Package “QuantLib” has 1459 man pages.

BermudanSwaption(1)

BermudanSwaption is an example of using the QuantLib interest-rate model framework. BermudanSwaption prices a bermudan swaption using different models...

BermudanSwaption is an example of using the QuantLib interest-rate model framework. BermudanSwaption prices a bermudan swaption using different models...

Bonds(1)

Bonds is an example of using QuantLib. It shows how to set up a term structure and then price some simple bonds. The last part is dedicated to peripherical...

Bonds is an example of using QuantLib. It shows how to set up a term structure and then price some simple bonds. The last part is dedicated to peripherical...

CallableBonds(1)

CallableBonds is an example of using QuantLib. It prices a number of callable bonds and compares the results to known good data.

CallableBonds is an example of using QuantLib. It prices a number of callable bonds and compares the results to known good data.

CDS(1)

CDS is an example of using QuantLib. It bootstraps a default-probability curve over a number of CDS and reprices them.

CDS is an example of using QuantLib. It bootstraps a default-probability curve over a number of CDS and reprices them.

ConvertibleBonds(1)

ConvertibleBonds is an example of using QuantLib. For a given set of option parameters, it computes the value of a convertible bond with an embedded put option...

ConvertibleBonds is an example of using QuantLib. For a given set of option parameters, it computes the value of a convertible bond with an embedded put option...

DiscreteHedging(1)

DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework. By simulation, DiscreteHedging computes profit and loss of a discrete...

DiscreteHedging is an example of using the QuantLib Monte Carlo simulation framework. By simulation, DiscreteHedging computes profit and loss of a discrete...

EquityOption(1)

EquityOption is an example of using QuantLib. For a given set of option parameters, it computes the value of three different equity options types (with...

EquityOption is an example of using QuantLib. For a given set of option parameters, it computes the value of three different equity options types (with...

FittedBondCurve(1)

FittedBondCurve is an example of using QuantLib. For a given set of coupons and terms to maturity, it computes the value of a bond by fitting the yields to a...

FittedBondCurve is an example of using QuantLib. For a given set of coupons and terms to maturity, it computes the value of a bond by fitting the yields to a...

FRA(1)

FRA is an example of using the QuantLib interest-rate model framework. FRA values a forward-rate agreement (FRA) at different forward dates under two yield...

FRA is an example of using the QuantLib interest-rate model framework. FRA values a forward-rate agreement (FRA) at different forward dates under two yield...

quantlib-benchmark(1)

quantlib-benchmark is created at compile-time from the QuantLib sources using the oost test framework tools. It measures the performance of a preselected set of...

quantlib-benchmark is created at compile-time from the QuantLib sources using the oost test framework tools. It measures the performance of a preselected set of...

quantlib-config(1)

quantlib-config is a tool which can be used to determine the compiler and linker flags that should be used to compile and link programs that use QuantLib.

quantlib-config is a tool which can be used to determine the compiler and linker flags that should be used to compile and link programs that use QuantLib.

quantlib-test-suite(1)

quantlib-test-suite is created at compile-time from the QuantLib sources using the oost test framework tool. It validates the compiled code against...

quantlib-test-suite is created at compile-time from the QuantLib sources using the oost test framework tool. It validates the compiled code against...

Replication(1)

Replication is an example of using the QuantLib derivative modeling framework. Replication uses the CompositeInstrument class to statically replicate a...

Replication is an example of using the QuantLib derivative modeling framework. Replication uses the CompositeInstrument class to statically replicate a...

Repo(1)

Repo is an example of using the QuantLib interest-rate model framework. Repo values a fixed-coupon bond repurchase (repo). The repurchase agreement example is...

Repo is an example of using the QuantLib interest-rate model framework. Repo values a fixed-coupon bond repurchase (repo). The repurchase agreement example is...

SwapValuation(1)

SwapValuation is an example of using QuantLib. It prices an Interest Rate Swap over a term structure and calculates its fair fixed rate and floating spread.

SwapValuation is an example of using QuantLib. It prices an Interest Rate Swap over a term structure and calculates its fair fixed rate and floating spread.

asianengines(3)

class AnalyticContinuousGeometricAveragePriceAsianEngine Pricing engine for European continuous geometric average price Asian. class...

class AnalyticContinuousGeometricAveragePriceAsianEngine Pricing engine for European continuous geometric average price Asian. class...

barrierengines(3)

class AnalyticDoubleBarrierBinaryEngine Analytic pricing engine for double barrier binary options. class AnalyticDoubleBarrierEngine Pricing engine for double...

class AnalyticDoubleBarrierBinaryEngine Analytic pricing engine for double barrier binary options. class AnalyticDoubleBarrierEngine Pricing engine for double...

basketengines(3)

class MCAmericanPathEngine< RNG > least-square Monte Carlo engine class Fd2dBlackScholesVanillaEngine Two dimensional finite-differences Black Scholes vanilla...

class MCAmericanPathEngine< RNG > least-square Monte Carlo engine class Fd2dBlackScholesVanillaEngine Two dimensional finite-differences Black Scholes vanilla...

calendars(3)

The class QuantLib::Calendar provides the interface for determining whether a date is a business day or a holiday for a given exchange or a given country, and...

The class QuantLib::Calendar provides the interface for determining whether a date is a business day or a holiday for a given exchange or a given country, and...

capfloorengines(3)

class AnalyticCapFloorEngine Analytic engine for cap/floor. class BachelierCapFloorEngine Bachelier-Black-formula cap/floor engine. class BlackCapFloorEngine...

class AnalyticCapFloorEngine Analytic engine for cap/floor. class BachelierCapFloorEngine Bachelier-Black-formula cap/floor engine. class BlackCapFloorEngine...

cliquetengines(3)

class AnalyticCliquetEngine Pricing engine for Cliquet options using analytical formulae. class AnalyticPerformanceEngine Pricing engine for performance options...

class AnalyticCliquetEngine Pricing engine for Cliquet options using analytical formulae. class AnalyticPerformanceEngine Pricing engine for performance options...

currencies(3)

class ZARCurrency South-African rand. class ARSCurrency Argentinian peso. class BRLCurrency Brazilian real. class CADCurrency Canadian dollar. class CLPCurrency...

class ZARCurrency South-African rand. class ARSCurrency Argentinian peso. class BRLCurrency Brazilian real. class CADCurrency Canadian dollar. class CLPCurrency...

daycounters(3)

The class QuantLib::DayCounter provides more advanced means of measuring the distance between two dates according to a given market convention, both as number...

The class QuantLib::DayCounter provides more advanced means of measuring the distance between two dates according to a given market convention, both as number...

debugMacros(3)

For debugging purposes, macros can be used to output information about the code being executed.

For debugging purposes, macros can be used to output information about the code being executed.

findiff(3)

This framework (corresponding to the ql/FiniteDifferences directory) contains basic building blocks for the numerical solution of partial differential equations...

This framework (corresponding to the ql/FiniteDifferences directory) contains basic building blocks for the numerical solution of partial differential equations...

forwardengines(3)

class IntegralHestonVarianceOptionEngine integral Heston-model variance-option engine class ForwardVanillaEngine< Engine > Forward engine for vanilla options...

class IntegralHestonVarianceOptionEngine integral Heston-model variance-option engine class ForwardVanillaEngine< Engine > Forward engine for vanilla options...

install(3)

Installation Before installing QuantLib, make sure that you have a working Boost installation; see http://www.boost.org/more/getting_started.html for...

Installation Before installing QuantLib, make sure that you have a working Boost installation; see http://www.boost.org/more/getting_started.html for...

instruments(3)

class DigitalCoupon Digital-payoff coupon. class DoubleBarrierOption Double Barrier option on a single asset. class QuantoDoubleBarrierOption Quanto version of...

class DigitalCoupon Digital-payoff coupon. class DoubleBarrierOption Double Barrier option on a single asset. class QuantoDoubleBarrierOption Quanto version of...

interpolations(3)

class AbcdInterpolation Abcd interpolation between discrete points. class Abcd Abcd interpolation factory and traits class BackwardFlatInterpolation...

class AbcdInterpolation Abcd interpolation between discrete points. class Abcd Abcd interpolation factory and traits class BackwardFlatInterpolation...

lattices(3)

The framework (corresponding to the ql/Lattices directory) contains basic building blocks for pricing instruments using lattice methods (trees). A lattice, i.e...

The framework (corresponding to the ql/Lattices directory) contains basic building blocks for pricing instruments using lattice methods (trees). A lattice, i.e...

limitMacros(3)

Some compilers do not give an implementation of <limits> yet. For the code to be portable these macros should be used instead of the corresponding method of...

Some compilers do not give an implementation of <limits> yet. For the code to be portable these macros should be used instead of the corresponding method of...

mcarlo(3)

This framework (corresponding to the ql/MonteCarlo directory) contains basic building blocks for Monte Carlo simulations.

This framework (corresponding to the ql/MonteCarlo directory) contains basic building blocks for Monte Carlo simulations.

optimizers(3)

The optimization framework (corresponding to the ql/Optimization directory) implements some multi-dimensional minimizing methods. The function to be minimized...

The optimization framework (corresponding to the ql/Optimization directory) implements some multi-dimensional minimizing methods. The function to be minimized...

patterns(3)

class Composite< T > Composite pattern. class CuriouslyRecurringTemplate< Impl > Support for the curiously recurring template pattern. class LazyObject...

class Composite< T > Composite pattern. class CuriouslyRecurringTemplate< Impl > Support for the curiously recurring template pattern. class LazyObject...

processes(3)

The classes QuantLib::StochasticProcess and QuantLib::StochasticProcess1D provide the interface for a generic stochastic process. A number of specific processes...

The classes QuantLib::StochasticProcess and QuantLib::StochasticProcess1D provide the interface for a generic stochastic process. A number of specific processes...

ql-engines(3)

Asian option engines Barrier option engines Basket option engines Cap/floor engines Cliquet option engines Forward option engines Quanto option engines Swaption...

Asian option engines Barrier option engines Basket option engines Cap/floor engines Cliquet option engines Forward option engines Quanto option engines Swaption...

ql-license(3)

QuantLib is Non-Copylefted Free Software [1] released under the modified BSD License [2] (also know as XFree86-style license). QuantLib is Open Source [3]...

QuantLib is Non-Copylefted Free Software [1] released under the modified BSD License [2] (also know as XFree86-style license). QuantLib is Open Source [3]...

QuantLib_AbcdFunction(3)

Abcd functional form for instantaneous volatility [ f(T-t) = [ a + b(T-t) ] e^{-c(T-t)} + d ] following Rebonato's notation.

Abcd functional form for instantaneous volatility [ f(T-t) = [ a + b(T-t) ] e^{-c(T-t)} + d ] following Rebonato's notation.

QuantLib_AbcdMathFunction(3)

Abcd functional form [ f(t) = [ a + b*t ] e^{-c*t} + d ] following Rebonato's notation.

Abcd functional form [ f(t) = [ a + b*t ] e^{-c*t} + d ] following Rebonato's notation.

QuantLib_Actual360(3)

Actual/360 day count convention. Actual/360 day count convention, also known as 'Act/360', or 'A/360'. Examples: Bonds.cpp, Repo.cpp, and swapvaluation.cpp.

Actual/360 day count convention. Actual/360 day count convention, also known as 'Act/360', or 'A/360'. Examples: Bonds.cpp, Repo.cpp, and swapvaluation.cpp.

QuantLib_Actual365Fixed(3)

Actual/365 (Fixed) day count convention. 'Actual/365 (Fixed)' day count convention, also know as 'Act/365 (Fixed)', 'A/365 (Fixed)', or 'A/365F'. Warning

Actual/365 (Fixed) day count convention. 'Actual/365 (Fixed)' day count convention, also know as 'Act/365 (Fixed)', 'A/365 (Fixed)', or 'A/365F'. Warning

QuantLib_Actual365NoLeap(3)

Actual/365 (No Leap) day count convention. 'Actual/365 (No Leap)' day count convention, also known as 'Act/365 (NL)', 'NL/365', or 'Actual/365 (JGB)'.

Actual/365 (No Leap) day count convention. 'Actual/365 (No Leap)' day count convention, also known as 'Act/365 (NL)', 'NL/365', or 'Actual/365 (JGB)'.

QuantLib_AmericanExercise(3)

American exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can...

American exercise. An American option can be exercised at any time between two predefined dates; the first date might be omitted, in which case the option can...

QuantLib_AmortizingFloatingRateBond(3)

amortizing floating-rate bond (possibly capped and/or floored)

amortizing floating-rate bond (possibly capped and/or floored)

QuantLib_AmortizingPayment(3)

Amortizing payment. This class specializes SimpleCashFlow so that visitors can perform more detailed cash-flow analysis.

Amortizing payment. This class specializes SimpleCashFlow so that visitors can perform more detailed cash-flow analysis.

QuantLib_AnalyticAmericanMargrabeEngine(3)

Analytic engine for American Margrabe option. This class implements formulae from 'The Value of an American Option to Exchange One Asset for Another', W...

Analytic engine for American Margrabe option. This class implements formulae from 'The Value of an American Option to Exchange One Asset for Another', W...

QuantLib_AnalyticBarrierEngine(3)

Pricing engine for barrier options using analytical formulae. The formulas are taken from 'Option pricing formulas', E.G. Haug, McGraw-Hill, p.69 and following...

Pricing engine for barrier options using analytical formulae. The formulas are taken from 'Option pricing formulas', E.G. Haug, McGraw-Hill, p.69 and following...

QuantLib_AnalyticBinaryBarrierEngine(3)

Analytic pricing engine for American binary barriers options. The formulas are taken from 'The complete guide to option pricing formulas 2nd Ed', E.G. Haug...

Analytic pricing engine for American binary barriers options. The formulas are taken from 'The complete guide to option pricing formulas 2nd Ed', E.G. Haug...

QuantLib_AnalyticBSMHullWhiteEngine(3)

analytic european option pricer including stochastic interest rates References: Brigo, Mercurio, Interest Rate Models Tests

analytic european option pricer including stochastic interest rates References: Brigo, Mercurio, Interest Rate Models Tests

QuantLib_AnalyticCliquetEngine(3)

Pricing engine for Cliquet options using analytical formulae. Tests

Pricing engine for Cliquet options using analytical formulae. Tests

QuantLib_AnalyticCompoundOptionEngine(3)

Pricing engine for compound options using analytical formulae. The formulas are taken from 'Foreign Exchange Risk', Uwe Wystup, Risk 2002, where closed form...

Pricing engine for compound options using analytical formulae. The formulas are taken from 'Foreign Exchange Risk', Uwe Wystup, Risk 2002, where closed form...

QuantLib_AnalyticContinuousFixedLookbackEngine(3)

Pricing engine for European continuous fixed-strike lookback. Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.63-64 Tests

Pricing engine for European continuous fixed-strike lookback. Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.63-64 Tests

QuantLib_AnalyticContinuousFloatingLookbackEngine(3)

Pricing engine for European continuous floating-strike lookback. Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.61-62 Tests

Pricing engine for European continuous floating-strike lookback. Formula from 'Option Pricing Formulas', E.G. Haug, McGraw-Hill, 1998, p.61-62 Tests

QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine(3)

Pricing engine for European continuous geometric average price Asian. This class implements a continuous geometric average price Asian option with European...

Pricing engine for European continuous geometric average price Asian. This class implements a continuous geometric average price Asian option with European...

QuantLib_AnalyticContinuousPartialFixedLookbackEngine(3)

Pricing engine for European continuous partial-time fixed-strike lookback options. Formula from 'Option Pricing Formulas, Second Edition', E.G. Haug, 2006...

Pricing engine for European continuous partial-time fixed-strike lookback options. Formula from 'Option Pricing Formulas, Second Edition', E.G. Haug, 2006...

QuantLib_AnalyticContinuousPartialFloatingLookbackEngine(3)

Pricing engine for European continuous partial-time floating-strike lookback option. Formula from 'Option Pricing Formulas, Second Edition', E.G. Haug, 2006...

Pricing engine for European continuous partial-time floating-strike lookback option. Formula from 'Option Pricing Formulas, Second Edition', E.G. Haug, 2006...

QuantLib_AnalyticDigitalAmericanEngine(3)

Analytic pricing engine for American vanilla options with digital payoff. Tests

Analytic pricing engine for American vanilla options with digital payoff. Tests

QuantLib_AnalyticDigitalAmericanKOEngine(3)

Analytic pricing engine for American Knock-out options with digital payoff. Tests

Analytic pricing engine for American Knock-out options with digital payoff. Tests

QuantLib_AnalyticDiscreteGeometricAveragePriceAsianEngine(3)

Pricing engine for European discrete geometric average price Asian. This class implements a discrete geometric average price Asian option, with European...

Pricing engine for European discrete geometric average price Asian. This class implements a discrete geometric average price Asian option, with European...

QuantLib_AnalyticDiscreteGeometricAverageStrikeAsianEngine(3)

Pricing engine for European discrete geometric average-strike Asian option. This class implements a discrete geometric average-strike Asian option, with...

Pricing engine for European discrete geometric average-strike Asian option. This class implements a discrete geometric average-strike Asian option, with...

QuantLib_AnalyticDividendEuropeanEngine(3)

Analytic pricing engine for European options with discrete dividends. Tests

Analytic pricing engine for European options with discrete dividends. Tests

QuantLib_AnalyticDoubleBarrierBinaryEngine(3)

Analytic pricing engine for double barrier binary options. This engine implements C.H.Hui series ('One-Touch Double Barrier Binary Option Values', Applied...

Analytic pricing engine for double barrier binary options. This engine implements C.H.Hui series ('One-Touch Double Barrier Binary Option Values', Applied...

QuantLib_AnalyticDoubleBarrierEngine(3)

Pricing engine for double barrier european options using analytical formulae. The formulas are taken from 'The complete guide to option pricing formulas 2nd...

Pricing engine for double barrier european options using analytical formulae. The formulas are taken from 'The complete guide to option pricing formulas 2nd...

QuantLib_AnalyticEuropeanEngine(3)

Pricing engine for European vanilla options using analytical formulae. Tests

Pricing engine for European vanilla options using analytical formulae. Tests

QuantLib_AnalyticEuropeanMargrabeEngine(3)

Analytic engine for European Margrabe option. This class implements formulae from 'The Value of an Option to Exchange One Asset for Another', W. Margrabe...

Analytic engine for European Margrabe option. This class implements formulae from 'The Value of an Option to Exchange One Asset for Another', W. Margrabe...

QuantLib_AnalyticGJRGARCHEngine(3)

GJR-GARCH(1,1) engine. References: Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH...

GJR-GARCH(1,1) engine. References: Jin-Chuan Duan, Genevieve Gauthier, Jean-Guy Simonato, Caroline Sasseville, 2006. Approximating the GJR-GARCH and EGARCH...

QuantLib_AnalyticH1HWEngine(3)

Analytic Heston-Hull-White engine based on the H1-HW approximation. This class is pricing a european option under the following process [ begin{array}{rcl}...

Analytic Heston-Hull-White engine based on the H1-HW approximation. This class is pricing a european option under the following process [ begin{array}{rcl}...

QuantLib_AnalyticHestonEngine(3)

analytic Heston-model engine based on Fourier transform Integration detail: Two algebraically equivalent formulations of the complex logarithm of the Heston...

analytic Heston-model engine based on Fourier transform Integration detail: Two algebraically equivalent formulations of the complex logarithm of the Heston...

QuantLib_AnalyticHestonHullWhiteEngine(3)

Analytic Heston engine incl. stochastic interest rates. This class is pricing a european option under the following process [ begin{array}{rcl} dS(t, S) &=&...

Analytic Heston engine incl. stochastic interest rates. This class is pricing a european option under the following process [ begin{array}{rcl} dS(t, S) &=&...

QuantLib_AnalyticPDFHestonEngine(3)

Analytic engine for arbitrary European payoffs under the Heston model. References: The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability...

Analytic engine for arbitrary European payoffs under the Heston model. References: The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability...

QuantLib_AnalyticPerformanceEngine(3)

Pricing engine for performance options using analytical formulae. Tests

Pricing engine for performance options using analytical formulae. Tests

QuantLib_AnalyticPTDHestonEngine(3)

analytic piecewise constant time dependent Heston-model engine References: Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic...

analytic piecewise constant time dependent Heston-model engine References: Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic...

QuantLib_AnalyticSimpleChooserEngine(3)

Pricing engine for European Simple Chooser option. This class implements a Simple Chooser Option option, with European exercise.

Pricing engine for European Simple Chooser option. This class implements a Simple Chooser Option option, with European exercise.

QuantLib_AnalyticTwoAssetBarrierEngine(3)

Analytic engine for barrier option on two assets. The formulas are taken from 'Option pricing formulas', E.G. Haug, McGraw-Hill, Tests

Analytic engine for barrier option on two assets. The formulas are taken from 'Option pricing formulas', E.G. Haug, McGraw-Hill, Tests

QuantLib_ArmijoLineSearch(3)

Armijo line search. Let $ alpha $ and $ beta $ be 2 scalars in $ [0,1] $. Let $ x $ be the current value of the unknown, $ d $ the search direction and $ t $...

Armijo line search. Let $ alpha $ and $ beta $ be 2 scalars in $ [0,1] $. Let $ x $ be the current value of the unknown, $ d $ the search direction and $ t $...

QuantLib_Array(3)

1-D array used in linear algebra. This class implements the concept of vector as used in linear algebra. As such, it is not meant to be used as a container -...

1-D array used in linear algebra. This class implements the concept of vector as used in linear algebra. As such, it is not meant to be used as a container -...

QuantLib_ARSCurrency(3)

Argentinian peso. The ISO three-letter code is ARS; the numeric code is 32. It is divided in 100 centavos.

Argentinian peso. The ISO three-letter code is ARS; the numeric code is 32. It is divided in 100 centavos.

QuantLib_AssetOrNothingPayoff(3)

Binary asset-or-nothing payoff. Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:'Unscrambling The Binary...

Binary asset-or-nothing payoff. Definitions of Binary path-independent payoffs used below, can be found in M. Rubinstein, E. Reiner:'Unscrambling The Binary...

QuantLib_AssetSwap(3)

Bullet bond vs Libor swap. for mechanics of par asset swap and market asset swap, refer to 'Introduction to Asset Swap', Lehman Brothers European Fixed Income...

Bullet bond vs Libor swap. for mechanics of par asset swap and market asset swap, refer to 'Introduction to Asset Swap', Lehman Brothers European Fixed Income...

QuantLib_AtomicDefault(3)

Atomic (single contractual event) default events. Default types defined as enum to allow easy aggregation of types. Theres an event algebra logic by default...

Atomic (single contractual event) default events. Default types defined as enum to allow easy aggregation of types. Theres an event algebra logic by default...

QuantLib_ATSCurrency(3)

Austrian shilling. The ISO three-letter code was ATS; the numeric code was 40. It was divided in 100 groschen. Obsoleted by the Euro since 1999.

Austrian shilling. The ISO three-letter code was ATS; the numeric code was 40. It was divided in 100 groschen. Obsoleted by the Euro since 1999.

QuantLib_AUDCurrency(3)

Australian dollar. The ISO three-letter code is AUD; the numeric code is 36. It is divided into 100 cents.

Australian dollar. The ISO three-letter code is AUD; the numeric code is 36. It is divided into 100 cents.

QuantLib_AverageBMACoupon(3)

Average BMA coupon. Coupon paying a BMA index, where the coupon rate is a weighted average of relevant fixings. The weighted average is computed based on the...

Average BMA coupon. Coupon paying a BMA index, where the coupon rate is a weighted average of relevant fixings. The weighted average is computed based on the...

QuantLib_BachelierYoYInflationCouponPricer(3)

Bachelier-formula pricer for capped/floored yoy inflation coupons.

Bachelier-formula pricer for capped/floored yoy inflation coupons.

QuantLib_BaroneAdesiWhaleyApproximationEngine(3)

Barone-Adesi and Whaley pricing engine for American options (1987) Tests

Barone-Adesi and Whaley pricing engine for American options (1987) Tests

QuantLib_BarrierOption(3)

Barrier option on a single asset. The analytic pricing engine will be used if none if passed. Examples: Replication.cpp.

Barrier option on a single asset. The analytic pricing engine will be used if none if passed. Examples: Replication.cpp.

QuantLib_BaseCorrelationLossModel(3)

template<class BaseModel_T, class Corr2DInt_T> class QuantLib::BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T >" Base Correlation loss model; interpolation...

template<class BaseModel_T, class Corr2DInt_T> class QuantLib::BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T >" Base Correlation loss model; interpolation...

QuantLib_BaseCorrelationTermStructure(3)

template<class Interpolator2D_T> class QuantLib::BaseCorrelationTermStructure< Interpolator2D_T >" Matrix based Base Correlation Term Structure

template<class Interpolator2D_T> class QuantLib::BaseCorrelationTermStructure< Interpolator2D_T >" Matrix based Base Correlation Term Structure

QuantLib_BatesEngine(3)

Bates model engines based on Fourier transform. this classes price european options under the following processes

Bates model engines based on Fourier transform. this classes price european options under the following processes

QuantLib_BatesModel(3)

Bates stochastic-volatility model. extended versions of Heston model for the stochastic volatility of an asset including jumps. References: A. Sepp, Pricing...

Bates stochastic-volatility model. extended versions of Heston model for the stochastic volatility of an asset including jumps. References: A. Sepp, Pricing...

QuantLib_BatesProcess(3)

Square-root stochastic-volatility Bates process. This class describes the square root stochastic volatility process incl jumps governed by [ begin{array}{rcl}...

Square-root stochastic-volatility Bates process. This class describes the square root stochastic volatility process incl jumps governed by [ begin{array}{rcl}...

QuantLib_BDTCurrency(3)

Bangladesh taka. The ISO three-letter code is BDT; the numeric code is 50. It is divided in 100 paisa.

Bangladesh taka. The ISO three-letter code is BDT; the numeric code is 50. It is divided in 100 paisa.

QuantLib_BEFCurrency(3)

Belgian franc. The ISO three-letter code was BEF; the numeric code was 56. It had no subdivisions. Obsoleted by the Euro since 1999.

Belgian franc. The ISO three-letter code was BEF; the numeric code was 56. It had no subdivisions. Obsoleted by the Euro since 1999.

QuantLib_BermudanExercise(3)

Bermudan exercise. A Bermudan option can only be exercised at a set of fixed dates. Examples: BermudanSwaption.cpp, and EquityOption.cpp.

Bermudan exercise. A Bermudan option can only be exercised at a set of fixed dates. Examples: BermudanSwaption.cpp, and EquityOption.cpp.

QuantLib_BernsteinPolynomial(3)

class of Bernstein polynomials see definition: Weisstein, Eric W. 'Bernstein Polynomial.' From MathWorld--A Wolfram Web Resource...

class of Bernstein polynomials see definition: Weisstein, Eric W. 'Bernstein Polynomial.' From MathWorld--A Wolfram Web Resource...

QuantLib_BespokeCalendar(3)

Bespoke calendar. This calendar has no predefined set of business days. Holidays and weekdays can be defined by means of the provided interface. Instances...

Bespoke calendar. This calendar has no predefined set of business days. Holidays and weekdays can be defined by means of the provided interface. Instances...

QuantLib_BFGS(3)

Broyden-Fletcher-Goldfarb-Shanno algorithm. See http://en.wikipedia.org/wiki/BFGS_method. Adapted from Numerical Recipes in C, 2nd edition. User has to provide...

Broyden-Fletcher-Goldfarb-Shanno algorithm. See http://en.wikipedia.org/wiki/BFGS_method. Adapted from Numerical Recipes in C, 2nd edition. User has to provide...

QuantLib_BGLCurrency(3)

Bulgarian lev. The ISO three-letter code is BGL; the numeric code is 100. It is divided in 100 stotinki.

Bulgarian lev. The ISO three-letter code is BGL; the numeric code is 100. It is divided in 100 stotinki.

QuantLib_BinomialBarrierEngine(3)

template<class T, class D> class QuantLib::BinomialBarrierEngine< T, D >" Pricing engine for barrier options using binomial trees.

template<class T, class D> class QuantLib::BinomialBarrierEngine< T, D >" Pricing engine for barrier options using binomial trees.

QuantLib_BinomialConvertibleEngine(3)

template<class T> class QuantLib::BinomialConvertibleEngine< T >" Binomial Tsiveriotis-Fernandes engine for convertible bonds. Examples: ConvertibleBonds.cpp.

template<class T> class QuantLib::BinomialConvertibleEngine< T >" Binomial Tsiveriotis-Fernandes engine for convertible bonds. Examples: ConvertibleBonds.cpp.

QuantLib_BinomialDistribution(3)

Binomial probability distribution function. formula here ... Given an integer k it returns its probability in a Binomial distribution with parameters p and n.

Binomial probability distribution function. formula here ... Given an integer k it returns its probability in a Binomial distribution with parameters p and n.

QuantLib_BinomialDoubleBarrierEngine(3)

template<class T, class D = DiscretizedDoubleBarrierOption> class QuantLib::BinomialDoubleBarrierEngine< T, D >" Pricing engine for double barrier options using...

template<class T, class D = DiscretizedDoubleBarrierOption> class QuantLib::BinomialDoubleBarrierEngine< T, D >" Pricing engine for double barrier options using...

QuantLib_BinomialLossModel(3)

template<class LLM> class QuantLib::BinomialLossModel< LLM >" Binomial Defaultable Basket Loss Model

template<class LLM> class QuantLib::BinomialLossModel< LLM >" Binomial Defaultable Basket Loss Model

QuantLib_BinomialTree(3)

template<class T> class QuantLib::BinomialTree< T >" Binomial tree base class.

template<class T> class QuantLib::BinomialTree< T >" Binomial tree base class.

QuantLib_BinomialVanillaEngine(3)

template<class T> class QuantLib::BinomialVanillaEngine< T >" Pricing engine for vanilla options using binomial trees. Tests

template<class T> class QuantLib::BinomialVanillaEngine< T >" Pricing engine for vanilla options using binomial trees. Tests

QuantLib_BivariateCumulativeNormalDistributionDr78(3)

Cumulative bivariate normal distribution function. Drezner (1978) algorithm, six decimal places accuracy. For this implementation see 'Option pricing formulas'...

Cumulative bivariate normal distribution function. Drezner (1978) algorithm, six decimal places accuracy. For this implementation see 'Option pricing formulas'...

QuantLib_BivariateCumulativeNormalDistributionWe04DP(3)

Cumulative bivariate normal distibution function (West 2004) The implementation derives from the article 'Better Approximations To Cumulative Normal...

Cumulative bivariate normal distibution function (West 2004) The implementation derives from the article 'Better Approximations To Cumulative Normal...

QuantLib_BivariateCumulativeStudentDistribution(3)

Cumulative Student t-distribution. Implemented following the formulas from Dunnett, C.W. and Sobel, M. (1954). A bivariate generalization of Student...

Cumulative Student t-distribution. Implemented following the formulas from Dunnett, C.W. and Sobel, M. (1954). A bivariate generalization of Student...

QuantLib_BjerksundStenslandApproximationEngine(3)

Bjerksund and Stensland pricing engine for American options (1993) Tests

Bjerksund and Stensland pricing engine for American options (1993) Tests

QuantLib_BlackAtmVolCurve(3)

Black at-the-money (no-smile) volatility curve. This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves which will...

Black at-the-money (no-smile) volatility curve. This abstract class defines the interface of concrete Black at-the-money (no-smile) volatility curves which will...

QuantLib_BlackCallableFixedRateBondEngine(3)

Black-formula callable fixed rate bond engine. Callable fixed rate bond Black engine. The embedded (European) option follows the Black 'European bond option'...

Black-formula callable fixed rate bond engine. Callable fixed rate bond Black engine. The embedded (European) option follows the Black 'European bond option'...

QuantLib_BlackCallableZeroCouponBondEngine(3)

Black-formula callable zero coupon bond engine. Callable zero coupon bond, where the embedded (European) option price is assumed to obey the Black formula...

Black-formula callable zero coupon bond engine. Callable zero coupon bond, where the embedded (European) option price is assumed to obey the Black formula...

QuantLib_BlackConstantVol(3)

Constant Black volatility, no time-strike dependence. This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no...

Constant Black volatility, no time-strike dependence. This class implements the BlackVolatilityTermStructure interface for a constant Black volatility (no...

QuantLib_BlackDeltaCalculator(3)

Black delta calculator class. Class includes many operations needed for different applications in FX markets, which has special quoation mechanisms, since every...

Black delta calculator class. Class includes many operations needed for different applications in FX markets, which has special quoation mechanisms, since every...

QuantLib_BlackIborCouponPricer(3)

Black-formula pricer for capped/floored Ibor coupons References for timing adjustments Black76 Hull, Options, Futures and other derivatives, 4th ed., page 550...

Black-formula pricer for capped/floored Ibor coupons References for timing adjustments Black76 Hull, Options, Futures and other derivatives, 4th ed., page 550...

QuantLib_BlackKarasinski(3)

Standard Black-Karasinski model class. This class implements the standard Black-Karasinski model defined by [ dln r_t = ( heta(t) - alpha ln r_t)dt + sigma...

Standard Black-Karasinski model class. This class implements the standard Black-Karasinski model defined by [ dln r_t = ( heta(t) - alpha ln r_t)dt + sigma...

QuantLib_BlackKarasinski_Dynamics(3)

Short-rate dynamics in the Black-Karasinski model. The short-rate is here [ r_t = e^{varphi(t) + x_t} ] where $ varphi(t) $ is the deterministic time-dependent...

Short-rate dynamics in the Black-Karasinski model. The short-rate is here [ r_t = e^{varphi(t) + x_t} ] where $ varphi(t) $ is the deterministic time-dependent...

QuantLib_BlackProcess(3)

Black (1976) stochastic process. This class describes the stochastic process $ S $ for a forward or futures contract given by [ dln S(t) = -ac{sigma(t, S)^2}{2}...

Black (1976) stochastic process. This class describes the stochastic process $ S $ for a forward or futures contract given by [ dln S(t) = -ac{sigma(t, S)^2}{2}...

QuantLib_BlackScholesLattice(3)

template<class T> class QuantLib::BlackScholesLattice< T >" Simple binomial lattice approximating the Black-Scholes model.

template<class T> class QuantLib::BlackScholesLattice< T >" Simple binomial lattice approximating the Black-Scholes model.

QuantLib_BlackScholesMertonProcess(3)

Merton (1973) extension to the Black-Scholes stochastic process. This class describes the stochastic process ln(S) for a stock or stock index paying a...

Merton (1973) extension to the Black-Scholes stochastic process. This class describes the stochastic process ln(S) for a stock or stock index paying a...

QuantLib_BlackScholesProcess(3)

Black-Scholes (1973) stochastic process. This class describes the stochastic process $ S $ for a stock given by [ dln S(t) = (r(t) - ac{sigma(t, S)^2}{2}) dt +...

Black-Scholes (1973) stochastic process. This class describes the stochastic process $ S $ for a stock given by [ dln S(t) = (r(t) - ac{sigma(t, S)^2}{2}) dt +...

QuantLib_BlackVarianceCurve(3)

Black volatility curve modelled as variance curve. This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities...

Black volatility curve modelled as variance curve. This class calculates time-dependent Black volatilities using as input a vector of (ATM) Black volatilities...

QuantLib_BlackVarianceSurface(3)

Black volatility surface modelled as variance surface. This class calculates time/strike dependent Black volatilities using as input a matrix of Black...

Black volatility surface modelled as variance surface. This class calculates time/strike dependent Black volatilities using as input a matrix of Black...

QuantLib_BlackVarianceTermStructure(3)

Black variance term structure. This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time...

Black variance term structure. This abstract class acts as an adapter to VolTermStructure allowing the programmer to implement only the blackVarianceImpl(Time...

QuantLib_BlackVolatilityTermStructure(3)

Black-volatility term structure. This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the...

Black-volatility term structure. This abstract class acts as an adapter to BlackVolTermStructure allowing the programmer to implement only the...

QuantLib_BlackVolSurface(3)

Black volatility (smile) surface. This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one...

Black volatility (smile) surface. This abstract class defines the interface of concrete Black volatility (smile) surface which will be derived from this one...

QuantLib_BlackVolTermStructure(3)

Black-volatility term structure. This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one...

Black-volatility term structure. This abstract class defines the interface of concrete Black-volatility term structures which will be derived from this one...

QuantLib_BlackYoYInflationCouponPricer(3)

Black-formula pricer for capped/floored yoy inflation coupons.

Black-formula pricer for capped/floored yoy inflation coupons.

QuantLib_BMAIndex(3)

Bond Market Association index. The BMA index is the short-term tax-exempt reference index of the Bond Market Association. It has tenor one week, is fixed weekly...

Bond Market Association index. The BMA index is the short-term tax-exempt reference index of the Bond Market Association. It has tenor one week, is fixed weekly...

QuantLib_BondFunctions(3)

Bond adapters of CashFlows functions. See CashFlows for functions' documentation. These adapters calls into CashFlows functions passing as input the Bond...

Bond adapters of CashFlows functions. See CashFlows for functions' documentation. These adapters calls into CashFlows functions passing as input the Bond...

QuantLib_BootstrapError(3)

template<class Curve> class QuantLib::BootstrapError< Curve >" bootstrap error

template<class Curve> class QuantLib::BootstrapError< Curve >" bootstrap error

QuantLib_BootstrapHelper(3)

template<class TS> class QuantLib::BootstrapHelper< TS >" Base helper class for bootstrapping. This class provides an abstraction for the instruments used to...

template<class TS> class QuantLib::BootstrapHelper< TS >" Base helper class for bootstrapping. This class provides an abstraction for the instruments used to...

QuantLib_BoundaryCondition(3)

template<class Operator> class QuantLib::BoundaryCondition< Operator >" Abstract boundary condition class for finite difference problems.

template<class Operator> class QuantLib::BoundaryCondition< Operator >" Abstract boundary condition class for finite difference problems.

QuantLib_BoxMullerGaussianRng(3)

template<class RNG> class QuantLib::BoxMullerGaussianRng< RNG >" Gaussian random number generator. It uses the well-known Box-Muller transformation to return a...

template<class RNG> class QuantLib::BoxMullerGaussianRng< RNG >" Gaussian random number generator. It uses the well-known Box-Muller transformation to return a...

QuantLib_BRLCurrency(3)

Brazilian real. The ISO three-letter code is BRL; the numeric code is 986. It is divided in 100 centavos.

Brazilian real. The ISO three-letter code is BRL; the numeric code is 986. It is divided in 100 centavos.

QuantLib_BrownianBridge(3)

Builds Wiener process paths using Gaussian variates. This class generates normalized (i.e., unit-variance) paths as sequences of variations. In order to obtain...

Builds Wiener process paths using Gaussian variates. This class generates normalized (i.e., unit-variance) paths as sequences of variations. In order to obtain...

QuantLib_BSpline(3)

B-spline basis functions. Follows treatment and notation from: Weisstein, Eric W. 'B-Spline.' From MathWorld--A Wolfram Web Resource...

B-spline basis functions. Follows treatment and notation from: Weisstein, Eric W. 'B-Spline.' From MathWorld--A Wolfram Web Resource...

QuantLib_BYRCurrency(3)

Belarussian ruble. The ISO three-letter code is BYR; the numeric code is 974. It has no subdivisions.

Belarussian ruble. The ISO three-letter code is BYR; the numeric code is 974. It has no subdivisions.

QuantLib_CADCurrency(3)

Canadian dollar. The ISO three-letter code is CAD; the numeric code is 124. It is divided into 100 cents.

Canadian dollar. The ISO three-letter code is CAD; the numeric code is 124. It is divided into 100 cents.

QuantLib_Calendar(3)

calendar class This class provides methods for determining whether a date is a business day or a holiday for a given market, and for incrementing/decrementing a...

calendar class This class provides methods for determining whether a date is a business day or a holiday for a given market, and for incrementing/decrementing a...

QuantLib_Calendar_OrthodoxImpl(3)

partial calendar implementation This class provides the means of determining the Orthodox Easter Monday for a given year, as well as specifying Saturdays and...

partial calendar implementation This class provides the means of determining the Orthodox Easter Monday for a given year, as well as specifying Saturdays and...

QuantLib_Calendar_WesternImpl(3)

partial calendar implementation This class provides the means of determining the Easter Monday for a given year, as well as specifying Saturdays and Sundays as...

partial calendar implementation This class provides the means of determining the Easter Monday for a given year, as well as specifying Saturdays and Sundays as...

QuantLib_Callability(3)

instrument callability Examples: CallableBonds.cpp, and ConvertibleBonds.cpp.

instrument callability Examples: CallableBonds.cpp, and ConvertibleBonds.cpp.

QuantLib_Callability_Price(3)

amount to be paid upon callability Examples: CallableBonds.cpp, and ConvertibleBonds.cpp.

amount to be paid upon callability Examples: CallableBonds.cpp, and ConvertibleBonds.cpp.

QuantLib_CallableBond(3)

Callable bond base class. Base callable bond class for fixed and zero coupon bonds. Defines commonalities between fixed and zero coupon callable bonds. At...

Callable bond base class. Base callable bond class for fixed and zero coupon bonds. Defines commonalities between fixed and zero coupon callable bonds. At...

QuantLib_CallableBondConstantVolatility(3)

Constant callable-bond volatility, no time-strike dependence.

Constant callable-bond volatility, no time-strike dependence.

QuantLib_CallableBondVolatilityStructure(3)

Callable-bond volatility structure. This class is purely abstract and defines the interface of concrete callable-bond volatility structures which will be...

Callable-bond volatility structure. This class is purely abstract and defines the interface of concrete callable-bond volatility structures which will be...

QuantLib_CallableFixedRateBond(3)

callable/puttable fixed rate bond Callable fixed rate bond class. Example: CallableBonds.cpp Examples: CallableBonds.cpp.

callable/puttable fixed rate bond Callable fixed rate bond class. Example: CallableBonds.cpp Examples: CallableBonds.cpp.

QuantLib_CallableZeroCouponBond(3)

callable/puttable zero coupon bond Callable zero coupon bond class.

callable/puttable zero coupon bond Callable zero coupon bond class.

QuantLib_CapFloorTermVolatilityStructure(3)

Cap/floor term-volatility structure. This class is purely abstract and defines the interface of concrete structures which will be derived from this one.

Cap/floor term-volatility structure. This class is purely abstract and defines the interface of concrete structures which will be derived from this one.

QuantLib_CapFloorTermVolCurve(3)

Cap/floor at-the-money term-volatility vector. This class provides the at-the-money volatility for a given cap/floor interpolating a volatility vector whose...

Cap/floor at-the-money term-volatility vector. This class provides the at-the-money volatility for a given cap/floor interpolating a volatility vector whose...

QuantLib_CapFloorTermVolSurface(3)

Cap/floor smile volatility surface. This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market...

Cap/floor smile volatility surface. This class provides the volatility for a given cap/floor interpolating a volatility surface whose elements are the market...

QuantLib_CappedFlooredCoupon(3)

Capped and/or floored floating-rate coupon. The payoff $ P $ of a capped floating-rate coupon is: [ P = N imes T imes min(a L + b, C). ] The payoff of a floored...

Capped and/or floored floating-rate coupon. The payoff $ P $ of a capped floating-rate coupon is: [ P = N imes T imes min(a L + b, C). ] The payoff of a floored...

QuantLib_CappedFlooredYoYInflationCoupon(3)

Capped or floored inflation coupon. Essentially a copy of the nominal version but taking a different index and a set of pricers (not just one). The payoff $ P $...

Capped or floored inflation coupon. Essentially a copy of the nominal version but taking a different index and a set of pricers (not just one). The payoff $ P $...

QuantLib_CapPseudoDerivative(3)

In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class...

In order to compute market vegas, we need a class that gives the derivative of a cap implied vol against changes in pseudo-root elements. This is that class...

QuantLib_CashFlow(3)

Base class for cash flows. This class is purely virtual and acts as a base class for the actual cash flow implementations.

Base class for cash flows. This class is purely virtual and acts as a base class for the actual cash flow implementations.

QuantLib_CCTEU(3)

Italian CCTEU (Certificato di credito del tesoro) Euribor6M indexed floating rate bond

Italian CCTEU (Certificato di credito del tesoro) Euribor6M indexed floating rate bond

QuantLib_CDO(3)

collateralized debt obligation The instrument prices a mezzanine CDO tranche with loss given default between attachment point $ D_1$ and detachment point $ D_2...

collateralized debt obligation The instrument prices a mezzanine CDO tranche with loss given default between attachment point $ D_1$ and detachment point $ D_2...

QuantLib_CdsOption(3)

CDS option. The side of the swaption is set by choosing the side of the CDS. A receiver CDS option is a right to buy an underlying CDS selling protection and...

CDS option. The side of the swaption is set by choosing the side of the CDS. A receiver CDS option is a right to buy an underlying CDS selling protection and...

QuantLib_CHFCurrency(3)

Swiss franc. The ISO three-letter code is CHF; the numeric code is 756. It is divided into 100 cents.

Swiss franc. The ISO three-letter code is CHF; the numeric code is 756. It is divided into 100 cents.

QuantLib_CHFLibor(3)

CHF LIBOR rate Swiss Franc LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Warning

CHF LIBOR rate Swiss Franc LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Warning

QuantLib_ChfLiborSwapIsdaFix(3)

ChfLiborSwapIsdaFix index base class CHF Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs...

ChfLiborSwapIsdaFix index base class CHF Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs...

QuantLib_ClaytonCopulaRng(3)

template<class RNG> class QuantLib::ClaytonCopulaRng< RNG >" Clayton copula random-number generator.

template<class RNG> class QuantLib::ClaytonCopulaRng< RNG >" Clayton copula random-number generator.

QuantLib_CLGaussianRng(3)

template<class RNG> class QuantLib::CLGaussianRng< RNG >" Gaussian random number generator. It uses the well-known fact that the sum of 12 uniform deviate in...

template<class RNG> class QuantLib::CLGaussianRng< RNG >" Gaussian random number generator. It uses the well-known fact that the sum of 12 uniform deviate in...

QuantLib_CliquetOption(3)

cliquet (Ratchet) option A cliquet option, also known as Ratchet option, is a series of forward-starting (a.k.a. deferred strike) options where the strike for...

cliquet (Ratchet) option A cliquet option, also known as Ratchet option, is a series of forward-starting (a.k.a. deferred strike) options where the strike for...

QuantLib_Clone(3)

template<class T> class QuantLib::Clone< T >" cloning proxy to an underlying object When copied, this class will make a clone of its underlying object (which...

template<class T> class QuantLib::Clone< T >" cloning proxy to an underlying object When copied, this class will make a clone of its underlying object (which...

QuantLib_CLPCurrency(3)

Chilean peso. The ISO three-letter code is CLP; the numeric code is 152. It is divided in 100 centavos.

Chilean peso. The ISO three-letter code is CLP; the numeric code is 152. It is divided in 100 centavos.

QuantLib_CMSMMDriftCalculator(3)

Drift computation for CMS market models. Returns the drift $ mu Delta t $. See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor Market Model...

Drift computation for CMS market models. Returns the drift $ mu Delta t $. See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor Market Model...

QuantLib_CNYCurrency(3)

Chinese yuan. The ISO three-letter code is CNY; the numeric code is 156. It is divided in 100 fen.

Chinese yuan. The ISO three-letter code is CNY; the numeric code is 156. It is divided in 100 fen.

QuantLib_CompositeInstrument(3)

Composite instrument This instrument is an aggregate of other instruments. Its NPV is the sum of the NPVs of its components, each possibly multiplied by a given...

Composite instrument This instrument is an aggregate of other instruments. Its NPV is the sum of the NPVs of its components, each possibly multiplied by a given...

QuantLib_CompositeQuote(3)

template<class BinaryFunction> class QuantLib::CompositeQuote< BinaryFunction >" market element whose value depends on two other market element Tests

template<class BinaryFunction> class QuantLib::CompositeQuote< BinaryFunction >" market element whose value depends on two other market element Tests

QuantLib_ConjugateGradient(3)

Multi-dimensional Conjugate Gradient class. Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition. User has to provide...

Multi-dimensional Conjugate Gradient class. Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition. User has to provide...

QuantLib_ConstantEstimator(3)

Constant-estimator volatility model. Volatilities are assumed to be expressed on an annual basis.

Constant-estimator volatility model. Volatilities are assumed to be expressed on an annual basis.

QuantLib_ConstantLossLatentmodel(3)

template<class copulaPolicy> class QuantLib::ConstantLossLatentmodel< copulaPolicy >" Constant deterministic loss amount default latent model. Integrable...

template<class copulaPolicy> class QuantLib::ConstantLossLatentmodel< copulaPolicy >" Constant deterministic loss amount default latent model. Integrable...

QuantLib_ConstantLossModel(3)

template<class copulaPolicy> class QuantLib::ConstantLossModel< copulaPolicy >" ConstantLossLatentModel interface for loss models. While it does not provide...

template<class copulaPolicy> class QuantLib::ConstantLossModel< copulaPolicy >" ConstantLossLatentModel interface for loss models. While it does not provide...

QuantLib_ConstantOptionletVolatility(3)

Constant caplet volatility, no time-strike dependence. Examples: Bonds.cpp.

Constant caplet volatility, no time-strike dependence. Examples: Bonds.cpp.

QuantLib_ConstantRecoveryModel(3)

Simple Recovery Rate model returning the constant value of the quote independently of the date and the seniority.

Simple Recovery Rate model returning the constant value of the quote independently of the date and the seniority.

QuantLib_ConstrainedEvolver(3)

Constrained market-model evolver. Abstract base class. Requires extra methods above that of marketmodelevolver to let you fix rates via importance sampling. The...

Constrained market-model evolver. Abstract base class. Requires extra methods above that of marketmodelevolver to let you fix rates via importance sampling. The...

QuantLib_ContinuousArithmeticAsianVecerEngine(3)

Vecer engine for continuous-avaeraging Asian options. See http://www.stat.columbia.edu/~vecer/asi…

Vecer engine for continuous-avaeraging Asian options. See http://www.stat.columbia.edu/~vecer/asi…

QuantLib_ContinuousAveragingAsianOption_arguments(3)

Extra arguments for single-asset continuous-average Asian option.

Extra arguments for single-asset continuous-average Asian option.

QuantLib_ContinuousFixedLookbackOption_arguments(3)

Arguments for continuous fixed lookback option calculation

Arguments for continuous fixed lookback option calculation

QuantLib_ContinuousFloatingLookbackOption_arguments(3)

Arguments for continuous floating lookback option calculation

Arguments for continuous floating lookback option calculation

QuantLib_ContinuousPartialFixedLookbackOption(3)

Continuous-partial-fixed lookback option. From http://help.rmetrics.org/fExoticOptions… : For a partial-time fixed strike lookback option, the lookback period...

Continuous-partial-fixed lookback option. From http://help.rmetrics.org/fExoticOptions… : For a partial-time fixed strike lookback option, the lookback period...

QuantLib_ContinuousPartialFixedLookbackOption_arguments(3)

Arguments for continuous partial fixed lookback option calculation

Arguments for continuous partial fixed lookback option calculation

QuantLib_ContinuousPartialFixedLookbackOption_engine(3)

Continuous partial fixed lookback engine base class

Continuous partial fixed lookback engine base class

QuantLib_ContinuousPartialFloatingLookbackOption(3)

Continuous-partial-floating lookback option. From http://help.rmetrics.org/fExoticOptions… : For a partial-time floating strike lookback option, the lookback...

Continuous-partial-floating lookback option. From http://help.rmetrics.org/fExoticOptions… : For a partial-time floating strike lookback option, the lookback...

QuantLib_ContinuousPartialFloatingLookbackOption_arguments(3)

Arguments for continuous partial floating lookback option calculation

Arguments for continuous partial floating lookback option calculation

QuantLib_ContinuousPartialFloatingLookbackOption_engine(3)

Continuous partial floating lookback engine base class

Continuous partial floating lookback engine base class

QuantLib_ConvergenceStatistics(3)

template<class T, class U = DoublingConvergenceSteps> class QuantLib::ConvergenceStatistics< T, U >" statistics class with convergence table This class...

template<class T, class U = DoublingConvergenceSteps> class QuantLib::ConvergenceStatistics< T, U >" statistics class with convergence table This class...

QuantLib_ConvexMonotoneInterpolation(3)

template<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation< I1, I2 >" Convex monotone yield-curve interpolation method. Enhances implementation of...

template<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation< I1, I2 >" Convex monotone yield-curve interpolation method. Enhances implementation of...

QuantLib_COPCurrency(3)

Colombian peso. The ISO three-letter code is COP; the numeric code is 170. It is divided in 100 centavos.

Colombian peso. The ISO three-letter code is COP; the numeric code is 170. It is divided in 100 centavos.

QuantLib_CorrelationTermStructure(3)

Abstract interface, derived correlations TS might have elements with arbitrary dimensions.

Abstract interface, derived correlations TS might have elements with arbitrary dimensions.

QuantLib_CoterminalSwapCurveState(3)

Curve state for coterminal-swap market models This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This...

Curve state for coterminal-swap market models This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This...

QuantLib_CounterpartyAdjSwapEngine(3)

Bilateral (CVA and DVA) default adjusted vanilla swap pricing engine. Collateral is not considered. No wrong way risk is considered (rates and counterparty...

Bilateral (CVA and DVA) default adjusted vanilla swap pricing engine. Collateral is not considered. No wrong way risk is considered (rates and counterparty...

QuantLib_Coupon(3)

coupon accruing over a fixed period This class implements part of the CashFlow interface but it is still abstract and provides derived classes with methods for...

coupon accruing over a fixed period This class implements part of the CashFlow interface but it is still abstract and provides derived classes with methods for...

QuantLib_CovarianceDecomposition(3)

Covariance decomposition into correlation and variances. Extracts the correlation matrix and the vector of variances out of the input covariance matrix. Note...

Covariance decomposition into correlation and variances. Extracts the correlation matrix and the vector of variances out of the input covariance matrix. Note...

QuantLib_CoxIngersollRoss(3)

Cox-Ingersoll-Ross model class. This class implements the Cox-Ingersoll-Ross model defined by [ dr_t = k( heta - r_t)dt + sqrt{r_t}sigma dW_t . ] Bug

Cox-Ingersoll-Ross model class. This class implements the Cox-Ingersoll-Ross model defined by [ dr_t = k( heta - r_t)dt + sqrt{r_t}sigma dW_t . ] Bug

QuantLib_CoxIngersollRoss_Dynamics(3)

Dynamics of the short-rate under the Cox-Ingersoll-Ross model The state variable $ y_t $ will here be the square-root of the short-rate. It satisfies the...

Dynamics of the short-rate under the Cox-Ingersoll-Ross model The state variable $ y_t $ will here be the square-root of the short-rate. It satisfies the...

QuantLib_CPIBond(3)

cpi bond; if there is only one date in the schedule it is a zero bond returning an inflated notional.

cpi bond; if there is only one date in the schedule it is a zero bond returning an inflated notional.

QuantLib_CPICapFloor(3)

CPI cap or floor. Quoted as a fixed strike rate $ K $. Payoff: [ P_n(0,T) max(y (N [(1+K)^{T}-1] - N left[ ac{I(T)}{I(0)} -1 right]), 0) ] where $ T $ is the...

CPI cap or floor. Quoted as a fixed strike rate $ K $. Payoff: [ P_n(0,T) max(y (N [(1+K)^{T}-1] - N left[ ac{I(T)}{I(0)} -1 right]), 0) ] where $ T $ is the...

QuantLib_CPICapFloorTermPriceSurface(3)

Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). The inflation index MUST contain a ZeroInflationTermStructure...

Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). The inflation index MUST contain a ZeroInflationTermStructure...

QuantLib_CPICashFlow(3)

Cash flow paying the performance of a CPI (zero inflation) index. It is NOT a coupon, i.e. no accruals.

Cash flow paying the performance of a CPI (zero inflation) index. It is NOT a coupon, i.e. no accruals.

QuantLib_CPICoupon(3)

Coupon paying the performance of a CPI (zero inflation) index The performance is relative to the index value on the base date. The other inflation value is...

Coupon paying the performance of a CPI (zero inflation) index The performance is relative to the index value on the base date. The other inflation value is...

QuantLib_CPILeg(3)

Helper class building a sequence of capped/floored CPI coupons. Also allowing for the inflated notional at the end... especially if there is only one date in...

Helper class building a sequence of capped/floored CPI coupons. Also allowing for the inflated notional at the end... especially if there is only one date in...

QuantLib_CPISwap(3)

zero-inflation-indexed swap, fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base) versus floating + spread Note that this does ony the...

zero-inflation-indexed swap, fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base) versus floating + spread Note that this does ony the...

QuantLib_CPIVolatilitySurface(3)

zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures Abstract interface. CPI volatility is always with respect to some base date. Also deal with lagged...

zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures Abstract interface. CPI volatility is always with respect to some base date. Also deal with lagged...

QuantLib_CrankNicolson(3)

template<class Operator> class QuantLib::CrankNicolson< Operator >" Crank-Nicolson scheme for finite difference methods. In this implementation, the passed...

template<class Operator> class QuantLib::CrankNicolson< Operator >" Crank-Nicolson scheme for finite difference methods. In this implementation, the passed...

QuantLib_CreditRiskPlus(3)

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein. Warning

Extended CreditRisk+ model as described in [1] Integrating Correlations, Risk, July 1999 and the references therein. Warning

QuantLib_CubicBSplinesFitting(3)

CubicSpline B-splines fitting method. Fits a discount function to a set of cubic B-splines $ N_{i,3}(t) $, i.e., [ d(t) = sum_{i=0}^{n} c_i * N_{i,3}(t) ] See...

CubicSpline B-splines fitting method. Fits a discount function to a set of cubic B-splines $ N_{i,3}(t) $, i.e., [ d(t) = sum_{i=0}^{n} c_i * N_{i,3}(t) ] See...

QuantLib_CubicInterpolation(3)

Cubic interpolation between discrete points. Cubic interpolation is fully defined when the ${f_i}$ function values at points ${x_i}$ are supplemented with...

Cubic interpolation between discrete points. Cubic interpolation is fully defined when the ${f_i}$ function values at points ${x_i}$ are supplemented with...

QuantLib_CumulativeBehrensFisher(3)

Cumulative (generalized) BehrensFisher distribution. Exact analitical computation of the cumulative probability distribution of the linear combination of an...

Cumulative (generalized) BehrensFisher distribution. Exact analitical computation of the cumulative probability distribution of the linear combination of an...

QuantLib_CumulativeBinomialDistribution(3)

Cumulative binomial distribution function. Given an integer k it provides the cumulative probability of observing kk<=k: formula here ...

Cumulative binomial distribution function. Given an integer k it provides the cumulative probability of observing kk<=k: formula here ...

QuantLib_CumulativeNormalDistribution(3)

Cumulative normal distribution function. Given x it provides an approximation to the integral of the gaussian normal distribution: formula here ... For this...

Cumulative normal distribution function. Given x it provides an approximation to the integral of the gaussian normal distribution: formula here ... For this...

QuantLib_CumulativePoissonDistribution(3)

Cumulative Poisson distribution function. This function provides an approximation of the integral of the Poisson distribution. For this implementation see...

Cumulative Poisson distribution function. This function provides an approximation of the integral of the Poisson distribution. For this implementation see...

QuantLib_CumulativeStudentDistribution(3)

Cumulative Student t-distribution. Cumulative distribution function for $ n $ degrees of freedom (see mathworld.wolfram.com): [ F(x) = int_{-infty}^xf(y)dy =...

Cumulative Student t-distribution. Cumulative distribution function for $ n $ degrees of freedom (see mathworld.wolfram.com): [ F(x) = int_{-infty}^xf(y)dy =...

QuantLib_CuriouslyRecurringTemplate(3)

template<class Impl> class QuantLib::CuriouslyRecurringTemplate< Impl >" Support for the curiously recurring template pattern. See James O. Coplien. A Curiously...

template<class Impl> class QuantLib::CuriouslyRecurringTemplate< Impl >" Support for the curiously recurring template pattern. See James O. Coplien. A Curiously...

QuantLib_CurveState(3)

Curve state for market-model simulations This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This is...

Curve state for market-model simulations This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This is...

QuantLib_CustomRegion(3)

Custom geographical/economic region. This class allows one to create an instance of a particular region without having to define and compile a corresponding...

Custom geographical/economic region. This class allows one to create an instance of a particular region without having to define and compile a corresponding...

QuantLib_CYPCurrency(3)

Cyprus pound. The ISO three-letter code is CYP; the numeric code is 196. It is divided in 100 cents. Obsoleted by the Euro since 2008.

Cyprus pound. The ISO three-letter code is CYP; the numeric code is 196. It is divided in 100 cents. Obsoleted by the Euro since 2008.

QuantLib_CZKCurrency(3)

Czech koruna. The ISO three-letter code is CZK; the numeric code is 203. It is divided in 100 haleru.

Czech koruna. The ISO three-letter code is CZK; the numeric code is 203. It is divided in 100 haleru.

QuantLib_DailyTenorEURLibor(3)

base class for the one day deposit ICE EUR LIBOR indexes Euro O/N LIBOR fixed by ICE. It can be also used for T/N and S/N indexes, even if such indexes do not...

base class for the one day deposit ICE EUR LIBOR indexes Euro O/N LIBOR fixed by ICE. It can be also used for T/N and S/N indexes, even if such indexes do not...

QuantLib_DailyTenorLibor(3)

base class for all O/N-S/N BBA LIBOR indexes but the EUR ones One day deposit LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor….

base class for all O/N-S/N BBA LIBOR indexes but the EUR ones One day deposit LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor….

QuantLib_Date(3)

Concrete date class. This class provides methods to inspect dates as well as methods and operators which implement a limited date algebra (increasing and...

Concrete date class. This class provides methods to inspect dates as well as methods and operators which implement a limited date algebra (increasing and...

QuantLib_DateGeneration(3)

Date-generation rule. These conventions specify the rule used to generate dates in a Schedule.

Date-generation rule. These conventions specify the rule used to generate dates in a Schedule.

QuantLib_DayCounter(3)

day counter class This class provides methods for determining the length of a time period according to given market convention, both as a number of days and as...

day counter class This class provides methods for determining the length of a time period according to given market convention, both as a number of days and as...

QuantLib_DefaultDensityStructure(3)

Default-density term structure. This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the...

Default-density term structure. This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the...

QuantLib_DefaultEvent(3)

Credit event on a bond of a certain seniority(ies)/currency. Represents a credit event affecting all bonds with a given \ seniority and currency. It assumes...

Credit event on a bond of a certain seniority(ies)/currency. Represents a credit event affecting all bonds with a given \ seniority and currency. It assumes...

QuantLib_DefaultLatentModel(3)

template<class copulaPolicy> class QuantLib::DefaultLatentModel< copulaPolicy >" Default event Latent Model. This is a model for joint default events based on a...

template<class copulaPolicy> class QuantLib::DefaultLatentModel< copulaPolicy >" Default event Latent Model. This is a model for joint default events based on a...

QuantLib_DefaultLossModel(3)

Default loss model interface definition. Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss...

Default loss model interface definition. Allows communication between the basket and specific algorithms. Intended to hold any kind of portfolio joint loss...

QuantLib_DefaultProbabilityTermStructure(3)

Default probability term structure. This abstract class defines the interface of concrete credit structures which will be derived from this one.

Default probability term structure. This abstract class defines the interface of concrete credit structures which will be derived from this one.

QuantLib_DefaultProbKey(3)

Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract...

Used to index market implied credit curve probabilities. It is a proxy to the defaultable bond or class of bonds which determines the credit contract...

QuantLib_DefaultType(3)

Atomic credit-event type. This class encapsulates the ISDA default contractual types and their combinations. Non-atomicity works only at the atomic type level...

Atomic credit-event type. This class encapsulates the ISDA default contractual types and their combinations. Non-atomicity works only at the atomic type level...

QuantLib_DeltaVolQuote(3)

Class for the quotation of delta vs vol. It includes the various delta quotation types in FX markets as well as ATM types.

Class for the quotation of delta vs vol. It includes the various delta quotation types in FX markets as well as ATM types.

QuantLib_DEMCurrency(3)

Deutsche mark. The ISO three-letter code was DEM; the numeric code was 276. It was divided into 100 pfennig. Obsoleted by the Euro since 1999.

Deutsche mark. The ISO three-letter code was DEM; the numeric code was 276. It was divided into 100 pfennig. Obsoleted by the Euro since 1999.

QuantLib_DepositRateHelper(3)

Rate helper for bootstrapping over deposit rates. Examples: Bonds.cpp, and swapvaluation.cpp.

Rate helper for bootstrapping over deposit rates. Examples: Bonds.cpp, and swapvaluation.cpp.

QuantLib_DerivedQuote(3)

template<class UnaryFunction> class QuantLib::DerivedQuote< UnaryFunction >" market quote whose value depends on another quote Tests

template<class UnaryFunction> class QuantLib::DerivedQuote< UnaryFunction >" market quote whose value depends on another quote Tests

QuantLib_detail_BlackStyleSwaptionEngine(3)

template<class Spec> class QuantLib::detail::BlackStyleSwaptionEngine< Spec >" Generic Black-style-formula swaption engine This is the base class for the Black...

template<class Spec> class QuantLib::detail::BlackStyleSwaptionEngine< Spec >" Generic Black-style-formula swaption engine This is the base class for the Black...

QuantLib_detail_ImpliedVolatilityHelper(3)

helper class for one-asset implied-volatility calculation The passed engine must be linked to the passed quote (see, e.g., VanillaOption to see how this can be...

helper class for one-asset implied-volatility calculation The passed engine must be linked to the passed quote (see, e.g., VanillaOption to see how this can be...

QuantLib_DifferentialEvolution(3)

Differential Evolution configuration object. The algorithm and strategy names are taken from here: Price, K., Storn, R., 1997. Differential Evolution - A Simple...

Differential Evolution configuration object. The algorithm and strategy names are taken from here: Price, K., Storn, R., 1997. Differential Evolution - A Simple...

QuantLib_DigitalCoupon(3)

Digital-payoff coupon. Implementation of a floating-rate coupon with digital call/put option.

Digital-payoff coupon. Implementation of a floating-rate coupon with digital call/put option.

QuantLib_DiscrepancyStatistics(3)

Statistic tool for sequences with discrepancy calculation. It inherit from SequenceStatistics<Statistics> and adds $ L^2 $ discrepancy calculation

Statistic tool for sequences with discrepancy calculation. It inherit from SequenceStatistics<Statistics> and adds $ L^2 $ discrepancy calculation

QuantLib_DiscreteAveragingAsianOption_arguments(3)

Extra arguments for single-asset discrete-average Asian option.

Extra arguments for single-asset discrete-average Asian option.

QuantLib_DiscreteTrapezoidIntegral(3)

References: Levy, D. Numerical Integration http://www2.math.umd.edu/~dlevy/classes…

References: Levy, D. Numerical Integration http://www2.math.umd.edu/~dlevy/classes…

QuantLib_DiscretizedDermanKaniDoubleBarrierOption(3)

Derman-Kani-Ergener-Bardhan discretized option helper class.

Derman-Kani-Ergener-Bardhan discretized option helper class.

QuantLib_DiscretizedDoubleBarrierOption(3)

Standard discretized option helper class. This class is used with the BinomialDoubleBarrierEngine to implement a standard binomial algorithm for double barrier...

Standard discretized option helper class. This class is used with the BinomialDoubleBarrierEngine to implement a standard binomial algorithm for double barrier...

QuantLib_Disposable(3)

template<class T> class QuantLib::Disposable< T >" generic disposable object with move semantics This class can be used for returning a value by copy. It relies...

template<class T> class QuantLib::Disposable< T >" generic disposable object with move semantics This class can be used for returning a value by copy. It relies...

QuantLib_Dividend(3)

Predetermined cash flow. This cash flow pays a predetermined amount at a given date.

Predetermined cash flow. This cash flow pays a predetermined amount at a given date.

QuantLib_DividendVanillaOption(3)

Single-asset vanilla option (no barriers) with discrete dividends.

Single-asset vanilla option (no barriers) with discrete dividends.

QuantLib_DKKCurrency(3)

Danish krone. The ISO three-letter code is DKK; the numeric code is 208. It is divided in 100 øre.

Danish krone. The ISO three-letter code is DKK; the numeric code is 208. It is divided in 100 øre.

QuantLib_DMinus(3)

$ D_{-} $ matricial representation The differential operator $ D_{-} $ discretizes the first derivative with the first-order formula [ ac{partial u_{i}}{partial...

$ D_{-} $ matricial representation The differential operator $ D_{-} $ discretizes the first derivative with the first-order formula [ ac{partial u_{i}}{partial...

QuantLib_DoubleBarrierOption(3)

Double Barrier option on a single asset. The analytic pricing engine will be used if none if passed.

Double Barrier option on a single asset. The analytic pricing engine will be used if none if passed.

QuantLib_DPlus(3)

$ D_{+} $ matricial representation The differential operator $ D_{+} $ discretizes the first derivative with the first-order formula [ ac{partial u_{i}}{partial...

$ D_{+} $ matricial representation The differential operator $ D_{+} $ discretizes the first derivative with the first-order formula [ ac{partial u_{i}}{partial...

QuantLib_DPlusDMinus(3)

$ D_{+}D_{-} $ matricial representation The differential operator $ D_{+}D_{-} $ discretizes the second derivative with the second-order formula [ ac{partial^2...

$ D_{+}D_{-} $ matricial representation The differential operator $ D_{+}D_{-} $ discretizes the second derivative with the second-order formula [ ac{partial^2...

QuantLib_DZero(3)

$ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{partial...

$ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{partial...

QuantLib_earlier_than(3)

template<class T> struct QuantLib::earlier_than< T >" compare two objects by date There is no generic implementation of this struct. Template specializations...

template<class T> struct QuantLib::earlier_than< T >" compare two objects by date There is no generic implementation of this struct. Template specializations...

QuantLib_EarlyExercise(3)

Early-exercise base class. The payoff can be at exercise (the default) or at expiry

Early-exercise base class. The payoff can be at exercise (the default) or at expiry

QuantLib_EarlyExercisePathPricer(3)

template<class PathType, class TimeType = Size, class ValueType = Real> class QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >" base class for...

template<class PathType, class TimeType = Size, class ValueType = Real> class QuantLib::EarlyExercisePathPricer< PathType, TimeType, ValueType >" base class for...

QuantLib_EEKCurrency(3)

Estonian kroon. The ISO three-letter code is EEK; the numeric code is 233. It is divided in 100 senti.

Estonian kroon. The ISO three-letter code is EEK; the numeric code is 233. It is divided in 100 senti.

QuantLib_EqualJumpsBinomialTree(3)

template<class T> class QuantLib::EqualJumpsBinomialTree< T >" Base class for equal jumps binomial tree.

template<class T> class QuantLib::EqualJumpsBinomialTree< T >" Base class for equal jumps binomial tree.

QuantLib_EqualProbabilitiesBinomialTree(3)

template<class T> class QuantLib::EqualProbabilitiesBinomialTree< T >" Base class for equal probabilities binomial tree.

template<class T> class QuantLib::EqualProbabilitiesBinomialTree< T >" Base class for equal probabilities binomial tree.

QuantLib_EquityFXVolSurface(3)

Equity/FX volatility (smile) surface. This abstract class defines the interface of concrete Equity/FX volatility (smile) surfaces which will be derived from...

Equity/FX volatility (smile) surface. This abstract class defines the interface of concrete Equity/FX volatility (smile) surfaces which will be derived from...

QuantLib_ErrorFunction(3)

Error function formula here ... Used to calculate the cumulative normal distribution function

Error function formula here ... Used to calculate the cumulative normal distribution function

QuantLib_ESPCurrency(3)

Spanish peseta. The ISO three-letter code was ESP; the numeric code was 724. It was divided in 100 centimos. Obsoleted by the Euro since 1999.

Spanish peseta. The ISO three-letter code was ESP; the numeric code was 724. It was divided in 100 centimos. Obsoleted by the Euro since 1999.

QuantLib_EURCurrency(3)

European Euro. The ISO three-letter code is EUR; the numeric code is 978. It is divided into 100 cents.

European Euro. The ISO three-letter code is EUR; the numeric code is 978. It is divided into 100 cents.

QuantLib_Euribor365(3)

Actual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used for Euribor and the actual/365 convention previously...

Actual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used for Euribor and the actual/365 convention previously...

QuantLib_Euribor6M(3)

6-months Euribor index Examples: BermudanSwaption.cpp, Bonds.cpp, and swapvaluation.cpp.

6-months Euribor index Examples: BermudanSwaption.cpp, Bonds.cpp, and swapvaluation.cpp.

QuantLib_EuriborSwapIfrFix(3)

EuriborSwapIfrFix index base class Euribor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M...

EuriborSwapIfrFix index base class Euribor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M...

QuantLib_EuriborSwapIsdaFixA(3)

EuriborSwapIsdaFixA index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am Frankfurt. Annual 30/360 vs...

EuriborSwapIsdaFixA index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am Frankfurt. Annual 30/360 vs...

QuantLib_EuriborSwapIsdaFixB(3)

EuriborSwapIsdaFixB index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 12am Frankfurt. Annual 30/360 vs...

EuriborSwapIsdaFixB index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 12am Frankfurt. Annual 30/360 vs...

QuantLib_EURLibor(3)

base class for all ICE EUR LIBOR indexes but the O/N Euro LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Warning

base class for all ICE EUR LIBOR indexes but the O/N Euro LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Warning

QuantLib_EurLiborSwapIfrFix(3)

EurLiborSwapIfrFix index base class EUR Libor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs...

EurLiborSwapIfrFix index base class EUR Libor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs...

QuantLib_EurLiborSwapIsdaFixA(3)

EurLiborSwapIsdaFixA index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am London. Annual 30/360 vs...

EurLiborSwapIsdaFixA index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am London. Annual 30/360 vs...

QuantLib_EurLiborSwapIsdaFixB(3)

EurLiborSwapIsdaFixB index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs...

EurLiborSwapIsdaFixB index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs...

QuantLib_EurodollarFuturesImpliedStdDevQuote(3)

quote for the Eurodollar-future implied standard deviation

quote for the Eurodollar-future implied standard deviation

QuantLib_EuropeanExercise(3)

European exercise. A European option can only be exercised at one (expiry) date. Examples: ConvertibleBonds.cpp, EquityOption.cpp, and Replication.cpp.

European exercise. A European option can only be exercised at one (expiry) date. Examples: ConvertibleBonds.cpp, EquityOption.cpp, and Replication.cpp.

QuantLib_Event(3)

Base class for event. This class acts as a base class for the actual event implementations.

Base class for event. This class acts as a base class for the actual event implementations.

QuantLib_ExplicitEuler(3)

template<class Operator> class QuantLib::ExplicitEuler< Operator >" Forward Euler scheme for finite difference methods See sect. Finite-differences framework...

template<class Operator> class QuantLib::ExplicitEuler< Operator >" Forward Euler scheme for finite difference methods See sect. Finite-differences framework...

QuantLib_ExponentialJump1dMesher(3)

Mesher for a exponential jump process with high mean reversion rate and low jump intensity [ begin{array}{rcl} dY_t &=& -beta Y_{t-}dt + J_tdN_t \...

Mesher for a exponential jump process with high mean reversion rate and low jump intensity [ begin{array}{rcl} dY_t &=& -beta Y_{t-}dt + J_tdN_t \...

QuantLib_ExponentialSplinesFitting(3)

Exponential-splines fitting method. Fits a discount function to the exponential form [ d(t) = sum_{i=1}^9 c_i \xp^{-kappa i t} ] where the constants $ c_i $ and...

Exponential-splines fitting method. Fits a discount function to the exponential form [ d(t) = sum_{i=1}^9 c_i \xp^{-kappa i t} ] where the constants $ c_i $ and...

QuantLib_ExtendedBinomialTree(3)

template<class T> class QuantLib::ExtendedBinomialTree< T >" Binomial tree base class.

template<class T> class QuantLib::ExtendedBinomialTree< T >" Binomial tree base class.

QuantLib_ExtendedBlackScholesMertonProcess(3)

experimental Black-Scholes-Merton stochastic process This class allows to choose a built-in discretization scheme

experimental Black-Scholes-Merton stochastic process This class allows to choose a built-in discretization scheme

QuantLib_ExtendedBlackVarianceCurve(3)

Black volatility curve modelled as variance curve. This class is similar to BlackVarianceCurve, but extends it to use quotes for the input volatilities.

Black volatility curve modelled as variance curve. This class is similar to BlackVarianceCurve, but extends it to use quotes for the input volatilities.

QuantLib_ExtendedBlackVarianceSurface(3)

Black volatility surface modelled as variance surface. This class is similar to BlackVarianceSurface, but extends it to use quotes for the input volatilities.

Black volatility surface modelled as variance surface. This class is similar to BlackVarianceSurface, but extends it to use quotes for the input volatilities.

QuantLib_ExtendedCoxIngersollRoss(3)

Extended Cox-Ingersoll-Ross model class. This class implements the extended Cox-Ingersoll-Ross model defined by [ dr_t = ( heta(t) - alpha r_t)dt +...

Extended Cox-Ingersoll-Ross model class. This class implements the extended Cox-Ingersoll-Ross model defined by [ dr_t = ( heta(t) - alpha r_t)dt +...

QuantLib_ExtendedCoxIngersollRoss_Dynamics(3)

Short-rate dynamics in the extended Cox-Ingersoll-Ross model. The short-rate is here [ r_t = varphi(t) + y_t^2 ] where $ varphi(t) $ is the deterministic...

Short-rate dynamics in the extended Cox-Ingersoll-Ross model. The short-rate is here [ r_t = varphi(t) + y_t^2 ] where $ varphi(t) $ is the deterministic...

QuantLib_ExtendedCoxIngersollRoss_FittingParameter(3)

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) - ac{2k...

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) - ac{2k...

QuantLib_ExtendedCoxRossRubinstein(3)

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

QuantLib_ExtendedEqualJumpsBinomialTree(3)

template<class T> class QuantLib::ExtendedEqualJumpsBinomialTree< T >" Base class for equal jumps binomial tree.

template<class T> class QuantLib::ExtendedEqualJumpsBinomialTree< T >" Base class for equal jumps binomial tree.

QuantLib_ExtendedEqualProbabilitiesBinomialTree(3)

template<class T> class QuantLib::ExtendedEqualProbabilitiesBinomialTree< T >" Base class for equal probabilities binomial tree.

template<class T> class QuantLib::ExtendedEqualProbabilitiesBinomialTree< T >" Base class for equal probabilities binomial tree.

QuantLib_ExtendedOrnsteinUhlenbeckProcess(3)

Extended Ornstein-Uhlenbeck process class. This class describes the Ornstein-Uhlenbeck process governed by [ dx = a (b(t) - x_t) dt + sigma dW_t. ]

Extended Ornstein-Uhlenbeck process class. This class describes the Ornstein-Uhlenbeck process governed by [ dx = a (b(t) - x_t) dt + sigma dW_t. ]

QuantLib_ExtOUWithJumpsProcess(3)

This class describes a Ornstein Uhlenbeck model plus exp jump, an extension of the Lucia and Schwartz model [ begin{array}{rcl} S &=& exp(X_t + Y_t) \ dX_t &=&...

This class describes a Ornstein Uhlenbeck model plus exp jump, an extension of the Lucia and Schwartz model [ begin{array}{rcl} S &=& exp(X_t + Y_t) \ dX_t &=&...

QuantLib_FactorSpreadedHazardRateCurve(3)

Default-probability structure with a multiplicative spread on hazard rates.

Default-probability structure with a multiplicative spread on hazard rates.

QuantLib_FarlieGumbelMorgensternCopulaRng(3)

template<class RNG> class QuantLib::FarlieGumbelMorgensternCopulaRng< RNG >" Farlie-Gumbel-Morgenstern copula random-number generator.

template<class RNG> class QuantLib::FarlieGumbelMorgensternCopulaRng< RNG >" Farlie-Gumbel-Morgenstern copula random-number generator.

QuantLib_FaureRsg(3)

Faure low-discrepancy sequence generator. It is based on existing Fortran and C algorithms to calculate pascal matrix and gray transforms.

Faure low-discrepancy sequence generator. It is based on existing Fortran and C algorithms to calculate pascal matrix and gray transforms.

QuantLib_Fd2dBlackScholesVanillaEngine(3)

Two dimensional finite-differences Black Scholes vanilla option engine. Tests

Two dimensional finite-differences Black Scholes vanilla option engine. Tests

QuantLib_FDAmericanEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDAmericanEngine< Scheme >" Finite-differences pricing engine for American one asset...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDAmericanEngine< Scheme >" Finite-differences pricing engine for American one asset...

QuantLib_FDBermudanEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDBermudanEngine< Scheme >" Finite-differences Bermudan engine. Examples...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDBermudanEngine< Scheme >" Finite-differences Bermudan engine. Examples...

QuantLib_FdBlackScholesBarrierEngine(3)

Finite-Differences Black Scholes barrier option engine. Tests

Finite-Differences Black Scholes barrier option engine. Tests

QuantLib_FdBlackScholesRebateEngine(3)

Finite-Differences Black Scholes barrier option rebate helper engine.

Finite-Differences Black Scholes barrier option rebate helper engine.

QuantLib_FDDividendAmericanEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendAmericanEngine< Scheme >" Finite-differences pricing engine for dividend...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendAmericanEngine< Scheme >" Finite-differences pricing engine for dividend...

QuantLib_FDDividendEngineBase(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEngineBase< Scheme >" Abstract base class for dividend engines.

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEngineBase< Scheme >" Abstract base class for dividend engines.

QuantLib_FDDividendEngineMerton73(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEngineMerton73< Scheme >" Finite-differences pricing engine for dividend...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEngineMerton73< Scheme >" Finite-differences pricing engine for dividend...

QuantLib_FDDividendEngineShiftScale(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEngineShiftScale< Scheme >" Finite-differences engine for dividend options...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEngineShiftScale< Scheme >" Finite-differences engine for dividend options...

QuantLib_FDDividendEuropeanEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEuropeanEngine< Scheme >" Finite-differences pricing engine for dividend...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendEuropeanEngine< Scheme >" Finite-differences pricing engine for dividend...

QuantLib_FDDividendShoutEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendShoutEngine< Scheme >" Finite-differences shout engine with dividends.

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDDividendShoutEngine< Scheme >" Finite-differences shout engine with dividends.

QuantLib_FDEuropeanEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDEuropeanEngine< Scheme >" Pricing engine for European options using...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDEuropeanEngine< Scheme >" Pricing engine for European options using...

QuantLib_FdHestonHullWhiteVanillaEngine(3)

Finite-Differences Heston Hull-White Vanilla Option engine. Tests

Finite-Differences Heston Hull-White Vanilla Option engine. Tests

QuantLib_FdmExtOUJumpOp(3)

References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/klu…

References: Kluge, Timo L., 2008. Pricing Swing Options and other Electricity Derivatives, http://eprints.maths.ox.ac.uk/246/1/klu…

QuantLib_FdmKlugeExtOUOp(3)

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by [ begin{array}{rcl} P_t &=& \xp(p_t + X_t + Y_t) \ dX_t &=& -alpha...

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by [ begin{array}{rcl} P_t &=& \xp(p_t + X_t + Y_t) \ dX_t &=& -alpha...

QuantLib_FDShoutEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDShoutEngine< Scheme >" Finite-differences pricing engine for shout vanilla options...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDShoutEngine< Scheme >" Finite-differences pricing engine for shout vanilla options...

QuantLib_FDStepConditionEngine(3)

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDStepConditionEngine< Scheme >" Finite-differences pricing engine for American-style...

template<template< class > class Scheme = CrankNicolson> class QuantLib::FDStepConditionEngine< Scheme >" Finite-differences pricing engine for American-style...

QuantLib_FDVanillaEngine(3)

Finite-differences pricing engine for BSM one asset options. The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to...

Finite-differences pricing engine for BSM one asset options. The name is a misnomer as this is a base class for any finite difference scheme. Its main job is to...

QuantLib_FFTEngine(3)

Base class for FFT pricing engines for European vanilla options. The FFT engine calculates the values of all options with the same expiry at the same time. For...

Base class for FFT pricing engines for European vanilla options. The FFT engine calculates the values of all options with the same expiry at the same time. For...

QuantLib_FFTVanillaEngine(3)

FFT Pricing engine vanilla options under a Black Scholes process. Tests

FFT Pricing engine vanilla options under a Black Scholes process. Tests

QuantLib_FFTVarianceGammaEngine(3)

FFT engine for vanilla options under a Variance Gamma process. Tests

FFT engine for vanilla options under a Variance Gamma process. Tests

QuantLib_FilonIntegral(3)

Integral of a one-dimensional function. Given a number $ N $ of intervals, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of...

Integral of a one-dimensional function. Given a number $ N $ of intervals, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of...

QuantLib_FIMCurrency(3)

Finnish markka. The ISO three-letter code was FIM; the numeric code was 246. It was divided in 100 penniä. Obsoleted by the Euro since 1999.

Finnish markka. The ISO three-letter code was FIM; the numeric code was 246. It was divided in 100 penniä. Obsoleted by the Euro since 1999.

QuantLib_FiniteDifferenceModel(3)

template<class Evolver> class QuantLib::FiniteDifferenceModel< Evolver >" Generic finite difference model.

template<class Evolver> class QuantLib::FiniteDifferenceModel< Evolver >" Generic finite difference model.

QuantLib_FiniteDifferenceNewtonSafe(3)

safe Newton 1-D solver with finite difference derivatives Tests

safe Newton 1-D solver with finite difference derivatives Tests

QuantLib_FittedBondDiscountCurve(3)

Discount curve fitted to a set of fixed-coupon bonds. This class fits a discount function $ d(t) $ over a set of bonds, using a user defined fitting method. The...

Discount curve fitted to a set of fixed-coupon bonds. This class fits a discount function $ d(t) $ over a set of bonds, using a user defined fitting method. The...

QuantLib_FittedBondDiscountCurve_FittingMethod(3)

Base fitting method used to construct a fitted bond discount curve. This base class provides the specific methodology/strategy used to construct a...

Base fitting method used to construct a fitted bond discount curve. This base class provides the specific methodology/strategy used to construct a...

QuantLib_FixedDividend(3)

Predetermined cash flow. This cash flow pays a predetermined amount at a given date. Examples: ConvertibleBonds.cpp.

Predetermined cash flow. This cash flow pays a predetermined amount at a given date. Examples: ConvertibleBonds.cpp.

QuantLib_FixedRateBondHelper(3)

Fixed-coupon bond helper for curve bootstrap. Examples: Bonds.cpp, and FittedBondCurve.cpp.

Fixed-coupon bond helper for curve bootstrap. Examples: Bonds.cpp, and FittedBondCurve.cpp.

QuantLib_FlatForward(3)

Flat interest-rate curve. Examples: BermudanSwaption.cpp, CallableBonds.cpp, CDS.cpp, ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp...

Flat interest-rate curve. Examples: BermudanSwaption.cpp, CallableBonds.cpp, CDS.cpp, ConvertibleBonds.cpp, DiscreteHedging.cpp, EquityOption.cpp...

QuantLib_FordeHestonExpansion(3)

Small-time expansion from 'The small-time smile and term structure of implied volatility under the Heston model' M Forde, A Jacquier, R Lee - SIAM Journal on...

Small-time expansion from 'The small-time smile and term structure of implied volatility under the Heston model' M Forde, A Jacquier, R Lee - SIAM Journal on...

QuantLib_Forward(3)

Abstract base forward class. Derived classes must implement the virtual functions spotValue() (NPV or spot price) and spotIncome() associated with the specific...

Abstract base forward class. Derived classes must implement the virtual functions spotValue() (NPV or spot price) and spotIncome() associated with the specific...

QuantLib_ForwardMeasureProcess(3)

forward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure.

forward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure.

QuantLib_ForwardMeasureProcess1D(3)

forward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the forward measure.

forward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the forward measure.

QuantLib_ForwardOptionArguments(3)

template<class ArgumentsType> class QuantLib::ForwardOptionArguments< ArgumentsType >" Arguments for forward (strike-resetting) option calculation

template<class ArgumentsType> class QuantLib::ForwardOptionArguments< ArgumentsType >" Arguments for forward (strike-resetting) option calculation

QuantLib_ForwardPerformanceVanillaEngine(3)

template<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine >" Forward performance engine for vanilla options Tests

template<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine >" Forward performance engine for vanilla options Tests

QuantLib_ForwardRateStructure(3)

Forward-rate term structure This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the forwardImpl(Time) method...

Forward-rate term structure This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the forwardImpl(Time) method...

QuantLib_ForwardSpreadedTermStructure(3)

Term structure with added spread on the instantaneous forward rate.

Term structure with added spread on the instantaneous forward rate.

QuantLib_ForwardVanillaEngine(3)

template<class Engine> class QuantLib::ForwardVanillaEngine< Engine >" Forward engine for vanilla options Tests

template<class Engine> class QuantLib::ForwardVanillaEngine< Engine >" Forward engine for vanilla options Tests

QuantLib_FractionalDividend(3)

Predetermined cash flow. This cash flow pays a fractional amount at a given date.

Predetermined cash flow. This cash flow pays a fractional amount at a given date.

QuantLib_FrankCopulaRng(3)

template<class RNG> class QuantLib::FrankCopulaRng< RNG >" Frank copula random-number generator.

template<class RNG> class QuantLib::FrankCopulaRng< RNG >" Frank copula random-number generator.

QuantLib_FraRateHelper(3)

Rate helper for bootstrapping over FRA rates. Examples: FRA.cpp, and swapvaluation.cpp.

Rate helper for bootstrapping over FRA rates. Examples: FRA.cpp, and swapvaluation.cpp.

QuantLib_FRFCurrency(3)

French franc. The ISO three-letter code was FRF; the numeric code was 250. It was divided in 100 centimes. Obsoleted by the Euro since 1999.

French franc. The ISO three-letter code was FRF; the numeric code was 250. It was divided in 100 centimes. Obsoleted by the Euro since 1999.

QuantLib_FuturesRateHelper(3)

Rate helper for bootstrapping over IborIndex futures prices. Examples: swapvaluation.cpp.

Rate helper for bootstrapping over IborIndex futures prices. Examples: swapvaluation.cpp.

QuantLib_FxSwapRateHelper(3)

Rate helper for bootstrapping over Fx Swap rates. fwdFx = spotFx + fwdPoint isFxBaseCurrencyCollateralCurrency indicates if the base currency of the fx currency...

Rate helper for bootstrapping over Fx Swap rates. fwdFx = spotFx + fwdPoint isFxBaseCurrencyCollateralCurrency indicates if the base currency of the fx currency...

QuantLib_G2(3)

Two-additive-factor gaussian model class. This class implements a two-additive-factor model defined by [ dr_t = varphi(t) + x_t + y_t ] where $ x_t $ and $ y_t...

Two-additive-factor gaussian model class. This class implements a two-additive-factor model defined by [ dr_t = varphi(t) + x_t + y_t ] where $ x_t $ and $ y_t...

QuantLib_G2_FittingParameter(3)

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}(ac{sigma(1-e^{-at})}{a})^2 +...

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}(ac{sigma(1-e^{-at})}{a})^2 +...

QuantLib_GammaFunction(3)

Gamma function class. This is a function defined by [ Gamma(z) = int_0^{infty}t^{z-1}e^{-t}dt ] The implementation of the algorithm was inspired by 'Numerical...

Gamma function class. This is a function defined by [ Gamma(z) = int_0^{infty}t^{z-1}e^{-t}dt ] The implementation of the algorithm was inspired by 'Numerical...

QuantLib_GapPayoff(3)

Binary gap payoff. This payoff is equivalent to being a) long a PlainVanillaPayoff at the first strike (same Call/Put type) and b) short a CashOrNothingPayoff...

Binary gap payoff. This payoff is equivalent to being a) long a PlainVanillaPayoff at the first strike (same Call/Put type) and b) short a CashOrNothingPayoff...

QuantLib_Garch11(3)

GARCH volatility model. Volatilities are assumed to be expressed on an annual basis.

GARCH volatility model. Volatilities are assumed to be expressed on an annual basis.

QuantLib_GarmanKlassAbstract(3)

Garman-Klass volatility model. This class implements a concrete volatility model based on high low formulas using the method of Garman and Klass in their paper...

Garman-Klass volatility model. This class implements a concrete volatility model based on high low formulas using the method of Garman and Klass in their paper...

QuantLib_GarmanKohlagenProcess(3)

Garman-Kohlhagen (1983) stochastic process. This class describes the stochastic process $ S $ for an exchange rate given by [ dln S(t) = (r(t) - r_f(t) -...

Garman-Kohlhagen (1983) stochastic process. This class describes the stochastic process $ S $ for an exchange rate given by [ dln S(t) = (r(t) - r_f(t) -...

QuantLib_GaussChebyshev2ndIntegration(3)

Gauss-Chebyshev integration (second kind) This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting...

Gauss-Chebyshev integration (second kind) This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting...

QuantLib_GaussChebyshevIntegration(3)

Gauss-Chebyshev integration. This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [...

Gauss-Chebyshev integration. This class performs a 1-dimensional Gauss-Chebyshev integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [...

QuantLib_GaussGegenbauerIntegration(3)

Gauss-Gegenbauer integration. This class performs a 1-dimensional Gauss-Gegenbauer integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [...

Gauss-Gegenbauer integration. This class performs a 1-dimensional Gauss-Gegenbauer integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [...

QuantLib_GaussHermiteIntegration(3)

generalized Gauss-Hermite integration This class performs a 1-dimensional Gauss-Hermite integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function...

generalized Gauss-Hermite integration This class performs a 1-dimensional Gauss-Hermite integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function...

QuantLib_GaussHyperbolicIntegration(3)

Gauss-Hyperbolic integration. This class performs a 1-dimensional Gauss-Hyperbolic integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [...

Gauss-Hyperbolic integration. This class performs a 1-dimensional Gauss-Hyperbolic integration. [ int_{-inf}^{inf} f(x) mathrm{d}x ] The weighting function is [...

QuantLib_Gaussian1dFloatFloatSwaptionEngine(3)

One factor model float float swaption engine. All float coupons with fixing date greater or equal the respective option expiry are considered part of the...

One factor model float float swaption engine. All float coupons with fixing date greater or equal the respective option expiry are considered part of the...

QuantLib_Gaussian1dModel(3)

One factor interest rate model interface class The only methods that must be implemented by subclasses are the numeraire and zerobond methods for an input array...

One factor interest rate model interface class The only methods that must be implemented by subclasses are the numeraire and zerobond methods for an input array...

QuantLib_Gaussian1dNonstandardSwaptionEngine(3)

One factor model non standard swaption engine. All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of...

One factor model non standard swaption engine. All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of...

QuantLib_Gaussian1dSmileSection(3)

smile section based on a gaussian 1d model instance if curves are attached to the swap or ibor index, these are used to adjust the model's yield term structure...

smile section based on a gaussian 1d model instance if curves are attached to the swap or ibor index, these are used to adjust the model's yield term structure...

QuantLib_Gaussian1dSwaptionEngine(3)

One factor model swaption engine. All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of the exercise...

One factor model swaption engine. All fixed coupons with start date greater or equal to the respective option expiry are considered to be part of the exercise...

QuantLib_GaussianCopulaPolicy(3)

Gaussian Latent Model's copula policy. Its simplicity is a result of the convolution stability of the Gaussian distribution.

Gaussian Latent Model's copula policy. Its simplicity is a result of the convolution stability of the Gaussian distribution.

QuantLib_GaussianLHPLossModel(3)

Portfolio loss model with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example 'The Normal Inverse...

Portfolio loss model with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example 'The Normal Inverse...

QuantLib_GaussianOrthogonalPolynomial(3)

orthogonal polynomial for Gaussian quadratures References: Gauss quadratures and orthogonal polynomials G.H. Gloub and J.H. Welsch: Calculation of Gauss...

orthogonal polynomial for Gaussian quadratures References: Gauss quadratures and orthogonal polynomials G.H. Gloub and J.H. Welsch: Calculation of Gauss...

QuantLib_GaussianQuadMultidimIntegrator(3)

Integrates a vector or scalar function of vector domain. A template recursion along dimensions avoids calling depth test or virtual functions.

Integrates a vector or scalar function of vector domain. A template recursion along dimensions avoids calling depth test or virtual functions.

QuantLib_GaussianQuadrature(3)

Integral of a 1-dimensional function using the Gauss quadratures method. References: Gauss quadratures and orthogonal polynomials G.H. Gloub and J.H. Welsch...

Integral of a 1-dimensional function using the Gauss quadratures method. References: Gauss quadratures and orthogonal polynomials G.H. Gloub and J.H. Welsch...

QuantLib_GaussJacobiIntegration(3)

Gauss-Jacobi integration. This class performs a 1-dimensional Gauss-Jacobi integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [...

Gauss-Jacobi integration. This class performs a 1-dimensional Gauss-Jacobi integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [...

QuantLib_GaussKronrodAdaptive(3)

Integral of a 1-dimensional function using the Gauss-Kronrod methods. This class provide an adaptive integration procedure using 15 points Gauss-Kronrod...

Integral of a 1-dimensional function using the Gauss-Kronrod methods. This class provide an adaptive integration procedure using 15 points Gauss-Kronrod...

QuantLib_GaussKronrodNonAdaptive(3)

Integral of a 1-dimensional function using the Gauss-Kronrod methods. This class provide a non-adaptive integration procedure which uses fixed Gauss-Kronrod...

Integral of a 1-dimensional function using the Gauss-Kronrod methods. This class provide a non-adaptive integration procedure which uses fixed Gauss-Kronrod...

QuantLib_GaussLaguerreIntegration(3)

generalized Gauss-Laguerre integration This class performs a 1-dimensional Gauss-Laguerre integration. [ int_{0}^{inf} f(x) mathrm{d}x ] The weighting function...

generalized Gauss-Laguerre integration This class performs a 1-dimensional Gauss-Laguerre integration. [ int_{0}^{inf} f(x) mathrm{d}x ] The weighting function...

QuantLib_GaussLegendreIntegration(3)

Gauss-Legendre integration. This class performs a 1-dimensional Gauss-Legendre integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=1...

Gauss-Legendre integration. This class performs a 1-dimensional Gauss-Legendre integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=1...

QuantLib_GaussLobattoIntegral(3)

Integral of a one-dimensional function. Given a target accuracy $ \psilon $, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of...

Integral of a one-dimensional function. Given a target accuracy $ \psilon $, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of...

QuantLib_GBPCurrency(3)

British pound sterling. The ISO three-letter code is GBP; the numeric code is 826. It is divided into 100 pence.

British pound sterling. The ISO three-letter code is GBP; the numeric code is 826. It is divided into 100 pence.

QuantLib_GBPLibor(3)

GBP LIBOR rate Pound Sterling LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor….

GBP LIBOR rate Pound Sterling LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor….

QuantLib_GbpLiborSwapIsdaFix(3)

GbpLiborSwapIsdaFix index base class GBP Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Semiannual...

GbpLiborSwapIsdaFix index base class GBP Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Semiannual...

QuantLib_GemanRoncoroniProcess(3)

Geman-Roncoroni process class. This class describes the Geman-Roncoroni process governed by [ begin{array}{rcl} dE(t) &=& left[ ac{partial}{partial t} mu(t) +...

Geman-Roncoroni process class. This class describes the Geman-Roncoroni process governed by [ begin{array}{rcl} dE(t) &=& left[ ac{partial}{partial t} mu(t) +...

QuantLib_GeneralizedBlackScholesProcess(3)

Generalized Black-Scholes stochastic process. This class describes the stochastic process $ S $ governed by [ dln S(t) = (r(t) - q(t) - ac{sigma(t, S)^2}{2}) dt...

Generalized Black-Scholes stochastic process. This class describes the stochastic process $ S $ governed by [ dln S(t) = (r(t) - q(t) - ac{sigma(t, S)^2}{2}) dt...

QuantLib_GeneralizedHullWhite(3)

Generalized Hull-White model class. This class implements the standard Black-Karasinski model defined by [ d f(r_t) = ( heta(t) - alpha f(r_t))dt + sigma dW_t...

Generalized Hull-White model class. This class implements the standard Black-Karasinski model defined by [ d f(r_t) = ( heta(t) - alpha f(r_t))dt + sigma dW_t...

QuantLib_GeneralizedHullWhite_Dynamics(3)

Short-rate dynamics in the generalized Hull-White model. The short-rate is here f(r_t) = x_t + g(t) where g is the deterministic time-dependent parameter (which...

Short-rate dynamics in the generalized Hull-White model. The short-rate is here f(r_t) = x_t + g(t) where g is the deterministic time-dependent parameter (which...

QuantLib_GeneralizedHullWhite_FittingParameter(3)

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}[ac{sigma(1-e^{-at})}{a}]^2, ]...

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}[ac{sigma(1-e^{-at})}{a}]^2, ]...

QuantLib_GeneralizedOrnsteinUhlenbeckProcess(3)

Piecewise linear Ornstein-Uhlenbeck process class. This class describes the Ornstein-Uhlenbeck process governed by [ dx = a (level - x_t) dt + sigma dW_t ]...

Piecewise linear Ornstein-Uhlenbeck process class. This class describes the Ornstein-Uhlenbeck process governed by [ dx = a (level - x_t) dt + sigma dW_t ]...

QuantLib_GeneralLinearLeastSquares(3)

general linear least squares regression References: 'Numerical Recipes in C', 2nd edition, Press, Teukolsky, Vetterling, Flannery, Tests

general linear least squares regression References: 'Numerical Recipes in C', 2nd edition, Press, Teukolsky, Vetterling, Flannery, Tests

QuantLib_GeneralStatistics(3)

Statistics tool. This class accumulates a set of data and returns their statistics (e.g: mean, variance, skewness, kurtosis, error estimation, percentile, etc.)...

Statistics tool. This class accumulates a set of data and returns their statistics (e.g: mean, variance, skewness, kurtosis, error estimation, percentile, etc.)...

QuantLib_GenericEngine(3)

template<class ArgumentsType, class ResultsType> class QuantLib::GenericEngine< ArgumentsType, ResultsType >" template base class for option pricing engines...

template<class ArgumentsType, class ResultsType> class QuantLib::GenericEngine< ArgumentsType, ResultsType >" template base class for option pricing engines...

QuantLib_GenericGaussianStatistics(3)

template<class Stat> class QuantLib::GenericGaussianStatistics< Stat >" Statistics tool for gaussian-assumption risk measures. This class wraps a somewhat...

template<class Stat> class QuantLib::GenericGaussianStatistics< Stat >" Statistics tool for gaussian-assumption risk measures. This class wraps a somewhat...

QuantLib_GenericModelEngine(3)

template<class ModelType, class ArgumentsType, class ResultsType> class QuantLib::GenericModelEngine< ModelType, ArgumentsType, ResultsType >" Base class for...

template<class ModelType, class ArgumentsType, class ResultsType> class QuantLib::GenericModelEngine< ModelType, ArgumentsType, ResultsType >" Base class for...

QuantLib_GenericRiskStatistics(3)

template<class S> class QuantLib::GenericRiskStatistics< S >" empirical-distribution risk measures This class wraps a somewhat generic statistic tool and adds a...

template<class S> class QuantLib::GenericRiskStatistics< S >" empirical-distribution risk measures This class wraps a somewhat generic statistic tool and adds a...

QuantLib_GenericSequenceStatistics(3)

template<class StatisticsType> class QuantLib::GenericSequenceStatistics< StatisticsType >" Statistics analysis of N-dimensional (sequence) data. It provides...

template<class StatisticsType> class QuantLib::GenericSequenceStatistics< StatisticsType >" Statistics analysis of N-dimensional (sequence) data. It provides...

QuantLib_GeometricBrownianMotionProcess(3)

Geometric brownian-motion process. This class describes the stochastic process governed by [ dS(t, S)= mu S dt + sigma S dW_t. ]

Geometric brownian-motion process. This class describes the stochastic process governed by [ dS(t, S)= mu S dt + sigma S dW_t. ]

QuantLib_GJRGARCHModel(3)

GJR-GARCH model for the stochastic volatility of an asset. References: Glosten, L., Jagannathan, R., Runkle, D., 1993. Relationship between the expected value...

GJR-GARCH model for the stochastic volatility of an asset. References: Glosten, L., Jagannathan, R., Runkle, D., 1993. Relationship between the expected value...

QuantLib_GJRGARCHProcess(3)

Stochastic-volatility GJR-GARCH(1,1) process. This class describes the stochastic volatility process governed by [ begin{array}{rcl} dS(t, S) &=& mu S dt +...

Stochastic-volatility GJR-GARCH(1,1) process. This class describes the stochastic volatility process governed by [ begin{array}{rcl} dS(t, S) &=& mu S dt +...

QuantLib_GRDCurrency(3)

Greek drachma. The ISO three-letter code was GRD; the numeric code was 300. It was divided in 100 lepta. Obsoleted by the Euro since 2001.

Greek drachma. The ISO three-letter code was GRD; the numeric code was 300. It was divided in 100 lepta. Obsoleted by the Euro since 2001.

QuantLib_HaganPricer(3)

CMS-coupon pricer. Base class for the pricing of a CMS coupon via static replication as in Hagan's 'Conundrums...' article

CMS-coupon pricer. Base class for the pricing of a CMS coupon via static replication as in Hagan's 'Conundrums...' article

QuantLib_HaltonRsg(3)

Halton low-discrepancy sequence generator. Halton algorithm for low-discrepancy sequence. For more details see chapter 8, paragraph 2 of 'Monte Carlo Methods in...

Halton low-discrepancy sequence generator. Halton algorithm for low-discrepancy sequence. For more details see chapter 8, paragraph 2 of 'Monte Carlo Methods in...

QuantLib_Handle(3)

template<class T> class QuantLib::Handle< T >" Shared handle to an observable. All copies of an instance of this class refer to the same observable by means of...

template<class T> class QuantLib::Handle< T >" Shared handle to an observable. All copies of an instance of this class refer to the same observable by means of...

QuantLib_HazardRateStructure(3)

Hazard-rate term structure. This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the...

Hazard-rate term structure. This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the...

QuantLib_HestonExpansion(3)

Interface to represent some Heston expansion formula. During calibration, it would typically be initialized once per implied volatility surface slice, then...

Interface to represent some Heston expansion formula. During calibration, it would typically be initialized once per implied volatility surface slice, then...

QuantLib_HestonExpansionEngine(3)

Heston-model engine for European options based on analytic expansions. References: M Forde, A Jacquier, R Lee, The small-time smile and term structure of...

Heston-model engine for European options based on analytic expansions. References: M Forde, A Jacquier, R Lee, The small-time smile and term structure of...

QuantLib_HestonModel(3)

Heston model for the stochastic volatility of an asset. References: Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with...

Heston model for the stochastic volatility of an asset. References: Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with...

QuantLib_HestonProcess(3)

Square-root stochastic-volatility Heston process. This class describes the square root stochastic volatility process governed by [ begin{array}{rcl} dS(t, S)...

Square-root stochastic-volatility Heston process. This class describes the square root stochastic volatility process governed by [ begin{array}{rcl} dS(t, S)...

QuantLib_HestonRNDCalculator(3)

Risk neutral terminal probability density for the Heston model. References: The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability...

Risk neutral terminal probability density for the Heston model. References: The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability...

QuantLib_HestonSLVMCModel(3)

References: Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013, The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo...

References: Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013, The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo...

QuantLib_HimalayaOption(3)

Himalaya option. The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at the end of each period the...

Himalaya option. The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at the end of each period the...

QuantLib_Histogram(3)

Histogram class. This class computes the histogram of a given data set. The caller can specify the number of bins, the breaks, or the algorithm for determining...

Histogram class. This class computes the histogram of a given data set. The caller can specify the number of bins, the breaks, or the algorithm for determining...

QuantLib_HistoricalForwardRatesAnalysisImpl(3)

template<class Traits, class Interpolator> class QuantLib::HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >" Historical correlation class

template<class Traits, class Interpolator> class QuantLib::HistoricalForwardRatesAnalysisImpl< Traits, Interpolator >" Historical correlation class

QuantLib_HKDCurrency(3)

Hong Kong dollar. The ISO three-letter code is HKD; the numeric code is 344. It is divided in 100 cents.

Hong Kong dollar. The ISO three-letter code is HKD; the numeric code is 344. It is divided in 100 cents.

QuantLib_HomogeneousPoolLossModel(3)

template<class copulaPolicy> class QuantLib::HomogeneousPoolLossModel< copulaPolicy >" Default loss distribution convolution for finite homogeneous pool.

template<class copulaPolicy> class QuantLib::HomogeneousPoolLossModel< copulaPolicy >" Default loss distribution convolution for finite homogeneous pool.

QuantLib_HUFCurrency(3)

Hungarian forint. The ISO three-letter code is HUF; the numeric code is 348. It has no subdivisions.

Hungarian forint. The ISO three-letter code is HUF; the numeric code is 348. It has no subdivisions.

QuantLib_HullWhite(3)

Single-factor Hull-White (extended Vasicek) model class. This class implements the standard single-factor Hull-White model defined by [ dr_t = ( heta(t) - alpha...

Single-factor Hull-White (extended Vasicek) model class. This class implements the standard single-factor Hull-White model defined by [ dr_t = ( heta(t) - alpha...

QuantLib_HullWhite_Dynamics(3)

Short-rate dynamics in the Hull-White model. The short-rate is here [ r_t = varphi(t) + x_t ] where $ varphi(t) $ is the deterministic time-dependent parameter...

Short-rate dynamics in the Hull-White model. The short-rate is here [ r_t = varphi(t) + x_t ] where $ varphi(t) $ is the deterministic time-dependent parameter...

QuantLib_HullWhite_FittingParameter(3)

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}[ac{sigma(1-e^{-at})}{a}]^2, ]...

Analytical term-structure fitting parameter $ varphi(t) $. $ varphi(t) $ is analytically defined by [ varphi(t) = f(t) + ac{1}{2}[ac{sigma(1-e^{-at})}{a}]^2, ]...

QuantLib_HybridHestonHullWhiteProcess(3)

Hybrid Heston Hull-White stochastic process. This class implements a three factor Heston Hull-White model Bug

Hybrid Heston Hull-White stochastic process. This class implements a three factor Heston Hull-White model Bug

QuantLib_HybridSimulatedAnnealing(3)

template<class Sampler, class Probability, class Temperature, class Reannealing = ReannealingTrivial> class QuantLib::HybridSimulatedAnnealing< Sampler...

template<class Sampler, class Probability, class Temperature, class Reannealing = ReannealingTrivial> class QuantLib::HybridSimulatedAnnealing< Sampler...

QuantLib_IDRCurrency(3)

Indonesian Rupiah. The ISO three-letter code is IDR; the numeric code is 360. It is divided in 100 sen.

Indonesian Rupiah. The ISO three-letter code is IDR; the numeric code is 360. It is divided in 100 sen.

QuantLib_IEPCurrency(3)

Irish punt. The ISO three-letter code was IEP; the numeric code was 372. It was divided in 100 pence. Obsoleted by the Euro since 1999.

Irish punt. The ISO three-letter code was IEP; the numeric code was 372. It was divided in 100 pence. Obsoleted by the Euro since 1999.

QuantLib_ILSCurrency(3)

Israeli shekel. The ISO three-letter code is ILS; the numeric code is 376. It is divided in 100 agorot.

Israeli shekel. The ISO three-letter code is ILS; the numeric code is 376. It is divided in 100 agorot.

QuantLib_ImplicitEuler(3)

template<class Operator> class QuantLib::ImplicitEuler< Operator >" Backward Euler scheme for finite difference methods. In this implementation, the passed...

template<class Operator> class QuantLib::ImplicitEuler< Operator >" Backward Euler scheme for finite difference methods. In this implementation, the passed...

QuantLib_ImpliedTermStructure(3)

Implied term structure at a given date in the future. The given date will be the implied reference date.

Implied term structure at a given date in the future. The given date will be the implied reference date.

QuantLib_ImpliedVolTermStructure(3)

Implied vol term structure at a given date in the future. The given date will be the implied reference date.

Implied vol term structure at a given date in the future. The given date will be the implied reference date.

QuantLib_IncrementalStatistics(3)

Statistics tool based on incremental accumulation. It can accumulate a set of data and return statistics (e.g: mean, variance, skewness, kurtosis, error...

Statistics tool based on incremental accumulation. It can accumulate a set of data and return statistics (e.g: mean, variance, skewness, kurtosis, error...

QuantLib_IndexedCashFlow(3)

Cash flow dependent on an index ratio. This cash flow is not a coupon, i.e., there's no accrual. The amount is either i(T)/i(0) or i(T)/i(0) - 1, depending on...

Cash flow dependent on an index ratio. This cash flow is not a coupon, i.e., there's no accrual. The amount is either i(T)/i(0) or i(T)/i(0) - 1, depending on...

QuantLib_InflationCoupon(3)

Base inflation-coupon class. The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no...

Base inflation-coupon class. The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no...

QuantLib_InflationCouponPricer(3)

Base inflation-coupon pricer. The main reason we can't use FloatingRateCouponPricer as the base is that it takes a FloatingRateCoupon which takes an...

Base inflation-coupon pricer. The main reason we can't use FloatingRateCouponPricer as the base is that it takes a FloatingRateCoupon which takes an...

QuantLib_InhomogeneousPoolLossModel(3)

template<class copulaPolicy> class QuantLib::InhomogeneousPoolLossModel< copulaPolicy >" Default loss distribution convolution for finite non homogeneous pool.

template<class copulaPolicy> class QuantLib::InhomogeneousPoolLossModel< copulaPolicy >" Default loss distribution convolution for finite non homogeneous pool.

QuantLib_INRCurrency(3)

Indian rupee. The ISO three-letter code is INR; the numeric code is 356. It is divided in 100 paise.

Indian rupee. The ISO three-letter code is INR; the numeric code is 356. It is divided in 100 paise.

QuantLib_Instrument(3)

Abstract instrument class. This class is purely abstract and defines the interface of concrete instruments which will be derived from this one. Tests

Abstract instrument class. This class is purely abstract and defines the interface of concrete instruments which will be derived from this one. Tests

QuantLib_IntegralEngine(3)

Pricing engine for European vanilla options using integral approach. Examples: EquityOption.cpp.

Pricing engine for European vanilla options using integral approach. Examples: EquityOption.cpp.

QuantLib_IntegralHestonVarianceOptionEngine(3)

integral Heston-model variance-option engine This engine implements the approach described in http://www.econ.univpm.it/recchioni/fin….

integral Heston-model variance-option engine This engine implements the approach described in http://www.econ.univpm.it/recchioni/fin….

QuantLib_InterestRate(3)

Concrete interest rate class. This class encapsulate the interest rate compounding algebra. It manages day-counting conventions, compounding conventions...

Concrete interest rate class. This class encapsulate the interest rate compounding algebra. It manages day-counting conventions, compounding conventions...

QuantLib_InterestRateVolSurface(3)

Interest rate volatility (smile) surface. This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived...

Interest rate volatility (smile) surface. This abstract class defines the interface of concrete Interest rate volatility (smile) surfaces which will be derived...

QuantLib_InterpolatedCurve(3)

template<class Interpolator> class QuantLib::InterpolatedCurve< Interpolator >" Helper class to build interpolated term structures. Interpolated term structures...

template<class Interpolator> class QuantLib::InterpolatedCurve< Interpolator >" Helper class to build interpolated term structures. Interpolated term structures...

QuantLib_InterpolatedDefaultDensityCurve(3)

template<class Interpolator> class QuantLib::InterpolatedDefaultDensityCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of default...

template<class Interpolator> class QuantLib::InterpolatedDefaultDensityCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of default...

QuantLib_InterpolatedDiscountCurve(3)

template<class Interpolator> class QuantLib::InterpolatedDiscountCurve< Interpolator >" YieldTermStructure based on interpolation of discount factors.

template<class Interpolator> class QuantLib::InterpolatedDiscountCurve< Interpolator >" YieldTermStructure based on interpolation of discount factors.

QuantLib_InterpolatedForwardCurve(3)

template<class Interpolator> class QuantLib::InterpolatedForwardCurve< Interpolator >" YieldTermStructure based on interpolation of forward rates.

template<class Interpolator> class QuantLib::InterpolatedForwardCurve< Interpolator >" YieldTermStructure based on interpolation of forward rates.

QuantLib_InterpolatedHazardRateCurve(3)

template<class Interpolator> class QuantLib::InterpolatedHazardRateCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of hazard...

template<class Interpolator> class QuantLib::InterpolatedHazardRateCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of hazard...

QuantLib_InterpolatedPiecewiseZeroSpreadedTermStructure(3)

template<class Interpolator> class QuantLib::InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >" Yield curve with an added vector of spreads on the...

template<class Interpolator> class QuantLib::InterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator >" Yield curve with an added vector of spreads on the...

QuantLib_InterpolatedSurvivalProbabilityCurve(3)

template<class Interpolator> class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of...

template<class Interpolator> class QuantLib::InterpolatedSurvivalProbabilityCurve< Interpolator >" DefaultProbabilityTermStructure based on interpolation of...

QuantLib_InterpolatedYoYInflationCurve(3)

template<class Interpolator> class QuantLib::InterpolatedYoYInflationCurve< Interpolator >" Inflation term structure based on interpolated year-on-year rates.

template<class Interpolator> class QuantLib::InterpolatedYoYInflationCurve< Interpolator >" Inflation term structure based on interpolated year-on-year rates.

QuantLib_InterpolatedYoYOptionletStripper(3)

template<class Interpolator1D> class QuantLib::InterpolatedYoYOptionletStripper< Interpolator1D >" The interpolated version interpolates along each K (as...

template<class Interpolator1D> class QuantLib::InterpolatedYoYOptionletStripper< Interpolator1D >" The interpolated version interpolates along each K (as...

QuantLib_InterpolatedYoYOptionletVolatilityCurve(3)

template<class Interpolator1D> class QuantLib::InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >" Interpolated flat smile surface. Interpolated in T...

template<class Interpolator1D> class QuantLib::InterpolatedYoYOptionletVolatilityCurve< Interpolator1D >" Interpolated flat smile surface. Interpolated in T...

QuantLib_InterpolatedZeroCurve(3)

template<class Interpolator> class QuantLib::InterpolatedZeroCurve< Interpolator >" YieldTermStructure based on interpolation of zero rates.

template<class Interpolator> class QuantLib::InterpolatedZeroCurve< Interpolator >" YieldTermStructure based on interpolation of zero rates.

QuantLib_InterpolatedZeroInflationCurve(3)

template<class Interpolator> class QuantLib::InterpolatedZeroInflationCurve< Interpolator >" Inflation term structure based on the interpolation of zero rates.

template<class Interpolator> class QuantLib::InterpolatedZeroInflationCurve< Interpolator >" Inflation term structure based on the interpolation of zero rates.

QuantLib_InterpolatingCPICapFloorEngine(3)

This engine only adds timing functionality (e.g. different lag) w.r.t. an existing interpolated price surface.

This engine only adds timing functionality (e.g. different lag) w.r.t. an existing interpolated price surface.

QuantLib_Interpolation(3)

base class for 1-D interpolations. Classes derived from this class will provide interpolated values from two sequences of equal length, representing discretized...

base class for 1-D interpolations. Classes derived from this class will provide interpolated values from two sequences of equal length, representing discretized...

QuantLib_Interpolation2D(3)

base class for 2-D interpolations. Classes derived from this class will provide interpolated values from two sequences of length $ N $ and $ M $, representing...

base class for 2-D interpolations. Classes derived from this class will provide interpolated values from two sequences of length $ N $ and $ M $, representing...

QuantLib_Interpolation2D_templateImpl(3)

template<class I1, class I2, class M> class QuantLib::Interpolation2D::templateImpl< I1, I2, M >" basic template implementation

template<class I1, class I2, class M> class QuantLib::Interpolation2D::templateImpl< I1, I2, M >" basic template implementation

QuantLib_Interpolation_templateImpl(3)

template<class I1, class I2> class QuantLib::Interpolation::templateImpl< I1, I2 >" basic template implementation

template<class I1, class I2> class QuantLib::Interpolation::templateImpl< I1, I2 >" basic template implementation

QuantLib_InverseCumulativeBehrensFisher(3)

Inverse of the cumulative of the convolution of odd-T distributions. Finds the inverse through a root solver. To find limits for the solver domain use is made...

Inverse of the cumulative of the convolution of odd-T distributions. Finds the inverse through a root solver. To find limits for the solver domain use is made...

QuantLib_InverseCumulativeNormal(3)

Inverse cumulative normal distribution function. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the...

Inverse cumulative normal distribution function. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the...

QuantLib_InverseCumulativeRng(3)

template<class RNG, class IC> class QuantLib::InverseCumulativeRng< RNG, IC >" Inverse cumulative random number generator. It uses a uniform deviate in (0, 1)...

template<class RNG, class IC> class QuantLib::InverseCumulativeRng< RNG, IC >" Inverse cumulative random number generator. It uses a uniform deviate in (0, 1)...

QuantLib_InverseCumulativeRsg(3)

template<class USG, class IC> class QuantLib::InverseCumulativeRsg< USG, IC >" Inverse cumulative random sequence generator. It uses a sequence of uniform...

template<class USG, class IC> class QuantLib::InverseCumulativeRsg< USG, IC >" Inverse cumulative random sequence generator. It uses a sequence of uniform...

QuantLib_IQDCurrency(3)

Iraqi dinar. The ISO three-letter code is IQD; the numeric code is 368. It is divided in 1000 fils.

Iraqi dinar. The ISO three-letter code is IQD; the numeric code is 368. It is divided in 1000 fils.

QuantLib_IRRCurrency(3)

Iranian rial. The ISO three-letter code is IRR; the numeric code is 364. It has no subdivisions.

Iranian rial. The ISO three-letter code is IRR; the numeric code is 364. It has no subdivisions.

QuantLib_ISKCurrency(3)

Icelandic krona. The ISO three-letter code is ISK; the numeric code is 352. It is divided in 100 aurar.

Icelandic krona. The ISO three-letter code is ISK; the numeric code is 352. It is divided in 100 aurar.

QuantLib_IsotropicRandomWalk(3)

template<class Distribution, class Engine> class QuantLib::IsotropicRandomWalk< Distribution, Engine >" Isotropic random walk. A variate is used to draw from a...

template<class Distribution, class Engine> class QuantLib::IsotropicRandomWalk< Distribution, Engine >" Isotropic random walk. A variate is used to draw from a...

QuantLib_Israel(3)

Israel calendar. Due to the lack of reliable sources, the settlement calendar has the same holidays as the Tel Aviv stock-exchange.

Israel calendar. Due to the lack of reliable sources, the settlement calendar has the same holidays as the Tel Aviv stock-exchange.

QuantLib_IterativeBootstrap(3)

template<class Curve> class QuantLib::IterativeBootstrap< Curve >" Universal piecewise-term-structure boostrapper.

template<class Curve> class QuantLib::IterativeBootstrap< Curve >" Universal piecewise-term-structure boostrapper.

QuantLib_ITLCurrency(3)

Italian lira. The ISO three-letter code was ITL; the numeric code was 380. It had no subdivisions. Obsoleted by the Euro since 1999.

Italian lira. The ISO three-letter code was ITL; the numeric code was 380. It had no subdivisions. Obsoleted by the Euro since 1999.

QuantLib_JointCalendar(3)

Joint calendar. Depending on the chosen rule, this calendar has a set of business days given by either the union or the intersection of the sets of business...

Joint calendar. Depending on the chosen rule, this calendar has a set of business days given by either the union or the intersection of the sets of business...

QuantLib_JPYCurrency(3)

Japanese yen. The ISO three-letter code is JPY; the numeric code is 392. It is divided into 100 sen.

Japanese yen. The ISO three-letter code is JPY; the numeric code is 392. It is divided into 100 sen.

QuantLib_JPYLibor(3)

JPY LIBOR rate Japanese Yen LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Warning

JPY LIBOR rate Japanese Yen LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Warning

QuantLib_JpyLiborSwapIsdaFixAm(3)

JpyLiborSwapIsdaFixAm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am Tokyo. Semiannual...

JpyLiborSwapIsdaFixAm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am Tokyo. Semiannual...

QuantLib_JpyLiborSwapIsdaFixPm(3)

JpyLiborSwapIsdaFixPm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm Tokyo. Semiannual...

JpyLiborSwapIsdaFixPm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm Tokyo. Semiannual...

QuantLib_JuQuadraticApproximationEngine(3)

Pricing engine for American options with Ju quadratic approximation. Reference: An Approximate Formula for Pricing American Options, Journal of Derivatives...

Pricing engine for American options with Ju quadratic approximation. Reference: An Approximate Formula for Pricing American Options, Journal of Derivatives...

QuantLib_KernelFunction(3)

Kernel function in the statistical sense, e.g. a nonnegative, real-valued function which integrates to one and is symmetric. Derived classes will serve as...

Kernel function in the statistical sense, e.g. a nonnegative, real-valued function which integrates to one and is symmetric. Derived classes will serve as...

QuantLib_KernelInterpolation(3)

Kernel interpolation between discrete points. Implementation of the kernel interpolation approach, which can be found in 'Foreign Exchange Risk' by Hakala...

Kernel interpolation between discrete points. Implementation of the kernel interpolation approach, which can be found in 'Foreign Exchange Risk' by Hakala...

QuantLib_KernelInterpolation2D(3)

Implementation of the 2D kernel interpolation approach, which can be found in 'Foreign Exchange Risk' by Hakala, Wystup page 256. The kernel in the...

Implementation of the 2D kernel interpolation approach, which can be found in 'Foreign Exchange Risk' by Hakala, Wystup page 256. The kernel in the...

QuantLib_KInterpolatedYoYOptionletVolatilitySurface(3)

template<class Interpolator1D> class QuantLib::KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >" K-interpolated YoY optionlet volatility. The...

template<class Interpolator1D> class QuantLib::KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >" K-interpolated YoY optionlet volatility. The...

QuantLib_KirkEngine(3)

Pricing engine for spread option on two futures. This class implements formulae from 'Correlation in the Energy Markets', E. Kirk Managing Energy Price Risk...

Pricing engine for spread option on two futures. This class implements formulae from 'Correlation in the Energy Markets', E. Kirk Managing Energy Price Risk...

QuantLib_KlugeExtOUProcess(3)

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by [ begin{array}{rcl} P_t &=& \xp(p_t + X_t + Y_t) \ dX_t &=& -alpha...

This class describes a correlated Kluge - extended Ornstein-Uhlenbeck process governed by [ begin{array}{rcl} P_t &=& \xp(p_t + X_t + Y_t) \ dX_t &=& -alpha...

QuantLib_KnuthUniformRng(3)

Uniform random number generator. Random number generator by Knuth. For more details see Knuth, Seminumerical Algorithms, 3rd edition, Section 3.6.

Uniform random number generator. Random number generator by Knuth. For more details see Knuth, Seminumerical Algorithms, 3rd edition, Section 3.6.

QuantLib_KRWCurrency(3)

South-Korean won. The ISO three-letter code is KRW; the numeric code is 410. It is divided in 100 chon.

South-Korean won. The ISO three-letter code is KRW; the numeric code is 410. It is divided in 100 chon.

QuantLib_KWDCurrency(3)

Kuwaiti dinar. The ISO three-letter code is KWD; the numeric code is 414. It is divided in 1000 fils.

Kuwaiti dinar. The ISO three-letter code is KWD; the numeric code is 414. It is divided in 1000 fils.

QuantLib_LatentModel(3)

template<class copulaPolicyImpl> class QuantLib::LatentModel< copulaPolicyImpl >" Generic multifactor latent variable model.

template<class copulaPolicyImpl> class QuantLib::LatentModel< copulaPolicyImpl >" Generic multifactor latent variable model.

QuantLib_LatentModel_FactorSampler(3)

template<class copulaPolicyImpl> template<class USNG, bool = true> class QuantLib::LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >" Allows...

template<class copulaPolicyImpl> template<class USNG, bool = true> class QuantLib::LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >" Allows...

QuantLib_LatticeShortRateModelEngine(3)

template<class Arguments, class Results> class QuantLib::LatticeShortRateModelEngine< Arguments, Results >" Engine for a short-rate model specialized on a...

template<class Arguments, class Results> class QuantLib::LatticeShortRateModelEngine< Arguments, Results >" Engine for a short-rate model specialized on a...

QuantLib_LeastSquareFunction(3)

Cost function for least-square problems. Implements a cost function using the interface provided by the LeastSquareProblem class.

Cost function for least-square problems. Implements a cost function using the interface provided by the LeastSquareProblem class.

QuantLib_LecuyerUniformRng(3)

Uniform random number generator. Random number generator of L'Ecuyer with added Bays-Durham shuffle (know as ran2 in Numerical recipes) For more details see...

Uniform random number generator. Random number generator of L'Ecuyer with added Bays-Durham shuffle (know as ran2 in Numerical recipes) For more details see...

QuantLib_LevenbergMarquardt(3)

Levenberg-Marquardt optimization method. This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz) It has...

Levenberg-Marquardt optimization method. This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz) It has...

QuantLib_LexicographicalView(3)

template<class RandomAccessIterator> class QuantLib::LexicographicalView< RandomAccessIterator >" Lexicographical 2-D view of a contiguous set of data. This...

template<class RandomAccessIterator> class QuantLib::LexicographicalView< RandomAccessIterator >" Lexicographical 2-D view of a contiguous set of data. This...

QuantLib_LfmCovarianceParameterization(3)

Libor market model parameterization Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and...

Libor market model parameterization Brigo, Damiano, Mercurio, Fabio, Morini, Massimo, 2003, Different Covariance Parameterizations of the Libor Market Model and...

QuantLib_LfmHullWhiteParameterization(3)

Libor market model parameterization based on Hull White paper Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the...

Libor market model parameterization based on Hull White paper Hull, John, White, Alan, 1999, Forward Rate Volatilities, Swap Rate Volatilities and the...

QuantLib_Libor(3)

base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor….

base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor….

QuantLib_LiborForwardModel(3)

Libor forward model References: Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/pap…) Damiano Brigo...

Libor forward model References: Stefan Weber, 2005, Efficient Calibration for Libor Market Models, (http://workshop.mathfinance.de/2005/pap…) Damiano Brigo...

QuantLib_LiborForwardModelProcess(3)

libor-forward-model process stochastic process of a libor forward model using the rolling forward measure incl. predictor-corrector step References: Glasserman...

libor-forward-model process stochastic process of a libor forward model using the rolling forward measure incl. predictor-corrector step References: Glasserman...

QuantLib_LinearTsrPricer(3)

CMS-coupon pricer. Prices a cms coupon using a linear terminal swap rate model The slope parameter is linked to a gaussian short rate model. Reference...

CMS-coupon pricer. Prices a cms coupon using a linear terminal swap rate model The slope parameter is linked to a gaussian short rate model. Reference...

QuantLib_LmExponentialCorrelationModel(3)

exponential correlation model This class describes a exponential correlation model [ rho_{i,j}=e^{(-beta i-j)} ].PP References: Damiano Brigo, Fabio Mercurio...

exponential correlation model This class describes a exponential correlation model [ rho_{i,j}=e^{(-beta i-j)} ].PP References: Damiano Brigo, Fabio Mercurio...

QuantLib_LmExtLinearExponentialVolModel(3)

extended linear exponential volatility model This class describes an extended linear-exponential volatility model [...

extended linear exponential volatility model This class describes an extended linear-exponential volatility model [...

QuantLib_LmLinearExponentialCorrelationModel(3)

linear exponential correlation model This class describes a exponential correlation model [ rho_{i,j}=rho + (1-rho)*e^{(-beta i-j)} ].PP References: Damiano...

linear exponential correlation model This class describes a exponential correlation model [ rho_{i,j}=rho + (1-rho)*e^{(-beta i-j)} ].PP References: Damiano...

QuantLib_LmLinearExponentialVolatilityModel(3)

linear exponential volatility model This class describes a linear-exponential volatility model [ sigma_i(t)=(a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c ].PP References...

linear exponential volatility model This class describes a linear-exponential volatility model [ sigma_i(t)=(a*(T_{i}-t)+d)*e^{-b(T_{i}-t)}+c ].PP References...

QuantLib_LMMCurveState(3)

Curve state for Libor market models This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This is the...

Curve state for Libor market models This class stores the state of the yield curve associated to the fixed calendar times within the simulation. This is the...

QuantLib_LMMDriftCalculator(3)

Drift computation for log-normal Libor market models. Returns the drift $ mu Delta t $. See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor...

Drift computation for log-normal Libor market models. Returns the drift $ mu Delta t $. See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor...

QuantLib_LMMNormalDriftCalculator(3)

Drift computation for normal Libor market models. Returns the drift $ mu Delta t $. See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor Market...

Drift computation for normal Libor market models. Returns the drift $ mu Delta t $. See Mark Joshi, Rapid Computation of Drifts in a Reduced Factor Libor Market...

QuantLib_LocalBootstrap(3)

template<class Curve> class QuantLib::LocalBootstrap< Curve >" Localised-term-structure bootstrapper for most curve types. This algorithm enables a localised...

template<class Curve> class QuantLib::LocalBootstrap< Curve >" Localised-term-structure bootstrapper for most curve types. This algorithm enables a localised...

QuantLib_LocalConstantVol(3)

Constant local volatility, no time-strike dependence. This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no...

Constant local volatility, no time-strike dependence. This class implements the LocalVolatilityTermStructure interface for a constant local volatility (no...

QuantLib_LocalVolSurface(3)

Local volatility surface derived from a Black vol surface. For details about this implementation refer to 'Stochastic Volatility and Local Volatility,' in 'Case...

Local volatility surface derived from a Black vol surface. For details about this implementation refer to 'Stochastic Volatility and Local Volatility,' in 'Case...

QuantLib_LocalVolTermStructure(3)

This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one. Volatilities are assumed to be...

This abstract class defines the interface of concrete local-volatility term structures which will be derived from this one. Volatilities are assumed to be...

QuantLib_LogMixedLinearCubicInterpolation(3)

log-mixedlinearcubic interpolation between discrete points

log-mixedlinearcubic interpolation between discrete points

QuantLib_LognormalCmsSpreadPricer(3)

CMS spread - coupon pricer. The swap rate adjustments are computed using the given volatility structures for the underlyings in every case (w.r.t. volatility...

CMS spread - coupon pricer. The swap rate adjustments are computed using the given volatility structures for the underlyings in every case (w.r.t. volatility...

QuantLib_LongstaffSchwartzMultiPathPricer(3)

Longstaff-Schwarz path pricer for early exercise options. References: Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options by Simulation: A...

Longstaff-Schwarz path pricer for early exercise options. References: Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options by Simulation: A...

QuantLib_LongstaffSchwartzPathPricer(3)

template<class PathType> class QuantLib::LongstaffSchwartzPathPricer< PathType >" Longstaff-Schwarz path pricer for early exercise options. References: Francis...

template<class PathType> class QuantLib::LongstaffSchwartzPathPricer< PathType >" Longstaff-Schwarz path pricer for early exercise options. References: Francis...

QuantLib_LossDistBucketing(3)

Loss distribution with Hull-White bucketing. Loss distribution with Hull-White bucketing Loss distribution for varying volumes and probabilities of default...

Loss distribution with Hull-White bucketing. Loss distribution with Hull-White bucketing Loss distribution for varying volumes and probabilities of default...

QuantLib_LossDistHomogeneous(3)

Loss Distribution for Homogeneous Pool. Loss Distribution for Homogeneous Pool Loss distribution for equal volumes but varying probabilities of default. The...

Loss Distribution for Homogeneous Pool. Loss Distribution for Homogeneous Pool Loss distribution for equal volumes but varying probabilities of default. The...

QuantLib_LossDistMonteCarlo(3)

Loss distribution with Monte Carlo simulation. Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent...

Loss distribution with Monte Carlo simulation. Loss distribution for varying volumes and probabilities of default via Monte Carlo simulation of independent...

QuantLib_LPP2HestonExpansion(3)

Lorig Pagliarani Pascucci expansion of order-2 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with...

Lorig Pagliarani Pascucci expansion of order-2 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with...

QuantLib_LPP3HestonExpansion(3)

Lorig Pagliarani Pascucci expansion of order-3 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with...

Lorig Pagliarani Pascucci expansion of order-3 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with...

QuantLib_LTLCurrency(3)

Lithuanian litas. The ISO three-letter code is LTL; the numeric code is 440. It is divided in 100 centu.

Lithuanian litas. The ISO three-letter code is LTL; the numeric code is 440. It is divided in 100 centu.

QuantLib_LUFCurrency(3)

Luxembourg franc. The ISO three-letter code was LUF; the numeric code was 442. It was divided in 100 centimes. Obsoleted by the Euro since 1999.

Luxembourg franc. The ISO three-letter code was LUF; the numeric code was 442. It was divided in 100 centimes. Obsoleted by the Euro since 1999.

QuantLib_LVLCurrency(3)

Latvian lat. The ISO three-letter code is LVL; the numeric code is 428. It is divided in 100 santims.

Latvian lat. The ISO three-letter code is LVL; the numeric code is 428. It is divided in 100 santims.

QuantLib_MaddockInverseCumulativeNormal(3)

Maddock's Inverse cumulative normal distribution class. Given x between zero and one as the integral value of a gaussian normal distribution this class provides...

Maddock's Inverse cumulative normal distribution class. Given x between zero and one as the integral value of a gaussian normal distribution this class provides...

QuantLib_MakeCapFloor(3)

helper class This class provides a more comfortable way to instantiate standard market cap and floor.

helper class This class provides a more comfortable way to instantiate standard market cap and floor.

QuantLib_MakeCms(3)

helper class for instantiating CMS This class provides a more comfortable way to instantiate standard market constant maturity swap.

helper class for instantiating CMS This class provides a more comfortable way to instantiate standard market constant maturity swap.

QuantLib_MakeMCAmericanBasketEngine(3)

template<class RNG = PseudoRandom> class QuantLib::MakeMCAmericanBasketEngine< RNG >" Monte Carlo American basket-option engine factory.

template<class RNG = PseudoRandom> class QuantLib::MakeMCAmericanBasketEngine< RNG >" Monte Carlo American basket-option engine factory.

QuantLib_MakeMCAmericanEngine(3)

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG> class QuantLib::MakeMCAmericanEngine< RNG, S, RNG_Calibration >" Monte...

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG> class QuantLib::MakeMCAmericanEngine< RNG, S, RNG_Calibration >" Monte...

QuantLib_MakeMCAmericanPathEngine(3)

template<class RNG = PseudoRandom> class QuantLib::MakeMCAmericanPathEngine< RNG >" Monte Carlo American basket-option engine factory.

template<class RNG = PseudoRandom> class QuantLib::MakeMCAmericanPathEngine< RNG >" Monte Carlo American basket-option engine factory.

QuantLib_MakeMCBarrierEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCBarrierEngine< RNG, S >" Monte Carlo barrier-option engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCBarrierEngine< RNG, S >" Monte Carlo barrier-option engine factory.

QuantLib_MakeMCDigitalEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCDigitalEngine< RNG, S >" Monte Carlo digital engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCDigitalEngine< RNG, S >" Monte Carlo digital engine factory.

QuantLib_MakeMCEuropeanBasketEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEuropeanBasketEngine< RNG, S >" Monte Carlo basket-option engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEuropeanBasketEngine< RNG, S >" Monte Carlo basket-option engine factory.

QuantLib_MakeMCEuropeanEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEuropeanEngine< RNG, S >" Monte Carlo European engine factory. Examples...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEuropeanEngine< RNG, S >" Monte Carlo European engine factory. Examples...

QuantLib_MakeMCEuropeanGJRGARCHEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEuropeanGJRGARCHEngine< RNG, S >" Monte Carlo GJR-GARCH European engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEuropeanGJRGARCHEngine< RNG, S >" Monte Carlo GJR-GARCH European engine factory.

QuantLib_MakeMCEuropeanHestonEngine(3)

template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess> class QuantLib::MakeMCEuropeanHestonEngine< RNG, S, P >" Monte Carlo Heston...

template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess> class QuantLib::MakeMCEuropeanHestonEngine< RNG, S, P >" Monte Carlo Heston...

QuantLib_MakeMCEverestEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEverestEngine< RNG, S >" Monte Carlo Everest-option engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCEverestEngine< RNG, S >" Monte Carlo Everest-option engine factory.

QuantLib_MakeMCHestonHullWhiteEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCHestonHullWhiteEngine< RNG, S >" Monte Carlo Heston/Hull-White engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCHestonHullWhiteEngine< RNG, S >" Monte Carlo Heston/Hull-White engine factory.

QuantLib_MakeMCHimalayaEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCHimalayaEngine< RNG, S >" Monte Carlo Himalaya-option engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCHimalayaEngine< RNG, S >" Monte Carlo Himalaya-option engine factory.

QuantLib_MakeMCHullWhiteCapFloorEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCHullWhiteCapFloorEngine< RNG, S >" Monte Carlo Hull-White cap-floor engine...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCHullWhiteCapFloorEngine< RNG, S >" Monte Carlo Hull-White cap-floor engine...

QuantLib_MakeMCPagodaEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCPagodaEngine< RNG, S >" Monte Carlo pagoda-option engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCPagodaEngine< RNG, S >" Monte Carlo pagoda-option engine factory.

QuantLib_MakeMCPathBasketEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCPathBasketEngine< RNG, S >" Monte Carlo Path Basket engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCPathBasketEngine< RNG, S >" Monte Carlo Path Basket engine factory.

QuantLib_MakeMCPerformanceEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCPerformanceEngine< RNG, S >" Monte Carlo performance-option engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCPerformanceEngine< RNG, S >" Monte Carlo performance-option engine factory.

QuantLib_MakeMCVarianceSwapEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCVarianceSwapEngine< RNG, S >" Monte Carlo variance-swap engine factory.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MakeMCVarianceSwapEngine< RNG, S >" Monte Carlo variance-swap engine factory.

QuantLib_MakeOIS(3)

helper class This class provides a more comfortable way to instantiate overnight indexed swaps.

helper class This class provides a more comfortable way to instantiate overnight indexed swaps.

QuantLib_MakeSchedule(3)

helper class This class provides a more comfortable interface to the argument list of Schedule's constructor. Examples: CDS.cpp.

helper class This class provides a more comfortable interface to the argument list of Schedule's constructor. Examples: CDS.cpp.

QuantLib_MakeSwaption(3)

helper class This class provides a more comfortable way to instantiate standard market swaption.

helper class This class provides a more comfortable way to instantiate standard market swaption.

QuantLib_MakeVanillaSwap(3)

helper class This class provides a more comfortable way to instantiate standard market swap.

helper class This class provides a more comfortable way to instantiate standard market swap.

QuantLib_MakeYoYInflationCapFloor(3)

helper class This class provides a more comfortable way to instantiate standard yoy inflation cap and floor.

helper class This class provides a more comfortable way to instantiate standard yoy inflation cap and floor.

QuantLib_MargrabeOption(3)

Margrabe option on two assets. This option gives the holder the right to exchange Q2 stocks of the second asset for Q1 stocks of the first at expiration.

Margrabe option on two assets. This option gives the holder the right to exchange Q2 stocks of the second asset for Q1 stocks of the first at expiration.

QuantLib_MarketModel(3)

base class for market models For each time step, generates the pseudo-square root of the covariance matrix for that time step.

base class for market models For each time step, generates the pseudo-square root of the covariance matrix for that time step.

QuantLib_MarketModelCashRebate(3)

Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.

Class to model receipt of a fixed cash amount once. Product terminates immediately. Mainly useful as rebate received when another product is cancelled.

QuantLib_MarketModelComposite(3)

Composition of two or more market-model products. Instances of this class build a market-model product by composing one or more subproducts.

Composition of two or more market-model products. Instances of this class build a market-model product by composing one or more subproducts.

QuantLib_MarketModelEvolver(3)

Market-model evolver. Abstract base class. The evolver does the actual gritty work of evolving the forward rates from one time to the next.

Market-model evolver. Abstract base class. The evolver does the actual gritty work of evolving the forward rates from one time to the next.

QuantLib_MarketModelMultiProduct(3)

market-model product This is the abstract base class that encapsulates the notion of a product: it contains the information that would be in the termsheet of...

market-model product This is the abstract base class that encapsulates the notion of a product: it contains the information that would be in the termsheet of...

QuantLib_MarketModelPathwiseCashRebate(3)

Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

Swap for doing simple cash rebate. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

QuantLib_MarketModelPathwiseCoterminalSwaptionsDeflated(3)

Main use is to test market pathwise vegas. The swaptions are payers and co-terminal. The class is tested in TestPathwiseVegas by running against the numerical...

Main use is to test market pathwise vegas. The swaptions are payers and co-terminal. The class is tested in TestPathwiseVegas by running against the numerical...

QuantLib_MarketModelPathwiseCoterminalSwaptionsNumericalDeflated(3)

Easiest way to test MarketModelPathwiseCoterminalSwaptionsDeflated is by doing a numerical differentiation version.

Easiest way to test MarketModelPathwiseCoterminalSwaptionsDeflated is by doing a numerical differentiation version.

QuantLib_MarketModelPathwiseDiscounter(3)

this class returns the number of units of the discretely compounding money market account that 1 unit of cash at the payment can buy using the LIBOR rates from...

this class returns the number of units of the discretely compounding money market account that 1 unit of cash at the payment can buy using the LIBOR rates from...

QuantLib_MarketModelPathwiseInverseFloater(3)

Pathwise product inverse floater for doing Greeks Tested in MarketModels::testInverseFloater()

Pathwise product inverse floater for doing Greeks Tested in MarketModels::testInverseFloater()

QuantLib_MarketModelPathwiseMultiCaplet(3)

market-model pathwise caplet implementation of path wise methodology for caplets, essentially a test class since we have better ways of computing Greeks of...

market-model pathwise caplet implementation of path wise methodology for caplets, essentially a test class since we have better ways of computing Greeks of...

QuantLib_MarketModelPathwiseMultiDeflatedCap(3)

MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.

MarketModelPathwiseMultiDeflatedCap to price several caps and get their derivatives simultaneously. Mainly useful for testing pathwise market vegas code.

QuantLib_MarketModelPathwiseMultiProduct(3)

market-model pathwise product This is the abstract base class that encapsulates the notion of a product: it contains the information that would be in the...

market-model pathwise product This is the abstract base class that encapsulates the notion of a product: it contains the information that would be in the...

QuantLib_MarketModelPathwiseSwap(3)

Swap for doing Greeks. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

Swap for doing Greeks. Fairly useless when used directly, but if we want to look a breakable swap it becomes useful.

QuantLib_MarketModelVolProcess(3)

Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brace in 'Engineering BGM.' Vol process is an external input.

Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brace in 'Engineering BGM.' Vol process is an external input.

QuantLib_MarkovFunctional(3)

One factor Markov Functional model class. Some documentation is available here http://ssrn.com/abstract_id=2183721 http://quantlib.org/slides/qlws13/caspe… The...

One factor Markov Functional model class. Some documentation is available here http://ssrn.com/abstract_id=2183721 http://quantlib.org/slides/qlws13/caspe… The...

QuantLib_Matrix(3)

Matrix used in linear algebra. This class implements the concept of Matrix as used in linear algebra. As such, it is not meant to be used as a container.

Matrix used in linear algebra. This class implements the concept of Matrix as used in linear algebra. As such, it is not meant to be used as a container.

QuantLib_MCAmericanBasketEngine(3)

template<class RNG = PseudoRandom> class QuantLib::MCAmericanBasketEngine< RNG >" least-square Monte Carlo engine Warning

template<class RNG = PseudoRandom> class QuantLib::MCAmericanBasketEngine< RNG >" least-square Monte Carlo engine Warning

QuantLib_MCAmericanEngine(3)

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG> class QuantLib::MCAmericanEngine< RNG, S, RNG_Calibration >" American...

template<class RNG = PseudoRandom, class S = Statistics, class RNG_Calibration = RNG> class QuantLib::MCAmericanEngine< RNG, S, RNG_Calibration >" American...

QuantLib_MCAmericanPathEngine(3)

template<class RNG = PseudoRandom> class QuantLib::MCAmericanPathEngine< RNG >" least-square Monte Carlo engine Warning

template<class RNG = PseudoRandom> class QuantLib::MCAmericanPathEngine< RNG >" least-square Monte Carlo engine Warning

QuantLib_MCBarrierEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCBarrierEngine< RNG, S >" Pricing engine for barrier options using Monte Carlo...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCBarrierEngine< RNG, S >" Pricing engine for barrier options using Monte Carlo...

QuantLib_MCDigitalEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDigitalEngine< RNG, S >" Pricing engine for digital options using Monte Carlo...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDigitalEngine< RNG, S >" Pricing engine for digital options using Monte Carlo...

QuantLib_MCDiscreteArithmeticAPEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteArithmeticAPEngine< RNG, S >" Monte Carlo pricing engine for discrete...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteArithmeticAPEngine< RNG, S >" Monte Carlo pricing engine for discrete...

QuantLib_MCDiscreteArithmeticASEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteArithmeticASEngine< RNG, S >" Monte Carlo pricing engine for discrete...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteArithmeticASEngine< RNG, S >" Monte Carlo pricing engine for discrete...

QuantLib_MCDiscreteAveragingAsianEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteAveragingAsianEngine< RNG, S >" Pricing engine for discrete average Asians...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteAveragingAsianEngine< RNG, S >" Pricing engine for discrete average Asians...

QuantLib_MCDiscreteGeometricAPEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteGeometricAPEngine< RNG, S >" Monte Carlo pricing engine for discrete...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCDiscreteGeometricAPEngine< RNG, S >" Monte Carlo pricing engine for discrete...

QuantLib_MCEuropeanBasketEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanBasketEngine< RNG, S >" Pricing engine for European basket options using...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanBasketEngine< RNG, S >" Pricing engine for European basket options using...

QuantLib_MCEuropeanEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanEngine< RNG, S >" European option pricing engine using Monte Carlo...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanEngine< RNG, S >" European option pricing engine using Monte Carlo...

QuantLib_MCEuropeanGJRGARCHEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >" Monte Carlo GJR-GARCH-model engine for European...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCEuropeanGJRGARCHEngine< RNG, S >" Monte Carlo GJR-GARCH-model engine for European...

QuantLib_MCEuropeanHestonEngine(3)

template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess> class QuantLib::MCEuropeanHestonEngine< RNG, S, P >" Monte Carlo Heston-model...

template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess> class QuantLib::MCEuropeanHestonEngine< RNG, S, P >" Monte Carlo Heston-model...

QuantLib_MCHullWhiteCapFloorEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCHullWhiteCapFloorEngine< RNG, S >" Monte Carlo Hull-White engine for cap/floors.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCHullWhiteCapFloorEngine< RNG, S >" Monte Carlo Hull-White engine for cap/floors.

QuantLib_MCLongstaffSchwartzEngine(3)

template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics, class RNG_Calibration = RNG> class...

template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics, class RNG_Calibration = RNG> class...

QuantLib_MCLongstaffSchwartzPathEngine(3)

template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics> class QuantLib::MCLongstaffSchwartzPathEngine< GenericEngine, MC...

template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics> class QuantLib::MCLongstaffSchwartzPathEngine< GenericEngine, MC...

QuantLib_MCPagodaEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCPagodaEngine< RNG, S >" Pricing engine for pagoda options using Monte Carlo...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCPagodaEngine< RNG, S >" Pricing engine for pagoda options using Monte Carlo...

QuantLib_MCPathBasketEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCPathBasketEngine< RNG, S >" Pricing engine for path dependent basket options using.

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCPathBasketEngine< RNG, S >" Pricing engine for path dependent basket options using.

QuantLib_MCPerformanceEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCPerformanceEngine< RNG, S >" Pricing engine for performance options using Monte Carlo...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCPerformanceEngine< RNG, S >" Pricing engine for performance options using Monte Carlo...

QuantLib_McSimulation(3)

template<template< class > class MC, class RNG, class S = Statistics> class QuantLib::McSimulation< MC, RNG, S >" base class for Monte Carlo engines Eventually...

template<template< class > class MC, class RNG, class S = Statistics> class QuantLib::McSimulation< MC, RNG, S >" base class for Monte Carlo engines Eventually...

QuantLib_MCVanillaEngine(3)

template<template< class > class MC, class RNG, class S = Statistics, class Inst = VanillaOption> class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >" Pricing...

template<template< class > class MC, class RNG, class S = Statistics, class Inst = VanillaOption> class QuantLib::MCVanillaEngine< MC, RNG, S, Inst >" Pricing...

QuantLib_MCVarianceSwapEngine(3)

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCVarianceSwapEngine< RNG, S >" Variance-swap pricing engine using Monte Carlo...

template<class RNG = PseudoRandom, class S = Statistics> class QuantLib::MCVarianceSwapEngine< RNG, S >" Variance-swap pricing engine using Monte Carlo...

QuantLib_MeanRevertingPricer(3)

(CMS) coupon pricer that has a mean reversion parameter which can be used to calibrate to cms market quotes

(CMS) coupon pricer that has a mean reversion parameter which can be used to calibrate to cms market quotes

QuantLib_MersenneTwisterUniformRng(3)

Uniform random number generator. Mersenne Twister random number generator of period 2**19937-1 For more details see http://www.math.keio.ac.jp/matumoto/emt…...

Uniform random number generator. Mersenne Twister random number generator of period 2**19937-1 For more details see http://www.math.keio.ac.jp/matumoto/emt…...

QuantLib_MfStateProcess(3)

Markov functional state process class. This class describes the process governed by [ dx = sigma(t) e^{at} dW(t) ]

Markov functional state process class. This class describes the process governed by [ dx = sigma(t) e^{at} dW(t) ]

QuantLib_MixedScheme(3)

template<class Operator> class QuantLib::MixedScheme< Operator >" Mixed (explicit/implicit) scheme for finite difference methods. In this implementation, the...

template<class Operator> class QuantLib::MixedScheme< Operator >" Mixed (explicit/implicit) scheme for finite difference methods. In this implementation, the...

QuantLib_ModifiedCraigSneydScheme(3)

modified Craig-Sneyd scheme References: K. J. in ’t Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation...

modified Craig-Sneyd scheme References: K. J. in ’t Hout and S. Foulon, ADI finite difference schemes for option pricing in the Heston model with correlation...

QuantLib_MonteCarloModel(3)

template<template< class > class MC, class RNG, class S = Statistics> class QuantLib::MonteCarloModel< MC, RNG, S >" General-purpose Monte Carlo model for path...

template<template< class > class MC, class RNG, class S = Statistics> class QuantLib::MonteCarloModel< MC, RNG, S >" General-purpose Monte Carlo model for path...

QuantLib_MoroInverseCumulativeNormal(3)

Moro Inverse cumulative normal distribution class. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the...

Moro Inverse cumulative normal distribution class. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the...

QuantLib_MTBrownianGenerator(3)

Mersenne-twister Brownian generator for market-model simulations. Incremental Brownian generator using a Mersenne-twister uniform generator and...

Mersenne-twister Brownian generator for market-model simulations. Incremental Brownian generator using a Mersenne-twister uniform generator and...

QuantLib_MTLCurrency(3)

Maltese lira. The ISO three-letter code is MTL; the numeric code is 470. It was divided in 100 cents. Obsoleted by the Euro since 2008.

Maltese lira. The ISO three-letter code is MTL; the numeric code is 470. It was divided in 100 cents. Obsoleted by the Euro since 2008.

QuantLib_MultiCubicSpline(3)

template<Size i> class QuantLib::MultiCubicSpline< i >" N-dimensional cubic spline interpolation between discrete points. Tests

template<Size i> class QuantLib::MultiCubicSpline< i >" N-dimensional cubic spline interpolation between discrete points. Tests

QuantLib_MultidimIntegral(3)

Integrates a vector or scalar function of vector domain. Uses a collection of arbitrary 1D integrators along each of the dimensions. A template recursion along...

Integrates a vector or scalar function of vector domain. Uses a collection of arbitrary 1D integrators along each of the dimensions. A template recursion along...

QuantLib_MultiPath(3)

Correlated multiple asset paths. MultiPath contains the list of paths for each asset, i.e., multipath[j] is the path followed by the j-th asset.

Correlated multiple asset paths. MultiPath contains the list of paths for each asset, i.e., multipath[j] is the path followed by the j-th asset.

QuantLib_MultiPathGenerator(3)

template<class GSG> class QuantLib::MultiPathGenerator< GSG >" Generates a multipath from a random number generator. RSG is a sample generator which returns a...

template<class GSG> class QuantLib::MultiPathGenerator< GSG >" Generates a multipath from a random number generator. RSG is a sample generator which returns a...

QuantLib_MultiplicativePriceSeasonality(3)

Multiplicative seasonality in the price index (CPI/RPI/HICP/etc). Stationary multiplicative seasonality in CPI/RPI/HICP (i.e. in price) implies that zero...

Multiplicative seasonality in the price index (CPI/RPI/HICP/etc). Stationary multiplicative seasonality in CPI/RPI/HICP (i.e. in price) implies that zero...

QuantLib_MultiProductComposite(3)

Composition of one or more market-model products. Instances of this class build a multiple market-model product by composing two or more subproducts.

Composition of one or more market-model products. Instances of this class build a multiple market-model product by composing two or more subproducts.

QuantLib_MultiProductMultiStep(3)

Multiple-step market-model product. This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more...

Multiple-step market-model product. This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in a more...

QuantLib_MultiProductOneStep(3)

Single-step market-model product. This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in one step...

Single-step market-model product. This is the abstract base class that encapsulates the notion of a MarketModelMultiProduct which can be evaluated in one step...

QuantLib_MultiProductPathwiseWrapper(3)

MultiStepPathwiseWrapper Pathwise products do everything that ordinary products do and more. This lets you treat a pathwise product as an ordinary product. So...

MultiStepPathwiseWrapper Pathwise products do everything that ordinary products do and more. This lets you treat a pathwise product as an ordinary product. So...

QuantLib_MultiStepSwaption(3)

Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.

Price a swaption associated to a contiguous subset of rates. Useful only for testing purposes. Steps through all rate times up to start of swap.

QuantLib_MultiVariate(3)

template<class RNG = PseudoRandom> struct QuantLib::MultiVariate< RNG >" default Monte Carlo traits for multi-variate models

template<class RNG = PseudoRandom> struct QuantLib::MultiVariate< RNG >" default Monte Carlo traits for multi-variate models

QuantLib_MXNCurrency(3)

Mexican peso. The ISO three-letter code is MXN; the numeric code is 484. It is divided in 100 centavos.

Mexican peso. The ISO three-letter code is MXN; the numeric code is 484. It is divided in 100 centavos.

QuantLib_MYRCurrency(3)

Malaysian Ringgit. The ISO three-letter code is MYR; the numeric code is 458. It is divided in 100 sen.

Malaysian Ringgit. The ISO three-letter code is MYR; the numeric code is 458. It is divided in 100 sen.

QuantLib_NelsonSiegelFitting(3)

Nelson-Siegel fitting method. Fits a discount function to the form $ d(t) = \xp^{-r t}, $ where the zero rate $r$ is defined as [ r \quiv c_0 + (c_0 + c_1)*(1 -...

Nelson-Siegel fitting method. Fits a discount function to the form $ d(t) = \xp^{-r t}, $ where the zero rate $r$ is defined as [ r \quiv c_0 + (c_0 + c_1)*(1 -...

QuantLib_NLGCurrency(3)

Dutch guilder. The ISO three-letter code was NLG; the numeric code was 528. It was divided in 100 cents. Obsoleted by the Euro since 1999.

Dutch guilder. The ISO three-letter code was NLG; the numeric code was 528. It was divided in 100 cents. Obsoleted by the Euro since 1999.

QuantLib_NoArbSabrInterpolation(3)

no arbitrage sabr smile interpolation between discrete volatility points.

no arbitrage sabr smile interpolation between discrete volatility points.

QuantLib_NOKCurrency(3)

Norwegian krone. The ISO three-letter code is NOK; the numeric code is 578. It is divided in 100 øre.

Norwegian krone. The ISO three-letter code is NOK; the numeric code is 578. It is divided in 100 øre.

QuantLib_NonhomogeneousBoundaryConstraint(3)

Constraint imposing i-th argument to be in [low_i,high_i] for all i

Constraint imposing i-th argument to be in [low_i,high_i] for all i

QuantLib_NonLinearLeastSquare(3)

Non-linear least-square method. Using a given optimization algorithm (default is conjugate gradient), [ min r(x) : x in R^n ].PP where $ r(x) = |f(x)|^2 $ is...

Non-linear least-square method. Using a given optimization algorithm (default is conjugate gradient), [ min r(x) : x in R^n ].PP where $ r(x) = |f(x)|^2 $ is...

QuantLib_NormalDistribution(3)

Normal distribution function. Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too. Tests

Normal distribution function. Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too. Tests

QuantLib_NPRCurrency(3)

Nepal rupee. The ISO three-letter code is NPR; the numeric code is 524. It is divided in 100 paise.

Nepal rupee. The ISO three-letter code is NPR; the numeric code is 524. It is divided in 100 paise.

QuantLib_NthToDefault(3)

N-th to default swap. A NTD instrument exchanges protection against the nth default in a basket of underlying credits for premium payments based on the...

N-th to default swap. A NTD instrument exchanges protection against the nth default in a basket of underlying credits for premium payments based on the...

QuantLib_Null(3)

template<typename T> class QuantLib::Null< T >" template class providing a null value for a given type.

template<typename T> class QuantLib::Null< T >" template class providing a null value for a given type.

QuantLib_NullCalendar(3)

Calendar for reproducing theoretical calculations. This calendar has no holidays. It ensures that dates at whole-month distances have the same day of month...

Calendar for reproducing theoretical calculations. This calendar has no holidays. It ensures that dates at whole-month distances have the same day of month...

QuantLib_NullCondition(3)

template<class array_type> class QuantLib::NullCondition< array_type >" null step condition

template<class array_type> class QuantLib::NullCondition< array_type >" null step condition

QuantLib_NumericalDifferentiation(3)

Numerical Differentiation on arbitrarily spaced grids. References: B. Fornberg, 1988. Generation of Finite Difference Formulas on Arbitrarily Spaced Grids...

Numerical Differentiation on arbitrarily spaced grids. References: B. Fornberg, 1988. Generation of Finite Difference Formulas on Arbitrarily Spaced Grids...

QuantLib_NumericHaganPricer(3)

CMS-coupon pricer. Prices a cms coupon via static replication as in Hagan's 'Conundrums...' article via numerical integration based on prices of vanilla...

CMS-coupon pricer. Prices a cms coupon via static replication as in Hagan's 'Conundrums...' article via numerical integration based on prices of vanilla...

QuantLib_NZDCurrency(3)

New Zealand dollar. The ISO three-letter code is NZD; the numeric code is 554. It is divided in 100 cents.

New Zealand dollar. The ISO three-letter code is NZD; the numeric code is 554. It is divided in 100 cents.

QuantLib_ObservableValue(3)

template<class T> class QuantLib::ObservableValue< T >" observable and assignable proxy to concrete value Observers can be registered with instances of this...

template<class T> class QuantLib::ObservableValue< T >" observable and assignable proxy to concrete value Observers can be registered with instances of this...

QuantLib_OneFactorAffineModel(3)

Single-factor affine base class. Single-factor models with an analytical formula for discount bonds should inherit from this class. They must then implement the...

Single-factor affine base class. Single-factor models with an analytical formula for discount bonds should inherit from this class. They must then implement the...

QuantLib_OneFactorCopula(3)

Abstract base class for one-factor copula models. Reference: John Hull and Alan White, The Perfect Copula, June 2006 Let $Q_i(t)$ be the cumulative probability...

Abstract base class for one-factor copula models. Reference: John Hull and Alan White, The Perfect Copula, June 2006 Let $Q_i(t)$ be the cumulative probability...

QuantLib_OneFactorGaussianCopula(3)

One-factor Gaussian Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the desnity function for all variables, $ M, Z,$ and...

One-factor Gaussian Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the desnity function for all variables, $ M, Z,$ and...

QuantLib_OneFactorGaussianStudentCopula(3)

One-factor Gaussian-Student t-Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the probability density functions for $ Z_i...

One-factor Gaussian-Student t-Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the probability density functions for $ Z_i...

QuantLib_OneFactorModel_ShortRateTree(3)

Recombining trinomial tree discretizing the state variable.

Recombining trinomial tree discretizing the state variable.

QuantLib_OneFactorStudentCopula(3)

One-factor Double Student t-Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the probability density functions for $ Z_i $...

One-factor Double Student t-Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the probability density functions for $ Z_i $...

QuantLib_OneFactorStudentGaussianCopula(3)

One-factor Student t - Gaussian Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the probability density functions for $...

One-factor Student t - Gaussian Copula. The copula model [ Y_i = a_iM+sqrt{1-a_i^2}Z_i ] is specified here by setting the probability density functions for $...

QuantLib_OptionletStripper(3)

StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations

StrippedOptionletBase specialization. It's up to derived classes to implement LazyObject::performCalculations

QuantLib_OptionletStripper1(3)

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a...

Helper class to strip optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities) from the (cap/floor) term volatilities of a...

QuantLib_OptionletStripper2(3)

Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities)...

Helper class to extend an OptionletStripper1 object stripping additional optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward volatilities)...

QuantLib_OptionletVolatilityStructure(3)

Optionlet (caplet/floorlet) volatility structure. This class is purely abstract and defines the interface of concrete structures which will be derived from this...

Optionlet (caplet/floorlet) volatility structure. This class is purely abstract and defines the interface of concrete structures which will be derived from this...

QuantLib_OrnsteinUhlenbeckProcess(3)

Ornstein-Uhlenbeck process class. This class describes the Ornstein-Uhlenbeck process governed by [ dx = a (r - x_t) dt + sigma dW_t. ]

Ornstein-Uhlenbeck process class. This class describes the Ornstein-Uhlenbeck process governed by [ dx = a (r - x_t) dt + sigma dW_t. ]

QuantLib_OrthogonalizedBumpFinder(3)

Pass in a market model, a list of instruments, and possible bumps. Get out pseudo-root bumps that shift each implied vol by one percent, and leave the other...

Pass in a market model, a list of instruments, and possible bumps. Get out pseudo-root bumps that shift each implied vol by one percent, and leave the other...

QuantLib_OrthogonalProjections(3)

Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i> This is done by...

Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i> This is done by...

QuantLib_OvernightIndexedCoupon(3)

overnight coupon Coupon paying the compounded interest due to daily overnight fixings.

overnight coupon Coupon paying the compounded interest due to daily overnight fixings.

QuantLib_PagodaOption(3)

Roofed Asian option on a number of assets. The payoff is a given fraction multiplied by the minimum between a given roof and the positive portfolio performance...

Roofed Asian option on a number of assets. The payoff is a given fraction multiplied by the minimum between a given roof and the positive portfolio performance...

QuantLib_PathGenerator(3)

template<class GSG> class QuantLib::PathGenerator< GSG >" Generates random paths using a sequence generator. Generates random paths with drift(S,t) and...

template<class GSG> class QuantLib::PathGenerator< GSG >" Generates random paths using a sequence generator. Generates random paths with drift(S,t) and...

QuantLib_PathPricer(3)

template<class PathType, class ValueType = Real> class QuantLib::PathPricer< PathType, ValueType >" base class for path pricers Returns the value of an option...

template<class PathType, class ValueType = Real> class QuantLib::PathPricer< PathType, ValueType >" base class for path pricers Returns the value of an option...

QuantLib_PathwiseAccountingEngine(3)

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas.

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas.

QuantLib_PathwiseVegasAccountingEngine(3)

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.

QuantLib_PathwiseVegasOuterAccountingEngine(3)

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.

Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas.

QuantLib_PEHCurrency(3)

Peruvian sol. The ISO three-letter code was PEH. A numeric code is not available; as per ISO 3166-1, we assign 999 as a user-defined code. It was divided in 100...

Peruvian sol. The ISO three-letter code was PEH. A numeric code is not available; as per ISO 3166-1, we assign 999 as a user-defined code. It was divided in 100...

QuantLib_PEICurrency(3)

Peruvian inti. The ISO three-letter code was PEI. It was divided in 100 centimos. A numeric code is not available; as per ISO 3166-1, we assign 998 as a...

Peruvian inti. The ISO three-letter code was PEI. It was divided in 100 centimos. A numeric code is not available; as per ISO 3166-1, we assign 998 as a...

QuantLib_PENCurrency(3)

Peruvian nuevo sol. The ISO three-letter code is PEN; the numeric code is 604. It is divided in 100 centimos.

Peruvian nuevo sol. The ISO three-letter code is PEN; the numeric code is 604. It is divided in 100 centimos.

QuantLib_Period(3)

This class provides a Period (length + TimeUnit) class and implements a limited algebra. Tests

This class provides a Period (length + TimeUnit) class and implements a limited algebra. Tests

QuantLib_PerturbativeBarrierOptionEngine(3)

perturbative barrier-option engine This engine implements the approach described in http://www.econ.univpm.it/recchioni/fin…. Warning

perturbative barrier-option engine This engine implements the approach described in http://www.econ.univpm.it/recchioni/fin…. Warning

QuantLib_PiecewiseConstantParameter(3)

Piecewise-constant parameter. $ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model

Piecewise-constant parameter. $ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model

QuantLib_PiecewiseDefaultCurve(3)

template<class Traits, class Interpolator, template< class > class Bootstrap = IterativeBootstrap> class QuantLib::PiecewiseDefaultCurve< Traits, Interpolator...

template<class Traits, class Interpolator, template< class > class Bootstrap = IterativeBootstrap> class QuantLib::PiecewiseDefaultCurve< Traits, Interpolator...

QuantLib_PiecewiseTimeDependentHestonModel(3)

Piecewise time dependent Heston model. References: Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to...

Piecewise time dependent Heston model. References: Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to...

QuantLib_PiecewiseYieldCurve(3)

template<class Traits, class Interpolator, template< class > class Bootstrap = IterativeBootstrap> class QuantLib::PiecewiseYieldCurve< Traits, Interpolator...

template<class Traits, class Interpolator, template< class > class Bootstrap = IterativeBootstrap> class QuantLib::PiecewiseYieldCurve< Traits, Interpolator...

QuantLib_PiecewiseYoYInflationCurve(3)

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationTraits> class...

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationTraits> class...

QuantLib_PiecewiseYoYOptionletVolatilityCurve(3)

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationVolatilityTraits> class...

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationVolatilityTraits> class...

QuantLib_PiecewiseZeroInflationCurve(3)

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = ZeroInflationTraits> class...

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = ZeroInflationTraits> class...

QuantLib_PKRCurrency(3)

Pakistani rupee. The ISO three-letter code is PKR; the numeric code is 586. It is divided in 100 paisa.

Pakistani rupee. The ISO three-letter code is PKR; the numeric code is 586. It is divided in 100 paisa.

QuantLib_PlainVanillaPayoff(3)

Plain-vanilla payoff. Examples: DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp.

Plain-vanilla payoff. Examples: DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp.

QuantLib_PLNCurrency(3)

Polish zloty. The ISO three-letter code is PLN; the numeric code is 985. It is divided in 100 groszy.

Polish zloty. The ISO three-letter code is PLN; the numeric code is 985. It is divided in 100 groszy.

QuantLib_PoissonDistribution(3)

Poisson distribution function. Given an integer $ k $, it returns its probability in a Poisson distribution. Tests

Poisson distribution function. Given an integer $ k $, it returns its probability in a Poisson distribution. Tests

QuantLib_PolarStudentTRng(3)

template<class URNG> class QuantLib::PolarStudentTRng< URNG >" Student t random number generator. Polar transformation based Student T random number generator...

template<class URNG> class QuantLib::PolarStudentTRng< URNG >" Student t random number generator. Polar transformation based Student T random number generator...

QuantLib_PrimeNumbers(3)

Prime numbers calculator. Taken from 'Monte Carlo Methods in Finance', by Peter Jäckel

Prime numbers calculator. Taken from 'Monte Carlo Methods in Finance', by Peter Jäckel

QuantLib_ProbabilityAlwaysDownhill(3)

Always Downhill Probability. Only points that improve on the current solution are accepted. Depending on the problem, this makes it very unlikely that the...

Always Downhill Probability. Only points that improve on the current solution are accepted. Depending on the problem, this makes it very unlikely that the...

QuantLib_ProbabilityBoltzmann(3)

Boltzmann Probability. The probability of accepting a new point is sampled from a Boltzmann distribution. A point is accepted if $...

Boltzmann Probability. The probability of accepting a new point is sampled from a Boltzmann distribution. A point is accepted if $...

QuantLib_ProbabilityBoltzmannDownhill(3)

Boltzmann Downhill Probability. Similarly to the Boltzmann Probability, but if new < current, then the point is always accepted.

Boltzmann Downhill Probability. Similarly to the Boltzmann Probability, but if new < current, then the point is always accepted.

QuantLib_ProjectedCostFunction(3)

Parameterized cost function. This class creates a proxy cost function which can depend on any arbitrary subset of parameters (the other being fixed)

Parameterized cost function. This class creates a proxy cost function which can depend on any arbitrary subset of parameters (the other being fixed)

QuantLib_PTECurrency(3)

Portuguese escudo. The ISO three-letter code was PTE; the numeric code was 620. It was divided in 100 centavos. Obsoleted by the Euro since 1999.

Portuguese escudo. The ISO three-letter code was PTE; the numeric code was 620. It was divided in 100 centavos. Obsoleted by the Euro since 1999.

QuantLib_QuantoEngine(3)

template<class Instr, class Engine> class QuantLib::QuantoEngine< Instr, Engine >" Quanto engine. Warning

template<class Instr, class Engine> class QuantLib::QuantoEngine< Instr, Engine >" Quanto engine. Warning

QuantLib_QuantoOptionResults(3)

template<class ResultsType> class QuantLib::QuantoOptionResults< ResultsType >" Results from quanto option calculation

template<class ResultsType> class QuantLib::QuantoOptionResults< ResultsType >" Results from quanto option calculation

QuantLib_QuantoTermStructure(3)

Quanto term structure. Quanto term structure for modelling quanto effect in option pricing.

Quanto term structure. Quanto term structure for modelling quanto effect in option pricing.

QuantLib_RandomDefaultLM(3)

template<class copulaPolicy, class USNG = SobolRsg> class QuantLib::RandomDefaultLM< copulaPolicy, USNG >" Random default with deterministic recovery event...

template<class copulaPolicy, class USNG = SobolRsg> class QuantLib::RandomDefaultLM< copulaPolicy, USNG >" Random default with deterministic recovery event...

QuantLib_RandomDefaultModel(3)

Base class for random default models. Provides sequences of random default times for each name in the pool.

Base class for random default models. Provides sequences of random default times for each name in the pool.

QuantLib_RandomizedLDS(3)

template<class LDS, class PRS = RandomSequenceGenerator<MersenneTwisterUniformRng>> class QuantLib::RandomizedLDS< LDS, PRS >" Randomized (random shift)...

template<class LDS, class PRS = RandomSequenceGenerator<MersenneTwisterUniformRng>> class QuantLib::RandomizedLDS< LDS, PRS >" Randomized (random shift)...

QuantLib_RandomLM(3)

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg> class QuantLib::RandomLM< derivedRandomLM, copulaPolicy...

template<template< class, class > class derivedRandomLM, class copulaPolicy, class USNG = SobolRsg> class QuantLib::RandomLM< derivedRandomLM, copulaPolicy...

QuantLib_RandomLossLM(3)

template<class copulaPolicy, class USNG = SobolRsg> class QuantLib::RandomLossLM< copulaPolicy, USNG >" Random spot recovery rate loss model simulation for an...

template<class copulaPolicy, class USNG = SobolRsg> class QuantLib::RandomLossLM< copulaPolicy, USNG >" Random spot recovery rate loss model simulation for an...

QuantLib_RandomSequenceGenerator(3)

template<class RNG> class QuantLib::RandomSequenceGenerator< RNG >" Random sequence generator based on a pseudo-random number generator. Random sequence...

template<class RNG> class QuantLib::RandomSequenceGenerator< RNG >" Random sequence generator based on a pseudo-random number generator. Random sequence...

QuantLib_Ranlux3UniformRng(3)

Uniform random number generator. M. Luescher's 'luxury' random number generator Implementation is a proxy for the corresponding boost random number generator...

Uniform random number generator. M. Luescher's 'luxury' random number generator Implementation is a proxy for the corresponding boost random number generator...

QuantLib_ReannealingFiniteDifferences(3)

Reannealing Finite Difference. In multidimensional problems, different dimensions might have different sensitivities, and might have dimensions on which the...

Reannealing Finite Difference. In multidimensional problems, different dimensions might have different sensitivities, and might have dimensions on which the...

QuantLib_RebatedExercise(3)

Rebated exercise. in case of exercise the holder receives a rebate (if positive) or pays it (if negative) on the rebate settlement date

Rebated exercise. in case of exercise the holder receives a rebate (if positive) or pays it (if negative) on the rebate settlement date

QuantLib_RecoveryRateModel(3)

Models of the recovery rate provide future values of a recovery rate in the event of a default.

Models of the recovery rate provide future values of a recovery rate in the event of a default.

QuantLib_RecursiveLossModel(3)

template<class copulaPolicy> class QuantLib::RecursiveLossModel< copulaPolicy >" Recursive STCDO default loss model for a heterogeneous pool of names. The pool...

template<class copulaPolicy> class QuantLib::RecursiveLossModel< copulaPolicy >" Recursive STCDO default loss model for a heterogeneous pool of names. The pool...

QuantLib_Redemption(3)

Bond redemption. This class specializes SimpleCashFlow so that visitors can perform more detailed cash-flow analysis.

Bond redemption. This class specializes SimpleCashFlow so that visitors can perform more detailed cash-flow analysis.

QuantLib_RelativeDateBootstrapHelper(3)

template<class TS> class QuantLib::RelativeDateBootstrapHelper< TS >" Bootstrap helper with date schedule relative to global evaluation date. Derived classes...

template<class TS> class QuantLib::RelativeDateBootstrapHelper< TS >" Bootstrap helper with date schedule relative to global evaluation date. Derived classes...

QuantLib_RelinkableHandle(3)

template<class T> class QuantLib::RelinkableHandle< T >" Relinkable handle to an observable. An instance of this class can be relinked so that it points to...

template<class T> class QuantLib::RelinkableHandle< T >" Relinkable handle to an observable. An instance of this class can be relinked so that it points to...

QuantLib_RendistatoEquivalentSwapLengthQuote(3)

RendistatoCalculator equivalent swap lenth Quote adapter.

RendistatoCalculator equivalent swap lenth Quote adapter.

QuantLib_RendistatoEquivalentSwapSpreadQuote(3)

RendistatoCalculator equivalent swap spread Quote adapter.

RendistatoCalculator equivalent swap spread Quote adapter.

QuantLib_ReplicatingVarianceSwapEngine(3)

Variance-swap pricing engine using replicating cost,. as described in Demeterfi, Derman, Kamal & Zou, 'A Guide to Volatility and Variance Swaps', 1999 Tests

Variance-swap pricing engine using replicating cost,. as described in Demeterfi, Derman, Kamal & Zou, 'A Guide to Volatility and Variance Swaps', 1999 Tests

QuantLib_Replication(3)

Digital option replication strategy. Specification of replication strategies used to price the embedded digital option in a digital coupon.

Digital option replication strategy. Specification of replication strategies used to price the embedded digital option in a digital coupon.

QuantLib_RichardsonExtrapolation(3)

Richardson Extrapolation. Richardson Extrapolation is a sequence acceleration technique for [ f(Delta h) = f_0 + alphacdot (Delta h)^n + O((Delta h)^{n+1}) ]...

Richardson Extrapolation. Richardson Extrapolation is a sequence acceleration technique for [ f(Delta h) = f_0 + alphacdot (Delta h)^n + O((Delta h)^{n+1}) ]...

QuantLib_ROLCurrency(3)

Romanian leu. The ISO three-letter code was ROL; the numeric code was 642. It was divided in 100 bani. Obsoleted by the new leu since July 2005.

Romanian leu. The ISO three-letter code was ROL; the numeric code was 642. It was divided in 100 bani. Obsoleted by the new leu since July 2005.

QuantLib_RONCurrency(3)

Romanian new leu. The ISO three-letter code is RON; the numeric code is 946. It is divided in 100 bani.

Romanian new leu. The ISO three-letter code is RON; the numeric code is 946. It is divided in 100 bani.

QuantLib_RUBCurrency(3)

Russian ruble. The ISO three-letter code is RUB; the numeric code is 643. It is divided in 100 kopeyki.

Russian ruble. The ISO three-letter code is RUB; the numeric code is 643. It is divided in 100 kopeyki.

QuantLib_SaddlePointLossModel(3)

template<class CP> class QuantLib::SaddlePointLossModel< CP >" Saddle point portfolio credit default loss model.

template<class CP> class QuantLib::SaddlePointLossModel< CP >" Saddle point portfolio credit default loss model.

QuantLib_SampledCurve(3)

This class contains a sampled curve. Initially the class will contain one indexed curve

This class contains a sampled curve. Initially the class will contain one indexed curve

QuantLib_SamplerCauchy(3)

Cauchy Sampler. Sample from cauchy distribution. This means that the parameter space must have support on the positive whole real line. For lower dimensions it...

Cauchy Sampler. Sample from cauchy distribution. This means that the parameter space must have support on the positive whole real line. For lower dimensions it...

QuantLib_SamplerGaussian(3)

Gaussian Sampler. Sample from normal distribution. This means that the parameter space must have support on the whole real line.

Gaussian Sampler. Sample from normal distribution. This means that the parameter space must have support on the whole real line.

QuantLib_SamplerLogNormal(3)

Lognormal Sampler. Sample from lognormal distribution. This means that the parameter space must have support on the positve side of the real line only.

Lognormal Sampler. Sample from lognormal distribution. This means that the parameter space must have support on the positve side of the real line only.

QuantLib_SamplerVeryFastAnnealing(3)

Very Fast Annealing Sampler. For consistency should be used with TemperatureVeryFastAnnealing. Requires that the parameter space be bounded above and below.

Very Fast Annealing Sampler. For consistency should be used with TemperatureVeryFastAnnealing. Requires that the parameter space be bounded above and below.

QuantLib_SARCurrency(3)

Saudi riyal. The ISO three-letter code is SAR; the numeric code is 682. It is divided in 100 halalat.

Saudi riyal. The ISO three-letter code is SAR; the numeric code is 682. It is divided in 100 halalat.

QuantLib_Schedule(3)

Payment schedule. Examples: BermudanSwaption.cpp, Bonds.cpp, CallableBonds.cpp, CDS.cpp, ConvertibleBonds.cpp, FittedBondCurve.cpp, Repo.cpp, and...

Payment schedule. Examples: BermudanSwaption.cpp, Bonds.cpp, CallableBonds.cpp, CDS.cpp, ConvertibleBonds.cpp, FittedBondCurve.cpp, Repo.cpp, and...

QuantLib_Seasonality(3)

A transformation of an existing inflation swap rate. This is an abstract class and contains the functions correctXXXRate which returns rates with the...

A transformation of an existing inflation swap rate. This is an abstract class and contains the functions correctXXXRate which returns rates with the...

QuantLib_SeedGenerator(3)

Random seed generator. Random number generator used for automatic generation of initialization seeds. Tests

Random seed generator. Random number generator used for automatic generation of initialization seeds. Tests

QuantLib_SegmentIntegral(3)

Integral of a one-dimensional function. Given a number $ N $ of intervals, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of...

Integral of a one-dimensional function. Given a number $ N $ of intervals, the integral of a function $ f $ between $ a $ and $ b $ is calculated by means of...

QuantLib_SEKCurrency(3)

Swedish krona. The ISO three-letter code is SEK; the numeric code is 752. It is divided in 100 öre.

Swedish krona. The ISO three-letter code is SEK; the numeric code is 752. It is divided in 100 öre.

QuantLib_SGDCurrency(3)

Singapore dollar The ISO three-letter code is SGD; the numeric code is 702. It is divided in 100 cents.

Singapore dollar The ISO three-letter code is SGD; the numeric code is 702. It is divided in 100 cents.

QuantLib_ShoutCondition(3)

Shout option condition. A shout option is an option where the holder has the right to lock in a minimum value for the payoff at one (shout) time during the...

Shout option condition. A shout option is an option where the holder has the right to lock in a minimum value for the payoff at one (shout) time during the...

QuantLib_simEvent(3)

template<class simEventOwner> struct QuantLib::simEvent< simEventOwner >" Simulation event trait class template forward declaration. Each latent model will be...

template<class simEventOwner> struct QuantLib::simEvent< simEventOwner >" Simulation event trait class template forward declaration. Each latent model will be...

QuantLib_SimpleCashFlow(3)

Predetermined cash flow. This cash flow pays a predetermined amount at a given date.

Predetermined cash flow. This cash flow pays a predetermined amount at a given date.

QuantLib_SimpleChooserOption(3)

Simple chooser option. This option gives the holder the right to choose, at a future date prior to exercise, whether the option should be a call or a put. The...

Simple chooser option. This option gives the holder the right to choose, at a future date prior to exercise, whether the option should be a call or a put. The...

QuantLib_SimpleDayCounter(3)

Simple day counter for reproducing theoretical calculations. This day counter tries to ensure that whole-month distances are returned as a simple fraction...

Simple day counter for reproducing theoretical calculations. This day counter tries to ensure that whole-month distances are returned as a simple fraction...

QuantLib_SimpleLocalEstimator(3)

Local-estimator volatility model. Volatilities are assumed to be expressed on an annual basis.

Local-estimator volatility model. Volatilities are assumed to be expressed on an annual basis.

QuantLib_SimplePolynomialFitting(3)

Simple polynomial fitting method. Examples: FittedBondCurve.cpp.

Simple polynomial fitting method. Examples: FittedBondCurve.cpp.

QuantLib_SimpleQuote(3)

market element returning a stored value Examples: BermudanSwaption.cpp, Bonds.cpp, CallableBonds.cpp, CDS.cpp, ConvertibleBonds.cpp, DiscreteHedging.cpp...

market element returning a stored value Examples: BermudanSwaption.cpp, Bonds.cpp, CallableBonds.cpp, CDS.cpp, ConvertibleBonds.cpp, DiscreteHedging.cpp...

QuantLib_Simplex(3)

Multi-dimensional simplex class. This method is rather raw and requires quite a lot of computing resources, but it has the advantage that it does not need any...

Multi-dimensional simplex class. This method is rather raw and requires quite a lot of computing resources, but it has the advantage that it does not need any...

QuantLib_SimulatedAnnealing(3)

template<class RNG = MersenneTwisterUniformRng> class QuantLib::SimulatedAnnealing< RNG >" Class RNG must implement the following interface:

template<class RNG = MersenneTwisterUniformRng> class QuantLib::SimulatedAnnealing< RNG >" Class RNG must implement the following interface:

QuantLib_SingleProductComposite(3)

Composition of one or more market-model products. Instances of this class build a single market-model product by composing two or more subproducts.

Composition of one or more market-model products. Instances of this class build a single market-model product by composing two or more subproducts.

QuantLib_Singleton(3)

template<class T> class QuantLib::Singleton< T >" Basic support for the singleton pattern.

template<class T> class QuantLib::Singleton< T >" Basic support for the singleton pattern.

QuantLib_SingleVariate(3)

template<class RNG = PseudoRandom> struct QuantLib::SingleVariate< RNG >" default Monte Carlo traits for single-variate models

template<class RNG = PseudoRandom> struct QuantLib::SingleVariate< RNG >" default Monte Carlo traits for single-variate models

QuantLib_SITCurrency(3)

Slovenian tolar. The ISO three-letter code is SIT; the numeric code is 705. It is divided in 100 stotinov.

Slovenian tolar. The ISO three-letter code is SIT; the numeric code is 705. It is divided in 100 stotinov.

QuantLib_SKKCurrency(3)

Slovak koruna. The ISO three-letter code is SKK; the numeric code is 703. It was divided in 100 halierov. Obsoleted by the Euro since 2009.

Slovak koruna. The ISO three-letter code is SKK; the numeric code is 703. It was divided in 100 halierov. Obsoleted by the Euro since 2009.

QuantLib_SmileSection(3)

interest rate volatility smile section This abstract class provides volatility smile section interface

interest rate volatility smile section This abstract class provides volatility smile section interface

QuantLib_SMMDriftCalculator(3)

Drift computation for coterminal swap market models. Returns the drift $ mu Delta t $. See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic...

Drift computation for coterminal swap market models. Returns the drift $ mu Delta t $. See Mark Joshi, Lorenzo Liesch, Effective Implementation Of Generic...

QuantLib_SobolBrownianGenerator(3)

Sobol Brownian generator for market-model simulations. Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian...

Sobol Brownian generator for market-model simulations. Incremental Brownian generator using a Sobol generator, inverse-cumulative Gaussian method, and Brownian...

QuantLib_SobolRsg(3)

Sobol low-discrepancy sequence generator. A Gray code counter and bitwise operations are used for very fast sequence generation. The implementation relies on...

Sobol low-discrepancy sequence generator. A Gray code counter and bitwise operations are used for very fast sequence generation. The implementation relies on...

QuantLib_SoftCallability(3)

callability leaving to the holder the possibility to convert Examples: ConvertibleBonds.cpp.

callability leaving to the holder the possibility to convert Examples: ConvertibleBonds.cpp.

QuantLib_Solver1D(3)

template<class Impl> class QuantLib::Solver1D< Impl >" Base class for 1-D solvers. The implementation of this class uses the so-called 'Barton-Nackman trick'...

template<class Impl> class QuantLib::Solver1D< Impl >" Base class for 1-D solvers. The implementation of this class uses the so-called 'Barton-Nackman trick'...

QuantLib_SparseILUPreconditioner(3)

References: Saad, Yousef. 1996, Iterative methods for sparse linear systems, http://www-users.cs.umn.edu/~saad/books…

References: Saad, Yousef. 1996, Iterative methods for sparse linear systems, http://www-users.cs.umn.edu/~saad/books…

QuantLib_SpotRecoveryLatentModel(3)

template<class copulaPolicy> class QuantLib::SpotRecoveryLatentModel< copulaPolicy >" Random spot recovery rate latent variable portfolio model.

template<class copulaPolicy> class QuantLib::SpotRecoveryLatentModel< copulaPolicy >" Random spot recovery rate latent variable portfolio model.

QuantLib_SpreadedHazardRateCurve(3)

Default-probability structure with an additive spread on hazard rates.

Default-probability structure with an additive spread on hazard rates.

QuantLib_SquareRootAndersen(3)

Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brace in 'Engineering BGM.' Vol process is an external input.

Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brace in 'Engineering BGM.' Vol process is an external input.

QuantLib_SquareRootProcess(3)

Square-root process class. This class describes a square-root process governed by [ dx = a (b - x_t) dt + sigma sqrt{x_t} dW_t. ]

Square-root process class. This class describes a square-root process governed by [ dx = a (b - x_t) dt + sigma sqrt{x_t} dW_t. ]

QuantLib_SteepestDescent(3)

Multi-dimensional steepest-descent class. User has to provide line-search method and optimization end criteria search direction $ = - f'(x) $

Multi-dimensional steepest-descent class. User has to provide line-search method and optimization end criteria search direction $ = - f'(x) $

QuantLib_StepCondition(3)

template<class array_type> class QuantLib::StepCondition< array_type >" condition to be applied at every time step

template<class array_type> class QuantLib::StepCondition< array_type >" condition to be applied at every time step

QuantLib_StepConditionSet(3)

template<typename array_type> class QuantLib::StepConditionSet< array_type >" Parallel evolver for multiple arrays.

template<typename array_type> class QuantLib::StepConditionSet< array_type >" Parallel evolver for multiple arrays.

QuantLib_step_iterator(3)

template<class Iterator> class QuantLib::step_iterator< Iterator >" Iterator advancing in constant steps. This iterator advances an underlying random-access...

template<class Iterator> class QuantLib::step_iterator< Iterator >" Iterator advancing in constant steps. This iterator advances an underlying random-access...

QuantLib_StochasticProcess(3)

multi-dimensional stochastic process class. This class describes a stochastic process governed by [ dmathrm{x}_t = mu(t, x_t)mathrm{d}t + sigma(t, mathrm{x}_t)...

multi-dimensional stochastic process class. This class describes a stochastic process governed by [ dmathrm{x}_t = mu(t, x_t)mathrm{d}t + sigma(t, mathrm{x}_t)...

QuantLib_StochasticProcess1D(3)

1-dimensional stochastic process This class describes a stochastic process governed by [ dx_t = mu(t, x_t)dt + sigma(t, x_t)dW_t. ]

1-dimensional stochastic process This class describes a stochastic process governed by [ dx_t = mu(t, x_t)dt + sigma(t, x_t)dW_t. ]

QuantLib_StochasticProcess_discretization(3)

discretization of a stochastic process over a given time interval

discretization of a stochastic process over a given time interval

QuantLib_StrippedOptionlet(3)

Helper class to wrap in a StrippedOptionletBase object a matrix of exogenously calculated optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward...

Helper class to wrap in a StrippedOptionletBase object a matrix of exogenously calculated optionlet (i.e. caplet/floorlet) volatilities (a.k.a. forward-forward...

QuantLib_StrippedOptionletAdapter(3)

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

Adapter class for turning a StrippedOptionletBase object into an OptionletVolatilityStructure.

QuantLib_StrippedOptionletBase(3)

Abstract base class interface for a (time indexed) vector of (strike indexed) optionlet (i.e. caplet/floorlet) volatilities.

Abstract base class interface for a (time indexed) vector of (strike indexed) optionlet (i.e. caplet/floorlet) volatilities.

QuantLib_StudentDistribution(3)

Student t-distribution. Probability density function for $ n $ degrees of freedom (see mathworld.wolfram.com or wikipedia.org): [ f(x) = ac...

Student t-distribution. Probability density function for $ n $ degrees of freedom (see mathworld.wolfram.com or wikipedia.org): [ f(x) = ac...

QuantLib_StulzEngine(3)

Pricing engine for 2D European Baskets. This class implements formulae from 'Options on the Minimum or the Maximum of Two Risky Assets', Rene Stulz, Journal of...

Pricing engine for 2D European Baskets. This class implements formulae from 'Options on the Minimum or the Maximum of Two Risky Assets', Rene Stulz, Journal of...

QuantLib_SuperFundPayoff(3)

Binary supershare and superfund payoffs. Binary superfund payoff Superfund sometimes also called 'supershare', which can lead to ambiguity; within QuantLib the...

Binary supershare and superfund payoffs. Binary superfund payoff Superfund sometimes also called 'supershare', which can lead to ambiguity; within QuantLib the...

QuantLib_SurvivalProbabilityStructure(3)

Hazard-rate term structure. This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the...

Hazard-rate term structure. This abstract class acts as an adapter to DefaultProbabilityTermStructure allowing the programmer to implement only the...

QuantLib_SVD(3)

Singular value decomposition. Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press Tests

Singular value decomposition. Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press Tests

QuantLib_SVDDFwdRatePc(3)

Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brac in 'Engineering BGM.' Vol process is an external input.

Displaced diffusion LMM with uncorrelated vol process. Called 'Shifted BGM' with Heston vol by Brac in 'Engineering BGM.' Vol process is an external input.

QuantLib_SvenssonFitting(3)

Svensson Fitting method. Fits a discount function to the form $ d(t) = \xp^{-r t}, $ where the zero rate $r$ is defined as [ r \quiv c_0 + (c_0 + c_1)(ac {1 -...

Svensson Fitting method. Fits a discount function to the form $ d(t) = \xp^{-r t}, $ where the zero rate $r$ is defined as [ r \quiv c_0 + (c_0 + c_1)(ac {1 -...

QuantLib_Swap(3)

Interest rate swap. The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Interest rate swap. The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

QuantLib_SwapRateHelper(3)

Rate helper for bootstrapping over swap rates. Examples: Bonds.cpp, and swapvaluation.cpp.

Rate helper for bootstrapping over swap rates. Examples: Bonds.cpp, and swapvaluation.cpp.

QuantLib_SwaptionVolatilityMatrix(3)

At-the-money swaption-volatility matrix. This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose...

At-the-money swaption-volatility matrix. This class provides the at-the-money volatility for a given swaption by interpolating a volatility matrix whose...

QuantLib_SwaptionVolatilityStructure(3)

Swaption-volatility structure This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.

Swaption-volatility structure This abstract class defines the interface of concrete swaption volatility structures which will be derived from this one.

QuantLib_SwingExercise(3)

Swing exercise. A Swing option can only be exercised at a set of fixed date times

Swing exercise. A Swing option can only be exercised at a set of fixed date times

QuantLib_SymmetricSchurDecomposition(3)

symmetric threshold Jacobi algorithm. Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal...

symmetric threshold Jacobi algorithm. Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal...

QuantLib_SyntheticCDO(3)

Synthetic Collateralized Debt Obligation. The instrument prices a mezzanine CDO tranche with loss given default between attachment point $ D_1$ and detachment...

Synthetic Collateralized Debt Obligation. The instrument prices a mezzanine CDO tranche with loss given default between attachment point $ D_1$ and detachment...

QuantLib_TCopulaPolicy(3)

Sudent-T Latent Model's copula policy. Describes the copula of a set of normalized Student-T independent random factors to be fed into the latent variable...

Sudent-T Latent Model's copula policy. Describes the copula of a set of normalized Student-T independent random factors to be fed into the latent variable...

QuantLib_TCopulaPolicy_initTraits(3)

Stores the parameters defining the factors random variable T-distributions. As it is now the latent models are restricted to having the same distribution for...

Stores the parameters defining the factors random variable T-distributions. As it is now the latent models are restricted to having the same distribution for...

QuantLib_TemperatureVeryFastAnnealing(3)

Temperature Very Fast Annealing. For use with the Very Fast Annealing sampler

Temperature Very Fast Annealing. For use with the Very Fast Annealing sampler

QuantLib_TermStructureConsistentModel(3)

Term-structure consistent model class. This is a base class for models that can reprice exactly any discount bond.

Term-structure consistent model class. This is a base class for models that can reprice exactly any discount bond.

QuantLib_TermStructureFittingParameter(3)

Deterministic time-dependent parameter used for yield-curve fitting.

Deterministic time-dependent parameter used for yield-curve fitting.

QuantLib_THBCurrency(3)

Thai baht. The ISO three-letter code is THB; the numeric code is 764. It is divided in 100 stang.

Thai baht. The ISO three-letter code is THB; the numeric code is 764. It is divided in 100 stang.

QuantLib_Thirty360(3)

30/360 day count convention The 30/360 day count can be calculated according to US, European, or Italian conventions. US (NASD) convention: if the starting date...

30/360 day count convention The 30/360 day count can be calculated according to US, European, or Italian conventions. US (NASD) convention: if the starting date...

QuantLib_TimeSeries(3)

template<class T, class Container = std::map<Date, T>> class QuantLib::TimeSeries< T, Container >" Container for historical data. This class acts as a generic...

template<class T, class Container = std::map<Date, T>> class QuantLib::TimeSeries< T, Container >" Container for historical data. This class acts as a generic...

QuantLib_TqrEigenDecomposition(3)

tridiag. QR eigen decomposition with explicite shift aka Wilkinson References: Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of Handbook for...

tridiag. QR eigen decomposition with explicite shift aka Wilkinson References: Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of Handbook for...

QuantLib_TransformedGrid(3)

transformed grid This package encapuslates an array of grid points. It is used primarily in PDE calculations.

transformed grid This package encapuslates an array of grid points. It is used primarily in PDE calculations.

QuantLib_TrapezoidIntegral(3)

template<class IntegrationPolicy> class QuantLib::TrapezoidIntegral< IntegrationPolicy >" Integral of a one-dimensional function. Given a target accuracy $...

template<class IntegrationPolicy> class QuantLib::TrapezoidIntegral< IntegrationPolicy >" Integral of a one-dimensional function. Given a target accuracy $...

QuantLib_TRBDF2(3)

template<class Operator> class QuantLib::TRBDF2< Operator >" TR-BDF2 scheme for finite difference methods. See http://ssrn.com/abstract=1648878 for details. In...

template<class Operator> class QuantLib::TRBDF2< Operator >" TR-BDF2 scheme for finite difference methods. See http://ssrn.com/abstract=1648878 for details. In...

QuantLib_TreeCallableFixedRateBondEngine(3)

Numerical lattice engine for callable fixed rate bonds. Examples: CallableBonds.cpp.

Numerical lattice engine for callable fixed rate bonds. Examples: CallableBonds.cpp.

QuantLib_TreeCallableZeroCouponBondEngine(3)

Numerical lattice engine for callable zero coupon bonds.

Numerical lattice engine for callable zero coupon bonds.

QuantLib_TreeLattice(3)

template<class Impl> class QuantLib::TreeLattice< Impl >" Tree-based lattice-method base class. This class defines a lattice method that is able to rollback...

template<class Impl> class QuantLib::TreeLattice< Impl >" Tree-based lattice-method base class. This class defines a lattice method that is able to rollback...

QuantLib_TreeLattice1D(3)

template<class Impl> class QuantLib::TreeLattice1D< Impl >" One-dimensional tree-based lattice.

template<class Impl> class QuantLib::TreeLattice1D< Impl >" One-dimensional tree-based lattice.

QuantLib_TreeLattice2D(3)

template<class Impl, class T = TrinomialTree> class QuantLib::TreeLattice2D< Impl, T >" Two-dimensional tree-based lattice. This lattice is based on two...

template<class Impl, class T = TrinomialTree> class QuantLib::TreeLattice2D< Impl, T >" Two-dimensional tree-based lattice. This lattice is based on two...

QuantLib_TrinomialTree(3)

Recombining trinomial tree class. This class defines a recombining trinomial tree approximating a 1-D stochastic process. Warning

Recombining trinomial tree class. This class defines a recombining trinomial tree approximating a 1-D stochastic process. Warning

QuantLib_TRLCurrency(3)

Turkish lira. The ISO three-letter code was TRL; the numeric code was 792. It was divided in 100 kurus. Obsoleted by the new Turkish lira since 2005.

Turkish lira. The ISO three-letter code was TRL; the numeric code was 792. It was divided in 100 kurus. Obsoleted by the new Turkish lira since 2005.

QuantLib_TRLibor(3)

TRY LIBOR rate TRY LIBOR fixed by TBA. See http://www.trlibor.org/trlibor/english/

TRY LIBOR rate TRY LIBOR fixed by TBA. See http://www.trlibor.org/trlibor/english/

QuantLib_TRYCurrency(3)

New Turkish lira. The ISO three-letter code is TRY; the numeric code is 949. It is divided in 100 new kurus.

New Turkish lira. The ISO three-letter code is TRY; the numeric code is 949. It is divided in 100 new kurus.

QuantLib_TsiveriotisFernandesLattice(3)

template<class T> class QuantLib::TsiveriotisFernandesLattice< T >" Binomial lattice approximating the Tsiveriotis-Fernandes model.

template<class T> class QuantLib::TsiveriotisFernandesLattice< T >" Binomial lattice approximating the Tsiveriotis-Fernandes model.

QuantLib_TTDCurrency(3)

Trinidad & Tobago dollar. The ISO three-letter code is TTD; the numeric code is 780. It is divided in 100 cents.

Trinidad & Tobago dollar. The ISO three-letter code is TTD; the numeric code is 780. It is divided in 100 cents.

QuantLib_TWDCurrency(3)

Taiwan dollar The ISO three-letter code is TWD; the numeric code is 901. It is divided in 100 cents.

Taiwan dollar The ISO three-letter code is TWD; the numeric code is 901. It is divided in 100 cents.

QuantLib_TwoDimensionalIntegral(3)

Integral of a two-dimensional function. The integral of a two dimensional function $ f(x,y) $ between $ (a_x, a_y) $ and $ (b_x, b_y) $ is calculated by means...

Integral of a two-dimensional function. The integral of a two dimensional function $ f(x,y) $ between $ (a_x, a_y) $ and $ (b_x, b_y) $ is calculated by means...

QuantLib_TwoFactorModel_ShortRateDynamics(3)

Class describing the dynamics of the two state variables. We assume here that the short-rate is a function of two state variables x and y. [ r_t = f(t, x_t...

Class describing the dynamics of the two state variables. We assume here that the short-rate is a function of two state variables x and y. [ r_t = f(t, x_t...

QuantLib_TwoFactorModel_ShortRateTree(3)

Recombining two-dimensional tree discretizing the state variable.

Recombining two-dimensional tree discretizing the state variable.

QuantLib_UAHCurrency(3)

Ukrainian hryvnia. The ISO three-letter code is UAH; the numeric code is 980. It is divided in 100 kopiykas.

Ukrainian hryvnia. The ISO three-letter code is UAH; the numeric code is 980. It is divided in 100 kopiykas.

QuantLib_UnitDisplacedBlackYoYInflationCouponPricer(3)

Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons.

Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons.

QuantLib_UnitOfMeasureConversionManager(3)

repository of conversion factors between units of measure Tests

repository of conversion factors between units of measure Tests

QuantLib_USDCurrency(3)

U.S. dollar. The ISO three-letter code is USD; the numeric code is 840. It is divided in 100 cents.

U.S. dollar. The ISO three-letter code is USD; the numeric code is 840. It is divided in 100 cents.

QuantLib_USDLibor(3)

USD LIBOR rate US Dollar LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Examples: Bonds.cpp.

USD LIBOR rate US Dollar LIBOR fixed by ICE. See https://www.theice.com/marketdata/repor…. Examples: Bonds.cpp.

QuantLib_UsdLiborSwapIsdaFixAm(3)

UsdLiborSwapIsdaFixAm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual...

UsdLiborSwapIsdaFixAm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual...

QuantLib_UsdLiborSwapIsdaFixPm(3)

UsdLiborSwapIsdaFixPm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm New York. Semiannual...

UsdLiborSwapIsdaFixPm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm New York. Semiannual...

QuantLib_VanillaOption(3)

Vanilla option (no discrete dividends, no barriers) on a single asset. Examples: EquityOption.cpp.

Vanilla option (no discrete dividends, no barriers) on a single asset. Examples: EquityOption.cpp.

QuantLib_VanillaSwap(3)

Plain-vanilla swap: fix vs floating leg. If no payment convention is passed, the convention of the floating-rate schedule is used. Warning

Plain-vanilla swap: fix vs floating leg. If no payment convention is passed, the convention of the floating-rate schedule is used. Warning

QuantLib_VannaVolgaDoubleBarrierEngine(3)

template<class DoubleBarrierEngine> class QuantLib::VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >" Vanna Volga double-barrier option engine.

template<class DoubleBarrierEngine> class QuantLib::VannaVolgaDoubleBarrierEngine< DoubleBarrierEngine >" Vanna Volga double-barrier option engine.

QuantLib_VarianceGammaEngine(3)

Variance Gamma Pricing engine for European vanilla options using integral approach. Tests

Variance Gamma Pricing engine for European vanilla options using integral approach. Tests

QuantLib_VarianceGammaModel(3)

Variance Gamma model. References: Dilip B. Madan, Peter Carr, Eric C. Chang (1998) 'The variance gamma process and option pricing,' European Finance Review, 2...

Variance Gamma model. References: Dilip B. Madan, Peter Carr, Eric C. Chang (1998) 'The variance gamma process and option pricing,' European Finance Review, 2...

QuantLib_VarianceGammaProcess(3)

Variance gamma process. This class describes the stochastic volatility process. With a Brownian motion given by [ db = heta dt + sigma dW_t ] then a Variance...

Variance gamma process. This class describes the stochastic volatility process. With a Brownian motion given by [ db = heta dt + sigma dW_t ] then a Variance...

QuantLib_Vasicek(3)

Vasicek model class This class implements the Vasicek model defined by [ dr_t = a(b - r_t)dt + sigma dW_t , ] where $ a $, $ b $ and $ sigma $ are constants; a...

Vasicek model class This class implements the Vasicek model defined by [ dr_t = a(b - r_t)dt + sigma dW_t , ] where $ a $, $ b $ and $ sigma $ are constants; a...

QuantLib_Vasicek_Dynamics(3)

Short-rate dynamics in the Vasicek model. The short-rate follows an Ornstein-Uhlenbeck process with mean $ b $.

Short-rate dynamics in the Vasicek model. The short-rate follows an Ornstein-Uhlenbeck process with mean $ b $.

QuantLib_VEBCurrency(3)

Venezuelan bolivar. The ISO three-letter code is VEB; the numeric code is 862. It is divided in 100 centimos.

Venezuelan bolivar. The ISO three-letter code is VEB; the numeric code is 862. It is divided in 100 centimos.

QuantLib_VegaBumpCollection(3)

There are too many pseudo-root elements to allow bumping them all independently so we cluster them together and then divide all elements into a collection of...

There are too many pseudo-root elements to allow bumping them all independently so we cluster them together and then divide all elements into a collection of...

QuantLib_VegaStressedBlackScholesProcess(3)

Black-Scholes process which supports local vega stress tests.

Black-Scholes process which supports local vega stress tests.

QuantLib_VNDCurrency(3)

Vietnamese Dong. The ISO three-letter code is VND; the numeric code is 704. It was divided in 100 xu.

Vietnamese Dong. The ISO three-letter code is VND; the numeric code is 704. It was divided in 100 xu.

QuantLib_VolatilityTermStructure(3)

Volatility term structure. This abstract class defines the interface of concrete volatility structures which will be derived from this one.

Volatility term structure. This abstract class defines the interface of concrete volatility structures which will be derived from this one.

QuantLib_WeekendsOnly(3)

Weekends-only calendar. This calendar has no bank holidays except for weekends (Saturdays and Sundays) as required by ISDA for calculating conventional CDS...

Weekends-only calendar. This calendar has no bank holidays except for weekends (Saturdays and Sundays) as required by ISDA for calculating conventional CDS...

QuantLib_WulinYongDoubleBarrierEngine(3)

Pricing engine for barrier options using analytical formulae. The formulas are taken from 'Barrier Option Pricing', Wulin Suo, Yong Wang. Tests

Pricing engine for barrier options using analytical formulae. The formulas are taken from 'Barrier Option Pricing', Wulin Suo, Yong Wang. Tests

QuantLib_YearOnYearInflationSwap(3)

Year-on-year inflation-indexed swap. Quoted as a fixed rate $ K $. At start: [ sum_{i=1}^{M} P_n(0,t_i) N K = sum_{i=1}^{M} P_n(0,t_i) N left[...

Year-on-year inflation-indexed swap. Quoted as a fixed rate $ K $. At start: [ sum_{i=1}^{M} P_n(0,t_i) N K = sum_{i=1}^{M} P_n(0,t_i) N left[...

QuantLib_YieldTermStructure(3)

Interest-rate term structure. This abstract class defines the interface of concrete interest rate structures which will be derived from this one. Tests

Interest-rate term structure. This abstract class defines the interface of concrete interest rate structures which will be derived from this one. Tests

QuantLib_YoYCapFloorTermPriceSurface(3)

Abstract base class, inheriting from InflationTermStructure. Since this can create a yoy term structure it does take a YoY index.

Abstract base class, inheriting from InflationTermStructure. Since this can create a yoy term structure it does take a YoY index.

QuantLib_YoYInflationBachelierCapFloorEngine(3)

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

QuantLib_YoYInflationBlackCapFloorEngine(3)

Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

QuantLib_YoYInflationCapFloor(3)

Base class for yoy inflation cap-like instruments. Note that the standard YoY inflation cap/floor defined here is different from nominal, because in nominal...

Base class for yoy inflation cap-like instruments. Note that the standard YoY inflation cap/floor defined here is different from nominal, because in nominal...

QuantLib_YoYInflationCapFloorEngine(3)

Base YoY inflation cap/floor engine. This class doesn't know yet what sort of vol it is. The inflation index must be linked to a yoy inflation term structure...

Base YoY inflation cap/floor engine. This class doesn't know yet what sort of vol it is. The inflation index must be linked to a yoy inflation term structure...

QuantLib_YoYInflationIndex(3)

Base class for year-on-year inflation indices. These may be genuine indices published on, say, Bloomberg, or 'fake' indices that are defined as the ratio of an...

Base class for year-on-year inflation indices. These may be genuine indices published on, say, Bloomberg, or 'fake' indices that are defined as the ratio of an...

QuantLib_yoyInflationLeg(3)

Helper class building a sequence of capped/floored yoy inflation coupons payoff is: spread + gearing x index

Helper class building a sequence of capped/floored yoy inflation coupons payoff is: spread + gearing x index

QuantLib_YoYInflationUnitDisplacedBlackCapFloorEngine(3)

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

QuantLib_YoYOptionletStripper(3)

Interface for inflation cap stripping, i.e. from price surfaces. Strippers return K slices of the volatility surface at a given T. In initialize they actually...

Interface for inflation cap stripping, i.e. from price surfaces. Strippers return K slices of the volatility surface at a given T. In initialize they actually...

QuantLib_YoYOptionletVolatilitySurface(3)

Abstract interface ... no data, only results. Basically used to change the BlackVariance() methods to totalVariance. Also deal with lagged observations of an...

Abstract interface ... no data, only results. Basically used to change the BlackVariance() methods to totalVariance. Also deal with lagged observations of an...

QuantLib_Zabr(3)

template<class Evaluation> class QuantLib::Zabr< Evaluation >" no arbtrage sabr interpolation factory and traits

template<class Evaluation> class QuantLib::Zabr< Evaluation >" no arbtrage sabr interpolation factory and traits

QuantLib_ZabrInterpolation(3)

template<class Evaluation> class QuantLib::ZabrInterpolation< Evaluation >" zabr smile interpolation between discrete volatility points.

template<class Evaluation> class QuantLib::ZabrInterpolation< Evaluation >" zabr smile interpolation between discrete volatility points.

QuantLib_ZARCurrency(3)

South-African rand. The ISO three-letter code is ZAR; the numeric code is 710. It is divided into 100 cents.

South-African rand. The ISO three-letter code is ZAR; the numeric code is 710. It is divided into 100 cents.

QuantLib_ZeroCondition(3)

template<class array_type> class QuantLib::ZeroCondition< array_type >" Zero exercise condition. Used in CEV models

template<class array_type> class QuantLib::ZeroCondition< array_type >" Zero exercise condition. Used in CEV models

QuantLib_ZeroCouponInflationSwap(3)

Zero-coupon inflation-indexed swap. Quoted as a fixed rate $ K $. At start: [ P_n(0,T) N [(1+K)^{T}-1] = P_n(0,T) N left[ ac{I(T)}{I(0)} -1 right] ] where $ T $...

Zero-coupon inflation-indexed swap. Quoted as a fixed rate $ K $. At start: [ P_n(0,T) N [(1+K)^{T}-1] = P_n(0,T) N left[ ac{I(T)}{I(0)} -1 right] ] where $ T $...

QuantLib_ZeroYieldStructure(3)

Zero-yield term structure. This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time) method...

Zero-yield term structure. This abstract class acts as an adapter to YieldTermStructure allowing the programmer to implement only the zeroYieldImpl(Time) method...

QuantLib_ZigguratRng(3)

Ziggurat random-number generator. This generator returns standard normal variates using the Ziggurat method. The underlying RNG is mt19937 (32 bit version). The...

Ziggurat random-number generator. This generator returns standard normal variates using the Ziggurat method. The underlying RNG is mt19937 (32 bit version). The...

shortrate(3)

This framework (corresponding to the ql/ShortRateModels directory) implements some single-factor and two-factor short rate models. The models implemented in...

This framework (corresponding to the ql/ShortRateModels directory) implements some single-factor and two-factor short rate models. The models implemented in...

solvers(3)

The abstract class QuantLib::Solver1D provides the interface for one-dimensional solvers which can find the zeroes of a given function. A number of such solvers...

The abstract class QuantLib::Solver1D provides the interface for one-dimensional solvers which can find the zeroes of a given function. A number of such solvers...

swaptionengines(3)

class LfmSwaptionEngine Libor forward model swaption engine based on Black formula class BlackSwaptionEngine Shifted Lognormal Black-formula swaption engine...

class LfmSwaptionEngine Libor forward model swaption engine based on Black formula class BlackSwaptionEngine Shifted Lognormal Black-formula swaption engine...

types(3)

A number of numeric types are defined in order to add clarity to function and method declarations.

A number of numeric types are defined in order to add clarity to function and method declarations.

vanillaengines(3)

class VarianceGammaEngine Variance Gamma Pricing engine for European vanilla options using integral approach. class FFTEngine Base class for FFT pricing engines...

class VarianceGammaEngine Variance Gamma Pricing engine for European vanilla options using integral approach. class FFTEngine Base class for FFT pricing engines...

where(3)

Source code, documentation, modules, etc. of current and previous QuantLib releases can be downloaded from http://quantlib.org/download.shtml

Source code, documentation, modules, etc. of current and previous QuantLib releases can be downloaded from http://quantlib.org/download.shtml

yieldtermstructures(3)

The abstract class QuantLib::YieldTermStructure provides the common interface to concrete yield-rate term structure models. Among others, methods are declared...

The abstract class QuantLib::YieldTermStructure provides the common interface to concrete yield-rate term structure models. Among others, methods are declared...