instruments man page




class DigitalCoupon
Digital-payoff coupon.
class DoubleBarrierOption
Double Barrier option on a single asset.
class QuantoDoubleBarrierOption
Quanto version of a double barrier option.
class CallableBond
Callable bond base class.
class CallableFixedRateBond
callable/puttable fixed rate bond
class CallableZeroCouponBond
callable/puttable zero coupon bond
class FloatingCatBond
floating-rate cat bond (possibly capped and/or floored)
class Commodity
Commodity base class.
class EnergyCommodity
Energy commodity class.
class EnergyFuture
Energy future.
class CompoundOption
Compound option on a single asset.
class MargrabeOption
Margrabe option on two assets.
class PagodaOption
Roofed Asian option on a number of assets.
class TwoAssetBarrierOption
Barrier option on two assets
class IrregularSwaption
Irregular Swaption class.
class VarianceOption
Variance option.
class ContinuousAveragingAsianOption
Continuous-averaging Asian option.
class DiscreteAveragingAsianOption
Discrete-averaging Asian option.
class AssetSwap
Bullet bond vs Libor swap.
class BarrierOption
Barrier option on a single asset.
class BasketOption
Basket option on a number of assets.
class Bond
Base bond class.
class CCTEU
class BTP
Italian BTP (Buono Poliennali del Tesoro) fixed rate bond.
class CmsRateBond
CMS-rate bond.
class CPIBond
class FixedRateBond
fixed-rate bond
class FloatingRateBond
floating-rate bond (possibly capped and/or floored)
class ZeroCouponBond
zero-coupon bond
class CapFloor
Base class for cap-like instruments.
class Cap
Concrete cap class.
class Floor
Concrete floor class.
class Collar
Concrete collar class.
class CliquetOption
cliquet (Ratchet) option
class CompositeInstrument
Composite instrument
class CreditDefaultSwap
Credit default swap.
class DividendBarrierOption
Single-asset barrier option with discrete dividends.
class DividendVanillaOption
Single-asset vanilla option (no barriers) with discrete dividends.
class EuropeanOption
European option on a single asset.
class FixedRateBondForward
Forward contract on a fixed-rate bond
class FloatFloatSwaption
floatfloat swaption class
class Forward
Abstract base forward class.
class ForwardVanillaOption
Forward version of a vanilla option
class YoYInflationCapFloor
Base class for yoy inflation cap-like instruments.
class YoYInflationCap
Concrete YoY Inflation cap class.
class YoYInflationFloor
Concrete YoY Inflation floor class.
class YoYInflationCollar
Concrete YoY Inflation collar class.
class ContinuousFloatingLookbackOption
Continuous-floating lookback option.
class ContinuousFixedLookbackOption
Continuous-fixed lookback option.
class ContinuousPartialFloatingLookbackOption
Continuous-partial-floating lookback option.
class ContinuousPartialFixedLookbackOption
Continuous-partial-fixed lookback option.
class NonstandardSwaption
nonstandard swaption class
class QuantoBarrierOption
Quanto version of a barrier option.
class QuantoForwardVanillaOption
Quanto version of a forward vanilla option.
class QuantoVanillaOption
quanto version of a vanilla option
class Stock
Simple stock class.
class Swap
Interest rate swap.
class Swaption
Swaption class
class VanillaOption
Vanilla option (no discrete dividends, no barriers) on a single asset.
class VanillaSwap
Plain-vanilla swap: fix vs floating leg.
class VarianceSwap
Variance swap.

Detailed Description


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Fri Feb 10 2017 Version 1.9.1 QuantLib