Package QuantLib-doc

The documentation for QuantLib

http://www.quantlib.org

This package contains documentation files generated from the source code of
QuantLib.

General Commands
Command Description
BasketLosses Example of Modeling Losses Across Correlated Assets
BermudanSwaption Example of using QuantLib
Bonds Example of bond pricing
CallableBonds Example of callable-bond pricing
CDS Example of Credit-Default Swap pricing
ConvertibleBonds Example of using QuantLib to value convertible bonds
CVAIRS Example of Credit Value Adjustment for Interest Rate Swap
DiscreteHedging Example of using QuantLib
EquityOption Example of using QuantLib to value equity options
FittedBondCurve Example of using QuantLib to fit discount curves
FRA Example of using QuantLib
Gaussian1dModels Example of Gaussian Short Rate Model for Interest Rate Derivatives
LatentModel Example of Modeling Correlated Defaults
MarketModels Example of Interst Rate Derivative Pricing
MultidimIntegral Example of Multi-dimensional Numerical Integration
Replication Example of using QuantLib
Repo Example of using QuantLib
SwapValuation Example of using QuantLib
Library Functions
Library Function Description
asianengines asianengines
barrierengines barrierengines
basketengines basketengines
bug bugKnown Bugs
calendars calendars
capfloorengines capfloorengines
caveats caveatsCaveats
cliquetengines cliquetengines
config configUser configuration
currencies currencies
datetime datetime
daycounters daycounters
debugMacros debugMacros
findiff findiff
forwardengines forwardengines
install installInstallation
instruments instruments
interpolations interpolations
lattices lattices
limitMacros limitMacros
macros macros
math math
mcarlo mcarlo
optimizers optimizers
patterns patterns
processes processes
ql-deprecated deprecatedDeprecated Features
ql-engines engines
ql-group groupThe QuantLib Group
ql-history historyVersion history
ql-license licenseQuantLib License
ql-manips manips
QuantLib_Abcd Abcd interpolation factory and traits
QuantLib_AbcdAtmVolCurve Abcd-interpolated at-the-money (no-smile) volatility curve.
QuantLib_AbcdFunction Abcd functional form for instantaneous volatility
QuantLib_AbcdInterpolation Abcd interpolation between discrete points.
QuantLib_AbcdMathFunction Abcd functional form
QuantLib_AbcdVol Abcd-interpolated volatility structure
QuantLib_AccountingEngine Engine collecting cash flows along a market-model simulation.
QuantLib_Actual360 Actual/360 day count convention.
QuantLib_Actual365Fixed Actual/365 (Fixed) day count convention.
QuantLib_Actual365NoLeap Actual/365 (No Leap) day count convention.
QuantLib_ActualActual Actual/Actual day count.
QuantLib_AcyclicVisitor degenerate base class for the Acyclic Visitor pattern
QuantLib_AdditiveEQPBinomialTree Additive equal probabilities binomial tree.
QuantLib_AffineModel Affine model class.
QuantLib_AliMikhailHaqCopula Ali-Mikhail-Haq copula.
QuantLib_AmericanCondition American exercise condition.
QuantLib_AmericanExercise American exercise.
QuantLib_AmericanPayoffAtExpiry Analytic formula for American exercise payoff at-expiry options.
QuantLib_AmericanPayoffAtHit Analytic formula for American exercise payoff at-hit options.
QuantLib_AmortizingCmsRateBond amortizing CMS-rate bond
QuantLib_AmortizingFixedRateBond amortizing fixed-rate bond
QuantLib_AmortizingFloatingRateBond amortizing floating-rate bond (possibly capped and/or floored)
QuantLib_AmortizingPayment Amortizing payment.
QuantLib_AnalyticAmericanMargrabeEngine Analytic engine for American Margrabe option.
QuantLib_AnalyticBarrierEngine Pricing engine for barrier options using analytical formulae.
QuantLib_AnalyticBinaryBarrierEngine Analytic pricing engine for American binary barriers options.
QuantLib_AnalyticBSMHullWhiteEngine analytic european option pricer including stochastic interest rates
QuantLib_AnalyticCapFloorEngine Analytic engine for cap/floor.
QuantLib_AnalyticCliquetEngine Pricing engine for Cliquet options using analytical formulae.
QuantLib_AnalyticCompoundOptionEngine Pricing engine for compound options using analytical formulae.
QuantLib_AnalyticContinuousFixedLookbackEngine Pricing engine for European continuous fixed-strike lookback.
QuantLib_AnalyticContinuousFloatingLookbackEngine Pricing engine for European continuous floating-strike lookback.
QuantLib_AnalyticContinuousGeometricAveragePriceAsianEngine Pricing engine for European continuous geometric average price Asian.
QuantLib_AnalyticContinuousPartialFixedLookbackEngine Pricing engine for European continuous partial-time fixed-strike lookback...
QuantLib_AnalyticContinuousPartialFloatingLookbackEngine Pricing engine for European continuous partial-time floating-strike lookback...
QuantLib_AnalyticDigitalAmericanEngine Analytic pricing engine for American vanilla options with digital payoff.
QuantLib_AnalyticDigitalAmericanKOEngine Analytic pricing engine for American Knock-out options with digital payoff.
QuantLib_AnalyticDiscreteGeometricAveragePriceAsianEngine Pricing engine for European discrete geometric average price Asian.
QuantLib_AnalyticDiscreteGeometricAverageStrikeAsianEngine Pricing engine for European discrete geometric average-strike Asian option.
QuantLib_AnalyticDividendEuropeanEngine Analytic pricing engine for European options with discrete dividends.
QuantLib_AnalyticDoubleBarrierBinaryEngine Analytic pricing engine for double barrier binary options.
QuantLib_AnalyticDoubleBarrierEngine Pricing engine for double barrier european options using analytical formulae.
QuantLib_AnalyticEuropeanEngine Pricing engine for European vanilla options using analytical formulae.
QuantLib_AnalyticEuropeanMargrabeEngine Analytic engine for European Margrabe option.
QuantLib_AnalyticGJRGARCHEngine GJR-GARCH(1,1) engine.
QuantLib_AnalyticH1HWEngine Analytic Heston-Hull-White engine based on the H1-HW approximation.
QuantLib_AnalyticHaganPricer CMS-coupon pricer.
QuantLib_AnalyticHestonEngine analytic Heston-model engine based on Fourier transform
QuantLib_AnalyticHestonHullWhiteEngine Analytic Heston engine incl. stochastic interest rates.
QuantLib_AnalyticPDFHestonEngine Analytic engine for arbitrary European payoffs under the Heston model.
QuantLib_AnalyticPerformanceEngine Pricing engine for performance options using analytical formulae.
QuantLib_AnalyticPTDHestonEngine analytic piecewise constant time dependent Heston-model engine
QuantLib_AnalyticSimpleChooserEngine Pricing engine for European Simple Chooser option.
QuantLib_AnalyticTwoAssetBarrierEngine Analytic engine for barrier option on two assets.
QuantLib_AnalyticTwoAssetCorrelationEngine Analytic two-asset correlation option engine.
QuantLib_AnalyticWriterExtensibleOptionEngine Analytic engine for writer-extensible options.
QuantLib_Aonia Aonia index
QuantLib_Argentina Argentinian calendars.
QuantLib_ArithmeticAveragedOvernightIndexedCouponPricer ArithmeticAveragedOvernightIndexedCouponPricer
QuantLib_ArithmeticAverageOIS Arithemtic Average OIS: fix vs arithmetic average of overnight rate.
QuantLib_ArithmeticOISRateHelper Rate helper for bootstrapping over Overnight Indexed Swap rates.
QuantLib_ArmijoLineSearch Armijo line search.
QuantLib_Array 1-D array used in linear algebra.
QuantLib_ARSCurrency Argentinian peso.
QuantLib_AssetOrNothingPayoff Binary asset-or-nothing payoff.
QuantLib_AssetSwap Bullet bond vs Libor swap.
QuantLib_AssetSwap_arguments Arguments for asset swap calculation
QuantLib_AssetSwap_results Results from simple swap calculation
QuantLib_ASX Main cycle of the Australian Securities Exchange (a.k.a. ASX) months.
QuantLib_AtomicDefault Atomic (single contractual event) default events.
QuantLib_ATSCurrency Austrian shilling.
QuantLib_AUCPI AU CPI index (either quarterly or annual)
QuantLib_AUDCurrency Australian dollar.
QuantLib_AUDLibor AUD LIBOR rate
QuantLib_Australia Australian calendar.
QuantLib_AustraliaRegion Australia as geographical/economic region.
QuantLib_Average Placeholder for enumerated averaging types.
QuantLib_AverageBMACoupon Average BMA coupon.
QuantLib_AverageBMALeg helper class building a sequence of average BMA coupons
QuantLib_BachelierCapFloorEngine Bachelier-Black-formula cap/floor engine.
QuantLib_BachelierSwaptionEngine Normal Bachelier-formula swaption engine.
QuantLib_BachelierYoYInflationCouponPricer Bachelier-formula pricer for capped/floored yoy inflation coupons.
QuantLib_BackwardFlat Backward-flat interpolation factory and traits.
QuantLib_BackwardFlatInterpolation Backward-flat interpolation between discrete points.
QuantLib_BaroneAdesiWhaleyApproximationEngine Barone-Adesi and Whaley pricing engine for American options (1987)
QuantLib_Barrier Placeholder for enumerated barrier types.
QuantLib_BarrierOption Barrier option on a single asset.
QuantLib_BarrierOption_arguments Arguments for barrier option calculation
QuantLib_BarrierOption_engine Barrier-option engine base class
QuantLib_BaseCorrelationLossModel BaseCorrelationLossModel< BaseModel_T, Corr2DInt_T >
QuantLib_BaseCorrelationTermStructure BaseCorrelationTermStructure< Interpolator2D_T >
QuantLib_Basket Basket
QuantLib_BasketOption Basket option on a number of assets.
QuantLib_BasketOption_engine Basket-option engine base class
QuantLib_BatesEngine Bates model engines based on Fourier transform.
QuantLib_BatesModel Bates stochastic-volatility model.
QuantLib_BatesProcess Square-root stochastic-volatility Bates process.
QuantLib_Bbsw Bbsw index
QuantLib_Bbsw1M 1-month Bbsw index
QuantLib_Bbsw2M 2-months Bbsw index
QuantLib_Bbsw3M 3-months Bbsw index
QuantLib_Bbsw4M 4-months Bbsw index
QuantLib_Bbsw5M 5-months Bbsw index
QuantLib_Bbsw6M 6-months Bbsw index
QuantLib_BDTCurrency Bangladesh taka.
QuantLib_BEFCurrency Belgian franc.
QuantLib_BermudanExercise Bermudan exercise.
QuantLib_BernsteinPolynomial class of Bernstein polynomials
QuantLib_BespokeCalendar Bespoke calendar.
QuantLib_BFGS Broyden-Fletcher-Goldfarb-Shanno algorithm.
QuantLib_BGLCurrency Bulgarian lev.
QuantLib_Bicubic bicubic-spline-interpolation factory
QuantLib_BicubicSpline bicubic-spline interpolation between discrete points
QuantLib_Bilinear bilinear-interpolation factory
QuantLib_BilinearInterpolation bilinear interpolation between discrete points
QuantLib_BinomialBarrierEngine Pricing engine for barrier options using binomial trees.
QuantLib_BinomialConvertibleEngine Binomial Tsiveriotis-Fernandes engine for convertible bonds.
QuantLib_BinomialDistribution Binomial probability distribution function.
QuantLib_BinomialDoubleBarrierEngine Pricing engine for double barrier options using binomial trees.
QuantLib_BinomialLossModel BinomialLossModel< LLM >
QuantLib_BinomialProbabilityOfAtLeastNEvents Probability of at least N events.
QuantLib_BinomialTree Binomial tree base class.
QuantLib_BinomialVanillaEngine Pricing engine for vanilla options using binomial trees.
QuantLib_Bisection Bisection 1-D solver
QuantLib_BivariateCumulativeNormalDistributionDr78 Cumulative bivariate normal distribution function.
QuantLib_BivariateCumulativeNormalDistributionWe04DP Cumulative bivariate normal distibution function (West 2004)
QuantLib_BivariateCumulativeStudentDistribution Cumulative Student t-distribution.
QuantLib_BjerksundStenslandApproximationEngine Bjerksund and Stensland pricing engine for American options (1993)
QuantLib_Bkbm Bkbm index
QuantLib_Bkbm1M 1-month Bkbm index
QuantLib_Bkbm2M 2-months Bkbm index
QuantLib_Bkbm3M 3-months Bkbm index
QuantLib_Bkbm4M 4-months Bkbm index
QuantLib_Bkbm5M 5-months Bkbm index
QuantLib_Bkbm6M 6-months Bkbm index
QuantLib_BlackAtmVolCurve Black at-the-money (no-smile) volatility curve.
QuantLib_BlackCalculator Black 1976 calculator class.
QuantLib_BlackCallableFixedRateBondEngine Black-formula callable fixed rate bond engine.
QuantLib_BlackCallableZeroCouponBondEngine Black-formula callable zero coupon bond engine.
QuantLib_BlackCapFloorEngine Black-formula cap/floor engine.
QuantLib_BlackCdsOptionEngine Black-formula CDS-option engine.
QuantLib_BlackConstantVol Constant Black volatility, no time-strike dependence.
QuantLib_BlackDeltaCalculator Black delta calculator class.
QuantLib_BlackIborCouponPricer BlackIborCouponPricer
QuantLib_BlackKarasinski Standard Black-Karasinski model class.
QuantLib_BlackKarasinski_Dynamics Short-rate dynamics in the Black-Karasinski model.
QuantLib_BlackProcess Black (1976) stochastic process.
QuantLib_BlackScholesCalculator Black-Scholes 1973 calculator class.
QuantLib_BlackScholesLattice Simple binomial lattice approximating the Black-Scholes model.
QuantLib_BlackScholesMertonProcess Merton (1973) extension to the Black-Scholes stochastic process.
QuantLib_BlackScholesProcess Black-Scholes (1973) stochastic process.
QuantLib_BlackSwaptionEngine Shifted Lognormal Black-formula swaption engine.
QuantLib_BlackVarianceCurve Black volatility curve modelled as variance curve.
QuantLib_BlackVarianceSurface Black volatility surface modelled as variance surface.
QuantLib_BlackVarianceTermStructure Black variance term structure.
QuantLib_BlackVolatilityTermStructure Black-volatility term structure.
QuantLib_BlackVolSurface Black volatility (smile) surface.
QuantLib_BlackVolTermStructure Black-volatility term structure.
QuantLib_BlackYoYInflationCouponPricer Black-formula pricer for capped/floored yoy inflation coupons.
QuantLib_BMAIndex Bond Market Association index.
QuantLib_BMASwap swap paying Libor against BMA coupons
QuantLib_BMASwapRateHelper Rate helper for bootstrapping over BMA swap rates.
QuantLib_Bond Base bond class.
QuantLib_BondFunctions Bond adapters of CashFlows functions.
QuantLib_BondHelper Bond helper for curve bootstrap.
QuantLib_BootstrapError bootstrap error
QuantLib_BootstrapHelper Base helper class for bootstrapping.
QuantLib_BoundaryCondition Abstract boundary condition class for finite difference problems.
QuantLib_BoundaryConstraint Constraint imposing all arguments to be in [low,high]
QuantLib_BoxMullerGaussianRng Gaussian random number generator.
QuantLib_Brazil Brazilian calendar.
QuantLib_Brent Brent 1-D solver
QuantLib_BRLCurrency Brazilian real.
QuantLib_BrownianBridge Builds Wiener process paths using Gaussian variates.
QuantLib_BSMOperator Black-Scholes-Merton differential operator.
QuantLib_BSpline B-spline basis functions.
QuantLib_BTP Italian BTP (Buono Poliennali del Tesoro) fixed rate bond.
QuantLib_Business252 Business/252 day count convention.
QuantLib_BYRCurrency Belarussian ruble.
QuantLib_CADCurrency Canadian dollar.
QuantLib_CADLibor CAD LIBOR rate
QuantLib_CADLiborON Overnight CAD Libor index.
QuantLib_Calendar calendar class
QuantLib_Calendar_Impl abstract base class for calendar implementations
QuantLib_Calendar_OrthodoxImpl partial calendar implementation
QuantLib_Calendar_WesternImpl partial calendar implementation
QuantLib_CalibratedModel Calibrated model class.
QuantLib_CalibrationHelper liquid market instrument used during calibration
QuantLib_Callability instrument callability
QuantLib_Callability_Price amount to be paid upon callability
QuantLib_CallableBond Callable bond base class.
QuantLib_CallableBondConstantVolatility Constant callable-bond volatility, no time-strike dependence.
QuantLib_CallableBond_engine base class for callable fixed rate bond engine
QuantLib_CallableBond_results results for a callable bond calculation
QuantLib_CallableBondVolatilityStructure Callable-bond volatility structure.
QuantLib_CallableFixedRateBond callable/puttable fixed rate bond
QuantLib_CallableZeroCouponBond callable/puttable zero coupon bond
QuantLib_Canada Canadian calendar.
QuantLib_Cap Concrete cap class.
QuantLib_CapFloor Base class for cap-like instruments.
QuantLib_CapFloor_arguments Arguments for cap/floor calculation
QuantLib_CapFloor_engine base class for cap/floor engines
QuantLib_CapFloorTermVolatilityStructure Cap/floor term-volatility structure.
QuantLib_CapFloorTermVolCurve Cap/floor at-the-money term-volatility vector.
QuantLib_CapFloorTermVolSurface Cap/floor smile volatility surface.
QuantLib_CapHelper calibration helper for ATM cap
QuantLib_CappedFlooredCoupon Capped and/or floored floating-rate coupon.
QuantLib_CappedFlooredYoYInflationCoupon Capped or floored inflation coupon.
QuantLib_CapPseudoDerivative CapPseudoDerivative
QuantLib_CashFlow Base class for cash flows.
QuantLib_CashFlows cashflow-analysis functions
QuantLib_CashOrNothingPayoff Binary cash-or-nothing payoff.
QuantLib_CatBond_engine base class for cat bond engine
QuantLib_CatBond_results results for a cat bond calculation
QuantLib_CCTEU CCTEU
QuantLib_CDO collateralized debt obligation
QuantLib_Cdor CDOR rate
QuantLib_CdsHelper CdsHelper
QuantLib_CdsOption CDS option.
QuantLib_CdsOption_arguments Arguments for CDS-option calculation
QuantLib_CdsOption_engine base class for swaption engines
QuantLib_CdsOption_results Results from CDS-option calculation
QuantLib_CeilingTruncation Ceiling truncation.
QuantLib_CHFCurrency Swiss franc.
QuantLib_CHFLibor CHF LIBOR rate
QuantLib_ChfLiborSwapIsdaFix ChfLiborSwapIsdaFix index base class
QuantLib_China Chinese calendar.
QuantLib_Claim Claim associated to a default event.
QuantLib_ClaytonCopula Clayton copula.
QuantLib_ClaytonCopulaRng Clayton copula random-number generator.
QuantLib_CLGaussianRng Gaussian random number generator.
QuantLib_CliquetOption cliquet (Ratchet) option
QuantLib_CliquetOption_arguments Arguments for cliquet option calculation
QuantLib_CliquetOption_engine Cliquet engine base class.
QuantLib_Clone cloning proxy to an underlying object
QuantLib_ClosestRounding Closest rounding.
QuantLib_CLPCurrency Chilean peso.
QuantLib_CmsCoupon CMS coupon class.
QuantLib_CmsCouponPricer base pricer for vanilla CMS coupons
QuantLib_CmsLeg helper class building a sequence of capped/floored cms-rate coupons
QuantLib_CmsMarket set of CMS quotes
QuantLib_CMSMMDriftCalculator Drift computation for CMS market models.
QuantLib_CmsRateBond CMS-rate bond.
QuantLib_CmsSpreadCoupon CMS spread coupon class.
QuantLib_CmsSpreadCouponPricer base pricer for vanilla CMS spread coupons
QuantLib_CmsSpreadLeg helper class building a sequence of capped/floored cms-spread-rate coupons
QuantLib_CMSwapCurveState Curve state for constant-maturity-swap market models
QuantLib_CNYCurrency Chinese yuan.
QuantLib_Collar Concrete collar class.
QuantLib_Commodity Commodity base class.
QuantLib_CommodityCurve Commodity term structure.
QuantLib_CommodityIndex base class for commodity indexes
QuantLib_CommodityPricingHelper commodity index helper
QuantLib_CommoditySettings global repository for run-time library settings
QuantLib_CommodityType commodity type
QuantLib_Composite Composite pattern.
QuantLib_CompositeConstraint Constraint enforcing both given sub-constraints
QuantLib_CompositeInstrument Composite instrument
QuantLib_CompositeQuote market element whose value depends on two other market element
QuantLib_CompoundOption Compound option on a single asset.
QuantLib_CompoundOption_engine Compound-option engine base class
QuantLib_ConjugateGradient Multi-dimensional Conjugate Gradient class.
QuantLib_ConstantCapFloorTermVolatility Constant caplet volatility, no time-strike dependence.
QuantLib_ConstantCPIVolatility Constant surface, no K or T dependence.
QuantLib_ConstantEstimator Constant-estimator volatility model.
QuantLib_ConstantLossLatentmodel ConstantLossLatentmodel< copulaPolicy >
QuantLib_ConstantLossModel ConstantLossModel< copulaPolicy >
QuantLib_ConstantOptionletVolatility Constant caplet volatility, no time-strike dependence.
QuantLib_ConstantParameter Standard constant parameter $ a(t) = a $.
QuantLib_ConstantRecoveryModel ConstantRecoveryModel
QuantLib_ConstantSwaptionVolatility Constant swaption volatility, no time-strike dependence.
QuantLib_ConstantYoYOptionletVolatility Constant surface, no K or T dependence.
QuantLib_ConstrainedEvolver Constrained market-model evolver.
QuantLib_Constraint Base constraint class.
QuantLib_Constraint_Impl Base class for constraint implementations.
QuantLib_ContinuousArithmeticAsianVecerEngine Vecer engine for continuous-avaeraging Asian options.
QuantLib_ContinuousAveragingAsianOption Continuous-averaging Asian option.
QuantLib_ContinuousAveragingAsianOption_arguments Extra arguments for single-asset continuous-average Asian option.
QuantLib_ContinuousAveragingAsianOption_engine Continuous-averaging Asian engine base class.
QuantLib_ContinuousFixedLookbackOption Continuous-fixed lookback option.
QuantLib_ContinuousFixedLookbackOption_arguments Arguments for continuous fixed lookback option calculation
QuantLib_ContinuousFixedLookbackOption_engine Continuous fixed lookback engine base class
QuantLib_ContinuousFloatingLookbackOption Continuous-floating lookback option.
QuantLib_ContinuousFloatingLookbackOption_arguments Arguments for continuous floating lookback option calculation
QuantLib_ContinuousFloatingLookbackOption_engine Continuous floating lookback engine base class
QuantLib_ContinuousPartialFixedLookbackOption Continuous-partial-fixed lookback option.
QuantLib_ContinuousPartialFixedLookbackOption_arguments Arguments for continuous partial fixed lookback option calculation
QuantLib_ContinuousPartialFixedLookbackOption_engine Continuous partial fixed lookback engine base class
QuantLib_ContinuousPartialFloatingLookbackOption Continuous-partial-floating lookback option.
QuantLib_ContinuousPartialFloatingLookbackOption_arguments Arguments for continuous partial floating lookback option calculation
QuantLib_ContinuousPartialFloatingLookbackOption_engine Continuous partial floating lookback engine base class
QuantLib_ConvergenceStatistics statistics class with convergence table
QuantLib_ConvertibleBond base class for convertible bonds
QuantLib_ConvertibleFixedCouponBond convertible fixed-coupon bond
QuantLib_ConvertibleFloatingRateBond convertible floating-rate bond
QuantLib_ConvertibleZeroCouponBond convertible zero-coupon bond
QuantLib_ConvexMonotone Convex-monotone interpolation factory and traits.
QuantLib_ConvexMonotoneInterpolation Convex monotone yield-curve interpolation method.
QuantLib_COPCurrency Colombian peso.
QuantLib_CorrelationTermStructure CorrelationTermStructure
QuantLib_COSHestonEngine COS-method Heston engine based on efficient Fourier series expansions.
QuantLib_CostFunction Cost function abstract class for optimization problem.
QuantLib_CoterminalSwapCurveState Curve state for coterminal-swap market models
QuantLib_CounterpartyAdjSwapEngine CounterpartyAdjSwapEngine
QuantLib_Coupon coupon accruing over a fixed period
QuantLib_CovarianceDecomposition Covariance decomposition into correlation and variances.
QuantLib_CoxIngersollRoss Cox-Ingersoll-Ross model class.
QuantLib_CoxIngersollRoss_Dynamics Dynamics of the short-rate under the Cox-Ingersoll-Ross model
QuantLib_CoxRossRubinstein Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
QuantLib_CPIBond CPIBond
QuantLib_CPIBondHelper CPI bond helper for curve bootstrap.
QuantLib_CPICapFloor CPI cap or floor.
QuantLib_CPICapFloorTermPriceSurface Provides cpi cap/floor prices by interpolation and put/call parity (not...
QuantLib_CPICashFlow Cash flow paying the performance of a CPI (zero inflation) index.
QuantLib_CPICoupon Coupon paying the performance of a CPI (zero inflation) index
QuantLib_CPICouponPricer base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO
QuantLib_CPILeg Helper class building a sequence of capped/floored CPI coupons.
QuantLib_CPISwap zero-inflation-indexed swap,
QuantLib_CPISwap_arguments Arguments for swap calculation
QuantLib_CPISwap_results Results from swap calculation
QuantLib_CPIVolatilitySurface zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures
QuantLib_CrankNicolson Crank-Nicolson scheme for finite difference methods.
QuantLib_CreditDefaultSwap Credit default swap.
QuantLib_CreditRiskPlus CreditRiskPlus
QuantLib_Cubic Cubic interpolation factory and traits
QuantLib_CubicBSplinesFitting CubicSpline B-splines fitting method.
QuantLib_CubicInterpolation Cubic interpolation between discrete points.
QuantLib_CumulativeBehrensFisher Cumulative (generalized) BehrensFisher distribution.
QuantLib_CumulativeBinomialDistribution Cumulative binomial distribution function.
QuantLib_CumulativeNormalDistribution Cumulative normal distribution function.
QuantLib_CumulativePoissonDistribution Cumulative Poisson distribution function.
QuantLib_CumulativeStudentDistribution Cumulative Student t-distribution.
QuantLib_CuriouslyRecurringTemplate Support for the curiously recurring template pattern.
QuantLib_Currency Currency specification
QuantLib_Curve abstract curve class
QuantLib_CurveState Curve state for market-model simulations
QuantLib_CustomRegion Custom geographical/economic region.
QuantLib_CYPCurrency Cyprus pound.
QuantLib_CzechRepublic Czech calendars.
QuantLib_CZKCurrency Czech koruna.
QuantLib_DailyTenorCHFLibor base class for the one day deposit BBA CHF LIBOR indexes
QuantLib_DailyTenorEURLibor base class for the one day deposit ICE EUR LIBOR indexes
QuantLib_DailyTenorGBPLibor Base class for the one day deposit ICE GBP LIBOR indexes.
QuantLib_DailyTenorJPYLibor base class for the one day deposit ICE JPY LIBOR indexes
QuantLib_DailyTenorLibor base class for all O/N-S/N BBA LIBOR indexes but the EUR ones
QuantLib_DailyTenorUSDLibor base class for the one day deposit ICE USD LIBOR indexes
QuantLib_Date Concrete date class.
QuantLib_DatedOISRateHelper Rate helper for bootstrapping over Overnight Indexed Swap rates.
QuantLib_DateGeneration Date-generation rule.
QuantLib_DateInterval Date interval described by a number of a given time unit.
QuantLib_DayCounter day counter class
QuantLib_DayCounter_Impl abstract base class for day counter implementations
QuantLib_DefaultDensity Default-density-curve traits.
QuantLib_DefaultDensityStructure Default-density term structure.
QuantLib_DefaultEvent Credit event on a bond of a certain seniority(ies)/currency.
QuantLib_DefaultLatentModel Default event Latent Model.
QuantLib_DefaultLossModel DefaultLossModel
QuantLib_DefaultProbabilityTermStructure Default probability term structure.
QuantLib_DefaultProbKey DefaultProbKey
QuantLib_DefaultType Atomic credit-event type.
QuantLib_DeltaVolQuote Class for the quotation of delta vs vol.
QuantLib_DEMCurrency Deutsche mark.
QuantLib_Denmark Danish calendar.
QuantLib_DepositRateHelper Rate helper for bootstrapping over deposit rates.
QuantLib_DerivedQuote market quote whose value depends on another quote
QuantLib_detail QuantLib::detail
QuantLib_detail_BlackStyleSwaptionEngine BlackStyleSwaptionEngine< Spec >
QuantLib_detail_ImpliedVolatilityHelper helper class for one-asset implied-volatility calculation
QuantLib_detail_Root Utility for the numerical time solver.
QuantLib_DifferentialEvolution Differential Evolution configuration object.
QuantLib_DigitalCmsCoupon Cms-rate coupon with digital digital call/put option.
QuantLib_DigitalCmsLeg helper class building a sequence of digital ibor-rate coupons
QuantLib_DigitalCmsSpreadCoupon Cms-spread-rate coupon with digital digital call/put option.
QuantLib_DigitalCmsSpreadLeg helper class building a sequence of digital ibor-rate coupons
QuantLib_DigitalCoupon Digital-payoff coupon.
QuantLib_DigitalIborCoupon Ibor rate coupon with digital digital call/put option.
QuantLib_DigitalIborLeg helper class building a sequence of digital ibor-rate coupons
QuantLib_DirichletBC Neumann boundary condition (i.e., constant value)
QuantLib_Discount Discount-curve traits.
QuantLib_DiscrepancyStatistics Statistic tool for sequences with discrepancy calculation.
QuantLib_DiscreteAveragingAsianOption Discrete-averaging Asian option.
QuantLib_DiscreteAveragingAsianOption_arguments Extra arguments for single-asset discrete-average Asian option.
QuantLib_DiscreteAveragingAsianOption_engine Discrete-averaging Asian engine base class.
QuantLib_DiscreteTrapezoidIntegral DiscreteTrapezoidIntegral
QuantLib_DiscretizedAsset Discretized asset class used by numerical methods.
QuantLib_DiscretizedDermanKaniDoubleBarrierOption Derman-Kani-Ergener-Bardhan discretized option helper class.
QuantLib_DiscretizedDiscountBond Useful discretized discount bond asset.
QuantLib_DiscretizedDoubleBarrierOption Standard discretized option helper class.
QuantLib_DiscretizedOption Discretized option on a given asset.
QuantLib_Disposable generic disposable object with move semantics
QuantLib_Dividend Predetermined cash flow.
QuantLib_DividendBarrierOption Single-asset barrier option with discrete dividends.
QuantLib_DividendBarrierOption_arguments Arguments for dividend barrier option calculation
QuantLib_DividendBarrierOption_engine Dividend-barrier-option engine base class
QuantLib_DividendVanillaOption Single-asset vanilla option (no barriers) with discrete dividends.
QuantLib_DividendVanillaOption_arguments Arguments for dividend vanilla option calculation
QuantLib_DividendVanillaOption_engine Dividend-vanilla-option engine base class
QuantLib_DKKCurrency Danish krone.
QuantLib_DKKLibor DKK LIBOR rate
QuantLib_DMinus $ D_{-} $ matricial representation
QuantLib_DoubleBarrier Placeholder for enumerated barrier types.
QuantLib_DoubleBarrierOption Double Barrier option on a single asset.
QuantLib_DoubleBarrierOption_arguments Arguments for double barrier option calculation
QuantLib_DoubleBarrierOption_engine Double-Barrier-option engine base class
QuantLib_DoubleStickyRatchetPayoff Intermediate class for single/double sticky/ratchet payoffs.
QuantLib_DownRounding Down-rounding.
QuantLib_DPlus $ D_{+} $ matricial representation
QuantLib_DPlusDMinus $ D_{+}D_{-} $ matricial representation
QuantLib_DriftTermStructure Drift term structure.
QuantLib_Duration duration type
QuantLib_DZero $ D_{0} $ matricial representation
QuantLib_earlier_than compare two objects by date
QuantLib_EarlyExercise Early-exercise base class.
QuantLib_EarlyExercisePathPricer base class for early exercise path pricers
QuantLib_ECB European Central Bank reserve maintenance dates.
QuantLib_EEKCurrency Estonian kroon.
QuantLib_EndCriteria Criteria to end optimization process:
QuantLib_EndEulerDiscretization Euler end-point discretization for stochastic processes.
QuantLib_EnergyBasisSwap Energy basis swap.
QuantLib_EnergyCommodity Energy commodity class.
QuantLib_EnergyFuture Energy future.
QuantLib_EnergyVanillaSwap Vanilla energy swap.
QuantLib_Eonia Eonia (Euro Overnight Index Average) rate fixed by the ECB.
QuantLib_EqualJumpsBinomialTree Base class for equal jumps binomial tree.
QuantLib_EqualProbabilitiesBinomialTree Base class for equal probabilities binomial tree.
QuantLib_EquityFXVolSurface Equity/FX volatility (smile) surface.
QuantLib_Error Base error class.
QuantLib_ErrorFunction Error function
QuantLib_ESPCurrency Spanish peseta.
QuantLib_EUHICP EU HICP index.
QuantLib_EUHICPXT EU HICPXT index.
QuantLib_EulerDiscretization Euler discretization for stochastic processes.
QuantLib_EURCurrency European Euro.
QuantLib_EURegion European Union as geographical/economic region.
QuantLib_Euribor Euribor index
QuantLib_Euribor10M 10-months Euribor index
QuantLib_Euribor11M 11-months Euribor index
QuantLib_Euribor1M 1-month Euribor index
QuantLib_Euribor1Y 1-year Euribor index
QuantLib_Euribor2M 2-months Euribor index
QuantLib_Euribor2W 2-weeks Euribor index
QuantLib_Euribor365 Actual/365 Euribor index.
QuantLib_Euribor365_10M 10-months Euribor365 index
QuantLib_Euribor365_11M 11-months Euribor365 index
QuantLib_Euribor365_1M 1-month Euribor365 index
QuantLib_Euribor365_1Y 1-year Euribor365 index
QuantLib_Euribor365_2M 2-months Euribor365 index
QuantLib_Euribor365_2W 2-weeks Euribor365 index
QuantLib_Euribor365_3M 3-months Euribor365 index
QuantLib_Euribor365_3W 3-weeks Euribor365 index
QuantLib_Euribor365_4M 4-months Euribor365 index
QuantLib_Euribor365_5M 5-months Euribor365 index
QuantLib_Euribor365_6M 6-months Euribor365 index
QuantLib_Euribor365_7M 7-months Euribor365 index
QuantLib_Euribor365_8M 8-months Euribor365 index
QuantLib_Euribor365_9M 9-months Euribor365 index
QuantLib_Euribor365_SW 1-week Euribor365 index
QuantLib_Euribor3M 3-months Euribor index
QuantLib_Euribor3W 3-weeks Euribor index
QuantLib_Euribor4M 4-months Euribor index
QuantLib_Euribor5M 5-months Euribor index
QuantLib_Euribor6M 6-months Euribor index
QuantLib_Euribor7M 7-months Euribor index
QuantLib_Euribor8M 8-months Euribor index
QuantLib_Euribor9M 9-months Euribor index
QuantLib_EuriborSW 1-week Euribor index
QuantLib_EuriborSwapIfrFix EuriborSwapIfrFix index base class
QuantLib_EuriborSwapIsdaFixA EuriborSwapIsdaFixA index base class
QuantLib_EuriborSwapIsdaFixB EuriborSwapIsdaFixB index base class
QuantLib_EURLibor base class for all ICE EUR LIBOR indexes but the O/N
QuantLib_EURLibor10M 10-months EUR Libor index
QuantLib_EURLibor11M 11-months EUR Libor index
QuantLib_EURLibor1M 1-month EUR Libor index
QuantLib_EURLibor1Y 1-year EUR Libor index
QuantLib_EURLibor2M 2-months EUR Libor index
QuantLib_EURLibor2W 2-weeks EUR Libor index
QuantLib_EURLibor3M 3-months EUR Libor index
QuantLib_EURLibor4M 4-months EUR Libor index
QuantLib_EURLibor5M 5-months EUR Libor index
QuantLib_EURLibor6M 6-months EUR Libor index
QuantLib_EURLibor7M 7-months EUR Libor index
QuantLib_EURLibor8M 8-months EUR Libor index
QuantLib_EURLibor9M 9-months EUR Libor index
QuantLib_EURLiborON Overnight EUR Libor index.
QuantLib_EURLiborSW 1-week EUR Libor index
QuantLib_EurLiborSwapIfrFix EurLiborSwapIfrFix index base class
QuantLib_EurLiborSwapIsdaFixA EurLiborSwapIsdaFixA index base class
QuantLib_EurLiborSwapIsdaFixB EurLiborSwapIsdaFixB index base class
QuantLib_EurodollarFuturesImpliedStdDevQuote quote for the Eurodollar-future implied standard deviation
QuantLib_EuropeanExercise European exercise.
QuantLib_EuropeanOption European option on a single asset.
QuantLib_Event Base class for event.
QuantLib_EvolutionDescription Market-model evolution description.
QuantLib_ExchangeRate exchange rate between two currencies
QuantLib_ExchangeRateManager exchange-rate repository
QuantLib_Exercise Base exercise class.
QuantLib_ExplicitEuler Forward Euler scheme for finite difference methods
QuantLib_ExponentialJump1dMesher ExponentialJump1dMesher
QuantLib_ExponentialSplinesFitting Exponential-splines fitting method.
QuantLib_ExtendedAdditiveEQPBinomialTree Additive equal probabilities binomial tree.
QuantLib_ExtendedBinomialTree Binomial tree base class.
QuantLib_ExtendedBlackScholesMertonProcess experimental Black-Scholes-Merton stochastic process
QuantLib_ExtendedBlackVarianceCurve Black volatility curve modelled as variance curve.
QuantLib_ExtendedBlackVarianceSurface Black volatility surface modelled as variance surface.
QuantLib_ExtendedCoxIngersollRoss Extended Cox-Ingersoll-Ross model class.
QuantLib_ExtendedCoxIngersollRoss_Dynamics Short-rate dynamics in the extended Cox-Ingersoll-Ross model.
QuantLib_ExtendedCoxIngersollRoss_FittingParameter Analytical term-structure fitting parameter $ varphi(t) $.
QuantLib_ExtendedCoxRossRubinstein Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
QuantLib_ExtendedEqualJumpsBinomialTree Base class for equal jumps binomial tree.
QuantLib_ExtendedEqualProbabilitiesBinomialTree Base class for equal probabilities binomial tree.
QuantLib_ExtendedJarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
QuantLib_ExtendedLeisenReimer Leisen & Reimer tree: multiplicative approach.
QuantLib_ExtendedOrnsteinUhlenbeckProcess Extended Ornstein-Uhlenbeck process class.
QuantLib_ExtendedTian Tian tree: third moment matching, multiplicative approach
QuantLib_ExtendedTrigeorgis Trigeorgis (additive equal jumps) binomial tree
QuantLib_ExtOUWithJumpsProcess ExtOUWithJumpsProcess
QuantLib_Extrapolator base class for classes possibly allowing extrapolation
QuantLib_FaceValueAccrualClaim Claim on the notional of a reference security, including accrual.
QuantLib_FaceValueClaim Claim on a notional.
QuantLib_Factorial Factorial numbers calculator
QuantLib_FactorSpreadedHazardRateCurve Default-probability structure with a multiplicative spread on hazard rates.
QuantLib_FailureToPay Failure to Pay atomic event type.
QuantLib_FalsePosition False position 1-D solver.
QuantLib_FarlieGumbelMorgensternCopula Farlie-Gumbel-Morgenstern copula.
QuantLib_FarlieGumbelMorgensternCopulaRng Farlie-Gumbel-Morgenstern copula random-number generator.
QuantLib_FastFourierTransform FFT implementation.
QuantLib_FaureRsg Faure low-discrepancy sequence generator.
QuantLib_Fd2dBlackScholesVanillaEngine Two dimensional finite-differences Black Scholes vanilla option engine.
QuantLib_FDAmericanEngine Finite-differences pricing engine for American one asset options.
QuantLib_FdBatesVanillaEngine Partial Integro FiniteDifferences Bates Vanilla Option engine.
QuantLib_FDBermudanEngine Finite-differences Bermudan engine.
QuantLib_FdBlackScholesBarrierEngine Finite-Differences Black Scholes barrier option engine.
QuantLib_FdBlackScholesRebateEngine Finite-Differences Black Scholes barrier option rebate helper engine.
QuantLib_FDDividendAmericanEngine Finite-differences pricing engine for dividend American options.
QuantLib_FDDividendEngineBase Abstract base class for dividend engines.
QuantLib_FDDividendEngineMerton73 Finite-differences pricing engine for dividend options using escowed dividends...
QuantLib_FDDividendEngineShiftScale Finite-differences engine for dividend options using shifted dividends.
QuantLib_FDDividendEuropeanEngine Finite-differences pricing engine for dividend European options.
QuantLib_FDDividendShoutEngine Finite-differences shout engine with dividends.
QuantLib_FDEuropeanEngine Pricing engine for European options using finite-differences.
QuantLib_FdHestonBarrierEngine Finite-Differences Heston Barrier Option engine.
QuantLib_FdHestonDoubleBarrierEngine Finite-Differences Heston Double Barrier Option engine.
QuantLib_FdHestonHullWhiteVanillaEngine Finite-Differences Heston Hull-White Vanilla Option engine.
QuantLib_FdHestonRebateEngine Finite-Differences Heston Barrier Option rebate helper engine.
QuantLib_FdHestonVanillaEngine Finite-Differences Heston Vanilla Option engine.
QuantLib_FdmExtOUJumpOp FdmExtOUJumpOp
QuantLib_FdmKlugeExtOUOp FdmKlugeExtOUOp
QuantLib_FDShoutEngine Finite-differences pricing engine for shout vanilla options.
QuantLib_FDStepConditionEngine Finite-differences pricing engine for American-style vanilla options.
QuantLib_FDVanillaEngine Finite-differences pricing engine for BSM one asset options.
QuantLib_FedFunds Fed Funds rate fixed by the FED.
QuantLib_FFTEngine Base class for FFT pricing engines for European vanilla options.
QuantLib_FFTVanillaEngine FFT Pricing engine vanilla options under a Black Scholes process.
QuantLib_FFTVarianceGammaEngine FFT engine for vanilla options under a Variance Gamma process.
QuantLib_FilonIntegral Integral of a one-dimensional function.
QuantLib_FIMCurrency Finnish markka.
QuantLib_FiniteDifferenceModel Generic finite difference model.
QuantLib_FiniteDifferenceNewtonSafe safe Newton 1-D solver with finite difference derivatives
QuantLib_Finland Finnish calendar.
QuantLib_FittedBondDiscountCurve Discount curve fitted to a set of fixed-coupon bonds.
QuantLib_FittedBondDiscountCurve_FittingMethod Base fitting method used to construct a fitted bond discount curve.
QuantLib_FixedDividend Predetermined cash flow.
QuantLib_FixedRateBond fixed-rate bond
QuantLib_FixedRateBondForward Forward contract on a fixed-rate bond
QuantLib_FixedRateBondHelper Fixed-coupon bond helper for curve bootstrap.
QuantLib_FixedRateCoupon Coupon paying a fixed interest rate
QuantLib_FixedRateLeg helper class building a sequence of fixed rate coupons
QuantLib_FlatForward Flat interest-rate curve.
QuantLib_FlatHazardRate Flat hazard-rate curve.
QuantLib_FloatFloatSwap float float swap
QuantLib_FloatFloatSwap_arguments Arguments for float float swap calculation
QuantLib_FloatFloatSwap_results Results from float float swap calculation
QuantLib_FloatFloatSwaption floatfloat swaption class
QuantLib_FloatFloatSwaption_arguments Arguments for cms swaption calculation
QuantLib_FloatFloatSwaption_engine base class for cms swaption engines
QuantLib_FloatingCatBond floating-rate cat bond (possibly capped and/or floored)
QuantLib_FloatingRateBond floating-rate bond (possibly capped and/or floored)
QuantLib_FloatingRateCoupon base floating-rate coupon class
QuantLib_FloatingRateCouponPricer generic pricer for floating-rate coupons
QuantLib_FloatingTypePayoff Payoff based on a floating strike
QuantLib_Floor Concrete floor class.
QuantLib_FloorTruncation Floor truncation.
QuantLib_FordeHestonExpansion FordeHestonExpansion
QuantLib_Forward Abstract base forward class.
QuantLib_ForwardFlat Forward-flat interpolation factory and traits.
QuantLib_ForwardFlatInterpolation Forward-flat interpolation between discrete points.
QuantLib_ForwardMeasureProcess forward-measure stochastic process
QuantLib_ForwardMeasureProcess1D forward-measure 1-D stochastic process
QuantLib_ForwardOptionArguments Arguments for forward (strike-resetting) option calculation
QuantLib_ForwardPerformanceVanillaEngine Forward performance engine for vanilla options
QuantLib_ForwardRate Forward-curve traits.
QuantLib_ForwardRateStructure Forward-rate term structure
QuantLib_ForwardSpreadedTermStructure Term structure with added spread on the instantaneous forward rate.
QuantLib_ForwardSwapQuote Quote for a forward starting swap.
QuantLib_ForwardTypePayoff Class for forward type payoffs.
QuantLib_ForwardValueQuote quote for the forward value of an index
QuantLib_ForwardVanillaEngine Forward engine for vanilla options
QuantLib_ForwardVanillaOption Forward version of a vanilla option
QuantLib_FractionalDividend Predetermined cash flow.
QuantLib_FranceRegion France as geographical/economic region.
QuantLib_FrankCopula Frank copula.
QuantLib_FrankCopulaRng Frank copula random-number generator.
QuantLib_FraRateHelper Rate helper for bootstrapping over FRA rates.
QuantLib_FRFCurrency French franc.
QuantLib_FRHICP FR HICP index.
QuantLib_FuturesConvAdjustmentQuote quote for the futures-convexity adjustment of an index
QuantLib_FuturesRateHelper Rate helper for bootstrapping over IborIndex futures prices.
QuantLib_FxSwapRateHelper Rate helper for bootstrapping over Fx Swap rates.
QuantLib_G2 Two-additive-factor gaussian model class.
QuantLib_G2_FittingParameter Analytical term-structure fitting parameter $ varphi(t) $.
QuantLib_G2ForwardProcess Forward G2 stochastic process
QuantLib_G2Process G2 stochastic process
QuantLib_G2SwaptionEngine Swaption priced by means of the Black formula
QuantLib_GalambosCopula Galambos copula.
QuantLib_GammaFunction Gamma function class.
QuantLib_GapPayoff Binary gap payoff.
QuantLib_Garch11 GARCH volatility model.
QuantLib_GarmanKlassAbstract Garman-Klass volatility model.
QuantLib_GarmanKohlagenProcess Garman-Kohlhagen (1983) stochastic process.
QuantLib_GaussChebyshev2ndIntegration Gauss-Chebyshev integration (second kind)
QuantLib_GaussChebyshev2ndPolynomial Gauss-Chebyshev polynomial (second kind)
QuantLib_GaussChebyshevIntegration Gauss-Chebyshev integration.
QuantLib_GaussChebyshevPolynomial Gauss-Chebyshev polynomial.
QuantLib_GaussGegenbauerIntegration Gauss-Gegenbauer integration.
QuantLib_GaussGegenbauerPolynomial Gauss-Gegenbauer polynomial.
QuantLib_GaussHermiteIntegration generalized Gauss-Hermite integration
QuantLib_GaussHermitePolynomial Gauss-Hermite polynomial.
QuantLib_GaussHyperbolicIntegration Gauss-Hyperbolic integration.
QuantLib_GaussHyperbolicPolynomial Gauss hyperbolic polynomial.
QuantLib_Gaussian1dCapFloorEngine Gaussian1d cap/floor engine.
QuantLib_Gaussian1dFloatFloatSwaptionEngine One factor model float float swaption engine.
QuantLib_Gaussian1dJamshidianSwaptionEngine Jamshidian swaption engine.
QuantLib_Gaussian1dModel Gaussian1dModel
QuantLib_Gaussian1dNonstandardSwaptionEngine One factor model non standard swaption engine.
QuantLib_Gaussian1dSmileSection Gaussian1dSmileSection
QuantLib_Gaussian1dSwaptionEngine One factor model swaption engine.
QuantLib_GaussianCopula Gaussian copula.
QuantLib_GaussianCopulaPolicy GaussianCopulaPolicy
QuantLib_GaussianKernel Gaussian kernel function.
QuantLib_GaussianLHPLossModel GaussianLHPLossModel
QuantLib_GaussianOrthogonalPolynomial orthogonal polynomial for Gaussian quadratures
QuantLib_GaussianQuadMultidimIntegrator Integrates a vector or scalar function of vector domain.
QuantLib_GaussianQuadrature Integral of a 1-dimensional function using the Gauss quadratures method.
QuantLib_GaussianRandomDefaultModel GaussianRandomDefaultModel
QuantLib_GaussJacobiIntegration Gauss-Jacobi integration.
QuantLib_GaussJacobiPolynomial Gauss-Jacobi polynomial.
QuantLib_GaussKronrodAdaptive Integral of a 1-dimensional function using the Gauss-Kronrod methods.
QuantLib_GaussKronrodNonAdaptive Integral of a 1-dimensional function using the Gauss-Kronrod methods.
QuantLib_GaussLaguerreIntegration generalized Gauss-Laguerre integration
QuantLib_GaussLaguerrePolynomial Gauss-Laguerre polynomial.
QuantLib_GaussLegendreIntegration Gauss-Legendre integration.
QuantLib_GaussLegendrePolynomial Gauss-Legendre polynomial.
QuantLib_GaussLobattoIntegral Integral of a one-dimensional function.
QuantLib_GaussNonCentralChiSquaredPolynomial Gauss polynomial for the non central chi squared distribution.
QuantLib_GBPCurrency British pound sterling.
QuantLib_GBPLibor GBP LIBOR rate
QuantLib_GBPLiborON Overnight GBP Libor index.
QuantLib_GbpLiborSwapIsdaFix GbpLiborSwapIsdaFix index base class
QuantLib_GemanRoncoroniProcess Geman-Roncoroni process class.
QuantLib_GeneralizedBlackScholesProcess Generalized Black-Scholes stochastic process.
QuantLib_GeneralizedHullWhite Generalized Hull-White model class.
QuantLib_GeneralizedHullWhite_Dynamics Short-rate dynamics in the generalized Hull-White model.
QuantLib_GeneralizedHullWhite_FittingParameter Analytical term-structure fitting parameter $ varphi(t) $.
QuantLib_GeneralizedOrnsteinUhlenbeckProcess Piecewise linear Ornstein-Uhlenbeck process class.
QuantLib_GeneralLinearLeastSquares general linear least squares regression
QuantLib_GeneralStatistics Statistics tool.
QuantLib_GenericCPI Generic CPI index.
QuantLib_GenericEngine template base class for option pricing engines
QuantLib_GenericGaussianStatistics Statistics tool for gaussian-assumption risk measures.
QuantLib_GenericModelEngine Base class for some pricing engine on a particular model.
QuantLib_GenericRegion Generic geographical/economic region.
QuantLib_GenericRiskStatistics empirical-distribution risk measures
QuantLib_GenericSequenceStatistics Statistics analysis of N-dimensional (sequence) data.
QuantLib_GeometricBrownianMotionProcess Geometric brownian-motion process.
QuantLib_Germany German calendars.
QuantLib_GJRGARCHModel GJR-GARCH model for the stochastic volatility of an asset.
QuantLib_GJRGARCHProcess Stochastic-volatility GJR-GARCH(1,1) process.
QuantLib_GRDCurrency Greek drachma.
QuantLib_Greeks additional option results
QuantLib_Gsr One factor gsr model, formulation is in forward measure.
QuantLib_GsrProcess GSR stochastic process.
QuantLib_GumbelCopula Gumbel copula.
QuantLib_HaganIrregularSwaptionEngine Pricing engine for irregular swaptions.
QuantLib_HaganPricer CMS-coupon pricer.
QuantLib_HaltonRsg Halton low-discrepancy sequence generator.
QuantLib_Handle Shared handle to an observable.
QuantLib_HazardRate Hazard-rate-curve traits.
QuantLib_HazardRateStructure Hazard-rate term structure.
QuantLib_HestonExpansion HestonExpansion
QuantLib_HestonExpansionEngine Heston-model engine for European options based on analytic expansions.
QuantLib_HestonModel Heston model for the stochastic volatility of an asset.
QuantLib_HestonModelHelper calibration helper for Heston model
QuantLib_HestonProcess Square-root stochastic-volatility Heston process.
QuantLib_HestonRNDCalculator Risk neutral terminal probability density for the Heston model.
QuantLib_HestonSLVMCModel HestonSLVMCModel
QuantLib_HimalayaOption Himalaya option.
QuantLib_Histogram Histogram class.
QuantLib_HistoricalForwardRatesAnalysisImpl Historical correlation class
QuantLib_HistoricalRatesAnalysis Historical rate analysis class
QuantLib_HKDCurrency Hong Kong dollar.
QuantLib_HomogeneousPoolLossModel Default loss distribution convolution for finite homogeneous pool.
QuantLib_HongKong Hong Kong calendars.
QuantLib_HUFCurrency Hungarian forint.
QuantLib_HullWhite Single-factor Hull-White (extended Vasicek) model class.
QuantLib_HullWhite_Dynamics Short-rate dynamics in the Hull-White model.
QuantLib_HullWhite_FittingParameter Analytical term-structure fitting parameter $ varphi(t) $.
QuantLib_HullWhiteForwardProcess Forward Hull-White stochastic process
QuantLib_HullWhiteProcess Hull-White stochastic process.
QuantLib_Hungary Hungarian calendar.
QuantLib_HuslerReissCopula Husler-Reiss copula.
QuantLib_HybridHestonHullWhiteProcess Hybrid Heston Hull-White stochastic process.
QuantLib_HybridSimulatedAnnealing HybridSimulatedAnnealing< Sampler, Probability, Temperature, Reannealing >
QuantLib_IborCoupon Coupon paying a Libor-type index
QuantLib_IborCouponPricer base pricer for capped/floored Ibor coupons
QuantLib_IborIndex base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.)
QuantLib_IborLeg helper class building a sequence of capped/floored ibor-rate coupons
QuantLib_Iceland Icelandic calendars.
QuantLib_IDRCurrency Indonesian Rupiah.
QuantLib_IEPCurrency Irish punt.
QuantLib_ILSCurrency Israeli shekel.
QuantLib_IMM Main cycle of the International Money Market (a.k.a. IMM) months.
QuantLib_ImplicitEuler Backward Euler scheme for finite difference methods.
QuantLib_ImpliedStdDevQuote quote for the implied standard deviation of an underlying
QuantLib_ImpliedTermStructure Implied term structure at a given date in the future.
QuantLib_ImpliedVolTermStructure Implied vol term structure at a given date in the future.
QuantLib_IncrementalStatistics Statistics tool based on incremental accumulation.
QuantLib_IndependentCopula independent copula
QuantLib_Index purely virtual base class for indexes
QuantLib_IndexedCashFlow Cash flow dependent on an index ratio.
QuantLib_IndexManager global repository for past index fixings
QuantLib_India Indian calendars.
QuantLib_Indonesia Indonesian calendars
QuantLib_InflationCoupon Base inflation-coupon class.
QuantLib_InflationCouponPricer Base inflation-coupon pricer.
QuantLib_InflationIndex Base class for inflation-rate indexes,.
QuantLib_InflationTermStructure Interface for inflation term structures.
QuantLib_InhomogeneousPoolLossModel Default loss distribution convolution for finite non homogeneous pool.
QuantLib_INRCurrency Indian rupee.
QuantLib_Instrument Abstract instrument class.
QuantLib_IntegralEngine Pricing engine for European vanilla options using integral approach.
QuantLib_IntegralHestonVarianceOptionEngine integral Heston-model variance-option engine
QuantLib_InterestRate Concrete interest rate class.
QuantLib_InterestRateIndex base class for interest rate indexes
QuantLib_InterestRateVolSurface Interest rate volatility (smile) surface.
QuantLib_InterpolatedCurve Helper class to build interpolated term structures.
QuantLib_InterpolatedDefaultDensityCurve DefaultProbabilityTermStructure based on interpolation of default densities.
QuantLib_InterpolatedDiscountCurve YieldTermStructure based on interpolation of discount factors.
QuantLib_InterpolatedForwardCurve YieldTermStructure based on interpolation of forward rates.
QuantLib_InterpolatedHazardRateCurve DefaultProbabilityTermStructure based on interpolation of hazard rates.
QuantLib_InterpolatedPiecewiseZeroSpreadedTermStructure Yield curve with an added vector of spreads on the zero-yield rate.
QuantLib_InterpolatedSurvivalProbabilityCurve DefaultProbabilityTermStructure based on interpolation of survival...
QuantLib_InterpolatedYoYInflationCurve Inflation term structure based on interpolated year-on-year rates.
QuantLib_InterpolatedYoYOptionletStripper InterpolatedYoYOptionletStripper< Interpolator1D >
QuantLib_InterpolatedYoYOptionletVolatilityCurve Interpolated flat smile surface.
QuantLib_InterpolatedZeroCurve YieldTermStructure based on interpolation of zero rates.
QuantLib_InterpolatedZeroInflationCurve Inflation term structure based on the interpolation of zero rates.
QuantLib_InterpolatingCPICapFloorEngine InterpolatingCPICapFloorEngine
QuantLib_Interpolation base class for 1-D interpolations.
QuantLib_Interpolation2D base class for 2-D interpolations.
QuantLib_Interpolation2D_Impl abstract base class for 2-D interpolation implementations
QuantLib_Interpolation2D_templateImpl basic template implementation
QuantLib_Interpolation_Impl abstract base class for interpolation implementations
QuantLib_Interpolation_templateImpl basic template implementation
QuantLib_IntervalPrice interval price
QuantLib_InverseCumulativeBehrensFisher Inverse of the cumulative of the convolution of odd-T distributions.
QuantLib_InverseCumulativeNormal Inverse cumulative normal distribution function.
QuantLib_InverseCumulativePoisson Inverse cumulative Poisson distribution function.
QuantLib_InverseCumulativeRng Inverse cumulative random number generator.
QuantLib_InverseCumulativeRsg Inverse cumulative random sequence generator.
QuantLib_InverseCumulativeStudent Inverse cumulative Student t-distribution.
QuantLib_IQDCurrency Iraqi dinar.
QuantLib_IRRCurrency Iranian rial.
QuantLib_IrregularSettlement settlement information
QuantLib_IrregularSwap Irregular swap: fixed vs floating leg.
QuantLib_IrregularSwap_arguments Arguments for irregular-swap calculation
QuantLib_IrregularSwap_results Results from irregular-swap calculation
QuantLib_IrregularSwaption Irregular Swaption class.
QuantLib_IrregularSwaption_arguments Arguments for irregular-swaption calculation
QuantLib_IrregularSwaption_engine base class for irregular-swaption engines
QuantLib_ISKCurrency Icelandic krona.
QuantLib_IsotropicRandomWalk Isotropic random walk.
QuantLib_Israel Israel calendar.
QuantLib_Italy Italian calendars.
QuantLib_IterativeBootstrap Universal piecewise-term-structure boostrapper.
QuantLib_ITLCurrency Italian lira.
QuantLib_JamshidianSwaptionEngine Jamshidian swaption engine.
QuantLib_Japan Japanese calendar.
QuantLib_JarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
QuantLib_Jibar JIBAR rate
QuantLib_JointCalendar Joint calendar.
QuantLib_JPYCurrency Japanese yen.
QuantLib_JPYLibor JPY LIBOR rate
QuantLib_JpyLiborSwapIsdaFixAm JpyLiborSwapIsdaFixAm index base class
QuantLib_JpyLiborSwapIsdaFixPm JpyLiborSwapIsdaFixPm index base class
QuantLib_JumpDiffusionEngine Jump-diffusion engine for vanilla options.
QuantLib_JuQuadraticApproximationEngine Pricing engine for American options with Ju quadratic approximation.
QuantLib_KernelFunction KernelFunction
QuantLib_KernelInterpolation Kernel interpolation between discrete points.
QuantLib_KernelInterpolation2D KernelInterpolation2D
QuantLib_KInterpolatedYoYOptionletVolatilitySurface K-interpolated YoY optionlet volatility.
QuantLib_KirkEngine Pricing engine for spread option on two futures.
QuantLib_KirkSpreadOptionEngine Kirk approximation for European spread option on futures.
QuantLib_KlugeExtOUProcess KlugeExtOUProcess
QuantLib_KnuthUniformRng Uniform random number generator.
QuantLib_KRWCurrency South-Korean won.
QuantLib_KWDCurrency Kuwaiti dinar.
QuantLib_LastFixingQuote Quote adapter for the last fixing available of a given Index.
QuantLib_LatentModel Generic multifactor latent variable model.
QuantLib_LatentModel_FactorSampler LatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool >
QuantLib_Lattice Lattice (tree, finite-differences) base class
QuantLib_LatticeShortRateModelEngine Engine for a short-rate model specialized on a lattice.
QuantLib_LazyObject Framework for calculation on demand and result caching.
QuantLib_LeastSquareFunction Cost function for least-square problems.
QuantLib_LeastSquareProblem Base class for least square problem.
QuantLib_LecuyerUniformRng Uniform random number generator.
QuantLib_LeisenReimer Leisen & Reimer tree: multiplicative approach.
QuantLib_LevenbergMarquardt Levenberg-Marquardt optimization method.
QuantLib_LexicographicalView Lexicographical 2-D view of a contiguous set of data.
QuantLib_LfmCovarianceParameterization Libor market model parameterization
QuantLib_LfmCovarianceProxy proxy for a libor forward model covariance parameterization
QuantLib_LfmHullWhiteParameterization Libor market model parameterization based on Hull White paper
QuantLib_LfmSwaptionEngine Libor forward model swaption engine based on Black formula
QuantLib_Libor base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones
QuantLib_LiborForwardModel Libor forward model
QuantLib_LiborForwardModelProcess libor-forward-model process
QuantLib_Linear Linear-interpolation factory and traits
QuantLib_LinearInterpolation Linear interpolation between discrete points
QuantLib_LinearTsrPricer CMS-coupon pricer.
QuantLib_LineSearch Base class for line search.
QuantLib_LmConstWrapperVolatilityModel caplet const volatility model
QuantLib_LmCorrelationModel libor forward correlation model
QuantLib_LmExponentialCorrelationModel exponential correlation model
QuantLib_LmExtLinearExponentialVolModel extended linear exponential volatility model
QuantLib_LmLinearExponentialCorrelationModel linear exponential correlation model
QuantLib_LmLinearExponentialVolatilityModel linear exponential volatility model
QuantLib_LMMCurveState Curve state for Libor market models
QuantLib_LMMDriftCalculator Drift computation for log-normal Libor market models.
QuantLib_LMMNormalDriftCalculator Drift computation for normal Libor market models.
QuantLib_LmVolatilityModel caplet volatility model
QuantLib_LocalBootstrap Localised-term-structure bootstrapper for most curve types.
QuantLib_LocalConstantVol Constant local volatility, no time-strike dependence.
QuantLib_LocalVolCurve Local volatility curve derived from a Black curve.
QuantLib_LocalVolSurface Local volatility surface derived from a Black vol surface.
QuantLib_LocalVolTermStructure LocalVolTermStructure
QuantLib_LogCubic log-cubic interpolation factory and traits
QuantLib_LogCubicInterpolation log-cubic interpolation between discrete points
QuantLib_LogLinear log-linear interpolation factory and traits
QuantLib_LogLinearInterpolation log-linear interpolation between discrete points
QuantLib_LogMixedLinearCubic log-cubic interpolation factory and traits
QuantLib_LogMixedLinearCubicInterpolation log-mixedlinearcubic interpolation between discrete points
QuantLib_LognormalCmsSpreadPricer CMS spread — coupon pricer.
QuantLib_LogNormalCmSwapRatePc Predictor-Corrector.
QuantLib_LogNormalCotSwapRatePc Predictor-Corrector.
QuantLib_LogNormalFwdRateBalland Iterative Predictor-Corrector.
QuantLib_LogNormalFwdRateEuler Euler.
QuantLib_LogNormalFwdRateEulerConstrained euler stepping
QuantLib_LogNormalFwdRateiBalland Iterative Predictor-Corrector.
QuantLib_LogNormalFwdRateIpc Iterative Predictor-Corrector.
QuantLib_LogNormalFwdRatePc Predictor-Corrector.
QuantLib_LongstaffSchwartzMultiPathPricer Longstaff-Schwarz path pricer for early exercise options.
QuantLib_LongstaffSchwartzPathPricer Longstaff-Schwarz path pricer for early exercise options.
QuantLib_LossDist Probability formulas and algorithms.
QuantLib_LossDistBinomial Binomial loss distribution.
QuantLib_LossDistBucketing Loss distribution with Hull-White bucketing.
QuantLib_LossDistHomogeneous Loss Distribution for Homogeneous Pool.
QuantLib_LossDistMonteCarlo Loss distribution with Monte Carlo simulation.
QuantLib_LPP2HestonExpansion LPP2HestonExpansion
QuantLib_LPP3HestonExpansion LPP3HestonExpansion
QuantLib_LTLCurrency Lithuanian litas.
QuantLib_LUFCurrency Luxembourg franc.
QuantLib_LVLCurrency Latvian lat.
QuantLib_MaddockCumulativeNormal Maddock's cumulative normal distribution class.
QuantLib_MaddockInverseCumulativeNormal Maddock's Inverse cumulative normal distribution class.
QuantLib_MakeArithmeticAverageOIS helper class
QuantLib_MakeCapFloor helper class
QuantLib_MakeCms helper class for instantiating CMS
QuantLib_MakeMCAmericanBasketEngine Monte Carlo American basket-option engine factory.
QuantLib_MakeMCAmericanEngine Monte Carlo American engine factory.
QuantLib_MakeMCAmericanPathEngine Monte Carlo American basket-option engine factory.
QuantLib_MakeMCBarrierEngine Monte Carlo barrier-option engine factory.
QuantLib_MakeMCDigitalEngine Monte Carlo digital engine factory.
QuantLib_MakeMCEuropeanBasketEngine Monte Carlo basket-option engine factory.
QuantLib_MakeMCEuropeanEngine Monte Carlo European engine factory.
QuantLib_MakeMCEuropeanGJRGARCHEngine Monte Carlo GJR-GARCH European engine factory.
QuantLib_MakeMCEuropeanHestonEngine Monte Carlo Heston European engine factory.
QuantLib_MakeMCEverestEngine Monte Carlo Everest-option engine factory.
QuantLib_MakeMCHestonHullWhiteEngine Monte Carlo Heston/Hull-White engine factory.
QuantLib_MakeMCHimalayaEngine Monte Carlo Himalaya-option engine factory.
QuantLib_MakeMCHullWhiteCapFloorEngine Monte Carlo Hull-White cap-floor engine factory.
QuantLib_MakeMCPagodaEngine Monte Carlo pagoda-option engine factory.
QuantLib_MakeMCPathBasketEngine Monte Carlo Path Basket engine factory.
QuantLib_MakeMCPerformanceEngine Monte Carlo performance-option engine factory.
QuantLib_MakeMCVarianceSwapEngine Monte Carlo variance-swap engine factory.
QuantLib_MakeOIS helper class
QuantLib_MakeSchedule helper class
QuantLib_MakeSwaption helper class
QuantLib_MakeVanillaSwap helper class
QuantLib_MakeYoYInflationCapFloor helper class
QuantLib_MargrabeOption Margrabe option on two assets.
QuantLib_MargrabeOption_arguments Extra arguments for Margrabe option.
QuantLib_MargrabeOption_engine Margrabe option engine base class
QuantLib_MargrabeOption_results Extra results for Margrabe option.
QuantLib_MarketModel base class for market models
QuantLib_MarketModelCashRebate MarketModelCashRebate
QuantLib_MarketModelComposite Composition of two or more market-model products.
QuantLib_MarketModelEvolver Market-model evolver.
QuantLib_MarketModelFactory base class for market-model factories
QuantLib_MarketModelMultiProduct market-model product
QuantLib_MarketModelPathwiseCashRebate MarketModelPathwiseCashRebate
QuantLib_MarketModelPathwiseCoterminalSwaptionsDeflated MarketModelPathwiseCoterminalSwaptionsDeflated
QuantLib_MarketModelPathwiseCoterminalSwaptionsNumericalDeflated MarketModelPathwiseCoterminalSwaptionsNumericalDeflated
QuantLib_MarketModelPathwiseDiscounter MarketModelPathwiseDiscounter
QuantLib_MarketModelPathwiseInverseFloater MarketModelPathwiseInverseFloater
QuantLib_MarketModelPathwiseMultiCaplet market-model pathwise caplet
QuantLib_MarketModelPathwiseMultiDeflatedCap MarketModelPathwiseMultiDeflatedCap
QuantLib_MarketModelPathwiseMultiProduct market-model pathwise product
QuantLib_MarketModelPathwiseSwap MarketModelPathwiseSwap
QuantLib_MarketModelVolProcess MarketModelVolProcess
QuantLib_MarkovFunctional MarkovFunctional
QuantLib_MarshallOlkinCopula Marshall-Olkin copula.
QuantLib_Matrix Matrix used in linear algebra.
QuantLib_MaxCopula max copula
QuantLib_MCAmericanBasketEngine least-square Monte Carlo engine
QuantLib_MCAmericanEngine American Monte Carlo engine.
QuantLib_MCAmericanPathEngine least-square Monte Carlo engine
QuantLib_MCBarrierEngine Pricing engine for barrier options using Monte Carlo simulation.
QuantLib_MCDigitalEngine Pricing engine for digital options using Monte Carlo simulation.
QuantLib_MCDiscreteArithmeticAPEngine Monte Carlo pricing engine for discrete arithmetic average price Asian.
QuantLib_MCDiscreteArithmeticASEngine Monte Carlo pricing engine for discrete arithmetic average-strike Asian.
QuantLib_MCDiscreteAveragingAsianEngine Pricing engine for discrete average Asians using Monte Carlo simulation.
QuantLib_MCDiscreteGeometricAPEngine Monte Carlo pricing engine for discrete geometric average price Asian.
QuantLib_MCEuropeanBasketEngine Pricing engine for European basket options using Monte Carlo simulation.
QuantLib_MCEuropeanEngine European option pricing engine using Monte Carlo simulation.
QuantLib_MCEuropeanGJRGARCHEngine Monte Carlo GJR-GARCH-model engine for European options.
QuantLib_MCEuropeanHestonEngine Monte Carlo Heston-model engine for European options.
QuantLib_MCHullWhiteCapFloorEngine Monte Carlo Hull-White engine for cap/floors.
QuantLib_MCLongstaffSchwartzEngine Longstaff-Schwarz Monte Carlo engine for early exercise options.
QuantLib_MCLongstaffSchwartzPathEngine Longstaff-Schwarz Monte Carlo engine for early exercise options.
QuantLib_MCPagodaEngine Pricing engine for pagoda options using Monte Carlo simulation.
QuantLib_MCPathBasketEngine Pricing engine for path dependent basket options using.
QuantLib_MCPerformanceEngine Pricing engine for performance options using Monte Carlo simulation.
QuantLib_McSimulation base class for Monte Carlo engines
QuantLib_MCVanillaEngine Pricing engine for vanilla options using Monte Carlo simulation.
QuantLib_MCVarianceSwapEngine Variance-swap pricing engine using Monte Carlo simulation,.
QuantLib_MeanRevertingPricer MeanRevertingPricer
QuantLib_MersenneTwisterUniformRng Uniform random number generator.
QuantLib_Merton76Process Merton-76 jump-diffusion process.
QuantLib_Mexico Mexican calendars
QuantLib_MfStateProcess Markov functional state process class.
QuantLib_MidPointCDOEngine CDO base engine taking schedule steps.
QuantLib_MinCopula min copula
QuantLib_MixedLinearCubic mixed linear/cubic interpolation factory and traits
QuantLib_MixedLinearCubicInterpolation mixed linear/cubic interpolation between discrete points
QuantLib_MixedScheme Mixed (explicit/implicit) scheme for finite difference methods.
QuantLib_ModifiedCraigSneydScheme modified Craig-Sneyd scheme
QuantLib_Money amount of cash
QuantLib_MonteCarloModel General-purpose Monte Carlo model for path samples.
QuantLib_MoreGreeks more additional option results
QuantLib_MoroInverseCumulativeNormal Moro Inverse cumulative normal distribution class.
QuantLib_MTBrownianGenerator Mersenne-twister Brownian generator for market-model simulations.
QuantLib_MTLCurrency Maltese lira.
QuantLib_MultiAssetOption Base class for options on multiple assets.
QuantLib_MultiAssetOption_results Results from multi-asset option calculation
QuantLib_MultiCubicSpline N-dimensional cubic spline interpolation between discrete points.
QuantLib_MultiCurveSensitivities Multi curve sensitivities.
QuantLib_MultidimIntegral Integrates a vector or scalar function of vector domain.
QuantLib_MultiPath Correlated multiple asset paths.
QuantLib_MultiPathGenerator Generates a multipath from a random number generator.
QuantLib_MultiplicativePriceSeasonality Multiplicative seasonality in the price index (CPI/RPI/HICP/etc).
QuantLib_MultiProductComposite Composition of one or more market-model products.
QuantLib_MultiProductMultiStep Multiple-step market-model product.
QuantLib_MultiProductOneStep Single-step market-model product.
QuantLib_MultiProductPathwiseWrapper MultiProductPathwiseWrapper
QuantLib_MultiStepSwaption MultiStepSwaption
QuantLib_MultiVariate default Monte Carlo traits for multi-variate models
QuantLib_MXNCurrency Mexican peso.
QuantLib_MYRCurrency Malaysian Ringgit.
QuantLib_NelsonSiegelFitting Nelson-Siegel fitting method.
QuantLib_NeumannBC Neumann boundary condition (i.e., constant derivative)
QuantLib_Newton Newton 1-D solver
QuantLib_NewtonSafe safe Newton 1-D solver
QuantLib_NewZealand New Zealand calendar.
QuantLib_NLGCurrency Dutch guilder.
QuantLib_NoArbSabr no arbtrage sabr interpolation factory and traits
QuantLib_NoArbSabrInterpolation no arbitrage sabr smile interpolation between discrete volatility points.
QuantLib_NoConstraint No constraint.
QuantLib_NOKCurrency Norwegian krone.
QuantLib_NonhomogeneousBoundaryConstraint Constraint imposing i-th argument to be in [low_i,high_i] for all i
QuantLib_NonLinearLeastSquare Non-linear least-square method.
QuantLib_NonstandardSwap nonstandard swap
QuantLib_NonstandardSwap_arguments Arguments for nonstandard swap calculation
QuantLib_NonstandardSwap_results Results from nonstandard swap calculation
QuantLib_NonstandardSwaption nonstandard swaption class
QuantLib_NonstandardSwaption_arguments Arguments for nonstandard swaption calculation
QuantLib_NonstandardSwaption_engine base class for nonstandard swaption engines
QuantLib_NormalDistribution Normal distribution function.
QuantLib_NormalFwdRatePc Predictor-Corrector.
QuantLib_NorthAmericaCorpDefaultKey ISDA standard default contractual key for corporate US debt.
QuantLib_Norway Norwegian calendar.
QuantLib_NPRCurrency Nepal rupee.
QuantLib_NthToDefault N-th to default swap.
QuantLib_NthToDefault_engine NTD base engine.
QuantLib_Null template class providing a null value for a given type.
QuantLib_NullCalendar Calendar for reproducing theoretical calculations.
QuantLib_NullCondition null step condition
QuantLib_NullParameter Parameter which is always zero $ a(t) = 0 $
QuantLib_NullPayoff Dummy payoff class.
QuantLib_NumericalDifferentiation Numerical Differentiation on arbitrarily spaced grids.
QuantLib_NumericHaganPricer CMS-coupon pricer.
QuantLib_NZDCurrency New Zealand dollar.
QuantLib_NZDLibor NZD LIBOR rate
QuantLib_Nzocr Nzocr index
QuantLib_Observable Object that notifies its changes to a set of observers.
QuantLib_ObservableSettings global repository for run-time library settings
QuantLib_ObservableValue observable and assignable proxy to concrete value
QuantLib_Observer Object that gets notified when a given observable changes.
QuantLib_OISRateHelper Rate helper for bootstrapping over Overnight Indexed Swap rates.
QuantLib_OneAssetOption Base class for options on a single asset.
QuantLib_OneAssetOption_results Results from single-asset option calculation
QuantLib_OneDayCounter 1/1 day count convention
QuantLib_OneFactorAffineModel Single-factor affine base class.
QuantLib_OneFactorCopula Abstract base class for one-factor copula models.
QuantLib_OneFactorGaussianCopula One-factor Gaussian Copula.
QuantLib_OneFactorGaussianStudentCopula One-factor Gaussian-Student t-Copula.
QuantLib_OneFactorModel Single-factor short-rate model abstract class.
QuantLib_OneFactorModel_ShortRateDynamics Base class describing the short-rate dynamics.
QuantLib_OneFactorModel_ShortRateTree Recombining trinomial tree discretizing the state variable.
QuantLib_OneFactorStudentCopula One-factor Double Student t-Copula.
QuantLib_OneFactorStudentGaussianCopula One-factor Student t — Gaussian Copula.
QuantLib_OperatorFactory Black-Scholes-Merton differential operator.
QuantLib_OptimizationMethod Abstract class for constrained optimization method.
QuantLib_Option base option class
QuantLib_Option_arguments basic option arguments
QuantLib_OptionletStripper OptionletStripper
QuantLib_OptionletStripper1 OptionletStripper1
QuantLib_OptionletStripper2 OptionletStripper2
QuantLib_OptionletVolatilityStructure Optionlet (caplet/floorlet) volatility structure.
QuantLib_OrnsteinUhlenbeckProcess Ornstein-Uhlenbeck process class.
QuantLib_OrthogonalizedBumpFinder OrthogonalizedBumpFinder
QuantLib_OrthogonalProjections OrthogonalProjections
QuantLib_OvernightIndexedCoupon overnight coupon
QuantLib_OvernightIndexedSwap Overnight indexed swap: fix vs compounded overnight rate.
QuantLib_OvernightIndexedSwapIndex base class for overnight indexed swap indexes
QuantLib_OvernightLeg helper class building a sequence of overnight coupons
QuantLib_PagodaOption Roofed Asian option on a number of assets.
QuantLib_PagodaOption_engine Pagoda-option engine base class
QuantLib_Parameter Base class for model arguments.
QuantLib_Parameter_Impl Base class for model parameter implementation.
QuantLib_PartialTimeBarrierOption_arguments Arguments for barrier option calculation
QuantLib_PartialTimeBarrierOption_engine Partial-Time-Barrier-Option engine base class
QuantLib_PascalTriangle Pascal triangle coefficients calculator.
QuantLib_Path single-factor random walk
QuantLib_PathGenerator Generates random paths using a sequence generator.
QuantLib_PathMultiAssetOption Base class for path-dependent options on multiple assets.
QuantLib_PathMultiAssetOption_arguments Arguments for multi-asset option calculation
QuantLib_PathMultiAssetOption_results Results from multi-asset option calculation
QuantLib_PathPayoff Abstract base class for path-dependent option payoffs.
QuantLib_PathPricer base class for path pricers
QuantLib_PathwiseAccountingEngine Engine collecting cash flows along a market-model simulation for doing pathwise...
QuantLib_PathwiseVegasAccountingEngine Engine collecting cash flows along a market-model simulation for doing pathwise...
QuantLib_PathwiseVegasOuterAccountingEngine Engine collecting cash flows along a market-model simulation for doing pathwise...
QuantLib_Payoff Abstract base class for option payoffs.
QuantLib_PEHCurrency Peruvian sol.
QuantLib_PEICurrency Peruvian inti.
QuantLib_PENCurrency Peruvian nuevo sol.
QuantLib_PercentageStrikePayoff Payoff with strike expressed as percentage
QuantLib_Period Period
QuantLib_PerturbativeBarrierOptionEngine perturbative barrier-option engine
QuantLib_PiecewiseConstantParameter Piecewise-constant parameter.
QuantLib_PiecewiseDefaultCurve Piecewise default-probability term structure.
QuantLib_PiecewiseTimeDependentHestonModel Piecewise time dependent Heston model.
QuantLib_PiecewiseYieldCurve Piecewise yield term structure.
QuantLib_PiecewiseYoYInflationCurve Piecewise year-on-year inflation term structure.
QuantLib_PiecewiseYoYOptionletVolatilityCurve Piecewise year-on-year inflation volatility term structure.
QuantLib_PiecewiseZeroInflationCurve Piecewise zero-inflation term structure.
QuantLib_PKRCurrency Pakistani rupee.
QuantLib_PlackettCopula Plackett copula.
QuantLib_PlainVanillaPayoff Plain-vanilla payoff.
QuantLib_PLNCurrency Polish zloty.
QuantLib_PoissonDistribution Poisson distribution function.
QuantLib_Poland Polish calendar.
QuantLib_PolarStudentTRng Student t random number generator.
QuantLib_Polynomial polynomial2D-spline-interpolation factory
QuantLib_Polynomial2DSpline polynomial2D-spline interpolation between discrete points
QuantLib_PolynomialFunction Cubic functional form
QuantLib_PositiveConstraint Constraint imposing positivity to all arguments
QuantLib_PricingEngine interface for pricing engines
QuantLib_PricingPeriod Time pricingperiod described by a number of a given time unit.
QuantLib_PrimeNumbers Prime numbers calculator.
QuantLib_ProbabilityAlwaysDownhill Always Downhill Probability.
QuantLib_ProbabilityBoltzmann Boltzmann Probability.
QuantLib_ProbabilityBoltzmannDownhill Boltzmann Downhill Probability.
QuantLib_ProbabilityOfAtLeastNEvents Probability of at least N events.
QuantLib_ProbabilityOfNEvents Probability of N events.
QuantLib_Problem Constrained optimization problem.
QuantLib_ProjectedCostFunction Parameterized cost function.
QuantLib_Protection information on a default-protection contract
QuantLib_ProxyIbor IborIndex calculated as proxy of some other IborIndex.
QuantLib_PTECurrency Portuguese escudo.
QuantLib_Quantity Amount of a commodity.
QuantLib_QuantoBarrierOption Quanto version of a barrier option.
QuantLib_QuantoDoubleBarrierOption Quanto version of a double barrier option.
QuantLib_QuantoEngine Quanto engine.
QuantLib_QuantoForwardVanillaOption Quanto version of a forward vanilla option.
QuantLib_QuantoOptionResults Results from quanto option calculation
QuantLib_QuantoTermStructure Quanto term structure.
QuantLib_QuantoVanillaOption quanto version of a vanilla option
QuantLib_Quote purely virtual base class for market observables
QuantLib_RandomDefaultLM RandomDefaultLM< copulaPolicy, USNG >
QuantLib_RandomDefaultModel Base class for random default models.
QuantLib_RandomizedLDS Randomized (random shift) low-discrepancy sequence.
QuantLib_RandomLM RandomLM< derivedRandomLM, copulaPolicy, USNG >
QuantLib_RandomLossLM RandomLossLM< copulaPolicy, USNG >
QuantLib_RandomSequenceGenerator Random sequence generator based on a pseudo-random number generator.
QuantLib_RangeAccrualLeg helper class building a sequence of range-accrual floating-rate coupons
QuantLib_Ranlux3UniformRng Uniform random number generator.
QuantLib_RatchetMaxPayoff RatchetMax payoff (double option)
QuantLib_RatchetMinPayoff RatchetMin payoff (double option)
QuantLib_RatchetPayoff Ratchet payoff (single option)
QuantLib_ReannealingFiniteDifferences Reannealing Finite Difference.
QuantLib_ReannealingTrivial Reannealing Trivial.
QuantLib_RebatedExercise Rebated exercise.
QuantLib_RecoveryRateModel RecoveryRateModel
QuantLib_RecoveryRateQuote Stores a recovery rate market quote and the associated seniority.
QuantLib_RecursiveLossModel RecursiveLossModel< copulaPolicy >
QuantLib_Redemption Bond redemption.
QuantLib_Region Region class, used for inflation applicability.
QuantLib_RelativeDateBootstrapHelper Bootstrap helper with date schedule relative to global evaluation date.
QuantLib_RelinkableHandle Relinkable handle to an observable.
QuantLib_RendistatoEquivalentSwapLengthQuote RendistatoCalculator equivalent swap lenth Quote adapter.
QuantLib_RendistatoEquivalentSwapSpreadQuote RendistatoCalculator equivalent swap spread Quote adapter.
QuantLib_ReplicatingVarianceSwapEngine Variance-swap pricing engine using replicating cost,.
QuantLib_Replication Digital option replication strategy.
QuantLib_Restructuring Restructuring type.
QuantLib_RichardsonExtrapolation Richardson Extrapolation.
QuantLib_Ridder Ridder 1-D solver
QuantLib_RiskyAssetSwap Risky asset-swap instrument.
QuantLib_RiskyAssetSwapOption Option on risky asset swap
QuantLib_RiskyBond RiskyBond
QuantLib_RiskyFixedBond RiskyFixedBond
QuantLib_RiskyFloatingBond RiskyFloatingBond
QuantLib_ROLCurrency Romanian leu.
QuantLib_Romania Romanian calendars.
QuantLib_RONCurrency Romanian new leu.
QuantLib_Rounding basic rounding class
QuantLib_RUBCurrency Russian ruble.
QuantLib_Russia Russian calendars.
QuantLib_SABR SABR interpolation factory and traits
QuantLib_SABRInterpolation SABR smile interpolation between discrete volatility points.
QuantLib_SabrVolSurface SABR volatility (smile) surface.
QuantLib_SaddlePointLossModel Saddle point portfolio credit default loss model.
QuantLib_SalvagingAlgorithm algorithm used for matricial pseudo square root
QuantLib_Sample weighted sample
QuantLib_SampledCurve This class contains a sampled curve.
QuantLib_SamplerCauchy Cauchy Sampler.
QuantLib_SamplerGaussian Gaussian Sampler.
QuantLib_SamplerLogNormal Lognormal Sampler.
QuantLib_SamplerMirrorGaussian Gaussian Mirror Sampler.
QuantLib_SamplerRingGaussian Gaussian Ring Sampler.
QuantLib_SamplerVeryFastAnnealing Very Fast Annealing Sampler.
QuantLib_SARCurrency Saudi riyal.
QuantLib_SaudiArabia Saudi Arabian calendar.
QuantLib_Schedule Payment schedule.
QuantLib_Seasonality A transformation of an existing inflation swap rate.
QuantLib_Secant Secant 1-D solver
QuantLib_SeedGenerator Random seed generator.
QuantLib_SegmentIntegral Integral of a one-dimensional function.
QuantLib_SEKCurrency Swedish krona.
QuantLib_SEKLibor SEK LIBOR rate
QuantLib_Settings global repository for run-time library settings
QuantLib_Settlement settlement information
QuantLib_SGDCurrency Singapore dollar
QuantLib_ShortRateModel Abstract short-rate model class.
QuantLib_ShoutCondition Shout option condition.
QuantLib_simEvent simEvent< simEventOwner >
QuantLib_SimpleCashFlow Predetermined cash flow.
QuantLib_SimpleChooserOption Simple chooser option.
QuantLib_SimpleChooserOption_arguments Extra arguments for single chooser option.
QuantLib_SimpleChooserOption_engine Simple chooser option engine base class.
QuantLib_SimpleDayCounter Simple day counter for reproducing theoretical calculations.
QuantLib_SimpleLocalEstimator Local-estimator volatility model.
QuantLib_SimplePolynomialFitting Simple polynomial fitting method.
QuantLib_SimpleQuote market element returning a stored value
QuantLib_Simplex Multi-dimensional simplex class.
QuantLib_SimpsonIntegral Integral of a one-dimensional function.
QuantLib_SimulatedAnnealing SimulatedAnnealing< RNG >
QuantLib_Singapore Singapore calendars
QuantLib_SingleProductComposite Composition of one or more market-model products.
QuantLib_Singleton Basic support for the singleton pattern.
QuantLib_SingleVariate default Monte Carlo traits for single-variate models
QuantLib_SITCurrency Slovenian tolar.
QuantLib_SKKCurrency Slovak koruna.
QuantLib_Slovakia Slovak calendars.
QuantLib_SmileSection interest rate volatility smile section
QuantLib_SmileSectionUtils smile-section utilities
QuantLib_SMMDriftCalculator Drift computation for coterminal swap market models.
QuantLib_SobolBrownianGenerator Sobol Brownian generator for market-model simulations.
QuantLib_SobolRsg Sobol low-discrepancy sequence generator.
QuantLib_SoftCallability callability leaving to the holder the possibility to convert
QuantLib_Solver1D Base class for 1-D solvers.
QuantLib_Sonia Sonia (Sterling Overnight Index Average) rate.
QuantLib_SouthAfrica South-African calendar.
QuantLib_SouthKorea South Korean calendars.
QuantLib_SparseILUPreconditioner SparseILUPreconditioner
QuantLib_SphereCylinderOptimizer SphereCylinderOptimizer
QuantLib_SpotRecoveryLatentModel Random spot recovery rate latent variable portfolio model.
QuantLib_SpreadCdsHelper Spread-quoted CDS hazard rate bootstrap helper.
QuantLib_SpreadedHazardRateCurve Default-probability structure with an additive spread on hazard rates.
QuantLib_SpreadFittingMethod Spread fitting method helper.
QuantLib_SpreadOption Spread option on two assets.
QuantLib_SpreadOption_engine Spread option engine base class
QuantLib_SquareRootAndersen SquareRootAndersen
QuantLib_SquareRootProcess Square-root process class.
QuantLib_StatsHolder Helper class for precomputed distributions.
QuantLib_SteepestDescent Multi-dimensional steepest-descent class.
QuantLib_StepCondition condition to be applied at every time step
QuantLib_StepConditionSet Parallel evolver for multiple arrays.
QuantLib_step_iterator Iterator advancing in constant steps.
QuantLib_StickyMaxPayoff StickyMax payoff (double option)
QuantLib_StickyMinPayoff StickyMin payoff (double option)
QuantLib_StickyPayoff Sticky payoff (single option)
QuantLib_StochasticCollocationInvCDF Stochastic collocation inverse cumulative distribution function.
QuantLib_StochasticProcess multi-dimensional stochastic process class.
QuantLib_StochasticProcess1D 1-dimensional stochastic process
QuantLib_StochasticProcess1D_discretization discretization of a 1-D stochastic process
QuantLib_StochasticProcessArray Array of correlated 1-D stochastic processes
QuantLib_StochasticProcess_discretization discretization of a stochastic process over a given time interval
QuantLib_Stock Simple stock class.
QuantLib_StrikedTypePayoff Intermediate class for payoffs based on a fixed strike.
QuantLib_StrippedOptionlet StrippedOptionlet
QuantLib_StrippedOptionletAdapter StrippedOptionletAdapter
QuantLib_StrippedOptionletBase StrippedOptionletBase
QuantLib_StudentDistribution Student t-distribution.
QuantLib_StulzEngine Pricing engine for 2D European Baskets.
QuantLib_SuperFundPayoff Binary supershare and superfund payoffs.
QuantLib_SuperSharePayoff Binary supershare payoff.
QuantLib_SurvivalProbability Survival-Probability-curve traits.
QuantLib_SurvivalProbabilityStructure Hazard-rate term structure.
QuantLib_SVD Singular value decomposition.
QuantLib_SVDDFwdRatePc SVDDFwdRatePc
QuantLib_SvenssonFitting Svensson Fitting method.
QuantLib_Svi Svi interpolation factory and traits
QuantLib_SviInterpolation Svi smile interpolation between discrete volatility points.
QuantLib_Swap Interest rate swap.
QuantLib_SwapIndex base class for swap-rate indexes
QuantLib_SwapRateHelper Rate helper for bootstrapping over swap rates.
QuantLib_SwapSpreadIndex class for swap-rate spread indexes
QuantLib_Swaption Swaption class
QuantLib_Swaption_arguments Arguments for swaption calculation
QuantLib_Swaption_engine base class for swaption engines
QuantLib_SwaptionHelper calibration helper for ATM swaption
QuantLib_SwaptionVolatilityCube swaption-volatility cube
QuantLib_SwaptionVolatilityMatrix At-the-money swaption-volatility matrix.
QuantLib_SwaptionVolatilityStructure Swaption-volatility structure
QuantLib_Sweden Swedish calendar.
QuantLib_SwingExercise Swing exercise.
QuantLib_Switzerland Swiss calendar.
QuantLib_SymmetricSchurDecomposition symmetric threshold Jacobi algorithm.
QuantLib_SyntheticCDO Synthetic Collateralized Debt Obligation.
QuantLib_SyntheticCDO_engine CDO base engine.
QuantLib_TabulatedGaussLegendre tabulated Gauss-Legendre quadratures
QuantLib_Taiwan Taiwanese calendars.
QuantLib_TARGET TARGET calendar
QuantLib_TCopulaPolicy Student-T Latent Model's copula policy.
QuantLib_TCopulaPolicy_initTraits TCopulaPolicy::initTraits
QuantLib_TemperatureBoltzmann Temperature Boltzmann.
QuantLib_TemperatureCauchy Temperature Cauchy.
QuantLib_TemperatureVeryFastAnnealing Temperature Very Fast Annealing.
QuantLib_TermStructure Basic term-structure functionality.
QuantLib_TermStructureConsistentModel Term-structure consistent model class.
QuantLib_TermStructureFittingParameter Deterministic time-dependent parameter used for yield-curve fitting.
QuantLib_THBCurrency Thai baht.
QuantLib_Thirty360 30/360 day count convention
QuantLib_Tian Tian tree: third moment matching, multiplicative approach
QuantLib_Tibor JPY TIBOR index
QuantLib_TimeBasket Distribution over a number of dates.
QuantLib_TimeGrid time grid class
QuantLib_TimeSeries Container for historical data.
QuantLib_TqrEigenDecomposition tridiag. QR eigen decomposition with explicite shift aka Wilkinson
QuantLib_TransformedGrid transformed grid
QuantLib_TrapezoidIntegral Integral of a one-dimensional function.
QuantLib_TRBDF2 TR-BDF2 scheme for finite difference methods.
QuantLib_Tree Tree approximating a single-factor diffusion
QuantLib_TreeCallableFixedRateBondEngine Numerical lattice engine for callable fixed rate bonds.
QuantLib_TreeCallableZeroCouponBondEngine Numerical lattice engine for callable zero coupon bonds.
QuantLib_TreeCapFloorEngine Numerical lattice engine for cap/floors.
QuantLib_TreeLattice Tree-based lattice-method base class.
QuantLib_TreeLattice1D One-dimensional tree-based lattice.
QuantLib_TreeLattice2D Two-dimensional tree-based lattice.
QuantLib_TreeSwaptionEngine Numerical lattice engine for swaptions.
QuantLib_TreeVanillaSwapEngine Numerical lattice engine for simple swaps.
QuantLib_TridiagonalOperator Base implementation for tridiagonal operator.
QuantLib_TridiagonalOperator_TimeSetter encapsulation of time-setting logic
QuantLib_Trigeorgis Trigeorgis (additive equal jumps) binomial tree
QuantLib_TrinomialTree Recombining trinomial tree class.
QuantLib_TRLCurrency Turkish lira.
QuantLib_TRLibor TRY LIBOR rate
QuantLib_TRYCurrency New Turkish lira.
QuantLib_TsiveriotisFernandesLattice Binomial lattice approximating the Tsiveriotis-Fernandes model.
QuantLib_TTDCurrency Trinidad & Tobago dollar.
QuantLib_Turkey Turkish calendar.
QuantLib_TWDCurrency Taiwan dollar
QuantLib_TwoAssetBarrierOption Barrier option on two assets
QuantLib_TwoAssetBarrierOption_arguments Arguments for two-asset barrier option calculation
QuantLib_TwoAssetBarrierOption_engine Two-asset barrier-option engine base class
QuantLib_TwoDimensionalIntegral Integral of a two-dimensional function.
QuantLib_TwoFactorModel Abstract base-class for two-factor models.
QuantLib_TwoFactorModel_ShortRateDynamics Class describing the dynamics of the two state variables.
QuantLib_TwoFactorModel_ShortRateTree Recombining two-dimensional tree discretizing the state variable.
QuantLib_TypePayoff Intermediate class for put/call payoffs.
QuantLib_UAHCurrency Ukrainian hryvnia.
QuantLib_Ukraine Ukrainian calendars.
QuantLib_UKRegion United Kingdom as geographical/economic region.
QuantLib_UKRPI UK Retail Price Inflation Index.
QuantLib_UnitDisplacedBlackYoYInflationCouponPricer Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons.
QuantLib_UnitedKingdom United Kingdom calendars.
QuantLib_UnitedStates United States calendars.
QuantLib_UnitOfMeasure Unit of measure specification
QuantLib_UnitOfMeasureConversionManager repository of conversion factors between units of measure
QuantLib_UpfrontCdsHelper Upfront-quoted CDS hazard rate bootstrap helper.
QuantLib_UpperBoundEngine Market-model engine for upper-bound estimation.
QuantLib_UpRounding Up-rounding.
QuantLib_USCPI US CPI index.
QuantLib_USDCurrency U.S. dollar.
QuantLib_USDLibor USD LIBOR rate
QuantLib_USDLiborON Overnight USD Libor index.
QuantLib_UsdLiborSwapIsdaFixAm UsdLiborSwapIsdaFixAm index base class
QuantLib_UsdLiborSwapIsdaFixPm UsdLiborSwapIsdaFixPm index base class
QuantLib_USRegion USA as geographical/economic region.
QuantLib_VanillaOption Vanilla option (no discrete dividends, no barriers) on a single asset.
QuantLib_VanillaStorageOption base option class
QuantLib_VanillaSwap Plain-vanilla swap: fix vs floating leg.
QuantLib_VanillaSwap_arguments Arguments for simple swap calculation
QuantLib_VanillaSwap_results Results from simple swap calculation
QuantLib_VanillaSwingOption base option class
QuantLib_VannaVolga VannaVolga-interpolation factory and traits
QuantLib_VannaVolgaBarrierEngine Vanna Volga barrier option engine.
QuantLib_VannaVolgaDoubleBarrierEngine Vanna Volga double-barrier option engine.
QuantLib_VannaVolgaInterpolation Vanna Volga interpolation between discrete points
QuantLib_VarianceGammaEngine Variance Gamma Pricing engine for European vanilla options using integral...
QuantLib_VarianceGammaModel Variance Gamma model.
QuantLib_VarianceGammaProcess Variance gamma process.
QuantLib_VarianceOption Variance option.
QuantLib_VarianceOption_arguments Arguments for forward fair-variance calculation
QuantLib_VarianceOption_engine base class for variance-option engines
QuantLib_VarianceOption_results Results from variance-option calculation
QuantLib_VarianceSwap Variance swap.
QuantLib_VarianceSwap_arguments Arguments for forward fair-variance calculation
QuantLib_VarianceSwap_engine base class for variance-swap engines
QuantLib_VarianceSwap_results Results from variance-swap calculation
QuantLib_Vasicek Vasicek model class
QuantLib_Vasicek_Dynamics Short-rate dynamics in the Vasicek model.
QuantLib_VEBCurrency Venezuelan bolivar.
QuantLib_VegaBumpCollection VegaBumpCollection
QuantLib_VegaStressedBlackScholesProcess Black-Scholes process which supports local vega stress tests.
QuantLib_Visitor Visitor for a specific class
QuantLib_VNDCurrency Vietnamese Dong.
QuantLib_VolatilityTermStructure Volatility term structure.
QuantLib_WeekendsOnly Weekends-only calendar.
QuantLib_WriterExtensibleOption Writer-extensible option.
QuantLib_WriterExtensibleOption_arguments Additional arguments for writer-extensible option.
QuantLib_WriterExtensibleOption_engine Base engine.
QuantLib_WulinYongDoubleBarrierEngine Pricing engine for barrier options using analytical formulae.
QuantLib_YearOnYearInflationSwap Year-on-year inflation-indexed swap.
QuantLib_YearOnYearInflationSwap_arguments Arguments for YoY swap calculation
QuantLib_YearOnYearInflationSwapHelper Year-on-year inflation-swap bootstrap helper.
QuantLib_YearOnYearInflationSwap_results Results from YoY swap calculation
QuantLib_YieldTermStructure Interest-rate term structure.
QuantLib_YoYCapFloorTermPriceSurface Abstract base class, inheriting from InflationTermStructure.
QuantLib_YoYInflationBachelierCapFloorEngine Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no...
QuantLib_YoYInflationBlackCapFloorEngine Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)
QuantLib_YoYInflationCap Concrete YoY Inflation cap class.
QuantLib_YoYInflationCapFloor Base class for yoy inflation cap-like instruments.
QuantLib_YoYInflationCapFloor_arguments Arguments for YoY Inflation cap/floor calculation
QuantLib_YoYInflationCapFloor_engine base class for cap/floor engines
QuantLib_YoYInflationCapFloorEngine Base YoY inflation cap/floor engine.
QuantLib_YoYInflationCollar Concrete YoY Inflation collar class.
QuantLib_YoYInflationCoupon Coupon paying a YoY-inflation type index
QuantLib_YoYInflationCouponPricer base pricer for capped/floored YoY inflation coupons
QuantLib_YoYInflationFloor Concrete YoY Inflation floor class.
QuantLib_YoYInflationIndex Base class for year-on-year inflation indices.
QuantLib_yoyInflationLeg yoyInflationLeg
QuantLib_YoYInflationTermStructure Base class for year-on-year inflation term structures.
QuantLib_YoYInflationTraits Bootstrap traits to use for PiecewiseZeroInflationCurve.
QuantLib_YoYInflationUnitDisplacedBlackCapFloorEngine Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no...
QuantLib_YoYInflationVolatilityTraits traits for inflation-volatility bootstrap
QuantLib_YoYOptionletHelper Year-on-year inflation-volatility bootstrap helper.
QuantLib_YoYOptionletStripper Interface for inflation cap stripping, i.e. from price surfaces.
QuantLib_YoYOptionletVolatilitySurface YoYOptionletVolatilitySurface
QuantLib_YYAUCPI Genuine year-on-year AU CPI (i.e. not a ratio)
QuantLib_YYAUCPIr Fake year-on-year AUCPI (i.e. a ratio)
QuantLib_YYEUHICP Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP)
QuantLib_YYEUHICPr Fake year-on-year EU HICP (i.e. a ratio of EU HICP)
QuantLib_YYEUHICPXT Genuine year-on-year EU HICPXT.
QuantLib_YYFRHICP Genuine year-on-year FR HICP (i.e. not a ratio)
QuantLib_YYFRHICPr Fake year-on-year FR HICP (i.e. a ratio)
QuantLib_YYGenericCPI Genuine year-on-year Generic CPI (i.e. not a ratio)
QuantLib_YYGenericCPIr Fake year-on-year GenericCPI (i.e. a ratio)
QuantLib_YYUKRPI Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
QuantLib_YYUKRPIr Fake year-on-year UK RPI (i.e. a ratio of UK RPI)
QuantLib_YYUSCPI Genuine year-on-year US CPI (i.e. not a ratio of US CPI)
QuantLib_YYUSCPIr Fake year-on-year US CPI (i.e. a ratio of US CPI)
QuantLib_YYZACPI Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI)
QuantLib_YYZACPIr Fake year-on-year South African CPI (i.e. a ratio of ZA CPI)
QuantLib_Zabr no arbtrage sabr interpolation factory and traits
QuantLib_ZabrInterpolation zabr smile interpolation between discrete volatility points.
QuantLib_ZACPI South African Comsumer Price Inflation Index.
QuantLib_ZARCurrency South-African rand.
QuantLib_ZARegion South Africa as geographical/economic region.
QuantLib_ZeroCondition Zero exercise condition.
QuantLib_ZeroCouponBond zero-coupon bond
QuantLib_ZeroCouponInflationSwap Zero-coupon inflation-indexed swap.
QuantLib_ZeroCouponInflationSwapHelper Zero-coupon inflation-swap bootstrap helper.
QuantLib_ZeroInflationIndex Base class for zero inflation indices.
QuantLib_ZeroInflationTermStructure Interface for zero inflation term structures.
QuantLib_ZeroInflationTraits Bootstrap traits to use for PiecewiseZeroInflationCurve.
QuantLib_ZeroSpreadedTermStructure Term structure with an added spread on the zero yield rate.
QuantLib_ZeroYield Zero-curve traits.
QuantLib_ZeroYieldStructure Zero-yield term structure.
QuantLib_Zibor CHF ZIBOR rate
QuantLib_ZigguratRng Ziggurat random-number generator.
quantoengines quantoengines
resources resourcesAdditional resources
shortrate shortrate
solvers solvers
swaptionengines swaptionengines
test testTest Suite
types types
usage usageUsage
utilities utilities
vanillaengines vanillaengines
where whereWhere to get QuantLib
yieldtermstructures yieldtermstructures