QuantLib Compound List

Here are the classes, structs, unions and interfaces with brief descriptions:
Actual360Actual/360 day count convention
Actual365Actual/365 day count convention
ActualActualActual/Actual day count
AdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
AffineModelAffine model class
AffineTermStructureTerm-structure implied by an affine model
AmericanCondition
AmericanExerciseAmerican exercise class
AmericanMCVanillaEngineLeast-square Monte Carlo engine
AnalyticalCapFloorAnalytical pricer for cap/floor
AnalyticEuropeanEnginePricing engine for European options using analytical formulae
ArgumentsBase class for generic argument groups
ArithmeticAPOPathPricer_oldpath pricer for arithmetic average price option
ArithmeticASOPathPricer_oldpath pricer for arithmetic average strike Asian options
ArmijoLineSearch
Array1-D array used in linear algebra
ArrayFormatterFormats arrays for output
AssertionFailedErrorSpecialized error
AssetOrNothingPayoffBinary Asset-Or-Nothing option payoff
AUDLiborAUD Libor index (Also known as SIBOR, check settlement days)
BarrierOptionBarrier option
BasketPathPricer_oldMultipath pricer for European-type basket option
BermudanExerciseBermudan exercise class
BicubicSplineInterpolationBicubic spline interpolation between discrete points
BilinearInterpolationBilinear interpolation between discrete points
BinaryOptionBinary (digital) option
BinomialTreeBinomial tree base class
BinomialVanillaEnginePricing engine for Vanilla options using binomial trees
Bisectionbisection 1-D solver
BlackCapFloorCapFloor priced by the Black formula
BlackConstantVolConstant Black volatility, no time-strike dependence
BlackKarasinskiStandard Black-Karasinski model class
BlackKarasinski::DynamicsShort-rate dynamics in the Black-Karasinski model
BlackModelBlack-model for vanilla interest-rate derivatives
BlackScholesLatticeSimple binomial lattice approximating the Black-Scholes model
BlackScholesProcessBlack-Scholes diffusion process class
BlackSwaptionSwaption priced by the Black formula
BlackVarianceCurveBlack volatility curve modelled as variance curve
BlackVarianceSurfaceBlack volatility surface modelled as variance surface
BlackVarianceTermStructureBlack Variance term structure
BlackVolatilityTermStructureBlack Volatility term structure
BlackVolTermStructureBlack Volatility Term structure
BoundaryConditionAbstract boundary condition class for finite difference problems
BoundaryConstraintConstraint imposing all arguments to be in [low,high]
BoxMullerGaussianRngGaussian random number generator
BPSCalculatorBasis point sensitivity (BPS) calculator
BrentBrent 1-D solver
BridgeThe Bridge pattern made explicit
BrownianBridgeBuilds Wiener process paths using Gaussian variates
BSMOperatorBlack-Scholes-Merton differential operator
BudapestBudapest calendar
CADLiborCAD Libor index (Also known as CDOR)
Calendarcalendar class
Calendar::WesternImpl
CalendarImplAbstract base class for calendar implementations
CalibrationHelperLiquid market instrument used during calibration
CalibrationSetSet of calibration instruments
CapFlatVolatilityStructureCap/floor flat volatility structure
CapFlatVolatilityVectorCap/floor at-the-money flat volatility vector
CapFloorArgumentsArguments for cap/floor calculation
CapFloorResultsresults from cap/floor calculation
CapletForwardVolatilityStructureCaplet/floorlet forward volatility structure
CashFlowBase class for cash flows
CashOrNothingPayoffBinary Cash-Or-Nothing option payoff
CHFLiborCHF Libor index (Also known as ZIBOR)
CLGaussianRngGaussian random number generator
CliquetEngineCliquet engine base class
CliquetOptionCliquet (Ratchet) option
CliquetOptionArgumentsArguments for cliquet option calculation
CliquetOptionPathPricerpath pricer for cliquet options
CliquetOptionPathPricer_oldpath pricer for cliquet options
combining_iteratorIterator mapping a function to a set of underlying sequences
CompositeMarketElementMarket element whose value depends on two other market element
ConjugateGradientMulti-dimensionnal Conjugate Gradient class
ConstantParameterStandard constant parameter $ a(t) = a $
ConstraintBase constraint class
ConstraintImplBase class for Constraint implementations
ContinuousGeometricAPOContinuous Geometric Average Price Option (European exercise)
CostFunctionCost function abstract class for optimization problem
coupling_iteratorIterator mapping a function to a pair of underlying sequences
Couponcoupon accruing over a fixed period
CoxIngersollRossCox-Ingersoll-Ross model class
CoxIngersollRoss::DynamicsDynamics of the short-rate under the Cox-Ingersoll-Ross model
CoxRossRubinsteinCox-Ross-Rubinstein (multiplicative) equal jumps binomial tree
CrankNicolsonCrank-Nicolson scheme for finite difference methods
CubicSplineCubic spline interpolation between discrete points
CumulativeNormalDistributionCumulative normal distribution function
CuriouslyRecurringTemplateSupport for the curiously recurring template pattern
CurrencyFormatterFormats currencies for output
DateConcrete date class
DateFormatterFormats dates for output
DayCounterDay counter class
DayCounterImplAbstract base class for day counter implementations
DepositRateHelperDeposit rate
DerivedMarketElementMarket element whose value depends on another market element
DiffusionProcessDiffusion process class
DirichletBCNeumann boundary condition (i.e., constant value)
DiscountCurveTerm structure based on loglinear interpolation of discount factors
DiscountStructureDiscount factor term structure
DiscrepancyStatisticsStatistic tool for sequences with discrepancy calculation
DiscreteGeometricAPODiscrete Geometric Average Price Asian Option (European style)
DiscreteGeometricASODiscrete Geometric Average Strike Asian Option (European style)
DiscretizedAssetDiscretized asset class used by numerical methods
DiscretizedDiscountBondUseful discretized discount bond asset
DiscretizedOptionDiscretized option on another asset
DisposableGeneric disposable object with move semantics
DMinus$ D_{-} $ matricial representation
DoubleFormatterFormats doubles for output
DPlus$ D_{+} $ matricial representation
DPlusDMinus$ D_{+}D_{-} $ matricial representation
DriftTermStructureDrift term structure
DZero$ D_{0} $ matricial representation
EndCriteria
EqualJumpsBinomialTreeBase class for equal jumps binomial tree
EqualProbabilitiesBinomialTreeBase class for equal probabilities binomial tree
ErrorBase error class
ErrorFunctionError function
EuriborEuribor index
EuroFormatterFormats amounts in Euro for output
EuropeanExerciseEuropean exercise class
EuropeanOptionBlack-Scholes-Merton European option
EuropeanPathPricerpath pricer for European options
EuropeanPathPricer_oldpath pricer for European options
EverestPathPricer_oldpath pricer for European-type Everest option
ExerciseExercise class (American, Bermudan or European)
ExplicitEulerForward Euler scheme for finite difference methods
ExtendedCoxIngersollRossExtended Cox-Ingersoll-Ross model class
ExtendedCoxIngersollRoss::DynamicsShort-rate dynamics in the extended Cox-Ingersoll-Ross model
ExtendedCoxIngersollRoss::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
ExtendedDiscountCurveTerm structure based on loglinear interpolation of discount factors
FalsePositionFalse position 1-D solver
FdAmericanOption
FdBermudanOptionBermudan option
FdBsmOptionBlack-Scholes-Merton option priced numerically
FdDividendEuropeanOptionEuropean option with dividends
FdDividendShoutOptionShout option with dividends
FdEuropeanExample of European option calculated using finite differences
FdStepConditionOptionoption executing additional code at each time step
filtering_iteratorIterator filtering undesired data
FiniteDifferenceModelGeneric finite difference model
FixedRateCouponcoupon paying a fixed interest rate
FloatingRateCouponcoupon at par on a term structure
ForwardEngineForward engine base class
ForwardOptionArgumentsArguments for forward (strike-resetting) option calculation
ForwardPerformanceEngineForward Performance engine base class
ForwardRateStructureForward rate term structure
ForwardSpreadedTermStructureTerm structure with added spread on the instantaneous forward rate
ForwardVanillaOptionForward version of a vanilla option
FrankfurtFrankfurt calendar
FraRateHelperForward rate agreement
FuturesRateHelperInterest Rate Futures
G2Two-additive-factor gaussian model class
G2::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
GammaFunctionGamma function class
GaussianStatisticsStatistics tool for gaussian-assumption risk measures
GBPLiborGBP Libor index
GeneralStatisticsStatistics tool
GenericEngineTemplate base class for option pricing engines
GenericModelEngineBase class for some pricing engine on a particular model
GenericRiskStatisticsEmpirical-distribution risk measures
GeometricAPOPathPricer_oldpath pricer for geometric average price option
GeometricASOPathPricer_oldpath pricer for geometric average strike option
HaltonRsgHalton low-discrepancy sequence generator
HandleReference-counted pointer
HelsinkiHelsinki calendar
HimalayaPathPricer_oldMultipath pricer for European-type Himalaya option
HistoryContainer for historical data
History::const_iteratorRandom access iterator on history entries
History::EntrySingle datum in history
HullWhiteSingle-factor Hull-White (extended Vasicek) model class
HullWhite::DynamicsShort-rate dynamics in the Hull-White model
HullWhite::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
ICGaussianRngInverse cumulative Gaussian random number generator
ICGaussianRsgInverse cumulative Gaussian random sequence generator
IllegalArgumentErrorSpecialized error
IllegalResultErrorSpecialized error
ImplicitEulerBackward Euler scheme for finite difference methods
ImpliedTermStructureImplied term structure at a given date in the future
ImpliedVolTermStructureImplied vol term structure at a given date in the future
InArrearIndexedCouponin arrear indexed coupon class
IncrementalStatisticsStatistics tool based on incremental accumulation
IndexPurely virtual base class for indexes
IndexedCouponbase indexed coupon class
IndexErrorSpecialized error
InstrumentAbstract instrument class
IntegerFormatterFormats integers for output
IntegralEnginePricing engine for Vanilla options using integral approach
InterpolationAbstract base class for 1-D interpolations
Interpolation2DAbstract base class for 2-D interpolations
InverseCumulativeNormalInverse cumulative normal distribution function
JamshidianSwaptionJamshidian swaption pricer
JarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
JohannesburgJohannesburg calendar
JointCalendarJoint calendar
JPYLiborJPY Libor index (Also known as TIBOR, check settlement days)
KnuthUniformRngUniform random number generator
KronrodIntegralIntegral of a 1-dimensional function using the Gauss-Kronrod method
LatticeLattice-method base class
Lattice2DTwo-dimensional lattice
LatticeShortRateModelEngineEngine for a short-rate model specialized on a lattice
LazyObjectFramework for calculation on demand and result caching
LeastSquareFunction
LeastSquareProblemBase class for least square problem
LecuyerUniformRngUniform random number generator
LexicographicalViewLexicographical 2-D view of a contiguous set of data
LinearInterpolationLinear interpolation between discrete points
LineSearchBase class for line search
LinkRelinkable access to a Handle
LocalConstantVolConstant local volatility, no time-strike dependence
LocalVolCurveLocal volatility curve derived from a Black curve
LocalVolSurfaceLocal volatility surface derived from a Black vol surface
LocalVolTermStructureLocal Volatility Term structure
LogLinearInterpolationLog linear interpolation between discrete points
LondonLondon calendar
lowest_category_iteratorMost generic of two given iterator categories
MarketElementPurely virtual base class for market observables
Matrixmatrix used in linear algebra
MaxBasketPathPricer_oldMultipath pricer for European-type basket option
McBasketSimple example of multi-factor Monte Carlo pricer
McCliquetOptionSimple example of Monte Carlo pricer
McDiscreteArithmeticAPOExample of Monte Carlo pricer using a control variate
McDiscreteArithmeticASOExample of Monte Carlo pricer using a control variate
McEuropeanSimple example of Monte Carlo pricer
MCEuropeanEngineEuropean Vanilla option pricing engine using Monte Carlo simulation
McEverestEverest-type option pricer
McHimalayaHimalayan-type option pricer
McMaxBasketSimple example of multi-factor Monte Carlo pricer
McPagodaRoofed Asian option
McPerformanceOptionPerformance option computed using Monte Carlo simulation
McPricerBase class for Monte Carlo pricers
McSimulationBase class for Monte Carlo engines
MCVanillaEngineBase class for Monte Carlo vanilla option engines
MersenneTwisterUniformRngUniform random number generator
MethodOptimization Method abstract class for constrained optimization pb
MilanMilan calendar
MixedSchemeMixed (explicit/implicit) scheme for finite difference methods
ModelAbstract short-rate model class
MonteCarloModelGeneral purpose Monte Carlo model for path samples
MoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
MultiPathSingle random walk
MultiPathGeneratorGenerates a multipath from a random number generator
MultiPathGenerator_oldGenerates a multipath from a random number generator
MultivariateAccumulatorA sample accumulator for multivariate analysis
NeumannBCNeumann boundary condition (i.e., constant derivative)
NewtonNewton 1-D solver
NewtonSafeSafe Newton 1-D solver
NewYorkNew York calendar
NoConstraintNo constraint
NonLinearLeastSquare
NormalDistributionNormal distribution function
NullTemplate class providing a null value for a given type
NullParameterParameter which is always zero $ a(t) = 0 $
NumericalMethodNumerical method (Tree, Finite Differences) base class
ObservableObject that notifies its changes to a set of observables
ObserverObject that gets notified when a given observable changes
OneFactorAffineModelSingle-factor affine base class
OneFactorModelSingle-factor short-rate model abstract class
OneFactorModel::ShortRateDynamicsBase class describing the short-rate dynamics
OneFactorModel::ShortRateTreeRecombining trinomial tree discretizing the state variable
OneFactorOperatorInterest-rate single factor model differential operator
OptionBase option class
OptionGreeksoption pricing results
OptionValueoption pricing results
OrnsteinUhlenbeckProcessOrnstein-Uhlenbeck process class
OsloOslo calendar
OutOfMemoryErrorSpecialized error
PagodaPathPricer_oldmultipath pricer for pagoda options
ParameterBase class for model arguments
ParameterImplBase class for model parameter implementation
ParCouponcoupon at par on a term structure
PathSingle factor random walk
PathGeneratorGenerates random paths using a sequence generator
PathGenerator_oldGenerates random paths from a random number generator
PathPricerBase class for path pricers
PathPricer_oldBase class for path pricers
PayoffOption payoff base class
PerformanceOptionPerformance option
PerformanceOptionPathPricer_oldpath pricer for performance options
PeriodTime period described by a number of a given time unit
PiecewiseConstantParameterPiecewise constant parameter
PiecewiseFlatForwardPiecewise flat forward term structure
PlainVanillaPayoff
PositiveConstraintConstraint imposing positivity to all arguments
PostconditionNotSatisfiedErrorSpecialized error
PreconditionNotSatisfiedErrorSpecialized error
PricingEngineBase class for pricing engines
PrimeNumbersPrime numbers calculator
ProblemConstrained optimization problem
processing_iteratorIterator mapping a unary function to an underlying sequence
QuantoEngineQuanto engine base class
QuantoForwardVanillaOptionQuanto version of a forward vanilla option
QuantoOptionArgumentsArguments for quanto option calculation
QuantoOptionResultsresults from quanto option calculation
QuantoTermStructureQuanto term structure
QuantoVanillaOptionQuanto version of a vanilla option
RandomArrayGeneratorGenerates random arrays using a random number generator
RandomSequenceGeneratorRandom sequence generator based on a pseudo-random number generator
RateFormatterFormats rates for output
RateHelperBase class for rate helpers
RelinkableHandleGlobally accessible relinkable pointer
ResultsBase class for generic result groups
RidderRidder 1-D solver
RiskMeasures
RiskStatistics_oldRisk analysis tool
SampleWeighted sample
SchedulerDate scheduler
Secantsecant 1-D solver
SegmentIntegralIntegral of a one-dimensional function
SequenceStatisticsStatistics analysis of N-dimensional (sequence) data
ShortShort indexed coupon
ShortFloatingRateCouponShort coupon at par on a term structure
ShoutConditionShout option condition
SimpleCashFlowPredetermined cash flow
SimpleMarketElementMarket element returning a stored value
SimpleSwapSimple fixed-rate vs Libor swap
SimplexMulti-dimensionnal Simplex class
SingleAssetOptionBlack-Scholes-Merton option
SobolRsgSobol low-discrepancy sequence generator
Solver1DBase class for 1-D solvers
SquareRootProcessSquare-root process class
SteepestDescentMulti-dimensional steepest-descent class
StepConditionCondition to be applied at every time step
stepping_iteratorIterator advancing in constant steps
StockSimple stock class
StockholmStockholm calendar
StrikedTypePayoff
StringFormatterFormats strings as lower- or uppercase
SupersharePayoffBinary supershare option payoff
SVDSingular Value Decomposition
SwapInterest rate swap
SwapRateHelperSwap rate
SwaptionSwaption class
SwaptionArgumentsArguments for swaption calculation
SwaptionResultsresults from swaption calculation
SwaptionVolatilityMatrixSwaption at-the-money volatility matrix
SwaptionVolatilityStructureSwaption volatility structure
SydneySydney, calendar (New South Wales, Australia)
SymmetricSchurDecompositionSymmetric threshold Jacobi algorithm
TARGETTARGET calendar
TermStructureTerm structure
TermStructureConsistentModelTerm-structure consistent model class
TermStructureFittingParameterDeterministic time-dependent parameter used for yield-curve fitting
Thirty36030/360 day count convention
TianTian tree: third moment matching, multiplicative approach
TimeGridTime grid class
TokyoTokyo calendar
TorontoToronto calendar
TreeTree approximating a single-factor diffusion
TreeCapFloorCap/Floor priced in a tree
TreeSwaptionSwaption priced on a lattice
TridiagonalOperatorBase implementation for tridiagonal operator
TridiagonalOperator::TimeSetterEncapsulation of time-setting logic
TrigeorgisTrigeorgis (additive equal jumps) binomial tree
TrinomialBranchingBranching scheme for a trinomial node
TrinomialTreeRecombining trinomial tree class
TwoFactorModelAbstract base-class for two-factor models
TwoFactorModel::ShortRateDynamicsClass describing the dynamics of the two state variables
TwoFactorModel::ShortRateTreeRecombining two-dimensional tree discretizing the state variable
UpFrontIndexedCouponup front indexed coupon class
USDLiborUSD Libor index
VanillaCapConcrete cap class
VanillaCapFloorBase class for cap-like instruments
VanillaCollarConcrete cap class
VanillaEngineVanilla engine base class
VanillaFloorConcrete floor class
VanillaOptionVanilla option (no discrete dividends, no barriers) on a single asset
VanillaOptionArgumentsArguments for vanilla option calculation
VanillaOptionResultsresults from vanilla option calculation
VasicekVasicek model class
Vasicek::DynamicsShort-rate dynamics in the Vasicek model
VisitorDegenerate base class for the Acyclic Visitor pattern
WarsawWarsaw calendar
WellingtonWellington calendar
XiborBase class for libor indexes
XiborManagerGlobal repository for libor histories
ZARLiborZAR Libor index (also known as JIBAR)
ZeroCurveTerm structure based on linear interpolation of zero yields
ZeroSpreadedTermStructureTerm structure with an added spread on the zero yield rate
ZeroYieldStructureZero yield term structure
ZurichZurich calendar

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