CBoundaryCondition< FdmLinearOp > | |
►CBoundaryCondition< TridiagonalOperator > | |
CDirichletBC | Neumann boundary condition (i.e., constant value) |
CNeumannBC | Neumann boundary condition (i.e., constant derivative) |
CBoxMullerGaussianRng< URNG > | |
CClone< ExerciseStrategy< QuantLib::CurveState > > | |
CClone< MarketModelBasisSystem > | |
CClone< MarketModelExerciseValue > | |
CClone< MarketModelParametricExercise > | |
CClone< QuantLib::FittedBondDiscountCurve::FittingMethod > | |
CClone< QuantLib::MarketModelMultiProduct > | |
CClone< QuantLib::MarketModelPathwiseMultiProduct > | |
►CCuriouslyRecurringTemplate< AdditiveEQPBinomialTree > | |
►CTree< AdditiveEQPBinomialTree > | |
►CBinomialTree< AdditiveEQPBinomialTree > | |
►CEqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree > | |
CAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
►CCuriouslyRecurringTemplate< Bisection > | |
►CSolver1D< Bisection > | |
CBisection | Bisection 1-D solver |
►CCuriouslyRecurringTemplate< BlackScholesLattice< T > > | |
►CTreeLattice< BlackScholesLattice< T > > | |
►CTreeLattice1D< BlackScholesLattice< T > > | |
►CBlackScholesLattice< T > | Simple binomial lattice approximating the Black-Scholes model |
CTsiveriotisFernandesLattice< T > | Binomial lattice approximating the Tsiveriotis-Fernandes model |
►CCuriouslyRecurringTemplate< Brent > | |
►CSolver1D< Brent > | |
CBrent | Brent 1-D solver |
►CCuriouslyRecurringTemplate< CoxRossRubinstein > | |
►CTree< CoxRossRubinstein > | |
►CBinomialTree< CoxRossRubinstein > | |
►CEqualJumpsBinomialTree< CoxRossRubinstein > | |
CCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
►CCuriouslyRecurringTemplate< ExtendedAdditiveEQPBinomialTree > | |
►CTree< ExtendedAdditiveEQPBinomialTree > | |
►CExtendedBinomialTree< ExtendedAdditiveEQPBinomialTree > | |
►CExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree > | |
CExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
►CCuriouslyRecurringTemplate< ExtendedCoxRossRubinstein > | |
►CTree< ExtendedCoxRossRubinstein > | |
►CExtendedBinomialTree< ExtendedCoxRossRubinstein > | |
►CExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein > | |
CExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
►CCuriouslyRecurringTemplate< ExtendedJarrowRudd > | |
►CTree< ExtendedJarrowRudd > | |
►CExtendedBinomialTree< ExtendedJarrowRudd > | |
►CExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd > | |
CExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
►CCuriouslyRecurringTemplate< ExtendedJoshi4 > | |
►CTree< ExtendedJoshi4 > | |
CExtendedBinomialTree< ExtendedJoshi4 > | |
►CCuriouslyRecurringTemplate< ExtendedLeisenReimer > | |
►CTree< ExtendedLeisenReimer > | |
►CExtendedBinomialTree< ExtendedLeisenReimer > | |
CExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach |
►CCuriouslyRecurringTemplate< ExtendedTian > | |
►CTree< ExtendedTian > | |
►CExtendedBinomialTree< ExtendedTian > | |
CExtendedTian | Tian tree: third moment matching, multiplicative approach |
►CCuriouslyRecurringTemplate< ExtendedTrigeorgis > | |
►CTree< ExtendedTrigeorgis > | |
►CExtendedBinomialTree< ExtendedTrigeorgis > | |
►CExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis > | |
CExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
►CCuriouslyRecurringTemplate< FalsePosition > | |
►CSolver1D< FalsePosition > | |
CFalsePosition | False position 1-D solver |
►CCuriouslyRecurringTemplate< FiniteDifferenceNewtonSafe > | |
►CSolver1D< FiniteDifferenceNewtonSafe > | |
CFiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives |
►CCuriouslyRecurringTemplate< JarrowRudd > | |
►CTree< JarrowRudd > | |
►CBinomialTree< JarrowRudd > | |
►CEqualProbabilitiesBinomialTree< JarrowRudd > | |
CJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
►CCuriouslyRecurringTemplate< Joshi4 > | |
►CTree< Joshi4 > | |
CBinomialTree< Joshi4 > | |
►CCuriouslyRecurringTemplate< LeisenReimer > | |
►CTree< LeisenReimer > | |
►CBinomialTree< LeisenReimer > | |
CLeisenReimer | Leisen & Reimer tree: multiplicative approach |
►CCuriouslyRecurringTemplate< Newton > | |
►CSolver1D< Newton > | |
CNewton | Newton 1-D solver |
►CCuriouslyRecurringTemplate< NewtonSafe > | |
►CSolver1D< NewtonSafe > | |
CNewtonSafe | Safe Newton 1-D solver |
►CCuriouslyRecurringTemplate< OneFactorModel::ShortRateTree > | |
►CTreeLattice< OneFactorModel::ShortRateTree > | |
►CTreeLattice1D< OneFactorModel::ShortRateTree > | |
COneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable |
►CCuriouslyRecurringTemplate< Ridder > | |
►CSolver1D< Ridder > | |
CRidder | Ridder 1-D solver |
►CCuriouslyRecurringTemplate< Secant > | |
►CSolver1D< Secant > | |
CSecant | Secant 1-D solver |
►CCuriouslyRecurringTemplate< T > | |
►CTree< T > | Tree approximating a single-factor diffusion |
►CBinomialTree< T > | Binomial tree base class |
CEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
CEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
►CExtendedBinomialTree< T > | Binomial tree base class |
CExtendedEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
CExtendedEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
►CCuriouslyRecurringTemplate< Tian > | |
►CTree< Tian > | |
►CBinomialTree< Tian > | |
CTian | Tian tree: third moment matching, multiplicative approach |
►CCuriouslyRecurringTemplate< Trigeorgis > | |
►CTree< Trigeorgis > | |
►CBinomialTree< Trigeorgis > | |
►CEqualJumpsBinomialTree< Trigeorgis > | |
CTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
►CCuriouslyRecurringTemplate< TrinomialTree > | |
►CTree< TrinomialTree > | |
CTrinomialTree | Recombining trinomial tree class |
►CCuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree > | |
►CTreeLattice< TwoFactorModel::ShortRateTree > | |
►CTreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
CTwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
CEarlyExercisePathPricer< MultiPath > | |
CEarlyExercisePathPricer< Path > | |
CForwardOptionArguments< VanillaOption::arguments > | |
CHandle< AffineModel > | |
CHandle< BatesModel > | |
CHandle< FdmQuantoHelper > | |
CHandle< G2 > | |
CHandle< Gaussian1dModel > | |
CHandle< GJRGARCHModel > | |
CHandle< HestonModel > | |
CHandle< HullWhite > | |
CHandle< LiborForwardModel > | |
CHandle< ModelType > | |
CHandle< OneFactorAffineModel > | |
CHandle< PiecewiseTimeDependentHestonModel > | |
CHandle< QuantLib::AbcdAtmVolCurve > | |
CHandle< QuantLib::BaseCorrelationTermStructure< Corr2DInt_T > > | |
►CHandle< QuantLib::Basket > | |
CRelinkableHandle< QuantLib::Basket > | |
CHandle< QuantLib::BatesProcess > | |
CHandle< QuantLib::BlackAtmVolCurve > | |
CHandle< QuantLib::BlackVarianceCurve > | |
CHandle< QuantLib::BlackVolTermStructure > | |
CHandle< QuantLib::CallableBondVolatilityStructure > | |
CHandle< QuantLib::CapFloorTermVolCurve > | |
CHandle< QuantLib::CPICapFloorTermPriceSurface > | |
CHandle< QuantLib::CPIVolatilitySurface > | |
►CHandle< QuantLib::DefaultProbabilityTermStructure > | |
CRelinkableHandle< QuantLib::DefaultProbabilityTermStructure > | |
CHandle< QuantLib::DeltaVolQuote > | |
CHandle< QuantLib::ExtendedOrnsteinUhlenbeckProcess > | |
CHandle< QuantLib::ExtOUWithJumpsProcess > | |
CHandle< QuantLib::G2 > | |
CHandle< QuantLib::GeneralizedBlackScholesProcess > | |
CHandle< QuantLib::HestonModel > | |
CHandle< QuantLib::HestonProcess > | |
CHandle< QuantLib::HullWhite > | |
CHandle< QuantLib::HullWhiteProcess > | |
CHandle< QuantLib::InterestRateVolSurface > | |
CHandle< QuantLib::KlugeExtOUProcess > | |
►CHandle< QuantLib::LocalVolTermStructure > | |
CRelinkableHandle< QuantLib::LocalVolTermStructure > | |
CHandle< QuantLib::OneFactorCopula > | |
CHandle< QuantLib::OptionletVolatilityStructure > | |
CHandle< QuantLib::PricingEngine > | |
►CHandle< QuantLib::Quote > | |
CRelinkableHandle< QuantLib::Quote > | |
CHandle< QuantLib::RecoveryRateQuote > | |
CHandle< QuantLib::SwaptionVolatilityStructure > | |
►CHandle< QuantLib::YieldTermStructure > | |
CRelinkableHandle< QuantLib::YieldTermStructure > | |
CHandle< QuantLib::YoYInflationTermStructure > | |
CHandle< QuantLib::YoYOptionletVolatilitySurface > | |
CHandle< QuantLib::ZeroInflationIndex > | |
CHandle< QuantLib::ZeroInflationTermStructure > | |
CHandle< ShortRateModel > | |
►CInterpolatedCurve< Interpolator1D > | |
CInterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface |
CInverseCumulativeRsg< QuantLib::SobolRsg, QuantLib::InverseCumulativeNormal > | |
►CMcSimulation< MultiVariate, RNG, S > | |
►CMCVanillaEngine< MultiVariate, RNG, S > | |
CMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH-model engine for European options |
CMCEuropeanHestonEngine< RNG, S, P > | Monte Carlo Heston-model engine for European options |
CMCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation |
CMCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation |
CMCPathBasketEngine< RNG, S > | Pricing engine for path dependent basket options using |
►CMcSimulation< MultiVariate, RNG, Statistics > | |
►CMCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > | |
CMCAmericanBasketEngine< RNG > | Least-square Monte Carlo engine |
►CMCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG > | |
CMCAmericanPathEngine< RNG > | Least-square Monte Carlo engine |
►CMcSimulation< SingleVariate, RNG, S > | |
►CMCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | |
CMCAmericanEngine< RNG, S, RNG_Calibration > | American Monte Carlo engine |
►CMCVanillaEngine< SingleVariate, RNG, S > | |
CMCDigitalEngine< RNG, S > | Pricing engine for digital options using Monte Carlo simulation |
CMCEuropeanEngine< RNG, S > | European option pricing engine using Monte Carlo simulation |
CMCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation |
►CMCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation |
CMCDiscreteArithmeticAPEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average price Asian |
CMCDiscreteArithmeticASEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average-strike Asian |
CMCDiscreteGeometricAPEngine< RNG, S > | Monte Carlo pricing engine for discrete geometric average price Asian |
CMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors |
CMCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation |
CMCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation, |
CObservableValue< Date > | |
CObservableValue< TimeSeries< Real > > | |
►CPathPricer< MultiPath > | |
CLongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options |
CPathPricer< Path > | |
►CPathPricer< PathType > | |
CLongstaffSchwartzPathPricer< PathType > | Longstaff-Schwarz path pricer for early exercise options |
CAbcd | Abcd interpolation factory and traits |
►CAbcdMathFunction | Abcd functional form |
CAbcdFunction | Abcd functional form for instantaneous volatility |
CAccountingEngine | Engine collecting cash flows along a market-model simulation |
CAcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
CAliMikhailHaqCopula | Ali-Mikhail-Haq copula |
CAmericanCondition | American exercise condition |
CAmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
CAmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
►CAnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
CAnalyticDigitalAmericanKOEngine | Analytic pricing engine for American Knock-out options with digital payoff |
CAnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
CAnalyticTwoAssetCorrelationEngine | Analytic two-asset correlation option engine |
CArray | 1-D array used in linear algebra |
CAssetSwap::arguments | Arguments for asset swap calculation |
CAssetSwap::results | Results from simple swap calculation |
CASX | Main cycle of the Australian Securities Exchange (a.k.a. ASX) months |
CAtomicDefault | Atomic (single contractual event) default events |
CAverage | Placeholder for enumerated averaging types |
CAverageBMALeg | Helper class building a sequence of average BMA coupons |
CBackwardFlat | Backward-flat interpolation factory and traits |
CBaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
CBarrier | Placeholder for enumerated barrier types |
►CBarrierOption::arguments | Arguments for barrier option calculation |
CDividendBarrierOption::arguments | Arguments for dividend barrier option calculation |
CBernsteinPolynomial | Class of Bernstein polynomials |
CBFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm |
CBicubic | Bicubic-spline-interpolation factory |
CBilinear | Bilinear-interpolation factory |
CBinomialConvertibleEngine< T > | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
CBinomialDistribution | Binomial probability distribution function |
CBinomialProbabilityOfAtLeastNEvents | Probability of at least N events |
CBinomialVanillaEngine< T > | Pricing engine for vanilla options using binomial trees |
CBivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
CBivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
CBivariateCumulativeStudentDistribution | Cumulative Student t-distribution |
CBjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
►CBlackCalculator | Black 1976 calculator class |
CBlackScholesCalculator | Black-Scholes 1973 calculator class |
CBlackDeltaCalculator | Black delta calculator class |
CBondFunctions | Bond adapters of CashFlows functions |
CBootstrapError< Curve > | Bootstrap error |
CBoundaryCondition< Operator > | Abstract boundary condition class for finite difference problems |
CBoxMullerGaussianRng< RNG > | Gaussian random number generator |
CBrownianBridge | Builds Wiener process paths using Gaussian variates |
CBSpline | B-spline basis functions |
►CCalendar | calendar class |
CArgentina | Argentinian calendars |
CAustralia | Australian calendar |
CBespokeCalendar | Bespoke calendar |
CBrazil | Brazilian calendar |
CCanada | Canadian calendar |
CChina | Chinese calendar |
CCzechRepublic | Czech calendars |
CDenmark | Danish calendar |
CFinland | Finnish calendar |
CGermany | German calendars |
CHongKong | Hong Kong calendars |
CHungary | Hungarian calendar |
CIceland | Icelandic calendars |
CIndia | Indian calendars |
CIndonesia | Indonesian calendars |
CIsrael | Israel calendar |
CItaly | Italian calendars |
CJapan | Japanese calendar |
CJointCalendar | Joint calendar |
CMexico | Mexican calendars |
CNewZealand | New Zealand calendar |
CNorway | Norwegian calendar |
CNullCalendar | Calendar for reproducing theoretical calculations |
CPoland | Polish calendar |
CRomania | Romanian calendars |
CRussia | Russian calendars |
CSaudiArabia | Saudi Arabian calendar |
CSingapore | Singapore calendars |
CSlovakia | Slovak calendars |
CSouthAfrica | South-African calendar |
CSouthKorea | South Korean calendars |
CSweden | Swedish calendar |
CSwitzerland | Swiss calendar |
CTaiwan | Taiwanese calendars |
CTARGET | TARGET calendar |
CTurkey | Turkish calendar |
CUkraine | Ukrainian calendars |
CUnitedKingdom | United Kingdom calendars |
CUnitedStates | United States calendars |
CWeekendsOnly | Weekends-only calendar |
►CCalendar::Impl | Abstract base class for calendar implementations |
CCalendar::OrthodoxImpl | Partial calendar implementation |
CCalendar::WesternImpl | Partial calendar implementation |
CCallability::Price | Amount to be paid upon callability |
CCallableBond::results | Results for a callable bond calculation |
CCapFloor::arguments | Arguments for cap/floor calculation |
CCapPseudoDerivative | |
CCashFlows | cashflow-analysis functions |
CCatBond::results | Results for a cat bond calculation |
CCdsOption::results | Results from CDS-option calculation |
CClaytonCopula | Clayton copula |
CClaytonCopulaRng< RNG > | Clayton copula random-number generator |
CCLGaussianRng< RNG > | Gaussian random number generator |
CClone< T > | Cloning proxy to an underlying object |
CCmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
CCMSMMDriftCalculator | Drift computation for CMS market models |
CCmsSpreadLeg | Helper class building a sequence of capped/floored cms-spread-rate coupons |
CCommodityPricingHelper | Commodity index helper |
CCommodityType | Commodity type |
CComposite< T > | Composite pattern |
CConjugateGradient | Multi-dimensional Conjugate Gradient class |
CConstantEstimator | Constant-estimator volatility model |
►CConstraint | Base constraint class |
CBoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
CCompositeConstraint | Constraint enforcing both given sub-constraints |
CNoConstraint | No constraint |
CNonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i |
CPositiveConstraint | Constraint imposing positivity to all arguments |
CConstraint::Impl | Base class for constraint implementations |
CContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option |
►CContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation |
CContinuousPartialFixedLookbackOption::arguments | Arguments for continuous partial fixed lookback option calculation |
►CContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation |
CContinuousPartialFloatingLookbackOption::arguments | Arguments for continuous partial floating lookback option calculation |
CConvergenceStatistics< T, U > | Statistics class with convergence table |
CConvexMonotone | Convex-monotone interpolation factory and traits |
►CCostFunction | Cost function abstract class for optimization problem |
CLeastSquareFunction | Cost function for least-square problems |
CProjectedCostFunction | Parameterized cost function |
CCounterpartyAdjSwapEngine | |
CCovarianceDecomposition | Covariance decomposition into correlation and variances |
CCPILeg | Helper class building a sequence of capped/floored CPI coupons |
CCPISwap::arguments | Arguments for swap calculation |
CCPISwap::results | Results from swap calculation |
CCreditRiskPlus | |
CCubic | Cubic interpolation factory and traits |
CCumulativeBehrensFisher | Cumulative (generalized) BehrensFisher distribution |
CCumulativeBinomialDistribution | Cumulative binomial distribution function |
CCumulativeNormalDistribution | Cumulative normal distribution function |
CCumulativePoissonDistribution | Cumulative Poisson distribution function |
CCumulativeStudentDistribution | Cumulative Student t-distribution |
►CCuriouslyRecurringTemplate< Impl > | Support for the curiously recurring template pattern |
CSolver1D< Impl > | Base class for 1-D solvers |
►CTreeLattice< Impl > | Tree-based lattice-method base class |
CTreeLattice1D< Impl > | One-dimensional tree-based lattice |
CTreeLattice2D< Impl, T > | Two-dimensional tree-based lattice |
►CCurrency | Currency specification |
CARSCurrency | Argentinian peso |
CATSCurrency | Austrian shilling |
CAUDCurrency | Australian dollar |
CBDTCurrency | Bangladesh taka |
CBEFCurrency | Belgian franc |
CBGLCurrency | Bulgarian lev |
CBRLCurrency | Brazilian real |
CBYRCurrency | Belarussian ruble |
CCADCurrency | Canadian dollar |
CCHFCurrency | Swiss franc |
CCLPCurrency | Chilean peso |
CCNYCurrency | Chinese yuan |
CCOPCurrency | Colombian peso |
CCYPCurrency | Cyprus pound |
CCZKCurrency | Czech koruna |
CDEMCurrency | Deutsche mark |
CDKKCurrency | Danish krone |
CEEKCurrency | Estonian kroon |
CESPCurrency | Spanish peseta |
CEURCurrency | European Euro |
CFIMCurrency | Finnish markka |
CFRFCurrency | French franc |
CGBPCurrency | British pound sterling |
CGRDCurrency | Greek drachma |
CHKDCurrency | Hong Kong dollar |
CHUFCurrency | Hungarian forint |
CIDRCurrency | Indonesian Rupiah |
CIEPCurrency | Irish punt |
CILSCurrency | Israeli shekel |
CINRCurrency | Indian rupee |
CIQDCurrency | Iraqi dinar |
CIRRCurrency | Iranian rial |
CISKCurrency | Icelandic krona |
CITLCurrency | Italian lira |
CJPYCurrency | Japanese yen |
CKRWCurrency | South-Korean won |
CKWDCurrency | Kuwaiti dinar |
CLTLCurrency | Lithuanian litas |
CLUFCurrency | Luxembourg franc |
CLVLCurrency | Latvian lat |
CMTLCurrency | Maltese lira |
CMXNCurrency | Mexican peso |
CMYRCurrency | Malaysian Ringgit |
CNLGCurrency | Dutch guilder |
CNOKCurrency | Norwegian krone |
CNPRCurrency | Nepal rupee |
CNZDCurrency | New Zealand dollar |
CPEHCurrency | Peruvian sol |
CPEICurrency | Peruvian inti |
CPENCurrency | Peruvian nuevo sol |
CPKRCurrency | Pakistani rupee |
CPLNCurrency | Polish zloty |
CPTECurrency | Portuguese escudo |
CROLCurrency | Romanian leu |
CRONCurrency | Romanian new leu |
CRUBCurrency | Russian ruble |
CSARCurrency | Saudi riyal |
CSEKCurrency | Swedish krona |
CSGDCurrency | Singapore dollar |
CSITCurrency | Slovenian tolar |
CSKKCurrency | Slovak koruna |
CTHBCurrency | Thai baht |
CTRLCurrency | Turkish lira |
CTRYCurrency | New Turkish lira |
CTTDCurrency | Trinidad & Tobago dollar |
CTWDCurrency | Taiwan dollar |
CUAHCurrency | Ukrainian hryvnia |
CUSDCurrency | U.S. dollar |
CVEBCurrency | Venezuelan bolivar |
CVNDCurrency | Vietnamese Dong |
CZARCurrency | South-African rand |
CCurve | Abstract curve class |
►CCurveState | Curve state for market-model simulations |
CCMSwapCurveState | Curve state for constant-maturity-swap market models |
CCoterminalSwapCurveState | Curve state for coterminal-swap market models |
CLMMCurveState | Curve state for Libor market models |
CDate | Concrete date class |
CDateGeneration | Date-generation rule |
►CDateInterval | Date interval described by a number of a given time unit |
CPricingPeriod | Time pricingperiod described by a number of a given time unit |
►CDayCounter | Day counter class |
CActual360 | Actual/360 day count convention |
CActual365Fixed | Actual/365 (Fixed) day count convention |
CActual365NoLeap | Actual/365 (No Leap) day count convention |
CActualActual | Actual/Actual day count |
CBusiness252 | Business/252 day count convention |
COneDayCounter | 1/1 day count convention |
CSimpleDayCounter | Simple day counter for reproducing theoretical calculations |
CThirty360 | 30/360 day count convention |
CDayCounter::Impl | Abstract base class for day counter implementations |
CDefaultDensity | Default-density-curve traits |
►CDefaultProbKey | |
CNorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt |
►CDefaultType | Atomic credit-event type |
CFailureToPay | Failure to Pay atomic event type |
CImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
CRoot | Utility for the numerical time solver |
CDigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
CDigitalCmsSpreadLeg | Helper class building a sequence of digital ibor-rate coupons |
CDigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
CDiscount | Discount-curve traits |
CDiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option |
CDiscreteTrapezoidIntegral | |
►CDiscretizedAsset | Discretized asset class used by numerical methods |
CDiscretizedDermanKaniDoubleBarrierOption | Derman-Kani-Ergener-Bardhan discretized option helper class |
CDiscretizedDiscountBond | Useful discretized discount bond asset |
CDiscretizedDoubleBarrierOption | Standard discretized option helper class |
CDiscretizedOption | Discretized option on a given asset |
CDisposable< T > | Generic disposable object with move semantics |
CDividendVanillaOption::arguments | Arguments for dividend vanilla option calculation |
CDoubleBarrier | Placeholder for enumerated barrier types |
CDoubleBarrierOption::arguments | Arguments for double barrier option calculation |
CDuration | duration type |
Cearlier_than< T > | Compare two objects by date |
CEarlyExercisePathPricer< PathType, TimeType, ValueType > | Base class for early exercise path pricers |
CECB | European Central Bank reserve maintenance dates |
CEndCriteria | Criteria to end optimization process: |
CEnergyBasisSwap | Energy basis swap |
CEnergyVanillaSwap | Vanilla energy swap |
CEonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB |
CErrorFunction | Error function |
CEvolutionDescription | Market-model evolution description |
CExchangeRate | Exchange rate between two currencies |
►CExercise | Base exercise class |
►CEarlyExercise | Early-exercise base class |
CAmericanExercise | American exercise |
►CBermudanExercise | Bermudan exercise |
CSwingExercise | Swing exercise |
CEuropeanExercise | European exercise |
CRebatedExercise | Rebated exercise |
CExponentialJump1dMesher | |
►CExtrapolator | Base class for classes possibly allowing extrapolation |
►CInterpolation | Base class for 1-D interpolations |
CAbcdInterpolation | Abcd interpolation between discrete points |
CBackwardFlatInterpolation | Backward-flat interpolation between discrete points |
CConvexMonotoneInterpolation< I1, I2 > | Convex monotone yield-curve interpolation method |
CCubicInterpolation | Cubic interpolation between discrete points |
CForwardFlatInterpolation | Forward-flat interpolation between discrete points |
CKernelInterpolation | Kernel interpolation between discrete points |
CLinearInterpolation | Linear interpolation between discrete points |
CLogCubicInterpolation | log-cubic interpolation between discrete points |
CLogLinearInterpolation | log-linear interpolation between discrete points |
CLogMixedLinearCubicInterpolation | log-mixedlinearcubic interpolation between discrete points |
CMixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points |
CNoArbSabrInterpolation | No arbitrage sabr smile interpolation between discrete volatility points |
CSABRInterpolation | SABR smile interpolation between discrete volatility points |
CSviInterpolation | Svi smile interpolation between discrete volatility points |
CVannaVolgaInterpolation | Vanna Volga interpolation between discrete points |
CZabrInterpolation< Evaluation > | Zabr smile interpolation between discrete volatility points |
►CInterpolation2D | Base class for 2-D interpolations |
CBicubicSpline | Bicubic-spline interpolation between discrete points |
CBilinearInterpolation | bilinear interpolation between discrete points |
CKernelInterpolation2D | |
CPolynomial2DSpline | Polynomial2D-spline interpolation between discrete points |
►CTermStructure | Basic term-structure functionality |
►CCallableBondVolatilityStructure | Callable-bond volatility structure |
CCallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence |
CCommodityCurve | Commodity term structure |
►CCorrelationTermStructure | |
CBaseCorrelationTermStructure< Interpolator2D_T > | |
►CDefaultProbabilityTermStructure | Default probability term structure |
►CDefaultDensityStructure | Default-density term structure |
CInterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities |
►CHazardRateStructure | Hazard-rate term structure |
CFactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates |
CFlatHazardRate | Flat hazard-rate curve |
CInterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates |
CSpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates |
►CSurvivalProbabilityStructure | Hazard-rate term structure |
CInterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
►CInflationTermStructure | Interface for inflation term structures |
CCPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity) |
CYoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure |
►CYoYInflationTermStructure | Base class for year-on-year inflation term structures |
►CInterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates |
CPiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure |
►CZeroInflationTermStructure | Interface for zero inflation term structures |
►CInterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates |
CPiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure |
►CVolatilityTermStructure | Volatility term structure |
►CBlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
CAbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
►CBlackVolSurface | Black volatility (smile) surface |
CEquityFXVolSurface | Equity/FX volatility (smile) surface |
►CInterestRateVolSurface | Interest rate volatility (smile) surface |
CSabrVolSurface | SABR volatility (smile) surface |
►CBlackVolTermStructure | Black-volatility term structure |
►CBlackVarianceTermStructure | Black variance term structure |
CBlackVarianceCurve | Black volatility curve modelled as variance curve |
CBlackVarianceSurface | Black volatility surface modelled as variance surface |
CExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve |
CExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface |
CImpliedVolTermStructure | Implied vol term structure at a given date in the future |
►CBlackVolatilityTermStructure | Black-volatility term structure |
CBlackConstantVol | Constant Black volatility, no time-strike dependence |
►CCapFloorTermVolatilityStructure | Cap/floor term-volatility structure |
CCapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
CCapFloorTermVolSurface | Cap/floor smile volatility surface |
CConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence |
►CCPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
CConstantCPIVolatility | Constant surface, no K or T dependence |
►CLocalVolTermStructure | |
CLocalConstantVol | Constant local volatility, no time-strike dependence |
CLocalVolCurve | Local volatility curve derived from a Black curve |
CLocalVolSurface | Local volatility surface derived from a Black vol surface |
►COptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
CConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence |
CStrippedOptionletAdapter | |
►CSwaptionVolatilityStructure | Swaption-volatility structure |
CConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence |
►CYoYOptionletVolatilitySurface | |
►CInterpolatedYoYOptionletVolatilityCurve< Interpolator > | |
CPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure |
CConstantYoYOptionletVolatility | Constant surface, no K or T dependence |
CInterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface |
CKInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > | K-interpolated YoY optionlet volatility |
►CYieldTermStructure | Interest-rate term structure |
CFittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
CFlatForward | Flat interest-rate curve |
►CForwardRateStructure | Forward-rate term structure |
CForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
CInterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates |
CImpliedTermStructure | Implied term structure at a given date in the future |
CInterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors |
►CZeroYieldStructure | Zero-yield term structure |
CDriftTermStructure | Drift term structure |
CInterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > | Yield curve with an added vector of spreads on the zero-yield rate |
CInterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates |
CQuantoTermStructure | Quanto term structure |
CZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
CFactorial | Factorial numbers calculator |
CFarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula |
CFarlieGumbelMorgensternCopulaRng< RNG > | Farlie-Gumbel-Morgenstern copula random-number generator |
CFastFourierTransform | FFT implementation |
CFaureRsg | Faure low-discrepancy sequence generator |
CFDAmericanEngine< Scheme > | Finite-differences pricing engine for American one asset options |
CFDBermudanEngine< Scheme > | Finite-differences Bermudan engine |
CFDDividendAmericanEngine< Scheme > | Finite-differences pricing engine for dividend American options |
►CFDDividendEngineBase< Scheme > | Abstract base class for dividend engines |
CFDDividendEngineMerton73< Scheme > | Finite-differences pricing engine for dividend options using escowed dividends model |
CFDDividendEngineShiftScale< Scheme > | Finite-differences engine for dividend options using shifted dividends |
CFDDividendEuropeanEngine< Scheme > | Finite-differences pricing engine for dividend European options |
CFDDividendShoutEngine< Scheme > | Finite-differences shout engine with dividends |
CFdmExtOUJumpOp | |
CFdmKlugeExtOUOp | |
CFDShoutEngine< Scheme > | Finite-differences pricing engine for shout vanilla options |
►CFDVanillaEngine | Finite-differences pricing engine for BSM one asset options |
CFDEuropeanEngine< Scheme > | Pricing engine for European options using finite-differences |
CFDStepConditionEngine< Scheme > | Finite-differences pricing engine for American-style vanilla options |
CFedFunds | Fed Funds rate fixed by the FED |
►CFFTEngine | Base class for FFT pricing engines for European vanilla options |
CFFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process |
CFFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process |
CFilonIntegral | Integral of a one-dimensional function |
CFiniteDifferenceModel< Evolver > | Generic finite difference model |
►CFittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve |
CCubicBSplinesFitting | CubicSpline B-splines fitting method |
CExponentialSplinesFitting | Exponential-splines fitting method |
CNelsonSiegelFitting | Nelson-Siegel fitting method |
CSimplePolynomialFitting | Simple polynomial fitting method |
CSpreadFittingMethod | Spread fitting method helper |
CSvenssonFitting | Svensson Fitting method |
CFixedRateLeg | Helper class building a sequence of fixed rate coupons |
►CFloatFloatSwap::arguments | Arguments for float float swap calculation |
CFloatFloatSwaption::arguments | Arguments for cms swaption calculation |
CFloatFloatSwap::results | Results from float float swap calculation |
CFloatingCatBond | Floating-rate cat bond (possibly capped and/or floored) |
CForwardFlat | Forward-flat interpolation factory and traits |
CForwardOptionArguments< ArgumentsType > | Arguments for forward (strike-resetting) option calculation |
CForwardRate | Forward-curve traits |
CFrankCopula | Frank copula |
CFrankCopulaRng< RNG > | Frank copula random-number generator |
CGalambosCopula | Galambos copula |
CGammaFunction | Gamma function class |
CGarch11 | GARCH volatility model |
CGarmanKlassAbstract | Garman-Klass volatility model |
CGaussianCopula | Gaussian copula |
CGaussianCopulaPolicy | |
►CGaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
CGaussHermitePolynomial | Gauss-Hermite polynomial |
CGaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
►CGaussJacobiPolynomial | Gauss-Jacobi polynomial |
CGaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind) |
CGaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
CGaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
CGaussLegendrePolynomial | Gauss-Legendre polynomial |
CGaussLaguerrePolynomial | Gauss-Laguerre polynomial |
CGaussianQuadMultidimIntegrator | Integrates a vector or scalar function of vector domain |
►CGaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
CGaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind) |
CGaussChebyshevIntegration | Gauss-Chebyshev integration |
CGaussGegenbauerIntegration | Gauss-Gegenbauer integration |
CGaussHermiteIntegration | Generalized Gauss-Hermite integration |
CGaussHyperbolicIntegration | Gauss-Hyperbolic integration |
CGaussJacobiIntegration | Gauss-Jacobi integration |
CGaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
CGaussLegendreIntegration | Gauss-Legendre integration |
CGaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
CGaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
CGaussLobattoIntegral | Integral of a one-dimensional function |
CGeneralizedHullWhite::Dynamics | Short-rate dynamics in the generalized Hull-White model |
CGeneralLinearLeastSquares | General linear least squares regression |
CGeneralStatistics | Statistics tool |
CGenericGaussianStatistics< Stat > | Statistics tool for gaussian-assumption risk measures |
CGenericRiskStatistics< S > | Empirical-distribution risk measures |
►CGenericSequenceStatistics< StatisticsType > | Statistics analysis of N-dimensional (sequence) data |
CDiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
►CGreeks | Additional option results |
►CMultiAssetOption::results | Results from multi-asset option calculation |
CMargrabeOption::results | Extra results for Margrabe option |
COneAssetOption::results | Results from single-asset option calculation |
CGumbelCopula | Gumbel copula |
CHaltonRsg | Halton low-discrepancy sequence generator |
►CHandle< T > | Shared handle to an observable |
CRelinkableHandle< T > | Relinkable handle to an observable |
CHazardRate | Hazard-rate-curve traits |
►CHestonExpansion | |
CFordeHestonExpansion | |
CLPP2HestonExpansion | |
CLPP3HestonExpansion | |
CHestonRNDCalculator | Risk neutral terminal probability density for the Heston model |
CHistogram | Histogram class |
CHistoricalForwardRatesAnalysisImpl< Traits, Interpolator > | Historical correlation class |
CHistoricalRatesAnalysis | Historical rate analysis class |
CHuslerReissCopula | Husler-Reiss copula |
CIborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
CIMM | Main cycle of the International Money Market (a.k.a. IMM) months |
CIncrementalStatistics | Statistics tool based on incremental accumulation |
CIndependentCopula | Independent copula |
CIntegralEngine | Pricing engine for European vanilla options using integral approach |
CInterestRate | Concrete interest rate class |
►CInterpolatedCurve< Interpolator > | Helper class to build interpolated term structures |
CInterpolatedYoYOptionletVolatilityCurve< Interpolator > | |
CInterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities |
CInterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors |
CInterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates |
CInterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates |
CInterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
CInterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates |
CInterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates |
CInterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates |
CInterpolatingCPICapFloorEngine | |
►CInterpolation2D::Impl | Abstract base class for 2-D interpolation implementations |
CInterpolation2D::templateImpl< I1, I2, M > | Basic template implementation |
►CInterpolation::Impl | Abstract base class for interpolation implementations |
CInterpolation::templateImpl< I1, I2 > | Basic template implementation |
CIntervalPrice | Interval price |
CInverseCumulativeBehrensFisher | Inverse of the cumulative of the convolution of odd-T distributions |
CInverseCumulativeNormal | Inverse cumulative normal distribution function |
CInverseCumulativePoisson | Inverse cumulative Poisson distribution function |
CInverseCumulativeRng< RNG, IC > | Inverse cumulative random number generator |
CInverseCumulativeRsg< USG, IC > | Inverse cumulative random sequence generator |
CInverseCumulativeStudent | Inverse cumulative Student t-distribution |
CIrregularSettlement | settlement information |
►CIrregularSwap::arguments | Arguments for irregular-swap calculation |
CIrregularSwaption::arguments | Arguments for irregular-swaption calculation |
CIrregularSwap::results | Results from irregular-swap calculation |
CIsotropicRandomWalk< Distribution, Engine > | Isotropic random walk |
CIterativeBootstrap< Curve > | Universal piecewise-term-structure boostrapper |
CJumpDiffusionEngine | Jump-diffusion engine for vanilla options |
CJuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
►CKernelFunction | |
CGaussianKernel | Gaussian kernel function |
CKnuthUniformRng | Uniform random number generator |
CLatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool > | |
CLatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< BoxMullerGaussianRng< URNG > >, dummy > | Specialization for direct Gaussian Box-Muller generation |
CLatentModel< copulaPolicyImpl >::FactorSampler< RandomSequenceGenerator< PolarStudentTRng< URNG > >, dummy > | Specialization for direct T samples generation |
►CLattice | Lattice (tree, finite-differences) base class |
CTreeLattice< Impl > | Tree-based lattice-method base class |
CTreeLattice< BlackScholesLattice< T > > | |
CTreeLattice< OneFactorModel::ShortRateTree > | |
CTreeLattice< TwoFactorModel::ShortRateTree > | |
CLeastSquareProblem | Base class for least square problem |
CLecuyerUniformRng | Uniform random number generator |
CLexicographicalView< RandomAccessIterator > | Lexicographical 2-D view of a contiguous set of data |
►CLfmCovarianceParameterization | Libor market model parameterization |
CLfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
CLfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
CLinear | Linear-interpolation factory and traits |
►CLineSearch | Base class for line search |
CArmijoLineSearch | Armijo line search |
►CLmCorrelationModel | libor forward correlation model |
CLmExponentialCorrelationModel | Exponential correlation model |
CLmLinearExponentialCorrelationModel | linear exponential correlation model |
CLMMDriftCalculator | Drift computation for log-normal Libor market models |
CLMMNormalDriftCalculator | Drift computation for normal Libor market models |
►CLmVolatilityModel | Caplet volatility model |
CLmConstWrapperVolatilityModel | Caplet const volatility model |
►CLmLinearExponentialVolatilityModel | linear exponential volatility model |
CLmExtLinearExponentialVolModel | Extended linear exponential volatility model |
CLocalBootstrap< Curve > | Localised-term-structure bootstrapper for most curve types |
CLogCubic | Log-cubic interpolation factory and traits |
CLogLinear | Log-linear interpolation factory and traits |
CLogMixedLinearCubic | Log-cubic interpolation factory and traits |
►CLossDist | Probability formulas and algorithms |
CLossDistBinomial | Binomial loss distribution |
CLossDistBucketing | Loss distribution with Hull-White bucketing |
CLossDistHomogeneous | Loss Distribution for Homogeneous Pool |
CLossDistMonteCarlo | Loss distribution with Monte Carlo simulation |
CMaddockCumulativeNormal | Maddock's cumulative normal distribution class |
CMaddockInverseCumulativeNormal | Maddock's Inverse cumulative normal distribution class |
CMakeCapFloor | Helper class |
CMakeCms | Helper class for instantiating CMS |
CMakeMCAmericanBasketEngine< RNG > | Monte Carlo American basket-option engine factory |
CMakeMCAmericanEngine< RNG, S, RNG_Calibration > | Monte Carlo American engine factory |
CMakeMCAmericanPathEngine< RNG > | Monte Carlo American basket-option engine factory |
CMakeMCBarrierEngine< RNG, S > | Monte Carlo barrier-option engine factory |
CMakeMCDigitalEngine< RNG, S > | Monte Carlo digital engine factory |
CMakeMCEuropeanBasketEngine< RNG, S > | Monte Carlo basket-option engine factory |
CMakeMCEuropeanEngine< RNG, S > | Monte Carlo European engine factory |
CMakeMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH European engine factory |
CMakeMCEuropeanHestonEngine< RNG, S, P > | Monte Carlo Heston European engine factory |
CMakeMCEverestEngine< RNG, S > | Monte Carlo Everest-option engine factory |
CMakeMCHestonHullWhiteEngine< RNG, S > | Monte Carlo Heston/Hull-White engine factory |
CMakeMCHimalayaEngine< RNG, S > | Monte Carlo Himalaya-option engine factory |
CMakeMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White cap-floor engine factory |
CMakeMCPagodaEngine< RNG, S > | Monte Carlo pagoda-option engine factory |
CMakeMCPathBasketEngine< RNG, S > | Monte Carlo Path Basket engine factory |
CMakeMCPerformanceEngine< RNG, S > | Monte Carlo performance-option engine factory |
CMakeMCVarianceSwapEngine< RNG, S > | Monte Carlo variance-swap engine factory |
CMakeOIS | Helper class |
CMakeSchedule | Helper class |
CMakeSwaption | Helper class |
CMakeVanillaSwap | Helper class |
CMakeYoYInflationCapFloor | Helper class |
►CMarketModel | Base class for market models |
CAbcdVol | Abcd-interpolated volatility structure |
►CMarketModelEvolver | Market-model evolver |
►CConstrainedEvolver | Constrained market-model evolver |
CLogNormalFwdRateEulerConstrained | Euler stepping |
CLogNormalCmSwapRatePc | Predictor-Corrector |
CLogNormalCotSwapRatePc | Predictor-Corrector |
CLogNormalFwdRateBalland | Iterative Predictor-Corrector |
CLogNormalFwdRateEuler | Euler |
CLogNormalFwdRateiBalland | Iterative Predictor-Corrector |
CLogNormalFwdRateIpc | Iterative Predictor-Corrector |
CLogNormalFwdRatePc | Predictor-Corrector |
CNormalFwdRatePc | Predictor-Corrector |
CSVDDFwdRatePc | |
►CMarketModelMultiProduct | Market-model product |
CMarketModelCashRebate | |
►CMarketModelComposite | Composition of two or more market-model products |
CMultiProductComposite | Composition of one or more market-model products |
CSingleProductComposite | Composition of one or more market-model products |
►CMultiProductMultiStep | Multiple-step market-model product |
CMultiStepSwaption | |
CMultiProductOneStep | Single-step market-model product |
CMultiProductPathwiseWrapper | |
CMarketModelPathwiseDiscounter | |
►CMarketModelPathwiseMultiProduct | Market-model pathwise product |
CMarketModelPathwiseCashRebate | |
CMarketModelPathwiseCoterminalSwaptionsDeflated | |
CMarketModelPathwiseCoterminalSwaptionsNumericalDeflated | |
CMarketModelPathwiseInverseFloater | |
CMarketModelPathwiseMultiCaplet | Market-model pathwise caplet |
CMarketModelPathwiseMultiDeflatedCap | |
CMarketModelPathwiseSwap | |
►CMarketModelVolProcess | |
CSquareRootAndersen | |
CMarshallOlkinCopula | Marshall-Olkin copula |
►CMatrix | Matrix used in linear algebra |
CDisposable< QuantLib::Matrix > | |
CMaxCopula | Max copula |
►CMcSimulation< MC, RNG, S > | Base class for Monte Carlo engines |
CMCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
CMCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
CMCVanillaEngine< MC, RNG, S, Inst > | Pricing engine for vanilla options using Monte Carlo simulation |
►CMeanRevertingPricer | |
►CHaganPricer | CMS-coupon pricer |
CAnalyticHaganPricer | CMS-coupon pricer |
CNumericHaganPricer | CMS-coupon pricer |
CLinearTsrPricer | CMS-coupon pricer |
CMersenneTwisterUniformRng | Uniform random number generator |
CMinCopula | Min copula |
CMixedLinearCubic | Mixed linear/cubic interpolation factory and traits |
►CMixedScheme< Operator > | Mixed (explicit/implicit) scheme for finite difference methods |
CCrankNicolson< Operator > | Crank-Nicolson scheme for finite difference methods |
CExplicitEuler< Operator > | Forward Euler scheme for finite difference methods |
CImplicitEuler< Operator > | Backward Euler scheme for finite difference methods |
CModifiedCraigSneydScheme | Modified Craig-Sneyd scheme |
CMoney | Amount of cash |
CMonteCarloModel< MC, RNG, S > | General-purpose Monte Carlo model for path samples |
►CMoreGreeks | More additional option results |
COneAssetOption::results | Results from single-asset option calculation |
CMoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
CMTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
CMultiCubicSpline< i > | N-dimensional cubic spline interpolation between discrete points |
CMultidimIntegral | Integrates a vector or scalar function of vector domain |
CMultiPath | Correlated multiple asset paths |
CMultiPathGenerator< GSG > | Generates a multipath from a random number generator |
CMultiVariate< RNG > | Default Monte Carlo traits for multi-variate models |
CNoArbSabr | No arbtrage sabr interpolation factory and traits |
CNonLinearLeastSquare | Non-linear least-square method |
►CNonstandardSwap::arguments | Arguments for nonstandard swap calculation |
CNonstandardSwaption::arguments | Arguments for nonstandard swaption calculation |
CNonstandardSwap::results | Results from nonstandard swap calculation |
CNormalDistribution | Normal distribution function |
CNull< T > | Template class providing a null value for a given type |
CNull< Array > | Specialization of null template for this class |
CNull< Date > | Specialization of Null template for the Date class |
CNumericalDifferentiation | Numerical Differentiation on arbitrarily spaced grids |
►CObservable | Object that notifies its changes to a set of observers |
►CBootstrapHelper< YoYInflationTermStructure > | |
CYearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper |
►CBootstrapHelper< YoYOptionletVolatilitySurface > | |
CYoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper |
►CBootstrapHelper< ZeroInflationTermStructure > | |
CZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper |
►CLatentModel< copulaPolicy > | |
►CDefaultLatentModel< copulaPolicy > | Default event Latent Model |
►CConstantLossLatentmodel< copulaPolicy > | |
CConstantLossModel< copulaPolicy > | |
CSpotRecoveryLatentModel< copulaPolicy > | Random spot recovery rate latent variable portfolio model |
►CLatentModel< GaussianCopulaPolicy > | |
CGaussianLHPLossModel | |
►CAffineModel | Affine model class |
CG2 | Two-additive-factor gaussian model class |
CLiborForwardModel | Libor forward model |
►COneFactorAffineModel | Single-factor affine base class |
►CCoxIngersollRoss | Cox-Ingersoll-Ross model class |
CExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
CGeneralizedHullWhite | Generalized Hull-White model class |
►CVasicek | Vasicek model class |
CHullWhite | Single-factor Hull-White (extended Vasicek) model class |
►CBootstrapHelper< TS > | Base helper class for bootstrapping |
►CBondHelper | Bond helper for curve bootstrap |
CCPIBondHelper | CPI bond helper for curve bootstrap |
CFixedRateBondHelper | Fixed-coupon bond helper for curve bootstrap |
CDatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
CFuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices |
►CRelativeDateBootstrapHelper< TS > | Bootstrap helper with date schedule relative to global evaluation date |
CBMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
►CCdsHelper | |
CSpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper |
CUpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper |
CDepositRateHelper | Rate helper for bootstrapping over deposit rates |
CFraRateHelper | Rate helper for bootstrapping over FRA rates |
CFxSwapRateHelper | Rate helper for bootstrapping over Fx Swap rates |
COISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
CSwapRateHelper | Rate helper for bootstrapping over swap rates |
►CCalibratedModel | Calibrated model class |
CGJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset |
CGsr | One factor gsr model, formulation is in forward measure |
►CHestonModel | Heston model for the stochastic volatility of an asset |
CBatesModel | Bates stochastic-volatility model |
CLiborForwardModel | Libor forward model |
CMarkovFunctional | |
CPiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model |
►CShortRateModel | Abstract short-rate model class |
►COneFactorModel | Single-factor short-rate model abstract class |
CBlackKarasinski | Standard Black-Karasinski model class |
COneFactorAffineModel | Single-factor affine base class |
►CTwoFactorModel | Abstract base-class for two-factor models |
CG2 | Two-additive-factor gaussian model class |
CVarianceGammaModel | Variance Gamma model |
►CClaim | Claim associated to a default event |
CFaceValueAccrualClaim | Claim on the notional of a reference security, including accrual |
CFaceValueClaim | Claim on a notional |
CCommodityIndex | Base class for commodity indexes |
►CDefaultLossModel | |
CBaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > | |
CBinomialLossModel< LLM > | |
CConstantLossModel< copulaPolicy > | |
CGaussianLHPLossModel | |
CHomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite homogeneous pool |
CInhomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite non homogeneous pool |
CRandomLM< derivedRandomLM, copulaPolicy, USNG > | |
CRecursiveLossModel< copulaPolicy > | |
CSaddlePointLossModel< CP > | Saddle point portfolio credit default loss model |
►CRandomLM< RandomDefaultLM, copulaPolicy, USNG > | |
CRandomDefaultLM< copulaPolicy, USNG > | |
►CRandomLM< RandomLossLM, copulaPolicy, USNG > | |
CRandomLossLM< copulaPolicy, USNG > | |
►CEvent | Base class for event |
►CCallability | instrument callability |
CSoftCallability | callability leaving to the holder the possibility to convert |
►CCashFlow | Base class for cash flows |
►CCoupon | coupon accruing over a fixed period |
CFixedRateCoupon | Coupon paying a fixed interest rate |
►CFloatingRateCoupon | Base floating-rate coupon class |
CAverageBMACoupon | Average BMA coupon |
CCappedFlooredCoupon | Capped and/or floored floating-rate coupon |
CCmsCoupon | CMS coupon class |
CCmsSpreadCoupon | CMS spread coupon class |
►CDigitalCoupon | Digital-payoff coupon |
CDigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
CDigitalCmsSpreadCoupon | Cms-spread-rate coupon with digital digital call/put option |
CDigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
CIborCoupon | Coupon paying a Libor-type index |
COvernightIndexedCoupon | Overnight coupon |
►CInflationCoupon | Base inflation-coupon class |
CCPICoupon | Coupon paying the performance of a CPI (zero inflation) index |
►CYoYInflationCoupon | Coupon paying a YoY-inflation type index |
CCappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
►CDividend | Predetermined cash flow |
CFixedDividend | Predetermined cash flow |
CFractionalDividend | Predetermined cash flow |
►CIndexedCashFlow | Cash flow dependent on an index ratio |
CCPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index |
►CSimpleCashFlow | Predetermined cash flow |
CAmortizingPayment | Amortizing payment |
CRedemption | Bond redemption |
CDefaultEvent | Credit event on a bond of a certain seniority(ies)/currency |
►CFloatingRateCouponPricer | Generic pricer for floating-rate coupons |
►CCmsCouponPricer | Base pricer for vanilla CMS coupons |
CHaganPricer | CMS-coupon pricer |
CLinearTsrPricer | CMS-coupon pricer |
►CCmsSpreadCouponPricer | Base pricer for vanilla CMS spread coupons |
CLognormalCmsSpreadPricer | CMS spread - coupon pricer |
►CIborCouponPricer | Base pricer for capped/floored Ibor coupons |
CBlackIborCouponPricer | |
►CIndex | Purely virtual base class for indexes |
►CInflationIndex | Base class for inflation-rate indexes, |
►CYoYInflationIndex | Base class for year-on-year inflation indices |
CYYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio) |
CYYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio) |
CYYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) |
CYYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP) |
CYYEUHICPXT | Genuine year-on-year EU HICPXT |
CYYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio) |
CYYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio) |
CYYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio) |
CYYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio) |
CYYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) |
CYYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI) |
CYYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI) |
CYYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI) |
CYYZACPI | Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI) |
CYYZACPIr | Fake year-on-year South African CPI (i.e. a ratio of ZA CPI) |
►CZeroInflationIndex | Base class for zero inflation indices |
CAUCPI | AU CPI index (either quarterly or annual) |
CEUHICP | EU HICP index |
CEUHICPXT | EU HICPXT index |
CFRHICP | FR HICP index |
CGenericCPI | Generic CPI index |
CUKRPI | UK Retail Price Inflation Index |
CUSCPI | US CPI index |
CZACPI | South African Comsumer Price Inflation Index |
►CInterestRateIndex | Base class for interest rate indexes |
CBMAIndex | Bond Market Association index |
►CIborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
CCdor | CDOR rate |
►CDailyTenorEURLibor | Base class for the one day deposit ICE EUR LIBOR indexes |
CEURLiborON | Overnight EUR Libor index |
►CDailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones |
CCADLiborON | Overnight CAD Libor index |
CDailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes |
►CDailyTenorGBPLibor | Base class for the one day deposit ICE GBP LIBOR indexes |
CGBPLiborON | Overnight GBP Libor index |
CDailyTenorJPYLibor | Base class for the one day deposit ICE JPY LIBOR indexes |
►CDailyTenorUSDLibor | Base class for the one day deposit ICE USD LIBOR indexes |
CUSDLiborON | Overnight USD Libor index |
►CEuribor | Euribor index |
CEuribor10M | 10-months Euribor index |
CEuribor11M | 11-months Euribor index |
CEuribor1M | 1-month Euribor index |
CEuribor1Y | 1-year Euribor index |
CEuribor2M | 2-months Euribor index |
CEuribor2W | 2-weeks Euribor index |
CEuribor3M | 3-months Euribor index |
CEuribor3W | 3-weeks Euribor index |
CEuribor4M | 4-months Euribor index |
CEuribor5M | 5-months Euribor index |
CEuribor6M | 6-months Euribor index |
CEuribor7M | 7-months Euribor index |
CEuribor8M | 8-months Euribor index |
CEuribor9M | 9-months Euribor index |
CEuriborSW | 1-week Euribor index |
►CEuribor365 | Actual/365 Euribor index |
CEuribor365_10M | 10-months Euribor365 index |
CEuribor365_11M | 11-months Euribor365 index |
CEuribor365_1M | 1-month Euribor365 index |
CEuribor365_1Y | 1-year Euribor365 index |
CEuribor365_2M | 2-months Euribor365 index |
CEuribor365_2W | 2-weeks Euribor365 index |
CEuribor365_3M | 3-months Euribor365 index |
CEuribor365_3W | 3-weeks Euribor365 index |
CEuribor365_4M | 4-months Euribor365 index |
CEuribor365_5M | 5-months Euribor365 index |
CEuribor365_6M | 6-months Euribor365 index |
CEuribor365_7M | 7-months Euribor365 index |
CEuribor365_8M | 8-months Euribor365 index |
CEuribor365_9M | 9-months Euribor365 index |
CEuribor365_SW | 1-week Euribor365 index |
►CEURLibor | Base class for all ICE EUR LIBOR indexes but the O/N |
CEURLibor10M | 10-months EUR Libor index |
CEURLibor11M | 11-months EUR Libor index |
CEURLibor1M | 1-month EUR Libor index |
CEURLibor1Y | 1-year EUR Libor index |
CEURLibor2M | 2-months EUR Libor index |
CEURLibor2W | 2-weeks EUR Libor index |
CEURLibor3M | 3-months EUR Libor index |
CEURLibor4M | 4-months EUR Libor index |
CEURLibor5M | 5-months EUR Libor index |
CEURLibor6M | 6-months EUR Libor index |
CEURLibor7M | 7-months EUR Libor index |
CEURLibor8M | 8-months EUR Libor index |
CEURLibor9M | 9-months EUR Libor index |
CEURLiborSW | 1-week EUR Libor index |
CJibar | JIBAR rate |
►CLibor | Base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones |
CAUDLibor | AUD LIBOR rate |
CCADLibor | CAD LIBOR rate |
CCHFLibor | CHF LIBOR rate |
CDKKLibor | DKK LIBOR rate |
CGBPLibor | GBP LIBOR rate |
CJPYLibor | JPY LIBOR rate |
CNZDLibor | NZD LIBOR rate |
CSEKLibor | SEK LIBOR rate |
CUSDLibor | USD LIBOR rate |
CProxyIbor | IborIndex calculated as proxy of some other IborIndex |
CTibor | JPY TIBOR index |
CTRLibor | TRY LIBOR rate |
CZibor | CHF ZIBOR rate |
►CSwapIndex | Base class for swap-rate indexes |
CChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class |
CEuriborSwapIfrFix | EuriborSwapIfrFix index base class |
CEuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class |
CEuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class |
CEurLiborSwapIfrFix | EurLiborSwapIfrFix index base class |
CEurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class |
CEurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class |
CGbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class |
CJpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class |
CJpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class |
COvernightIndexedSwapIndex | Base class for overnight indexed swap indexes |
CUsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class |
CUsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class |
CSwapSpreadIndex | Class for swap-rate spread indexes |
►CInflationCouponPricer | Base inflation-coupon pricer |
CCPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO |
►CYoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
CBachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons |
CBlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons |
CUnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
CLatentModel< copulaPolicyImpl > | Generic multifactor latent variable model |
►CLazyObject | Framework for calculation on demand and result caching |
CAbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
CBasket | |
►CCalibrationHelper | Liquid market instrument used during calibration |
CCapHelper | Calibration helper for ATM cap |
CHestonModelHelper | Calibration helper for Heston model |
CSwaptionHelper | Calibration helper for ATM swaption |
CCapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
CCapFloorTermVolSurface | Cap/floor smile volatility surface |
CCmsMarket | Set of CMS quotes |
CEurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
CFittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
CFlatForward | Flat interest-rate curve |
CForwardSwapQuote | Quote for a forward starting swap |
►CGaussian1dModel | |
CGsr | One factor gsr model, formulation is in forward measure |
CMarkovFunctional | |
CHestonSLVMCModel | |
CImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
►CInstrument | Abstract instrument class |
►CBond | Base bond class |
CAmortizingCmsRateBond | Amortizing CMS-rate bond |
CAmortizingFixedRateBond | Amortizing fixed-rate bond |
CAmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored) |
►CCallableBond | Callable bond base class |
►CCallableFixedRateBond | Callable/puttable fixed rate bond |
CCallableZeroCouponBond | Callable/puttable zero coupon bond |
CCmsRateBond | CMS-rate bond |
►CConvertibleBond | Base class for convertible bonds |
CConvertibleFixedCouponBond | Convertible fixed-coupon bond |
CConvertibleFloatingRateBond | Convertible floating-rate bond |
CConvertibleZeroCouponBond | Convertible zero-coupon bond |
CCPIBond | |
►CFixedRateBond | Fixed-rate bond |
CBTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond |
►CFloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
CCCTEU | |
CZeroCouponBond | Zero-coupon bond |
►CCapFloor | Base class for cap-like instruments |
CCap | Concrete cap class |
CCollar | Concrete collar class |
CFloor | Concrete floor class |
CCDO | Collateralized debt obligation |
►CCommodity | Commodity base class |
►CEnergyCommodity | Energy commodity class |
CEnergyFuture | Energy future |
CCompositeInstrument | Composite instrument |
CCPICapFloor | CPI cap or floor |
CCreditDefaultSwap | Credit default swap |
►CForward | Abstract base forward class |
CFixedRateBondForward | Forward contract on a fixed-rate bond |
CNthToDefault | N-th to default swap |
►COption | Base option class |
CCdsOption | CDS option |
CFloatFloatSwaption | Floatfloat swaption class |
CIrregularSwaption | Irregular Swaption class |
►CMultiAssetOption | Base class for options on multiple assets |
CBasketOption | Basket option on a number of assets |
CHimalayaOption | Himalaya option |
CMargrabeOption | Margrabe option on two assets |
CPagodaOption | Roofed Asian option on a number of assets |
CSpreadOption | Spread option on two assets |
CNonstandardSwaption | Nonstandard swaption class |
►COneAssetOption | Base class for options on a single asset |
►CBarrierOption | Barrier option on a single asset |
CDividendBarrierOption | Single-asset barrier option with discrete dividends |
CQuantoBarrierOption | Quanto version of a barrier option |
CCliquetOption | Cliquet (Ratchet) option |
CCompoundOption | Compound option on a single asset |
CContinuousAveragingAsianOption | Continuous-averaging Asian option |
►CContinuousFixedLookbackOption | Continuous-fixed lookback option |
CContinuousPartialFixedLookbackOption | Continuous-partial-fixed lookback option |
►CContinuousFloatingLookbackOption | Continuous-floating lookback option |
CContinuousPartialFloatingLookbackOption | Continuous-partial-floating lookback option |
CDiscreteAveragingAsianOption | Discrete-averaging Asian option |
CDividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
►CDoubleBarrierOption | Double Barrier option on a single asset |
CQuantoDoubleBarrierOption | Quanto version of a double barrier option |
►CForwardVanillaOption | Forward version of a vanilla option |
CQuantoForwardVanillaOption | Quanto version of a forward vanilla option |
CQuantoVanillaOption | Quanto version of a vanilla option |
CSimpleChooserOption | Simple chooser option |
►CVanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
CEuropeanOption | European option on a single asset |
CVanillaStorageOption | Base option class |
CVanillaSwingOption | Base option class |
CWriterExtensibleOption | Writer-extensible option |
CSwaption | Swaption class |
CTwoAssetBarrierOption | Barrier option on two assets |
CPathMultiAssetOption | Base class for path-dependent options on multiple assets |
CRiskyAssetSwap | Risky asset-swap instrument |
CRiskyAssetSwapOption | Option on risky asset swap |
►CRiskyBond | |
CRiskyFixedBond | |
CRiskyFloatingBond | |
CStock | Simple stock class |
►CSwap | Interest rate swap |
CAssetSwap | Bullet bond vs Libor swap |
CBMASwap | Swap paying Libor against BMA coupons |
CCPISwap | Zero-inflation-indexed swap, |
CFloatFloatSwap | Float float swap |
CIrregularSwap | Irregular swap: fixed vs floating leg |
CNonstandardSwap | Nonstandard swap |
COvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate |
CVanillaSwap | Plain-vanilla swap: fix vs floating leg |
CYearOnYearInflationSwap | Year-on-year inflation-indexed swap |
CZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
CSyntheticCDO | Synthetic Collateralized Debt Obligation |
CVarianceOption | Variance option |
CVarianceSwap | Variance swap |
►CYoYInflationCapFloor | Base class for yoy inflation cap-like instruments |
CYoYInflationCap | Concrete YoY Inflation cap class |
CYoYInflationCollar | Concrete YoY Inflation collar class |
CYoYInflationFloor | Concrete YoY Inflation floor class |
►COneFactorCopula | Abstract base class for one-factor copula models |
COneFactorGaussianCopula | One-factor Gaussian Copula |
COneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula |
COneFactorStudentCopula | One-factor Double Student t-Copula |
COneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula |
CPiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > | Piecewise default-probability term structure |
CPiecewiseYieldCurve< Traits, Interpolator, Bootstrap > | Piecewise yield term structure |
CPiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure |
CPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure |
CPiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure |
CRandomLM< derivedRandomLM, copulaPolicy, USNG > | |
CStrippedOptionletAdapter | |
►CStrippedOptionletBase | |
►COptionletStripper | |
COptionletStripper1 | |
COptionletStripper2 | |
CStrippedOptionlet | |
CRandomLM< RandomDefaultLM, copulaPolicy, USNG > | |
CRandomLM< RandomLossLM, copulaPolicy, USNG > | |
CMarketModelFactory | Base class for market-model factories |
►CPricingEngine | Interface for pricing engines |
►CGenericEngine< Arguments, Results > | |
►CGenericModelEngine< ShortRateModel, Arguments, Results > | |
CLatticeShortRateModelEngine< Arguments, Results > | Engine for a short-rate model specialized on a lattice |
►CGenericEngine< BarrierOption::arguments, BarrierOption::results > | |
►CBarrierOption::engine | Barrier-option engine base class |
CAnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
CAnalyticBinaryBarrierEngine | Analytic pricing engine for American binary barriers options |
CBinomialBarrierEngine< T, D > | Pricing engine for barrier options using binomial trees |
CMCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation |
CPerturbativeBarrierOptionEngine | Perturbative barrier-option engine |
►CGenericEngine< BasketOption::arguments, BasketOption::results > | |
►CBasketOption::engine | Basket-option engine base class |
CMCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > | |
CFd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine |
CKirkEngine | Pricing engine for spread option on two futures |
CMCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation |
CStulzEngine | Pricing engine for 2D European Baskets |
CGenericEngine< Bond::arguments, Bond::results > | |
►CGenericEngine< CallableBond::arguments, CallableBond::results > | |
►CGenericModelEngine< ShortRateModel, CallableBond::arguments, CallableBond::results > | |
►CLatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results > | |
►CTreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds |
CTreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds |
►CCallableBond::engine | Base class for callable fixed rate bond engine |
►CBlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine |
CBlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine |
►CGenericEngine< CapFloor::arguments, CapFloor::results > | |
►CGenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results > | |
CAnalyticCapFloorEngine | Analytic engine for cap/floor |
►CGenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results > | |
CGaussian1dCapFloorEngine | Gaussian1d cap/floor engine |
►CGenericModelEngine< ShortRateModel, CapFloor::arguments, CapFloor::results > | |
►CLatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results > | |
CTreeCapFloorEngine | Numerical lattice engine for cap/floors |
►CCapFloor::engine | Base class for cap/floor engines |
CBachelierCapFloorEngine | Bachelier-Black-formula cap/floor engine |
CBlackCapFloorEngine | Black-formula cap/floor engine |
CMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors |
►CGenericEngine< CatBond::arguments, CatBond::results > | |
CCatBond::engine | Base class for cat bond engine |
►CGenericEngine< CdsOption::arguments, CdsOption::results > | |
►CCdsOption::engine | Base class for swaption engines |
CBlackCdsOptionEngine | Black-formula CDS-option engine |
►CGenericEngine< CliquetOption::arguments, CliquetOption::results > | |
►CCliquetOption::engine | Cliquet engine base class |
CAnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
CAnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
CMCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation |
CGenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > | |
►CGenericEngine< CompoundOption::arguments, CompoundOption::results > | |
►CCompoundOption::engine | Compound-option engine base class |
CAnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae |
►CGenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
►CContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class |
CAnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
CContinuousArithmeticAsianVecerEngine | Vecer engine for continuous-avaeraging Asian options |
►CGenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
►CContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class |
CAnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
►CGenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > | |
►CContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class |
CAnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
►CGenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > | |
►CContinuousPartialFixedLookbackOption::engine | Continuous partial fixed lookback engine base class |
CAnalyticContinuousPartialFixedLookbackEngine | Pricing engine for European continuous partial-time fixed-strike lookback options |
►CGenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > | |
►CContinuousPartialFloatingLookbackOption::engine | Continuous partial floating lookback engine base class |
CAnalyticContinuousPartialFloatingLookbackEngine | Pricing engine for European continuous partial-time floating-strike lookback option |
CGenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > | |
CGenericEngine< CPICapFloor::arguments, CPICapFloor::results > | |
CGenericEngine< CPISwap::arguments, CPISwap::results > | |
CGenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > | |
►CGenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
►CDiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class |
CAnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
CAnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option |
CMCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation |
►CGenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
►CGenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results > | |
CFdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine |
CFdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine |
►CDividendBarrierOption::engine | Dividend-barrier-option engine base class |
CFdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine |
CFdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine |
CVannaVolgaBarrierEngine | Vanna Volga barrier option engine |
►CGenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
►CGenericModelEngine< BatesModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
CFdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine |
►CGenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
CFdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine |
CFdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine |
►CDividendVanillaOption::engine | Dividend-vanilla-option engine base class |
CAnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
►CGenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
►CGenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
CFdHestonDoubleBarrierEngine | Finite-Differences Heston Double Barrier Option engine |
►CDoubleBarrierOption::engine | Double-Barrier-option engine base class |
CAnalyticDoubleBarrierBinaryEngine | Analytic pricing engine for double barrier binary options |
CAnalyticDoubleBarrierEngine | Pricing engine for double barrier european options using analytical formulae |
CBinomialDoubleBarrierEngine< T, D > | Pricing engine for double barrier options using binomial trees |
CWulinYongDoubleBarrierEngine | Pricing engine for barrier options using analytical formulae |
CVannaVolgaDoubleBarrierEngine< DoubleBarrierEngine > | Vanna Volga double-barrier option engine |
CGenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > | |
CGenericEngine< EverestOption::arguments, EverestOption::results > | |
CGenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > | |
►CGenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > | |
►CGenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results > | |
CGaussian1dFloatFloatSwaptionEngine | One factor model float float swaption engine |
CFloatFloatSwaption::engine | Base class for cms swaption engines |
►CGenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
►CForwardVanillaEngine< Engine > | Forward engine for vanilla options |
CForwardPerformanceVanillaEngine< Engine > | Forward performance engine for vanilla options |
CGenericEngine< HimalayaOption::arguments, HimalayaOption::results > | |
CGenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > | |
►CGenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
CQuantoEngine< Instr, Engine > | Quanto engine |
CGenericEngine< IrregularSwap::arguments, IrregularSwap::results > | |
►CGenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > | |
CHaganIrregularSwaptionEngine | Pricing engine for irregular swaptions |
CIrregularSwaption::engine | Base class for irregular-swaption engines |
►CGenericEngine< MargrabeOption::arguments, MargrabeOption::results > | |
►CMargrabeOption::engine | Margrabe option engine base class |
CAnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option |
CAnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option |
CGenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > | |
CGenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > | |
►CGenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | |
►CGenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > | |
CGaussian1dNonstandardSwaptionEngine | One factor model non standard swaption engine |
CNonstandardSwaption::engine | Base class for nonstandard swaption engines |
►CGenericEngine< NthToDefault::arguments, NthToDefault::results > | |
CNthToDefault::engine | NTD base engine |
CGenericEngine< OneAssetOption::arguments, OneAssetOption::results > | |
►CGenericEngine< PagodaOption::arguments, PagodaOption::results > | |
►CPagodaOption::engine | Pagoda-option engine base class |
CMCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation |
►CGenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > | |
CPartialTimeBarrierOption::engine | Partial-Time-Barrier-Option engine base class |
CGenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > | |
►CGenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > | |
►CSimpleChooserOption::engine | Simple chooser option engine base class |
CAnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option |
►CGenericEngine< SpreadOption::arguments, SpreadOption::results > | |
►CSpreadOption::engine | Spread option engine base class |
CKirkSpreadOptionEngine | Kirk approximation for European spread option on futures |
CGenericEngine< Swap::arguments, Swap::results > | |
►CGenericEngine< Swaption::arguments, Swaption::results > | |
►CGenericModelEngine< G2, Swaption::arguments, Swaption::results > | |
CG2SwaptionEngine | Swaption priced by means of the Black formula |
►CGenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results > | |
CGaussian1dJamshidianSwaptionEngine | Jamshidian swaption engine |
CGaussian1dSwaptionEngine | One factor model swaption engine |
CGenericModelEngine< HullWhite, Swaption::arguments, Swaption::results > | |
►CGenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results > | |
CLfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
►CGenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results > | |
CJamshidianSwaptionEngine | Jamshidian swaption engine |
►CGenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results > | |
►CLatticeShortRateModelEngine< Swaption::arguments, Swaption::results > | |
CTreeSwaptionEngine | Numerical lattice engine for swaptions |
►CSwaption::engine | Base class for swaption engines |
►CBlackStyleSwaptionEngine< detail::BachelierSpec > | |
CBachelierSwaptionEngine | Normal Bachelier-formula swaption engine |
►CBlackStyleSwaptionEngine< detail::Black76Spec > | |
CBlackSwaptionEngine | Shifted Lognormal Black-formula swaption engine |
CBlackStyleSwaptionEngine< Spec > | |
►CGenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
►CSyntheticCDO::engine | CDO base engine |
CMidPointCDOEngine | CDO base engine taking schedule steps |
►CGenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
►CTwoAssetBarrierOption::engine | Two-asset barrier-option engine base class |
CAnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets |
CGenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > | |
►CGenericEngine< VanillaOption::arguments, VanillaOption::results > | |
►CGenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results > | |
CAnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine |
►CGenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
►CAnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
►CAnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
CAnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation |
CBatesEngine | Bates model engines based on Fourier transform |
CAnalyticPDFHestonEngine | Analytic engine for arbitrary European payoffs under the Heston model |
CHestonExpansionEngine | Heston-model engine for European options based on analytic expansions |
►CGenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results > | |
CAnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
►CGenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > | |
CAnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine |
CGenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > | |
►CGenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
►CGenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results > | |
►CLatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results > | |
CTreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
CGenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > | |
CGenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > | |
►CGenericEngine< VarianceOption::arguments, VarianceOption::results > | |
►CVarianceOption::engine | Base class for variance-option engines |
CIntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine |
►CGenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
►CVarianceSwap::engine | Base class for variance-swap engines |
CMCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation, |
CReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
►CGenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > | |
►CWriterExtensibleOption::engine | Base engine |
CAnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options |
CGenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > | |
►CGenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
►CYoYInflationCapFloor::engine | Base class for cap/floor engines |
►CYoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
CYoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CYoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CYoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CGenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > | |
►CGenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines |
CGenericModelEngine< ModelType, ArgumentsType, ResultsType > | Base class for some pricing engine on a particular model |
CMCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
CMCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
►CQuote | Purely virtual base class for market observables |
CCompositeQuote< BinaryFunction > | Market element whose value depends on two other market element |
CDeltaVolQuote | Class for the quotation of delta vs vol |
CDerivedQuote< UnaryFunction > | Market quote whose value depends on another quote |
CEurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
CForwardSwapQuote | Quote for a forward starting swap |
CForwardValueQuote | quote for the forward value of an index |
CFuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
CImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
CLastFixingQuote | Quote adapter for the last fixing available of a given Index |
CRecoveryRateQuote | Stores a recovery rate market quote and the associated seniority |
CRendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter |
CRendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter |
CSimpleQuote | Market element returning a stored value |
►CRandomDefaultModel | Base class for random default models |
CGaussianRandomDefaultModel | |
►CRecoveryRateModel | |
CConstantRecoveryModel | |
►CSmileSection | Interest rate volatility smile section |
CGaussian1dSmileSection | |
►CStochasticProcess | Multi-dimensional stochastic process class |
CExtOUWithJumpsProcess | |
►CForwardMeasureProcess | Forward-measure stochastic process |
CG2ForwardProcess | Forward G2 stochastic process |
CG2Process | G2 stochastic process |
CGJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process |
►CHestonProcess | Square-root stochastic-volatility Heston process |
CBatesProcess | Square-root stochastic-volatility Bates process |
CHybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
CKlugeExtOUProcess | |
CLiborForwardModelProcess | Libor-forward-model process |
►CStochasticProcess1D | 1-dimensional stochastic process |
CExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class |
►CForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
CGsrProcess | GSR stochastic process |
CHullWhiteForwardProcess | Forward Hull-White stochastic process |
CGemanRoncoroniProcess | Geman-Roncoroni process class |
►CGeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
CBlackProcess | Black (1976) stochastic process |
CBlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
CBlackScholesProcess | Black-Scholes (1973) stochastic process |
CExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process |
CGarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
CVegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests |
CGeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class |
CGeometricBrownianMotionProcess | Geometric brownian-motion process |
CHullWhiteProcess | Hull-White stochastic process |
CMerton76Process | Merton-76 jump-diffusion process |
CMfStateProcess | Markov functional state process class |
COrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
CSquareRootProcess | Square-root process class |
CVarianceGammaProcess | Variance gamma process |
CStochasticProcessArray | Array of correlated 1-D stochastic processes |
CTermStructure | Basic term-structure functionality |
►CTermStructureConsistentModel | Term-structure consistent model class |
CBlackKarasinski | Standard Black-Karasinski model class |
CExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
CG2 | Two-additive-factor gaussian model class |
CGaussian1dModel | |
CGeneralizedHullWhite | Generalized Hull-White model class |
CHullWhite | Single-factor Hull-White (extended Vasicek) model class |
CObservableValue< T > | observable and assignable proxy to concrete value |
►CObserver | Object that gets notified when a given observable changes |
CBootstrapHelper< YoYInflationTermStructure > | |
CBootstrapHelper< YoYOptionletVolatilitySurface > | |
CBootstrapHelper< ZeroInflationTermStructure > | |
CGenericEngine< Arguments, Results > | |
CGenericEngine< BarrierOption::arguments, BarrierOption::results > | |
CGenericEngine< BasketOption::arguments, BasketOption::results > | |
CGenericEngine< Bond::arguments, Bond::results > | |
CGenericEngine< CallableBond::arguments, CallableBond::results > | |
CGenericEngine< CapFloor::arguments, CapFloor::results > | |
CGenericEngine< CatBond::arguments, CatBond::results > | |
CGenericEngine< CdsOption::arguments, CdsOption::results > | |
CGenericEngine< CliquetOption::arguments, CliquetOption::results > | |
CGenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > | |
CGenericEngine< CompoundOption::arguments, CompoundOption::results > | |
CGenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
CGenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
CGenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > | |
CGenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > | |
CGenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > | |
CGenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > | |
CGenericEngine< CPICapFloor::arguments, CPICapFloor::results > | |
CGenericEngine< CPISwap::arguments, CPISwap::results > | |
CGenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > | |
CGenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
CGenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
CGenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
CGenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
CGenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > | |
CGenericEngine< EverestOption::arguments, EverestOption::results > | |
CGenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > | |
CGenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > | |
CGenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
CGenericEngine< HimalayaOption::arguments, HimalayaOption::results > | |
CGenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > | |
CGenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
CGenericEngine< IrregularSwap::arguments, IrregularSwap::results > | |
CGenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > | |
CGenericEngine< MargrabeOption::arguments, MargrabeOption::results > | |
CGenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > | |
CGenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > | |
CGenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | |
CGenericEngine< NthToDefault::arguments, NthToDefault::results > | |
CGenericEngine< OneAssetOption::arguments, OneAssetOption::results > | |
CGenericEngine< PagodaOption::arguments, PagodaOption::results > | |
CGenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > | |
CGenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > | |
CGenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > | |
CGenericEngine< SpreadOption::arguments, SpreadOption::results > | |
CGenericEngine< Swap::arguments, Swap::results > | |
CGenericEngine< Swaption::arguments, Swaption::results > | |
CGenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
CGenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
CGenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > | |
CGenericEngine< VanillaOption::arguments, VanillaOption::results > | |
CGenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > | |
CGenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
CGenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > | |
CGenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > | |
CGenericEngine< VarianceOption::arguments, VarianceOption::results > | |
CGenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
CGenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > | |
CGenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > | |
CGenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
CGenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > | |
CLatentModel< copulaPolicy > | |
CLatentModel< GaussianCopulaPolicy > | |
CBaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > | |
CBootstrapHelper< TS > | Base helper class for bootstrapping |
CCalibratedModel | Calibrated model class |
CClaim | Claim associated to a default event |
CCommodityIndex | Base class for commodity indexes |
CCompositeQuote< BinaryFunction > | Market element whose value depends on two other market element |
CConstantRecoveryModel | |
CDeltaVolQuote | Class for the quotation of delta vs vol |
CDerivedQuote< UnaryFunction > | Market quote whose value depends on another quote |
CFloatingRateCoupon | Base floating-rate coupon class |
CFloatingRateCouponPricer | Generic pricer for floating-rate coupons |
CForwardValueQuote | quote for the forward value of an index |
CFuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
CGenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines |
CIndexedCashFlow | Cash flow dependent on an index ratio |
CInflationCoupon | Base inflation-coupon class |
CInflationCouponPricer | Base inflation-coupon pricer |
CInflationIndex | Base class for inflation-rate indexes, |
CInterestRateIndex | Base class for interest rate indexes |
CLastFixingQuote | Quote adapter for the last fixing available of a given Index |
CLatentModel< copulaPolicyImpl > | Generic multifactor latent variable model |
CLazyObject | Framework for calculation on demand and result caching |
CRandomDefaultModel | Base class for random default models |
CSmileSection | Interest rate volatility smile section |
CStochasticProcess | Multi-dimensional stochastic process class |
CTermStructure | Basic term-structure functionality |
►COneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics |
CBlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
►CCoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
CExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
CHullWhite::Dynamics | Short-rate dynamics in the Hull-White model |
CVasicek::Dynamics | Short-rate dynamics in the Vasicek model |
COperatorFactory | Black-Scholes-Merton differential operator |
►COptimizationMethod | Abstract class for constrained optimization method |
CDifferentialEvolution | Differential Evolution configuration object |
CHybridSimulatedAnnealing< Sampler, Probability, Temperature, Reannealing > | |
CLevenbergMarquardt | Levenberg-Marquardt optimization method |
CSimplex | Multi-dimensional simplex class |
CSimulatedAnnealing< RNG > | |
►COption::arguments | Basic option arguments |
CCdsOption::arguments | Arguments for CDS-option calculation |
CCliquetOption::arguments | Arguments for cliquet option calculation |
CFloatFloatSwaption::arguments | Arguments for cms swaption calculation |
CIrregularSwaption::arguments | Arguments for irregular-swaption calculation |
CMargrabeOption::arguments | Extra arguments for Margrabe option |
CNonstandardSwaption::arguments | Arguments for nonstandard swaption calculation |
CSwaption::arguments | Arguments for swaption calculation |
CTwoAssetBarrierOption::arguments | Arguments for two-asset barrier option calculation |
CWriterExtensibleOption::arguments | Additional arguments for writer-extensible option |
COrthogonalizedBumpFinder | |
COrthogonalProjections | |
COvernightLeg | Helper class building a sequence of overnight coupons |
►CParameter | Base class for model arguments |
CConstantParameter | Standard constant parameter \( a(t) = a \) |
CNullParameter | Parameter which is always zero \( a(t) = 0 \) |
CPiecewiseConstantParameter | Piecewise-constant parameter |
►CTermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
CExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CG2::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CGeneralizedHullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CHullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
CParameter::Impl | Base class for model parameter implementation |
CPartialTimeBarrierOption::arguments | Arguments for barrier option calculation |
CPascalTriangle | Pascal triangle coefficients calculator |
CPath | Single-factor random walk |
CPathGenerator< GSG > | Generates random paths using a sequence generator |
CPathMultiAssetOption::arguments | Arguments for multi-asset option calculation |
CPathMultiAssetOption::results | Results from multi-asset option calculation |
CPathPayoff | Abstract base class for path-dependent option payoffs |
CPathPricer< PathType, ValueType > | Base class for path pricers |
CPathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas |
CPathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
CPathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
►CPayoff | Abstract base class for option payoffs |
►CDoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
CRatchetMaxPayoff | RatchetMax payoff (double option) |
CRatchetMinPayoff | RatchetMin payoff (double option) |
CRatchetPayoff | Ratchet payoff (single option) |
CStickyMaxPayoff | StickyMax payoff (double option) |
CStickyMinPayoff | StickyMin payoff (double option) |
CStickyPayoff | Sticky payoff (single option) |
CForwardTypePayoff | Class for forward type payoffs |
CNullPayoff | Dummy payoff class |
►CTypePayoff | Intermediate class for put/call payoffs |
CFloatingTypePayoff | Payoff based on a floating strike |
►CStrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
CAssetOrNothingPayoff | Binary asset-or-nothing payoff |
CCashOrNothingPayoff | Binary cash-or-nothing payoff |
CGapPayoff | Binary gap payoff |
CPercentageStrikePayoff | Payoff with strike expressed as percentage |
CPlainVanillaPayoff | Plain-vanilla payoff |
CSuperFundPayoff | Binary supershare and superfund payoffs |
CSuperSharePayoff | Binary supershare payoff |
CPeriod | |
CPlackettCopula | Plackett copula |
CPoissonDistribution | Poisson distribution function |
CPolarStudentTRng< URNG > | Student t random number generator |
CPolynomial | Polynomial2D-spline-interpolation factory |
CPolynomialFunction | Cubic functional form |
CPrimeNumbers | Prime numbers calculator |
CProbabilityAlwaysDownhill | Always Downhill Probability |
CProbabilityBoltzmann | Boltzmann Probability |
CProbabilityBoltzmannDownhill | Boltzmann Downhill Probability |
CProbabilityOfAtLeastNEvents | Probability of at least N events |
CProbabilityOfNEvents | Probability of N events |
CProblem | Constrained optimization problem |
CProtection | Information on a default-protection contract |
CQuantity | Amount of a commodity |
CQuantoOptionResults< ResultsType > | Results from quanto option calculation |
CRandomizedLDS< LDS, PRS > | Randomized (random shift) low-discrepancy sequence |
CRandomSequenceGenerator< RNG > | Random sequence generator based on a pseudo-random number generator |
CRangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
CRanlux3UniformRng | Uniform random number generator |
CReannealingFiniteDifferences | Reannealing Finite Difference |
CReannealingTrivial | Reannealing Trivial |
►CRegion | Region class, used for inflation applicability |
CAustraliaRegion | Australia as geographical/economic region |
CCustomRegion | Custom geographical/economic region |
CEURegion | European Union as geographical/economic region |
CFranceRegion | France as geographical/economic region |
CGenericRegion | Generic geographical/economic region |
CUKRegion | United Kingdom as geographical/economic region |
CUSRegion | USA as geographical/economic region |
CZARegion | South Africa as geographical/economic region |
CReplication | Digital option replication strategy |
CRestructuring | Restructuring type |
CRichardsonExtrapolation | Richardson Extrapolation |
►CRounding | Basic rounding class |
CCeilingTruncation | Ceiling truncation |
CClosestRounding | Closest rounding |
CDownRounding | Down-rounding |
CFloorTruncation | Floor truncation |
CUpRounding | Up-rounding |
CSABR | SABR interpolation factory and traits |
CSalvagingAlgorithm | Algorithm used for matricial pseudo square root |
CSample< T > | Weighted sample |
CSampledCurve | This class contains a sampled curve |
CSamplerCauchy | Cauchy Sampler |
CSamplerGaussian | Gaussian Sampler |
CSamplerLogNormal | Lognormal Sampler |
CSamplerVeryFastAnnealing | Very Fast Annealing Sampler |
CSchedule | Payment schedule |
►CSeasonality | A transformation of an existing inflation swap rate |
CMultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc) |
CSegmentIntegral | Integral of a one-dimensional function |
CSettlement | settlement information |
CShoutCondition | Shout option condition |
CsimEvent< simEventOwner > | |
CSimpleChooserOption::arguments | Extra arguments for single chooser option |
CSimpleLocalEstimator | Local-estimator volatility model |
CSingleton< T > | Basic support for the singleton pattern |
CSingleVariate< RNG > | Default Monte Carlo traits for single-variate models |
CSmileSectionUtils | Smile-section utilities |
CSMMDriftCalculator | Drift computation for coterminal swap market models |
CSobolBrownianGenerator | Sobol Brownian generator for market-model simulations |
CSobolRsg | Sobol low-discrepancy sequence generator |
CSonia | Sonia (Sterling Overnight Index Average) rate |
CSparseILUPreconditioner | |
CSphereCylinderOptimizer | |
CStatsHolder | Helper class for precomputed distributions |
CSteepestDescent | Multi-dimensional steepest-descent class |
Cstep_iterator< Iterator > | Iterator advancing in constant steps |
►CStepCondition< array_type > | Condition to be applied at every time step |
CNullCondition< array_type > | null step condition |
CZeroCondition< array_type > | Zero exercise condition |
CStepConditionSet< array_type > | Parallel evolver for multiple arrays |
►CStochasticProcess1D::discretization | Discretization of a 1-D stochastic process |
CEndEulerDiscretization | Euler end-point discretization for stochastic processes |
CEulerDiscretization | Euler discretization for stochastic processes |
►CStochasticProcess::discretization | Discretization of a stochastic process over a given time interval |
CEndEulerDiscretization | Euler end-point discretization for stochastic processes |
CEulerDiscretization | Euler discretization for stochastic processes |
CStudentDistribution | Student t-distribution |
CSurvivalProbability | Survival-Probability-curve traits |
CSVD | Singular value decomposition |
CSvi | Svi interpolation factory and traits |
CSwaptionVolatilityCube | Swaption-volatility cube |
CSwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
CSymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
CTabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
CTCopulaPolicy | Sudent-T Latent Model's copula policy |
CTCopulaPolicy::initTraits | |
CTemperatureBoltzmann | Temperature Boltzmann |
CTemperatureCauchy | Temperature Cauchy |
CTemperatureVeryFastAnnealing | Temperature Very Fast Annealing |
CTimeGrid | Time grid class |
CTimeSeries< T, Container > | Container for historical data |
CTqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
CTransformedGrid | Transformed grid |
CTrapezoidIntegral< IntegrationPolicy > | Integral of a one-dimensional function |
CTRBDF2< Operator > | TR-BDF2 scheme for finite difference methods |
►CTridiagonalOperator | Base implementation for tridiagonal operator |
CBSMOperator | Black-Scholes-Merton differential operator |
CDMinus | \( D_{-} \) matricial representation |
CDPlus | \( D_{+} \) matricial representation |
CDPlusDMinus | \( D_{+}D_{-} \) matricial representation |
CDZero | \( D_{0} \) matricial representation |
CTridiagonalOperator::TimeSetter | Encapsulation of time-setting logic |
CTwoDimensionalIntegral | Integral of a two-dimensional function |
CTwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables |
CUnitOfMeasure | Unit of measure specification |
CUpperBoundEngine | Market-model engine for upper-bound estimation |
►CVanillaSwap::arguments | Arguments for simple swap calculation |
CSwaption::arguments | Arguments for swaption calculation |
CVanillaSwap::results | Results from simple swap calculation |
CVannaVolga | VannaVolga-interpolation factory and traits |
CVarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach |
CVarianceOption::arguments | Arguments for forward fair-variance calculation |
CVarianceOption::results | Results from variance-option calculation |
CVarianceSwap::arguments | Arguments for forward fair-variance calculation |
CVarianceSwap::results | Results from variance-swap calculation |
CVegaBumpCollection | |
CVisitor< T > | Visitor for a specific class |
CYearOnYearInflationSwap::arguments | Arguments for YoY swap calculation |
CYearOnYearInflationSwap::results | Results from YoY swap calculation |
CYoYInflationCapFloor::arguments | Arguments for YoY Inflation cap/floor calculation |
CyoyInflationLeg | |
CYoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
CYoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap |
►CYoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces |
CInterpolatedYoYOptionletStripper< Interpolator1D > | |
CZabr< Evaluation > | No arbtrage sabr interpolation factory and traits |
CZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
CZeroYield | Zero-curve traits |
CZigguratRng | Ziggurat random-number generator |
CQuantoOptionResults< Instr::results > | |
CRandomSequenceGenerator< QuantLib::BoxMullerGaussianRng< URNG > > | |
CRandomSequenceGenerator< QuantLib::MersenneTwisterUniformRng > | |
CSample< MultiPath > | |
CSample< Path > | |
CSample< std::vector< Real > > | |
►CSingleton< CommoditySettings > | |
CCommoditySettings | Global repository for run-time library settings |
►CSingleton< ExchangeRateManager > | |
CExchangeRateManager | Exchange-rate repository |
►CSingleton< IndexManager > | |
CIndexManager | Global repository for past index fixings |
►CSingleton< ObservableSettings > | |
CObservableSettings | Global repository for run-time library settings |
►CSingleton< SeedGenerator > | |
CSeedGenerator | Random seed generator |
►CSingleton< Settings > | |
CSettings | Global repository for run-time library settings |
CSingleton< Tracing > | |
►CSingleton< UnitOfMeasureConversionManager > | |
CUnitOfMeasureConversionManager | Repository of conversion factors between units of measure |
►Cexception | STL class |
CError | Base error class |
►Cmap< K, T > | STL class |
CTimeBasket | Distribution over a number of dates |
CStepCondition< Array > | |
CTimeSeries< Real > | |
►CTrapezoidIntegral< Default > | |
CSimpsonIntegral | Integral of a one-dimensional function |