BlackVolSurfaceBlack volatility (smile) surface
BlackVolTermStructureBlack-volatility term structure
BlackYoYInflationCouponPricerBlack-formula pricer for capped/floored yoy inflation coupons
BMAIndexBond Market Association index
BMASwapSwap paying Libor against BMA coupons
BMASwapRateHelperRate helper for bootstrapping over BMA swap rates
BondBase bond class
BondFunctionsBond adapters of CashFlows functions
BondHelperFixed-coupon bond helper
BootstrapError< Curve >Bootstrap error
BootstrapHelper< TS >Base helper class for bootstrapping
BoundaryCondition< Operator >Abstract boundary condition class for finite difference problems
BoundaryConstraintConstraint imposing all arguments to be in [low,high]
BoxMullerGaussianRng< RNG >Gaussian random number generator
BrazilBrazilian calendar
BrentBrent 1-D solver
BRLCurrencyBrazilian real
BrownianBridgeBuilds Wiener process paths using Gaussian variates
BSMOperatorBlack-Scholes-Merton differential operator
BSplineB-spline basis functions
BTPItalian BTP (Buono Poliennali del Tesoro) fixed rate bond
Business252Business/252 day count convention
BYRCurrencyBelarussian ruble
CADCurrencyCanadian dollar
CADLiborCAD LIBOR rate
CADLiborONOvernight CAD Libor index
Calendarcalendar class
Calendar::ImplAbstract base class for calendar implementations
Calendar::OrthodoxImplPartial calendar implementation
Calendar::WesternImplPartial calendar implementation
CalibratedModelCalibrated model class
CalibrationHelperLiquid market instrument used during calibration
Callabilityinstrument callability
Callability::PriceAmount to be paid upon callability
CallableBondCallable bond base class
CallableBond::engineBase class for callable fixed rate bond engine
CallableBond::resultsResults for a callable bond calculation
CallableBondConstantVolatilityConstant callable-bond volatility, no time-strike dependence
CallableBondVolatilityStructureCallable-bond volatility structure
CallableFixedRateBondCallable/puttable fixed rate bond
CallableZeroCouponBondCallable/puttable zero coupon bond
CanadaCanadian calendar
CapConcrete cap class
CapFloorBase class for cap-like instruments
CapFloor::argumentsArguments for cap/floor calculation
CapFloor::engineBase class for cap/floor engines
CapFloorTermVolatilityStructureCap/floor term-volatility structure
CapFloorTermVolCurveCap/floor at-the-money term-volatility vector
CapFloorTermVolSurfaceCap/floor smile volatility surface
CapHelperCalibration helper for ATM cap
CapletVarianceCurve
CappedFlooredCouponCapped and/or floored floating-rate coupon
CappedFlooredYoYInflationCouponCapped or floored inflation coupon
CapPseudoDerivative
CashFlowBase class for cash flows
CashFlowscashflow-analysis functions
CashOrNothingPayoffBinary cash-or-nothing payoff
CCTEU
CDOCollateralized debt obligation
CdorCDOR rate
CdsHelper
CdsOptionCDS option
CdsOption::argumentsArguments for CDS-option calculation
CdsOption::engineBase class for swaption engines
CdsOption::resultsResults from CDS-option calculation
CeilingTruncationCeiling truncation
CHFCurrencySwiss franc
CHFLiborCHF LIBOR rate
ChfLiborSwapIsdaFixChfLiborSwapIsdaFix index base class
ChinaChinese calendar
ClaimClaim associated to a default event
ClaytonCopulaClayton copula
ClaytonCopulaRng< RNG >Clayton copula random-number generator
CLGaussianRng< RNG >Gaussian random number generator
CliquetOptionCliquet (Ratchet) option
CliquetOption::argumentsArguments for cliquet option calculation
CliquetOption::engineCliquet engine base class
Clone< T >Cloning proxy to an underlying object
ClosestRoundingClosest rounding
CLPCurrencyChilean peso
CmsCouponCMS coupon class
CmsCouponPricerBase pricer for vanilla CMS coupons
CmsLegHelper class building a sequence of capped/floored cms-rate coupons
CmsMarketSet of CMS quotes
CMSMMDriftCalculatorDrift computation for CMS market models
CmsRateBondCMS-rate bond
CMSwapCurveStateCurve state for constant-maturity-swap market models
CNYCurrencyChinese yuan
CollarConcrete collar class
CommodityCommodity base class
CommodityCurveCommodity term structure
CommodityIndexBase class for commodity indexes
CommodityPricingHelperCommodity index helper
CommoditySettingsGlobal repository for run-time library settings
CommodityTypeCommodity type
Composite< T >Composite pattern
CompositeConstraintConstraint enforcing both given sub-constraints
CompositeInstrumentComposite instrument
CompositeQuote< BinaryFunction >Market element whose value depends on two other market element
CompoundOptionCompound option on a single asset
CompoundOption::engineCompound-option engine base class
ConjugateGradientMulti-dimensional Conjugate Gradient class
ConstantCapFloorTermVolatilityConstant caplet volatility, no time-strike dependence
ConstantCPIVolatilityConstant surface, no K or T dependence
ConstantEstimatorConstant-estimator volatility model
ConstantOptionletVolatilityConstant caplet volatility, no time-strike dependence
ConstantParameterStandard constant parameter $ a(t) = a $
ConstantRecoveryModel
ConstantSwaptionVolatilityConstant swaption volatility, no time-strike dependence
ConstantYoYOptionletVolatilityConstant surface, no K or T dependence
ConstrainedEvolverConstrained market-model evolver
ConstraintBase constraint class
Constraint::ImplBase class for constraint implementations
ContinuousAveragingAsianOptionContinuous-averaging Asian option
ContinuousAveragingAsianOption::argumentsExtra arguments for single-asset continuous-average Asian option
ContinuousAveragingAsianOption::engineContinuous-averaging Asian engine base class
ContinuousFixedLookbackOptionContinuous-fixed lookback option
ContinuousFixedLookbackOption::argumentsArguments for continuous fixed lookback option calculation
ContinuousFixedLookbackOption::engineContinuous fixed lookback engine base class
ContinuousFloatingLookbackOptionContinuous-floating lookback option
ContinuousFloatingLookbackOption::argumentsArguments for continuous floating lookback option calculation
ContinuousFloatingLookbackOption::engineContinuous floating lookback engine base class
ConvergenceStatistics< T, U >Statistics class with convergence table
ConvertibleBondBase class for convertible bonds
ConvertibleFixedCouponBondConvertible fixed-coupon bond
ConvertibleFloatingRateBondConvertible floating-rate bond
ConvertibleZeroCouponBondConvertible zero-coupon bond
ConvexMonotoneConvex-monotone interpolation factory and traits
ConvexMonotoneInterpolation< I1, I2 >Convex monotone yield-curve interpolation method
COPCurrencyColombian peso
CostFunctionCost function abstract class for optimization problem
CoterminalSwapCurveStateCurve state for coterminal-swap market models
Couponcoupon accruing over a fixed period
CovarianceDecompositionCovariance decomposition into correlation and variances
CoxIngersollRossCox-Ingersoll-Ross model class
CoxIngersollRoss::DynamicsDynamics of the short-rate under the Cox-Ingersoll-Ross model
CoxRossRubinsteinCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
CPIBond
CPICapFloorCPI cap or floor
CPICapFloorTermPriceSurfaceProvides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity)
CPICashFlowCash flow paying the performance of a CPI (zero inflation) index
CPICouponCoupon paying the performance of a CPI (zero inflation) index
CPICouponPricerBase pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
CPILegHelper class building a sequence of capped/floored CPI coupons
CPISwapZero-inflation-indexed swap,
CPISwap::argumentsArguments for swap calculation
CPISwap::resultsResults from swap calculation
CPIVolatilitySurfaceZero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
CrankNicolson< Operator >Crank-Nicolson scheme for finite difference methods
CreditDefaultSwapCredit default swap
CubicCubic interpolation factory and traits
CubicBSplinesFittingCubicSpline B-splines fitting method
CubicInterpolationCubic interpolation between discrete points
CumulativeBinomialDistributionCumulative binomial distribution function
CumulativeNormalDistributionCumulative normal distribution function
CumulativePoissonDistributionCumulative Poisson distribution function
CumulativeStudentDistributionCumulative Student t-distribution
CuriouslyRecurringTemplate< Impl >Support for the curiously recurring template pattern
CurrencyCurrency specification
CurveAbstract curve class
CurveStateCurve state for market-model simulations
CYPCurrencyCyprus pound
CzechRepublicCzech calendars
CZKCurrencyCzech koruna
DailyTenorCHFLiborBase class for the one day deposit BBA CHF LIBOR indexes
DailyTenorEURLiborBase class for the one day deposit BBA EUR LIBOR indexes
DailyTenorGBPLiborBase class for the one day deposit BBA GBP LIBOR indexes
DailyTenorJPYLiborBase class for the one day deposit BBA JPY LIBOR indexes
DailyTenorLiborBase class for all O/N-S/N BBA LIBOR indexes but the EUR ones
DailyTenorUSDLiborBase class for the one day deposit BBA USD LIBOR indexes
DateConcrete date class
DatedOISRateHelperRate helper for bootstrapping over Overnight Indexed Swap rates
DateGenerationDate-generation rule
DateIntervalDate interval described by a number of a given time unit
DayCounterDay counter class
DayCounter::ImplAbstract base class for day counter implementations
DefaultDensityDefault-density-curve traits
DefaultDensityStructureDefault-density term structure
DefaultEventCredit event on a bond of a certain seniority(ies)/currency
DefaultProbabilityTermStructureDefault probability term structure
DefaultProbKey
DefaultTypeAtomic credit-event type
DeltaVolQuoteClass for the quotation of delta vs vol
DEMCurrencyDeutsche mark
DenmarkDanish calendar
DepositRateHelperRate helper for bootstrapping over deposit rates
DerivedQuote< UnaryFunction >Market quote whose value depends on another quote
ImpliedVolatilityHelperHelper class for one-asset implied-volatility calculation
DigitalCmsCouponCms-rate coupon with digital digital call/put option
DigitalCmsLegHelper class building a sequence of digital ibor-rate coupons
DigitalCouponDigital-payoff coupon
DigitalIborCouponIbor rate coupon with digital digital call/put option
DigitalIborLegHelper class building a sequence of digital ibor-rate coupons
DirichletBCNeumann boundary condition (i.e., constant value)
DiscountDiscount-curve traits
DiscrepancyStatisticsStatistic tool for sequences with discrepancy calculation
DiscreteAveragingAsianOptionDiscrete-averaging Asian option
DiscreteAveragingAsianOption::argumentsExtra arguments for single-asset discrete-average Asian option
DiscreteAveragingAsianOption::engineDiscrete-averaging Asian engine base class
DiscretizedAssetDiscretized asset class used by numerical methods
DiscretizedDiscountBondUseful discretized discount bond asset
DiscretizedOptionDiscretized option on a given asset
Disposable< T >Generic disposable object with move semantics
DividendPredetermined cash flow
DividendBarrierOptionSingle-asset barrier option with discrete dividends
DividendBarrierOption::argumentsArguments for dividend barrier option calculation
DividendBarrierOption::engineDividend-barrier-option engine base class
DividendVanillaOptionSingle-asset vanilla option (no barriers) with discrete dividends
DividendVanillaOption::argumentsArguments for dividend vanilla option calculation
DividendVanillaOption::engineDividend-vanilla-option engine base class
DKKCurrencyDanish krone
DKKLiborDKK LIBOR rate
DMinus$ D_{-} $ matricial representation
Domaindomain abstract lcass
DoubleStickyRatchetPayoffIntermediate class for single/double sticky/ratchet payoffs
DownRoundingDown-rounding
DPlus$ D_{+} $ matricial representation
DPlusDMinus$ D_{+}D_{-} $ matricial representation
DriftTermStructureDrift term structure
Durationduration type
DZero$ D_{0} $ matricial representation
EarlyExerciseEarly-exercise base class
EarlyExercisePathPricer< PathType, TimeType, ValueType >Base class for early exercise path pricers
ECBEuropean Central Bank reserve maintenance dates
EEKCurrencyEstonian kroon
EndCriteriaCriteria to end optimization process:
EndEulerDiscretizationEuler end-point discretization for stochastic processes
EnergyBasisSwapEnergy basis swap
EnergyCommodityEnergy commodity class
EnergyFutureEnergy future
EnergyVanillaSwapVanilla energy swap
EoniaEonia (Euro Overnight Index Average) rate fixed by the ECB
EqualJumpsBinomialTree< T >Base class for equal jumps binomial tree
EqualProbabilitiesBinomialTree< T >Base class for equal probabilities binomial tree
EquityFXVolSurfaceEquity/FX volatility (smile) surface
ErrorBase error class
ErrorFunctionError function
ESPCurrencySpanish peseta
EUHICPEU HICP index
EUHICPXTEU HICPXT index
EulerDiscretizationEuler discretization for stochastic processes
EURCurrencyEuropean Euro
EURegionEuropean Union as geographical/economic region
EuriborEuribor index
Euribor10M10-months Euribor index
Euribor11M11-months Euribor index
Euribor1M1-month Euribor index
Euribor1Y1-year Euribor index
Euribor2M2-months Euribor index
Euribor2W2-weeks Euribor index
Euribor365Actual/365 Euribor index
Euribor365_10M10-months Euribor365 index
Euribor365_11M11-months Euribor365 index
Euribor365_1M1-month Euribor365 index
Euribor365_1Y1-year Euribor365 index
Euribor365_2M2-months Euribor365 index
Euribor365_2W2-weeks Euribor365 index
Euribor365_3M3-months Euribor365 index
Euribor365_3W3-weeks Euribor365 index
Euribor365_4M4-months Euribor365 index
Euribor365_5M5-months Euribor365 index
Euribor365_6M6-months Euribor365 index
Euribor365_7M7-months Euribor365 index
Euribor365_8M8-months Euribor365 index
Euribor365_9M9-months Euribor365 index
Euribor365_SW1-week Euribor365 index
Euribor3M3-months Euribor index
Euribor3W3-weeks Euribor index
Euribor4M4-months Euribor index
Euribor5M5-months Euribor index
Euribor6M6-months Euribor index
Euribor7M7-months Euribor index
Euribor8M8-months Euribor index
Euribor9M9-months Euribor index
EuriborSW1-week Euribor index
EuriborSwapIfrFixEuriborSwapIfrFix index base class
EuriborSwapIsdaFixAEuriborSwapIsdaFixA index base class
EuriborSwapIsdaFixBEuriborSwapIsdaFixB index base class
EURLiborBase class for all BBA EUR LIBOR indexes but the O/N
EURLibor10M10-months EUR Libor index
EURLibor11M11-months EUR Libor index
EURLibor1M1-month EUR Libor index
EURLibor1Y1-year EUR Libor index
EURLibor2M2-months EUR Libor index
EURLibor2W2-weeks EUR Libor index
EURLibor3M3-months EUR Libor index
EURLibor4M4-months EUR Libor index
EURLibor5M5-months EUR Libor index
EURLibor6M6-months EUR Libor index
EURLibor7M7-months EUR Libor index
EURLibor8M8-months EUR Libor index
EURLibor9M9-months EUR Libor index
EURLiborONOvernight EUR Libor index
EURLiborSW1-week EUR Libor index
EurLiborSwapIfrFixEurLiborSwapIfrFix index base class
EurLiborSwapIsdaFixAEurLiborSwapIsdaFixA index base class
EurLiborSwapIsdaFixBEurLiborSwapIsdaFixB index base class
EurodollarFuturesImpliedStdDevQuotequote for the Eurodollar-future implied standard deviation
EuropeanExerciseEuropean exercise
EuropeanOptionEuropean option on a single asset
EventBase class for event
EvolutionDescriptionMarket-model evolution description
ExchangeRateExchange rate between two currencies
ExchangeRateManagerExchange-rate repository
ExerciseBase exercise class
ExplicitEuler< Operator >Forward Euler scheme for finite difference methods
ExponentialJump1dMesher
ExponentialSplinesFittingExponential-splines fitting method
ExtendedAdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
ExtendedBinomialTree< T >Binomial tree base class
ExtendedBlackScholesMertonProcessExperimental Black-Scholes-Merton stochastic process
ExtendedBlackVarianceCurveBlack volatility curve modelled as variance curve
ExtendedBlackVarianceSurfaceBlack volatility surface modelled as variance surface
ExtendedCoxIngersollRossExtended Cox-Ingersoll-Ross model class
ExtendedCoxIngersollRoss::DynamicsShort-rate dynamics in the extended Cox-Ingersoll-Ross model
ExtendedCoxIngersollRoss::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
ExtendedCoxRossRubinsteinCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
ExtendedEqualJumpsBinomialTree< T >Base class for equal jumps binomial tree
ExtendedEqualProbabilitiesBinomialTree< T >Base class for equal probabilities binomial tree
ExtendedJarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
ExtendedLeisenReimerLeisen & Reimer tree: multiplicative approach
ExtendedOrnsteinUhlenbeckProcessExtended Ornstein-Uhlenbeck process class
ExtendedTianTian tree: third moment matching, multiplicative approach
ExtendedTrigeorgisTrigeorgis (additive equal jumps) binomial tree
ExtOUWithJumpsProcess
ExtrapolatorBase class for classes possibly allowing extrapolation
FaceValueAccrualClaimClaim on the notional of a reference security, including accrual
FaceValueClaimClaim on a notional
FactorialFactorial numbers calculator
FactorSpreadedHazardRateCurveDefault-probability structure with a multiplicative spread on hazard rates
FailureToPayFailure to Pay atomic event type
FalsePositionFalse position 1-D solver
FarlieGumbelMorgensternCopulaFarlie-Gumbel-Morgenstern copula
FarlieGumbelMorgensternCopulaRng< RNG >Farlie-Gumbel-Morgenstern copula random-number generator
FastFourierTransformFFT implementation
FaureRsgFaure low-discrepancy sequence generator
Fd2dBlackScholesVanillaEngineTwo dimensional finite-differences Black Scholes vanilla option engine
FDAmericanEngine< Scheme >Finite-differences pricing engine for American one asset options
FdBatesVanillaEnginePartial Integro FiniteDifferences Bates Vanilla Option engine
FDBermudanEngine< Scheme >Finite-differences Bermudan engine
FdBlackScholesBarrierEngineFinite-Differences Black Scholes barrier option engine
FdBlackScholesRebateEngineFinite-Differences Black Scholes barrier option rebate helper 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
FDEuropeanEngine< Scheme >Pricing engine for European options using finite-differences
FdHestonBarrierEngineFinite-Differences Heston Barrier Option engine
FdHestonHullWhiteVanillaEngineFinite-Differences Heston Hull-White Vanilla Option engine
FdHestonRebateEngineFinite-Differences Heston Barrier Option rebate helper engine
FdHestonVanillaEngineFinite-Differences Heston Vanilla Option engine
FdmExtOUJumpOp
FdmKlugeExtOUOp
FDShoutEngine< Scheme >Finite-differences pricing engine for shout vanilla options
FDStepConditionEngine< Scheme >Finite-differences pricing engine for American-style vanilla options
FDVanillaEngineFinite-differences pricing engine for BSM one asset options
FFTEngineBase class for FFT pricing engines for European vanilla options
FFTVanillaEngineFFT Pricing engine vanilla options under a Black Scholes process
FFTVarianceGammaEngineFFT engine for vanilla options under a Variance Gamma process
FIMCurrencyFinnish markka
FiniteDifferenceModel< Evolver >Generic finite difference model
FiniteDifferenceNewtonSafeSafe Newton 1-D solver with finite difference derivatives
FinlandFinnish calendar
FittedBondDiscountCurveDiscount curve fitted to a set of fixed-coupon bonds
FittedBondDiscountCurve::FittingMethodBase fitting method used to construct a fitted bond discount curve
FixedDividendPredetermined cash flow
FixedRateBondFixed-rate bond
FixedRateBondForwardForward contract on a fixed-rate bond
FixedRateCouponCoupon paying a fixed interest rate
FixedRateLegHelper class building a sequence of fixed rate coupons
FlatForwardFlat interest-rate curve
FlatHazardRateFlat hazard-rate curve
FloatingRateBondFloating-rate bond (possibly capped and/or floored)
FloatingRateCouponBase floating-rate coupon class
FloatingRateCouponPricerGeneric pricer for floating-rate coupons
FloatingTypePayoffPayoff based on a floating strike
FloorConcrete floor class
FloorTruncationFloor truncation
ForwardAbstract base forward class
ForwardFlatForward-flat interpolation factory and traits
ForwardFlatInterpolationForward-flat interpolation between discrete points
ForwardMeasureProcessForward-measure stochastic process
ForwardMeasureProcess1DForward-measure 1-D stochastic process
ForwardOptionArguments< ArgumentsType >Arguments for forward (strike-resetting) option calculation
ForwardPerformanceVanillaEngine< Engine >Forward performance engine for vanilla options
ForwardRateForward-curve traits
ForwardRateStructureForward-rate term structure
ForwardSpreadedTermStructureTerm structure with added spread on the instantaneous forward rate
ForwardSwapQuoteQuote for a forward starting swap
ForwardTypePayoffClass for forward type payoffs
ForwardValueQuotequote for the forward value of an index
ForwardVanillaEngine< Engine >Forward engine for vanilla options
ForwardVanillaOptionForward version of a vanilla option
FractionalDividendPredetermined cash flow
FranceRegionFrance as geographical/economic region
FrankCopulaFrank copula
FrankCopulaRng< RNG >Frank copula random-number generator
FraRateHelperRate helper for bootstrapping over FRA rates
FRFCurrencyFrench franc
FRHICPFR HICP index
FuturesConvAdjustmentQuotequote for the futures-convexity adjustment of an index
FuturesRateHelperRate helper for bootstrapping over IborIndex futures prices
G2Two-additive-factor gaussian model class
G2::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
G2ForwardProcessForward G2 stochastic process
G2ProcessG2 stochastic process
G2SwaptionEngineSwaption priced by means of the Black formula
GalambosCopulaGalambos copula
GammaFunctionGamma function class
GapPayoffBinary gap payoff
Garch11GARCH volatility model
GarmanKlassAbstractGarman-Klass volatility model
GarmanKohlagenProcessGarman-Kohlhagen (1983) stochastic process
GaussChebyshev2ndIntegrationGauss-Chebyshev integration (second kind)
GaussChebyshev2ndPolynomialGauss-Chebyshev polynomial (second kind)
GaussChebyshevIntegrationGauss-Chebyshev integration
GaussChebyshevPolynomialGauss-Chebyshev polynomial
GaussGegenbauerIntegrationGauss-Gegenbauer integration
GaussGegenbauerPolynomialGauss-Gegenbauer polynomial
GaussHermiteIntegrationGeneralized Gauss-Hermite integration
GaussHermitePolynomialGauss-Hermite polynomial
GaussHyperbolicIntegrationGauss-Hyperbolic integration
GaussHyperbolicPolynomialGauss hyperbolic polynomial
GaussianCopulaGaussian copula
GaussianKernelGaussian kernel function
GaussianLHPCDOEngine< CDOEngine >
GaussianOrthogonalPolynomialOrthogonal polynomial for Gaussian quadratures
GaussianQuadratureIntegral of a 1-dimensional function using the Gauss quadratures method
GaussianRandomDefaultModel
GaussianRecursiveCdoEngine< CDOEngine >Specialization for Gaussian copula, the integration still remains
GaussJacobiIntegrationGauss-Jacobi integration
GaussJacobiPolynomialGauss-Jacobi polynomial
GaussKronrodAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
GaussKronrodNonAdaptiveIntegral of a 1-dimensional function using the Gauss-Kronrod methods
GaussLaguerreIntegrationGeneralized Gauss-Laguerre integration
GaussLaguerrePolynomialGauss-Laguerre polynomial
GaussLegendreIntegrationGauss-Legendre integration
GaussLegendrePolynomialGauss-Legendre polynomial
GaussLobattoIntegralIntegral of a one-dimensional function
GBPCurrencyBritish pound sterling
GBPLiborGBP LIBOR rate
GBPLiborONOvernight GBP Libor index
GbpLiborSwapIsdaFixGbpLiborSwapIsdaFix index base class
GemanRoncoroniProcessGeman-Roncoroni process class
GeneralizedBlackScholesProcessGeneralized Black-Scholes stochastic process
GeneralizedHullWhiteGeneralized Hull-White model class
GeneralizedHullWhite::DynamicsShort-rate dynamics in the generalized Hull-White model
GeneralizedOrnsteinUhlenbeckProcessPiecewise linear Ornstein-Uhlenbeck process class
GeneralLinearLeastSquaresGeneral linear least squares regression
GeneralStatisticsStatistics tool
GenericCPIGeneric CPI index
GenericEngine< ArgumentsType, ResultsType >Template base class for option pricing engines
GenericGaussianStatistics< Stat >Statistics tool for gaussian-assumption risk measures
GenericModelEngine< ModelType, ArgumentsType, ResultsType >Base class for some pricing engine on a particular model
GenericRegionGeneric geographical/economic region
GenericRiskStatistics< S >Empirical-distribution risk measures
GenericSequenceStatistics< StatisticsType >Statistics analysis of N-dimensional (sequence) data
GeometricBrownianMotionProcessGeometric brownian-motion process
GermanyGerman calendars
GJRGARCHModelGJR-GARCH model for the stochastic volatility of an asset
GJRGARCHProcessStochastic-volatility GJR-GARCH(1,1) process
GRDCurrencyGreek drachma
GreeksAdditional option results
GumbelCopulaGumbel copula
HaganPricerCMS-coupon pricer
HaltonRsgHalton low-discrepancy sequence generator
Handle< T >Shared handle to an observable
HazardRateHazard-rate-curve traits
HazardRateStructureHazard-rate term structure
HestonModelHeston model for the stochastic volatility of an asset
HestonModelHelperCalibration helper for Heston model
HestonProcessSquare-root stochastic-volatility Heston process
HimalayaOptionHimalaya option
HistogramHistogram class
HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >Historical correlation class
HistoricalRatesAnalysisHistorical rate analysis class
HKDCurrencyHonk Kong dollar
HomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss distribution convolution for finite homogeneous pool
HongKongHong Kong calendars
HUFCurrencyHungarian forint
HullWhiteSingle-factor Hull-White (extended Vasicek) model class
HullWhite::DynamicsShort-rate dynamics in the Hull-White model
HullWhite::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
HullWhiteForwardProcessForward Hull-White stochastic process
HullWhiteProcessHull-White stochastic process
HungaryHungarian calendar
HuslerReissCopulaHusler-Reiss copula
HybridHestonHullWhiteProcessHybrid Heston Hull-White stochastic process
IborCouponCoupon paying a Libor-type index
IborCouponPricerBase pricer for capped/floored Ibor coupons
IborIndexBase class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
IborLegHelper class building a sequence of capped/floored ibor-rate coupons
IcelandIcelandic calendars
IEPCurrencyIrish punt
ILSCurrencyIsraeli shekel
IMMMain cycle of the International Money Market (a.k.a. IMM) months
ImplicitEuler< Operator >Backward Euler scheme for finite difference methods
ImpliedStdDevQuotequote for the implied standard deviation of an underlying
ImpliedTermStructureImplied term structure at a given date in the future
ImpliedVolTermStructureImplied vol term structure at a given date in the future
IncrementalStatisticsStatistics tool based on incremental accumulation
IndependentCopulaIndependent copula
IndexPurely virtual base class for indexes
IndexedCashFlowCash flow dependent on an index ratio
IndexManagerGlobal repository for past index fixings
IndiaIndian calendars
IndonesiaIndonesian calendars
InflationCouponBase inflation-coupon class
InflationCouponPricerBase inflation-coupon pricer
InflationIndexBase class for inflation-rate indexes,
InflationTermStructureInterface for inflation term structures
InhomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss disctribution bucketing for finite inhomogeneous pool
INRCurrencyIndian rupee
InstrumentAbstract instrument class
IntegralCDOEngineCDO base engine taking (possibly) small time steps
IntegralEnginePricing engine for European vanilla options using integral approach
IntegralHestonVarianceOptionEngineIntegral Heston-model variance-option engine
InterestRateConcrete interest rate class
InterestRateIndexBase class for interest rate indexes
InterestRateVolSurfaceInterest rate volatility (smile) surface
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
InterpolatedYoYOptionletStripper< Interpolator1D >
InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >Interpolated flat smile surface
InterpolatedZeroCurve< Interpolator >YieldTermStructure based on interpolation of zero rates
InterpolatedZeroInflationCurve< Interpolator >Inflation term structure based on the interpolation of zero rates
InterpolatingCPICapFloorEngine
InterpolationBase class for 1-D interpolations
Interpolation2DBase class for 2-D interpolations
Interpolation2D::ImplAbstract base class for 2-D interpolation implementations
Interpolation2D::templateImpl< I1, I2, M >Basic template implementation
Interpolation::ImplAbstract base class for interpolation implementations
Interpolation::templateImpl< I1, I2 >Basic template implementation
IntervalPriceInterval price
InverseCumulativeNormalInverse cumulative normal distribution function
InverseCumulativePoissonInverse cumulative Poisson distribution function
InverseCumulativeRng< RNG, IC >Inverse cumulative random number generator
InverseCumulativeRsg< USG, IC >Inverse cumulative random sequence generator
InverseCumulativeStudentInverse cumulative Student t-distribution
IQDCurrencyIraqi dinar
IRRCurrencyIranian rial
ISKCurrencyIcelandic krona
ItalyItalian calendars
IterativeBootstrap< Curve >Universal piecewise-term-structure boostrapper
ITLCurrencyItalian lira
JamshidianSwaptionEngineJamshidian swaption engine
JapanJapanese calendar
JarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
JibarJIBAR rate
JointCalendarJoint calendar
JPYCurrencyJapanese yen
JPYLiborJPY LIBOR rate
JpyLiborSwapIsdaFixAmJpyLiborSwapIsdaFixAm index base class
JpyLiborSwapIsdaFixPmJpyLiborSwapIsdaFixPm index base class
JumpDiffusionEngineJump-diffusion engine for vanilla options
JuQuadraticApproximationEnginePricing engine for American options with Ju quadratic approximation
KernelFunction
KernelInterpolationKernel interpolation between discrete points
KernelInterpolation2D
KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >K-interpolated YoY optionlet volatility
KirkEnginePricing engine for spread option on two futures
KirkSpreadOptionEngineKirk approximation for European spread option on futures
KlugeExtOUProcess
KnuthUniformRngUniform random number generator
KRWCurrencySouth-Korean won
KWDCurrencyKuwaiti dinar
LastFixingQuoteQuote adapter for the last fixing available of a given Index
LatticeLattice (tree, finite-differences) base class
LatticeShortRateModelEngine< Arguments, Results >Engine for a short-rate model specialized on a lattice
LazyObjectFramework for calculation on demand and result caching
LeastSquareFunctionCost function for least-square problems
LeastSquareProblemBase class for least square problem
LecuyerUniformRngUniform random number generator
LeisenReimerLeisen & Reimer tree: multiplicative approach
LevenbergMarquardtLevenberg-Marquardt optimization method
LexicographicalView< RandomAccessIterator >Lexicographical 2-D view of a contiguous set of data
LfmCovarianceParameterizationLibor market model parameterization
LfmCovarianceProxyProxy for a libor forward model covariance parameterization
LfmHullWhiteParameterizationLibor market model parameterization based on Hull White paper
LfmSwaptionEngineLibor forward model swaption engine based on Black formula
LiborBase class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones
LiborForwardModelLibor forward model
LiborForwardModelProcessLibor-forward-model process
LinearLinear-interpolation factory and traits
LinearInterpolationLinear interpolation between discrete points
LineSearchBase class for line search
LmConstWrapperVolatilityModelCaplet const volatility model
LmCorrelationModellibor forward correlation model
LmExponentialCorrelationModelExponential correlation model
LmExtLinearExponentialVolModelExtended linear exponential volatility model
LmLinearExponentialCorrelationModellinear exponential correlation model
LmLinearExponentialVolatilityModellinear exponential volatility model
LMMCurveStateCurve state for Libor market models
LMMDriftCalculatorDrift computation for log-normal Libor market models
LMMNormalDriftCalculatorDrift computation for normal Libor market models
LmVolatilityModelCaplet volatility model
LocalBootstrap< Curve >Localised-term-structure bootstrapper for most curve types
LocalConstantVolConstant local volatility, no time-strike dependence
LocalVolCurveLocal volatility curve derived from a Black curve
LocalVolSurfaceLocal volatility surface derived from a Black vol surface
LocalVolTermStructure
LogCubicLog-cubic interpolation factory and traits
LogCubicInterpolationlog-cubic interpolation between discrete points
LogLinearLog-linear interpolation factory and traits
LogLinearInterpolationlog-linear interpolation between discrete points
LogNormalCmSwapRatePcPredictor-Corrector
LogNormalCotSwapRatePcPredictor-Corrector
LogNormalFwdRateBallandIterative Predictor-Corrector
LogNormalFwdRateEulerEuler
LogNormalFwdRateEulerConstrainedEuler stepping
LogNormalFwdRateiBallandIterative Predictor-Corrector
LogNormalFwdRateIpcIterative Predictor-Corrector
LogNormalFwdRatePcPredictor-Corrector
LongstaffSchwartzMultiPathPricerLongstaff-Schwarz path pricer for early exercise options
LongstaffSchwartzPathPricer< PathType >Longstaff-Schwarz path pricer for early exercise options
LossDistProbability formulas and algorithms
LossDistBinomialBinomial loss distribution
LossDistBucketingLoss distribution with Hull-White bucketing
LossDistHomogeneousLoss Distribution for Homogeneous Pool
LossDistMonteCarloLoss distribution with Monte Carlo simulation
LTLCurrencyLithuanian litas
LUFCurrencyLuxembourg franc
LVLCurrencyLatvian lat
MakeCapFloorHelper class
MakeCmsHelper 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
MakeOISHelper class
MakeScheduleHelper class
MakeSwaptionHelper class
MakeVanillaSwapHelper class
MakeYoYInflationCapFloorHelper class
MargrabeOptionMargrabe option on two assets
MargrabeOption::argumentsExtra arguments for Margrabe option
MargrabeOption::engineMargrabe option engine base class
MargrabeOption::resultsExtra results for Margrabe option
MarketModelBase class for market models
MarketModelCashRebate
MarketModelCompositeComposition of two or more market-model products
MarketModelEvolverMarket-model evolver
MarketModelFactoryBase class for market-model factories
MarketModelMultiProductMarket-model product
MarketModelPathwiseCashRebate
MarketModelPathwiseCoterminalSwaptionsDeflated
MarketModelPathwiseCoterminalSwaptionsNumericalDeflated
MarketModelPathwiseDiscounter
MarketModelPathwiseInverseFloater
MarketModelPathwiseMultiCapletMarket-model pathwise caplet
MarketModelPathwiseMultiDeflatedCap
MarketModelPathwiseMultiProductMarket-model pathwise product
MarketModelPathwiseSwap
MarketModelVolProcess
MarshallOlkinCopulaMarshall-Olkin copula
MatrixMatrix used in linear algebra
MaxCopulaMax copula
MCAmericanBasketEngine< RNG >Least-square Monte Carlo engine
MCAmericanEngine< RNG, S >American Monte Carlo engine
MCAmericanPathEngine< RNG >Least-square Monte Carlo engine
MCBarrierEngine< RNG, S >Pricing engine for barrier options using Monte Carlo simulation
MCDigitalEngine< RNG, S >Pricing engine for digital options 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
MCDiscreteAveragingAsianEngine< RNG, S >Pricing engine for discrete average Asians using Monte Carlo simulation
MCDiscreteGeometricAPEngine< RNG, S >Monte Carlo pricing engine for discrete geometric average price Asian
MCEuropeanBasketEngine< RNG, S >Pricing engine for European basket options using Monte Carlo simulation
MCEuropeanEngine< RNG, S >European option pricing engine using Monte Carlo simulation
MCEuropeanGJRGARCHEngine< RNG, S >Monte Carlo GJR-GARCH-model engine for European options
MCEuropeanHestonEngine< RNG, S >Monte Carlo Heston-model engine for European options
MCHullWhiteCapFloorEngine< RNG, S >Monte Carlo Hull-White engine for cap/floors
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
MCPagodaEngine< RNG, S >Pricing engine for pagoda options using Monte Carlo simulation
MCPathBasketEngine< RNG, S >Pricing engine for path dependent basket options using
MCPerformanceEngine< RNG, S >Pricing engine for performance options using Monte Carlo simulation
McSimulation< MC, RNG, S >Base class for Monte Carlo engines
MCVanillaEngine< MC, RNG, S, Inst >Pricing engine for vanilla options using Monte Carlo simulation
MCVarianceSwapEngine< RNG, S >Variance-swap pricing engine using Monte Carlo simulation,
MersenneTwisterUniformRngUniform random number generator
Merton76ProcessMerton-76 jump-diffusion process
MexicoMexican calendars
MidPointCDOEngineCDO base engine taking schedule steps
MinCopulaMin copula
MixedLinearCubicMixed linear/cubic interpolation factory and traits
MixedLinearCubicInterpolationMixed linear/cubic interpolation between discrete points
MixedScheme< Operator >Mixed (explicit/implicit) scheme for finite difference methods
ModifiedCraigSneydSchemeModified Craig-Sneyd scheme
MoneyAmount of cash
MonteCarloCDOEngine1CDO engine, Monte Carlo for the exptected tranche loss distribution
MonteCarloCDOEngine2CDO engine, Monte Carlo for the sample payoff
MonteCarloModel< MC, RNG, S >General-purpose Monte Carlo model for path samples
MoreGreeksMore additional option results
MoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
MTBrownianGeneratorMersenne-twister Brownian generator for market-model simulations
MTLCurrencyMaltese lira
MultiAssetOptionBase class for options on multiple assets
MultiAssetOption::resultsResults from multi-asset option calculation
MultiCubicSpline< i >N-dimensional cubic spline interpolation between discrete points
MultiPathCorrelated multiple asset paths
MultiPathGenerator< GSG >Generates a multipath from a random number generator
MultiplicativePriceSeasonalityMultiplicative seasonality in the price index (CPI/RPI/HICP/etc)
MultiProductCompositeComposition of one or more market-model products
MultiProductMultiStepMultiple-step market-model product
MultiProductOneStepSingle-step market-model product
MultiProductPathwiseWrapper
MultiStepSwaption
MultiVariate< RNG >Default Monte Carlo traits for multi-variate models
MXNCurrencyMexican peso
NelsonSiegelFittingNelson-Siegel fitting method
NeumannBCNeumann boundary condition (i.e., constant derivative)
NewtonNewton 1-D solver
NewtonSafeSafe Newton 1-D solver
NewZealandNew Zealand calendar
NLGCurrencyDutch guilder
NoConstraintNo constraint
NOKCurrencyNorwegian krone
NonLinearLeastSquareNon-linear least-square method
NormalDistributionNormal distribution function
NormalFwdRatePcPredictor-Corrector
NorthAmericaCorpDefaultKeyISDA standard default contractual key for corporate US debt
NorwayNorwegian calendar
NPRCurrencyNepal rupee
NthToDefaultN-th to default swap
Null< Array >Specialization of null template for this class
Null< Date >Specialization of Null template for the Date class
NullCalendarCalendar for reproducing theoretical calculations
NullCondition< array_type >null step condition
NullParameterParameter which is always zero $ a(t) = 0 $
NullPayoffDummy payoff class
NumericHaganPricerCMS-coupon pricer
NZDCurrencyNew Zealand dollar
NZDLiborNZD LIBOR rate
ObservableObject that notifies its changes to a set of observers
ObservableValue< T >observable and assignable proxy to concrete value
ObserverObject that gets notified when a given observable changes
OISRateHelperRate helper for bootstrapping over Overnight Indexed Swap rates
OneAssetOptionBase class for options on a single asset
OneAssetOption::resultsResults from single-asset option calculation
OneDayCounter1/1 day count convention
OneFactorAffineModelSingle-factor affine base class
OneFactorCopulaAbstract base class for one-factor copula models
OneFactorGaussianCopulaOne-factor Gaussian Copula
OneFactorGaussianStudentCopulaOne-factor Gaussian-Student t-Copula
OneFactorModelSingle-factor short-rate model abstract class
OneFactorModel::ShortRateDynamicsBase class describing the short-rate dynamics
OneFactorModel::ShortRateTreeRecombining trinomial tree discretizing the state variable
OneFactorStudentCopulaOne-factor Double Student t-Copula
OneFactorStudentGaussianCopulaOne-factor Student t - Gaussian Copula
OperatorFactoryBlack-Scholes-Merton differential operator
OptimizationMethodAbstract class for constrained optimization method
OptionBase option class
Option::argumentsBasic option arguments
OptionletStripper
OptionletStripper1
OptionletStripper2
OptionletVolatilityStructureOptionlet (caplet/floorlet) volatility structure
OrnsteinUhlenbeckProcessOrnstein-Uhlenbeck process class
OrthogonalizedBumpFinder
OrthogonalProjections
OvernightIndexedCouponOvernight coupon
OvernightIndexedSwapOvernight indexed swap: fix vs compounded overnight rate
OvernightIndexedSwapIndexBase class for overnight indexed swap indexes
OvernightLegHelper class building a sequence of overnight coupons
PagodaOptionRoofed Asian option on a number of assets
PagodaOption::enginePagoda-option engine base class
ParameterBase class for model arguments
Parameter::ImplBase class for model parameter implementation
PathSingle-factor random walk
PathGenerator< GSG >Generates random paths using a sequence generator
PathMultiAssetOptionBase class for path-dependent options on multiple assets
PathMultiAssetOption::argumentsArguments for multi-asset option calculation
PathMultiAssetOption::resultsResults from multi-asset option calculation
PathPayoffAbstract base class for path-dependent option payoffs
PathPricer< PathType, ValueType >Base class for path pricers
PathwiseAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas
PathwiseVegasAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
PathwiseVegasOuterAccountingEngineEngine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas
PayoffAbstract base class for option payoffs
PEHCurrencyPeruvian sol
PEICurrencyPeruvian inti
PENCurrencyPeruvian nuevo sol
PercentageStrikePayoffPayoff with strike expressed as percentage
Period
PerturbativeBarrierOptionEnginePerturbative barrier-option engine
PiecewiseConstantParameterPiecewise-constant parameter
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >Piecewise default-probability term structure
PiecewiseTimeDependentHestonModelPiecewise time dependent Heston model
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
PiecewiseZeroSpreadedTermStructureTerm structure with an added vector of spreads on the zero-yield rate
PKRCurrencyPakistani rupee
PlackettCopulaPlackett copula
PlainVanillaPayoffPlain-vanilla payoff
PLNCurrencyPolish zloty
PoissonDistributionPoisson distribution function
PolandPolish calendar
PolynomialPolynomial2D-spline-interpolation factory
Polynomial2DSplinePolynomial2D-spline interpolation between discrete points
PositiveConstraintConstraint imposing positivity to all arguments
PricingEngineInterface for pricing engines
PricingPeriodTime pricingperiod described by a number of a given time unit
PrimeNumbersPrime numbers calculator
ProbabilityOfAtLeastNEventsProbability of at least N events
ProbabilityOfNEventsProbability of N events
ProblemConstrained optimization problem
ProjectedCostFunctionParameterized cost function
ProtectionInformation on a default-protection contract
ProxyIborIborIndex calculated as proxy of some other IborIndex
PTECurrencyPortuguese escudo
QuantityAmount of a commodity
QuantoBarrierOptionQuanto version of a barrier option
QuantoEngine< Instr, Engine >Quanto engine
QuantoForwardVanillaOptionQuanto version of a forward vanilla option
QuantoOptionResults< ResultsType >Results from quanto option calculation
QuantoTermStructureQuanto term structure
QuantoVanillaOptionQuanto version of a vanilla option
QuotePurely virtual base class for market observables
RandomDefaultModelBase class for random default models
RandomizedLDS< LDS, PRS >Randomized (random shift) low-discrepancy sequence
RandomSequenceGenerator< RNG >Random sequence generator based on a pseudo-random number generator
RangeAccrualLegHelper class building a sequence of range-accrual floating-rate coupons
Ranlux3UniformRngUniform random number generator
RatchetMaxPayoffRatchetMax payoff (double option)
RatchetMinPayoffRatchetMin payoff (double option)
RatchetPayoffRatchet payoff (single option)
RecoveryRateModel
RecoveryRateQuoteStores a recovery rate market quote and the associated seniority
RecursiveCdoEngine< CDOEngine, copulaT >
RedemptionBond redemption
RegionRegion class, used for inflation applicability
RelativeDateBootstrapHelper< TS >Bootstrap helper with date schedule relative to global evaluation date
RelinkableHandle< T >Relinkable handle to an observable
RendistatoEquivalentSwapLengthQuoteRendistatoCalculator equivalent swap lenth Quote adapter
RendistatoEquivalentSwapSpreadQuoteRendistatoCalculator equivalent swap spread Quote adapter
ReplicatingVarianceSwapEngineVariance-swap pricing engine using replicating cost,
ReplicationDigital option replication strategy
RestructuringRestructuring type
RidderRidder 1-D solver
RiskyAssetSwapRisky asset-swap instrument
RiskyAssetSwapOptionOption on risky asset swap
RiskyBond
RiskyFixedBond
RiskyFloatingBond
ROLCurrencyRomanian leu
RONCurrencyRomanian new leu
RoundingBasic rounding class
RussiaRussian calendar
SABRSABR interpolation factory and traits
SABRInterpolationSABR smile interpolation between discrete volatility points
SabrVolSurfaceSABR volatility (smile) surface
SalvagingAlgorithmAlgorithm used for matricial pseudo square root
Sample< T >Weighted sample
SampledCurveThis class contains a sampled curve
SARCurrencySaudi riyal
SaudiArabiaSaudi Arabian calendar
SchedulePayment schedule
SeasonalityA transformation of an existing inflation swap rate
SecantSecant 1-D solver
SeedGeneratorRandom seed generator
SegmentIntegralIntegral of a one-dimensional function
SEKCurrencySwedish krona
SEKLiborSEK LIBOR rate
SettingsGlobal repository for run-time library settings
Settlementsettlement information
SGDCurrencySingapore dollar
ShortRateModelAbstract short-rate model class
ShoutConditionShout option condition
SimpleCashFlowPredetermined cash flow
SimpleChooserOptionSimple chooser option
SimpleChooserOption::argumentsExtra arguments for single chooser option
SimpleChooserOption::engineSimple chooser option engine base class
SimpleDayCounterSimple day counter for reproducing theoretical calculations
SimpleLocalEstimatorLocal-estimator volatility model
SimplePolynomialFittingSimple polynomial fitting method
SimpleQuoteMarket element returning a stored value
SimplexMulti-dimensional simplex class
SimpsonIntegralIntegral of a one-dimensional function
SingaporeSingapore calendars
SingleProductCompositeComposition of one or more market-model products
Singleton< T >Basic support for the singleton pattern
SingleVariate< RNG >Default Monte Carlo traits for single-variate models
SITCurrencySlovenian tolar
SKKCurrencySlovak koruna
SlovakiaSlovak calendars
SmileSectionInterest rate volatility smile section
SMMDriftCalculatorDrift computation for coterminal swap market models
SobolBrownianGeneratorSobol Brownian generator for market-model simulations
SobolRsgSobol low-discrepancy sequence generator
SoftCallabilitycallability leaving to the holder the possibility to convert
Solver1D< Impl >Base class for 1-D solvers
SoniaSonia (Sterling Overnight Index Average) rate
SouthAfricaSouth-African calendar
SouthKoreaSouth Korean calendars
SparseILUPreconditioner
SphereCylinderOptimizer
SpreadCdsHelperSpread-quoted CDS hazard rate bootstrap helper
SpreadedHazardRateCurveDefault-probability structure with an additive spread on hazard rates
SpreadOptionSpread option on two assets
SpreadOption::engineSpread option engine base class
SquareRootAndersen
SquareRootProcessSquare-root process class
StatsHolderHelper class for precomputed distributions
SteepestDescentMulti-dimensional steepest-descent class
step_iterator< Iterator >Iterator advancing in constant steps
StepCondition< array_type >Condition to be applied at every time step
StepConditionSet< array_type >Parallel evolver for multiple arrays
StickyMaxPayoffStickyMax payoff (double option)
StickyMinPayoffStickyMin payoff (double option)
StickyPayoffSticky payoff (single option)
StochasticProcessMulti-dimensional stochastic process class
StochasticProcess1D1-dimensional stochastic process
StochasticProcess1D::discretizationDiscretization of a 1-D stochastic process
StochasticProcess::discretizationDiscretization of a stochastic process over a given time interval
StochasticProcessArrayArray of correlated 1-D stochastic processes
StockSimple stock class
StrikedTypePayoffIntermediate class for payoffs based on a fixed strike
StrippedOptionlet
StrippedOptionletAdapter
StrippedOptionletBase
StudentDistributionStudent t-distribution
StulzEnginePricing engine for 2D European Baskets
SuperFundPayoffBinary supershare and superfund payoffs
SuperSharePayoffBinary supershare payoff
SurfaceSurface abstract class
SurvivalProbabilitySurvival-Probability-curve traits
SurvivalProbabilityStructureHazard-rate term structure
SVDSingular value decomposition
SVDDFwdRatePc
SvenssonFittingSvensson Fitting method
SwapInterest rate swap
SwapIndexBase class for swap-rate indexes
SwapRateHelperRate helper for bootstrapping over swap rates
SwaptionSwaption class
Swaption::argumentsArguments for swaption calculation
Swaption::engineBase class for swaption engines
SwaptionHelperCalibration helper for ATM swaption
SwaptionVolatilityCubeSwaption-volatility cube
SwaptionVolatilityMatrixAt-the-money swaption-volatility matrix
SwaptionVolatilityStructureSwaption-volatility structure
SwedenSwedish calendar
SwingExerciseSwing exercise
SwitzerlandSwiss calendar
SymmetricSchurDecompositionSymmetric threshold Jacobi algorithm
SyntheticCDOSynthetic Collateralized Debt Obligation
SyntheticCDO::engineCDO base engine
TabulatedGaussLegendreTabulated Gauss-Legendre quadratures
TaiwanTaiwanese calendars
TARGETTARGET calendar
TermStructureBasic term-structure functionality
TermStructureConsistentModelTerm-structure consistent model class
TermStructureFittingParameterDeterministic time-dependent parameter used for yield-curve fitting
THBCurrencyThai baht
Thirty36030/360 day count convention
TianTian tree: third moment matching, multiplicative approach
TiborJPY TIBOR index
TimeBasketDistribution over a number of dates
TimeGridTime grid class
TimeSeries< T, Container >Container for historical data
TqrEigenDecompositionTridiag. QR eigen decomposition with explicite shift aka Wilkinson
TransformedGridTransformed grid
TrapezoidIntegral< IntegrationPolicy >Integral of a one-dimensional function
TRBDF2< Operator >TR-BDF2 scheme for finite difference methods
Tree< T >Tree approximating a single-factor diffusion
TreeCallableFixedRateBondEngineNumerical lattice engine for callable fixed rate bonds
TreeCallableZeroCouponBondEngineNumerical lattice engine for callable zero coupon bonds
TreeCapFloorEngineNumerical lattice engine for cap/floors
TreeLattice< Impl >Tree-based lattice-method base class
TreeLattice1D< Impl >One-dimensional tree-based lattice
TreeLattice2D< Impl, T >Two-dimensional tree-based lattice
TreeSwaptionEngineNumerical lattice engine for swaptions
TreeVanillaSwapEngineNumerical lattice engine for simple swaps
TridiagonalOperatorBase implementation for tridiagonal operator
TridiagonalOperator::TimeSetterEncapsulation of time-setting logic
TrigeorgisTrigeorgis (additive equal jumps) binomial tree
TrinomialTreeRecombining trinomial tree class
TRLCurrencyTurkish lira
TRLiborTRY LIBOR rate
TRYCurrencyNew Turkish lira
TsiveriotisFernandesLattice< T >Binomial lattice approximating the Tsiveriotis-Fernandes model
TTDCurrencyTrinidad & Tobago dollar
TurkeyTurkish calendar
TWDCurrencyTaiwan dollar
TwoFactorModelAbstract base-class for two-factor models
TwoFactorModel::ShortRateDynamicsClass describing the dynamics of the two state variables
TwoFactorModel::ShortRateTreeRecombining two-dimensional tree discretizing the state variable
TypePayoffIntermediate class for put/call payoffs
UkraineUkrainian calendars
UKRegionUnited Kingdom as geographical/economic region
UKRPIUK Retail Price Inflation Index
UnitDisplacedBlackYoYInflationCouponPricerUnit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
UnitedKingdomUnited Kingdom calendars
UnitedStatesUnited States calendars
UnitOfMeasureUnit of measure specification
UnitOfMeasureConversionManagerRepository of conversion factors between units of measure
UpfrontCdsHelperUpfront-quoted CDS hazard rate bootstrap helper
UpperBoundEngineMarket-model engine for upper-bound estimation
UpRoundingUp-rounding
USCPIUS CPI index
USDCurrencyU.S. dollar
USDLiborUSD LIBOR rate
USDLiborONOvernight USD Libor index
UsdLiborSwapIsdaFixAmUsdLiborSwapIsdaFixAm index base class
UsdLiborSwapIsdaFixPmUsdLiborSwapIsdaFixPm index base class
USRegionUSA as geographical/economic region
VanillaOptionVanilla option (no discrete dividends, no barriers) on a single asset
VanillaStorageOptionBase option class
VanillaSwapPlain-vanilla swap: fix vs floating leg
VanillaSwap::argumentsArguments for simple swap calculation
VanillaSwap::resultsResults from simple swap calculation
VanillaSwingOptionBase option class
VarianceGammaEngineVariance Gamma Pricing engine for European vanilla options using integral approach
VarianceGammaModelVariance Gamma model
VarianceGammaProcessVariance gamma process
VarianceOptionVariance option
VarianceOption::argumentsArguments for forward fair-variance calculation
VarianceOption::engineBase class for variance-option engines
VarianceOption::resultsResults from variance-option calculation
VarianceSwapVariance swap
VarianceSwap::argumentsArguments for forward fair-variance calculation
VarianceSwap::engineBase class for variance-swap engines
VarianceSwap::resultsResults from variance-swap calculation
VasicekVasicek model class
Vasicek::DynamicsShort-rate dynamics in the Vasicek model
VEBCurrencyVenezuelan bolivar
VegaBumpCollection
VegaStressedBlackScholesProcessBlack-Scholes process which supports local vega stress tests
Visitor< T >Visitor for a specific class
VolatilityTermStructureVolatility term structure
WeekendsOnlyWeekends-only calendar
WriterExtensibleOptionWriter-extensible option
WriterExtensibleOption::argumentsAdditional arguments for writer-extensible option
WriterExtensibleOption::engineBase engine
YearOnYearInflationSwapYear-on-year inflation-indexed swap
YearOnYearInflationSwap::argumentsArguments for YoY swap calculation
YearOnYearInflationSwap::resultsResults from YoY swap calculation
YearOnYearInflationSwapHelperYear-on-year inflation-swap bootstrap helper
YieldTermStructureInterest-rate term structure
YoYCapFloorTermPriceSurfaceAbstract base class, inheriting from InflationTermStructure
YoYInflationBachelierCapFloorEngineUnit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationBlackCapFloorEngineBlack-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationCapConcrete YoY Inflation cap class
YoYInflationCapFloorBase class for yoy inflation cap-like instruments
YoYInflationCapFloor::argumentsArguments for YoY Inflation cap/floor calculation
YoYInflationCapFloor::engineBase class for cap/floor engines
YoYInflationCapFloorEngineBase YoY inflation cap/floor engine
YoYInflationCollarConcrete YoY Inflation collar class
YoYInflationCouponCoupon paying a YoY-inflation type index
YoYInflationCouponPricerBase pricer for capped/floored YoY inflation coupons
YoYInflationFloorConcrete YoY Inflation floor class
YoYInflationIndexBase class for year-on-year inflation indices
yoyInflationLeg
YoYInflationTermStructureBase class for year-on-year inflation term structures
YoYInflationTraitsBootstrap traits to use for PiecewiseZeroInflationCurve
YoYInflationUnitDisplacedBlackCapFloorEngineUnit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
YoYInflationVolatilityTraitsTraits for inflation-volatility bootstrap
YoYOptionletHelperYear-on-year inflation-volatility bootstrap helper
YoYOptionletStripperInterface for inflation cap stripping, i.e. from price surfaces
YoYOptionletVolatilitySurface
YYAUCPIGenuine year-on-year AU CPI (i.e. not a ratio)
YYAUCPIrFake year-on-year AUCPI (i.e. a ratio)
YYEUHICPGenuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
YYEUHICPrFake year-on-year EU HICP (i.e. a ratio of EU HICP)
YYEUHICPXTGenuine year-on-year EU HICPXT
YYFRHICPGenuine year-on-year FR HICP (i.e. not a ratio)
YYFRHICPrFake year-on-year FR HICP (i.e. a ratio)
YYGenericCPIGenuine year-on-year Generic CPI (i.e. not a ratio)
YYGenericCPIrFake year-on-year GenericCPI (i.e. a ratio)
YYUKRPIGenuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
YYUKRPIrFake year-on-year UK RPI (i.e. a ratio of UK RPI)
YYUSCPIGenuine year-on-year US CPI (i.e. not a ratio of US CPI)
YYUSCPIrFake year-on-year US CPI (i.e. a ratio of US CPI)
ZARCurrencySouth-African rand
ZeroCondition< array_type >Zero exercise condition
ZeroCouponBondZero-coupon bond
ZeroCouponInflationSwapZero-coupon inflation-indexed swap
ZeroCouponInflationSwapHelperZero-coupon inflation-swap bootstrap helper
ZeroInflationIndexBase class for zero inflation indices
ZeroInflationTermStructureInterface for zero inflation term structures
ZeroInflationTraitsBootstrap traits to use for PiecewiseZeroInflationCurve
ZeroSpreadedTermStructureTerm structure with an added spread on the zero yield rate
ZeroYieldZero-curve traits
ZeroYieldStructureZero-yield term structure
ZiborCHF ZIBOR rate
ZigguratRngZiggurat random-number generator