QuantLib File List

Here is a list of all documented files with brief descriptions:
ql/argsandresults.hppBase classes for generic arguments and results
ql/array.hpp1-D array used in linear algebra
ql/blackmodel.hppAbstract class for Black-type models (market models)
ql/calendar.cppAbstract calendar class
ql/calendar.hppcalendar class
ql/capvolstructures.hppCap/Floor volatility structures
ql/cashflow.hppBase class for cash flows
ql/currency.hppKnown currencies
ql/dataformatters.cppClasses used to format data for output
ql/dataformatters.hppClasses used to format data for output
ql/dataparsers.cppClasses used to parse data for input
ql/dataparsers.hppClasses used to parse data for input
ql/date.cppDate- and time-related classes, typedefs and enumerations
ql/date.hppDate- and time-related classes, typedefs and enumerations
ql/daycounter.hppDay counter class
ql/diffusionprocess.cppDiffusion process
ql/diffusionprocess.hppDiffusion process
ql/discretizedasset.cppDiscretized asset classes
ql/discretizedasset.hppDiscretized asset classes
ql/disposable.hppGeneric disposable object with move semantics
ql/errors.hppClasses and functions for error handling
ql/exercise.cppOption exercise classes and exercise payoff function
ql/exercise.hppOption exercise classes and payoff function
ql/grid.cppGrid classes with useful constructors for trees and finite diffs
ql/grid.hppGrid classes with useful constructors for trees and finite diffs
ql/handle.hppReference-counted pointer
ql/history.hppHistory class
ql/index.hppPurely virtual base class for indexes
ql/instrument.hppAbstract instrument class
ql/marketelement.hppPurely virtual base class for market observables
ql/null.hppNull values
ql/numericalmethod.hppNumerical method class
ql/option.cppBase option class
ql/option.hppBase option class
ql/payoff.hppOption payoff classes
ql/pricingengine.hppBase class for pricing engines
ql/qldefines.hppGlobal definitions and compiler switches
ql/relinkablehandle.hppGlobally accessible relinkable pointer
ql/scheduler.cppDate scheduler
ql/scheduler.hppDate scheduler
ql/solver1d.hppAbstract 1-D solver class
ql/swaptionvolstructure.hppSwaption volatility structure
ql/termstructure.hppTerm structure
ql/types.hppCustom types
ql/voltermstructure.cppVolatility term structures
ql/voltermstructure.hppVolatility term structures
ql/Calendars/budapest.cppBudapest calendar
ql/Calendars/budapest.hppBudapest calendar
ql/Calendars/frankfurt.cppFrankfurt calendar
ql/Calendars/frankfurt.hppFrankfurt calendar
ql/Calendars/helsinki.cppHelsinki calendar
ql/Calendars/helsinki.hppHelsinki calendar
ql/Calendars/johannesburg.cppJohannesburg calendar
ql/Calendars/johannesburg.hppJohannesburg calendar
ql/Calendars/jointcalendar.cppJoint calendar
ql/Calendars/jointcalendar.hppJoint calendar
ql/Calendars/london.cppLondon calendar
ql/Calendars/london.hppLondon calendar
ql/Calendars/milan.cppMilan calendar
ql/Calendars/milan.hppMilan calendar
ql/Calendars/newyork.cppNew York calendar
ql/Calendars/newyork.hppNew York calendar
ql/Calendars/oslo.cppOslo calendar
ql/Calendars/oslo.hppOslo calendar
ql/Calendars/stockholm.cppStockholm calendar
ql/Calendars/stockholm.hppStockholm calendar
ql/Calendars/sydney.cppSydney calendar
ql/Calendars/sydney.hppSydney calendar
ql/Calendars/target.cppTARGET calendar
ql/Calendars/target.hppTARGET calendar
ql/Calendars/tokyo.cppTokyo calendar
ql/Calendars/tokyo.hppTokyo calendar
ql/Calendars/toronto.cppToronto calendar
ql/Calendars/toronto.hppToronto calendar
ql/Calendars/warsaw.cppWarsaw calendar
ql/Calendars/warsaw.hppWarsaw calendar
ql/Calendars/wellington.cppWellington calendar
ql/Calendars/wellington.hppWellington calendar
ql/Calendars/zurich.cppZurich calendar
ql/Calendars/zurich.hppZurich calendar
ql/CashFlows/basispointsensitivity.hppBasis point sensitivity calculator
ql/CashFlows/cashflowvectors.cppCash flow vector builders
ql/CashFlows/cashflowvectors.hppCash flow vector builders
ql/CashFlows/coupon.hppCoupon accruing over a fixed period
ql/CashFlows/fixedratecoupon.hppCoupon paying a fixed annual rate
ql/CashFlows/floatingratecoupon.hppCoupon at par on a term structure
ql/CashFlows/inarrearindexedcoupon.hppIn arrear indexed coupon
ql/CashFlows/indexcashflowvectors.hppIndex Cash flow vector builders
ql/CashFlows/indexedcoupon.hppIndexed coupon
ql/CashFlows/parcoupon.cppCoupon at par on a term structure
ql/CashFlows/parcoupon.hppCoupon at par on a term structure
ql/CashFlows/shortfloatingcoupon.cppShort coupon at par on a term structure
ql/CashFlows/shortfloatingcoupon.hppShort (or long) coupon at par on a term structure
ql/CashFlows/shortindexedcoupon.hppShort (or long) indexed coupon
ql/CashFlows/simplecashflow.hppPredetermined cash flow
ql/CashFlows/upfrontindexedcoupon.hppUp front indexed coupon
ql/DayCounters/actual360.hppAct/360 day counter
ql/DayCounters/actual365.hppAct/365 day counter
ql/DayCounters/actualactual.cppAct/act day counters
ql/DayCounters/actualactual.hppAct/act day counters
ql/DayCounters/thirty360.cpp30/360 day counters
ql/DayCounters/thirty360.hpp30/360 day counters
ql/FiniteDifferences/americancondition.hppAmerican option exercise condition
ql/FiniteDifferences/boundarycondition.cppBoundary conditions for differential operators
ql/FiniteDifferences/boundarycondition.hppBoundary conditions for differential operators
ql/FiniteDifferences/bsmoperator.cppDifferential operator for Black-Scholes-Merton equation
ql/FiniteDifferences/bsmoperator.hppDifferential operator for Black-Scholes-Merton equation
ql/FiniteDifferences/cranknicolson.hppCrank-Nicolson scheme for finite difference methods
ql/FiniteDifferences/dminus.hpp$ D_{-} $ matricial representation
ql/FiniteDifferences/dplus.hpp$ D_{+} $ matricial representation
ql/FiniteDifferences/dplusdminus.hpp$ D_{+}D_{-} $ matricial representation
ql/FiniteDifferences/dzero.hpp$ D_{0} $ matricial representation
ql/FiniteDifferences/expliciteuler.hppExplicit Euler scheme for finite difference methods
ql/FiniteDifferences/fdtypedefs.hppDefault choices for template instantiations
ql/FiniteDifferences/finitedifferencemodel.hppGeneric finite difference model
ql/FiniteDifferences/impliciteuler.hppImplicit Euler scheme for finite difference methods
ql/FiniteDifferences/mixedscheme.hppMixed (explicit/implicit) scheme for finite difference methods
ql/FiniteDifferences/onefactoroperator.cppDifferential operator for one-factor interest rate models
ql/FiniteDifferences/onefactoroperator.hppGeneral differential operator for one-factor interest rate models
ql/FiniteDifferences/shoutcondition.hppShout option exercise condition
ql/FiniteDifferences/stepcondition.hppConditions to be applied at every time step
ql/FiniteDifferences/tridiagonaloperator.cppTridiagonal operator
ql/FiniteDifferences/tridiagonaloperator.hppTridiagonal operator
ql/FiniteDifferences/valueatcenter.cppCompute value, first, and second derivatives at grid center
ql/FiniteDifferences/valueatcenter.hppCompute value, first, and second derivatives at grid center
ql/functions/daycounters.cppDay counters functions
ql/functions/daycounters.hppDay counters functions
ql/functions/mathf.cppMath functions
ql/functions/mathf.hppMath functions
ql/functions/vols.cppVolatility functions
ql/functions/vols.hppVolatility functions
ql/Indexes/audlibor.hppAUD Libor index (check settlement days)
ql/Indexes/cadlibor.hppCAD Libor index (Also known as CDOR)
ql/Indexes/chflibor.hppCHF Libor index (Also known as ZIBOR)
ql/Indexes/euribor.hppEuribor index
ql/Indexes/gbplibor.hppGBP Libor index
ql/Indexes/jpylibor.hppJPY Libor index (Also known as TIBOR, check settlement days)
ql/Indexes/usdlibor.hppUSD Libor index
ql/Indexes/xibor.cppPurely virtual base class for libor indexes
ql/Indexes/xibor.hppBase class for libor indexes
ql/Indexes/xibormanager.cppGlobal repository for Xibor histories
ql/Indexes/xibormanager.hppGlobal repository for Xibor histories
ql/Indexes/zarlibor.hppZAR Libor index (also known as JIBAR)
ql/Instruments/capfloor.cppEuropean cap and floor class
ql/Instruments/capfloor.hppCap and Floor class
ql/Instruments/forwardvanillaoption.cppForward version of a vanilla option
ql/Instruments/forwardvanillaoption.hppForward version of a vanilla option
ql/Instruments/quantoforwardvanillaoption.cppQuanto version of a forward vanilla option
ql/Instruments/quantoforwardvanillaoption.hppQuanto version of a forward vanilla option
ql/Instruments/quantovanillaoption.cppQuanto version of a vanilla option
ql/Instruments/quantovanillaoption.hppQuanto version of a vanilla option
ql/Instruments/simpleswap.cppSimple fixed-rate vs Libor swap
ql/Instruments/simpleswap.hppSimple fixed-rate vs Libor swap
ql/Instruments/stock.cppConcrete stock class
ql/Instruments/stock.hppConcrete stock class
ql/Instruments/swap.cppInterest rate swap
ql/Instruments/swap.hppInterest rate swap
ql/Instruments/swaption.cppSwaption
ql/Instruments/swaption.hppSwaption class
ql/Instruments/vanillaoption.cppVanilla option on a single asset
ql/Instruments/vanillaoption.hppVanilla option on a single asset
ql/Lattices/binomialtree.cppBinomial tree class
ql/Lattices/binomialtree.hppBinomial tree class
ql/Lattices/bsmlattice.cppBinomial trees under the BSM model
ql/Lattices/bsmlattice.hppBinomial trees under the BSM model
ql/Lattices/lattice.cppLattice class
ql/Lattices/lattice.hppLattice method class
ql/Lattices/lattice2d.cppTrinomial tree class
ql/Lattices/lattice2d.hppTwo-dimensional tree class
ql/Lattices/tree.hppTree class
ql/Lattices/trinomialtree.cppTrinomial tree class
ql/Lattices/trinomialtree.hppTrinomial tree class
ql/Math/bicubicsplineinterpolation.hppBicubic spline interpolation between discrete points
ql/Math/bilinearinterpolation.hppBilinear interpolation between discrete points
ql/Math/chisquaredistribution.cppNormal, cumulative and inverse cumulative distributions
ql/Math/chisquaredistribution.hppChi-square (central and non-central) distributions
ql/Math/cubicspline.hppCubic spline interpolation between discrete points
ql/Math/discrepancystatistics.cppStatistic tool for sequences with discrepancy calculation
ql/Math/discrepancystatistics.hppStatistic tool for sequences with discrepancy calculation
ql/Math/errorfunction.cppError function
ql/Math/errorfunction.hppError function
ql/Math/functional.hppFunctionals and combinators not included in the STL
ql/Math/gammadistribution.cppGamma function
ql/Math/gammadistribution.hppGamma distribution
ql/Math/gaussianstatistics.hppStatistics tool for gaussian-assumption risk measures
ql/Math/generalstatistics.cppStatistics tool
ql/Math/generalstatistics.hppStatistics tool
ql/Math/incrementalstatistics.cppStatistics tool based on incremental accumulation
ql/Math/incrementalstatistics.hppStatistics tool based on incremental accumulation
ql/Math/interpolation.hppAbstract base classes for interpolations
ql/Math/interpolation2D.hppAbstract base classes for 2-D interpolations
ql/Math/kronrodintegral.hppIntegral of a 1-dimensional function using the Gauss-Kronrod method
ql/Math/lexicographicalview.hppLexicographical 2-D view of a contiguous set of data
ql/Math/linearinterpolation.hppLinear interpolation between discrete points
ql/Math/loglinearinterpolation.hppLog-linear interpolation between discrete points
ql/Math/matrix.cppMatrix used in linear algebra
ql/Math/matrix.hppMatrix used in linear algebra
ql/Math/multivariateaccumulator.cppA simple accumulator for vector-type samples
ql/Math/multivariateaccumulator.hppA simple accumulator for vector-type samples
ql/Math/normaldistribution.cppNormal, cumulative and inverse cumulative distributions
ql/Math/normaldistribution.hppNormal, cumulative and inverse cumulative distributions
ql/Math/primenumbers.cppPrime numbers calculator
ql/Math/primenumbers.hppPrime numbers calculator
ql/Math/riskmeasures.hppRisk functions
ql/Math/segmentintegral.hppIntegral of a one-dimensional function
ql/Math/sequencestatistics.hppStatistics tools for sequence (vector, list, array) samples
ql/Math/statistics.hppStatistics tool with risk measures
ql/Math/svd.cppCalculates Singular Value Decomposition
ql/Math/svd.hppCalculates Singular Value Decomposition
ql/Math/symmetriceigenvalues.hppEigenvalues / eigenvectors of a real symmetric matrix
ql/Math/symmetricschurdecomposition.cppEigenvalues / eigenvectors of a real symmetric matrix
ql/Math/symmetricschurdecomposition.hppEigenvalues / eigenvectors of a real symmetric matrix
ql/MonteCarlo/arithmeticapopathpricer.cppArithmetic average price option path pricer
ql/MonteCarlo/arithmeticapopathpricer.hppArithmetic average price option path pricer
ql/MonteCarlo/arithmeticasopathpricer.cppArithmetic average strike option path pricer
ql/MonteCarlo/arithmeticasopathpricer.hppArithmetic average strike option path pricer
ql/MonteCarlo/basketpathpricer.cppMultipath pricer for European-type basket option
ql/MonteCarlo/basketpathpricer.hppMultipath pricer for European-type basket option
ql/MonteCarlo/brownianbridge.hppBrowian bridge
ql/MonteCarlo/cliquetoptionpathpricer.cppPath pricer for cliquet options
ql/MonteCarlo/cliquetoptionpathpricer.hppPath pricer for cliquet options
ql/MonteCarlo/europeanpathpricer.cppPath pricer for European options
ql/MonteCarlo/europeanpathpricer.hppPath pricer for European options
ql/MonteCarlo/everestpathpricer.cppPath pricer for European-type Everest option
ql/MonteCarlo/everestpathpricer.hppPath pricer for European-type Everest option
ql/MonteCarlo/geometricapopathpricer.cppPath pricer for geometric average price option
ql/MonteCarlo/geometricapopathpricer.hppPath pricer for geometric average price option
ql/MonteCarlo/geometricasopathpricer.cppPath pricer for geometric average strike option
ql/MonteCarlo/geometricasopathpricer.hppPath pricer for geometric average strike option
ql/MonteCarlo/getcovariance.hppCovariance matrix calculation
ql/MonteCarlo/himalayapathpricer.cppMultipath pricer for European-type Himalaya option
ql/MonteCarlo/himalayapathpricer.hppMultipath pricer for European-type Himalaya option
ql/MonteCarlo/maxbasketpathpricer.cppMultipath pricer for max basket option
ql/MonteCarlo/maxbasketpathpricer.hppMultipath pricer for max basket option
ql/MonteCarlo/mctraits.hppMonte Carlo policy descriptors
ql/MonteCarlo/mctypedefs.hppDefault choices for template instantiations
ql/MonteCarlo/montecarlomodel.hppGeneral purpose Monte Carlo model
ql/MonteCarlo/multipath.hppCorrelated multiple asset paths
ql/MonteCarlo/multipathgenerator.hppGenerates a multi path from a random-array generator
ql/MonteCarlo/pagodapathpricer.cppPath pricer for pagoda options
ql/MonteCarlo/pagodapathpricer.hppPath pricer for pagoda options
ql/MonteCarlo/path.hppSingle factor random walk
ql/MonteCarlo/pathgenerator.hppGenerates random paths using a sequence generator
ql/MonteCarlo/pathpricer.hppBase class for single-path pricers
ql/MonteCarlo/performanceoptionpathpricer.cppPath pricer for performance options
ql/MonteCarlo/performanceoptionpathpricer.hppPath pricer for performance option
ql/MonteCarlo/sample.hppWeighted sample
ql/Optimization/armijo.cppArmijo line-search class
ql/Optimization/armijo.hppArmijo line-search class
ql/Optimization/conjugategradient.cppConjugate gradient optimization method
ql/Optimization/conjugategradient.hppConjugate gradient optimization method
ql/Optimization/constraint.hppAbstract constraint class
ql/Optimization/costfunction.hppOptimization cost function class
ql/Optimization/criteria.hppOptimization criteria class
ql/Optimization/leastsquare.hppLeast square cost function
ql/Optimization/linesearch.hppLine search abstract class
ql/Optimization/method.hppAbstract optimization method class
ql/Optimization/problem.hppAbstract optimization class
ql/Optimization/simplex.cppSimplex optimization method
ql/Optimization/simplex.hppSimplex optimization method
ql/Optimization/steepestdescent.cppSteepest descent optimization method
ql/Optimization/steepestdescent.hppSteepest descent optimization method
ql/Patterns/bridge.hppBridge pattern (a.k.a. handle-body idiom)
ql/Patterns/curiouslyrecurring.hppCuriously recurring template pattern
ql/Patterns/lazyobject.hppFramework for calculation on demand and result caching
ql/Patterns/observable.hppObserver/observable pattern
ql/Patterns/visitor.hppDegenerate base class for the Acyclic Visitor pattern
ql/Pricers/analyticalcapfloor.cppAnalytical pricer for caps/floors
ql/Pricers/analyticalcapfloor.hppAnalytical pricer for caps/floors
ql/Pricers/barrieroption.cppBarrier option
ql/Pricers/barrieroption.hppBarrier option
ql/Pricers/binaryoption.cppEuropean style cash-or-nothing option
ql/Pricers/binaryoption.hppEuropean style cash-or-nothing option
ql/Pricers/blackcapfloor.cppEuropean capfloor calculated using Black formula
ql/Pricers/blackcapfloor.hppCapFloor calculated using the Black formula
ql/Pricers/blackswaption.cppEuropean swaption calculated using Black formula
ql/Pricers/blackswaption.hppSwaption calculated using the Black formula
ql/Pricers/capfloorpricer.cppCap and floor pricer class
ql/Pricers/capfloorpricer.hppCap and floor pricer class
ql/Pricers/cliquetoption.cppCliquet option
ql/Pricers/cliquetoption.hppCliquet option
ql/Pricers/continuousgeometricapo.hppContinuous Geometric Average Price Option (European exercise)
ql/Pricers/discretegeometricapo.cppDiscrete Geometric Average Price Option
ql/Pricers/discretegeometricapo.hppDiscrete Geometric Average Price Option
ql/Pricers/discretegeometricaso.cppDiscrete Geometric Average Strike Option
ql/Pricers/discretegeometricaso.hppDiscrete Geometric Average Strike Option
ql/Pricers/europeanoption.cppEuropean option
ql/Pricers/europeanoption.hppEuropean option
ql/Pricers/fdamericanoption.hppAmerican option
ql/Pricers/fdbermudanoption.cppFinite-difference evaluation of Bermudan option
ql/Pricers/fdbermudanoption.hppFinite-difference evaluation of Bermudan option
ql/Pricers/fdbsmoption.cppCommon code for numerical option evaluation
ql/Pricers/fdbsmoption.hppCommon code for numerical option evaluation
ql/Pricers/fddividendamericanoption.cppAmerican option with discrete deterministic dividends
ql/Pricers/fddividendamericanoption.hppAmerican option with discrete deterministic dividends
ql/Pricers/fddividendeuropeanoption.cppEuropean option with discrete deterministic dividends
ql/Pricers/fddividendeuropeanoption.hppEuropean option with discrete deterministic dividends
ql/Pricers/fddividendoption.cppBase class for options with dividends
ql/Pricers/fddividendoption.hppBase class for option with dividends
ql/Pricers/fddividendshoutoption.cppBase class for shout options with dividends
ql/Pricers/fddividendshoutoption.hppBase class for shout option with dividends
ql/Pricers/fdeuropean.cppExample of European option calculated using finite differences
ql/Pricers/fdeuropean.hppExample of European option calculated using finite differences
ql/Pricers/fdmultiperiodoption.cppBase class for option with events happening at different periods
ql/Pricers/fdmultiperiodoption.hppBase class for option with events happening at different periods
ql/Pricers/fdshoutoption.hppShout option
ql/Pricers/fdstepconditionoption.cppOption requiring additional code to be executed at each time step
ql/Pricers/fdstepconditionoption.hppOption requiring additional code to be executed at each time step
ql/Pricers/jamshidianswaption.cppSwaption pricer using Jamshidian's decomposition
ql/Pricers/jamshidianswaption.hppSwaption pricer using Jamshidian's decomposition
ql/Pricers/mcbasket.cppSimple example of multi-factor Monte Carlo pricer
ql/Pricers/mcbasket.hppSimple example of multi-factor Monte Carlo pricer
ql/Pricers/mccliquetoption.cppCliquet option priced with Monte Carlo simulation
ql/Pricers/mccliquetoption.hppCliquet option priced with Monte Carlo simulation
ql/Pricers/mcdiscretearithmeticapo.cppDiscrete Arithmetic Average Price Option
ql/Pricers/mcdiscretearithmeticapo.hppDiscrete Arithmetic Average Price Option
ql/Pricers/mcdiscretearithmeticaso.cppDiscrete Arithmetic Average Strike Option
ql/Pricers/mcdiscretearithmeticaso.hppDiscrete Arithmetic Average Strike Option
ql/Pricers/mceuropean.cppSimple example of Monte Carlo pricer
ql/Pricers/mceuropean.hppSimple example of Monte Carlo pricer
ql/Pricers/mceverest.cppEverest-type option pricer
ql/Pricers/mceverest.hppEverest-type option pricer
ql/Pricers/mchimalaya.cppHimalayan-type option pricer
ql/Pricers/mchimalaya.hppHimalayan-type option pricer
ql/Pricers/mcmaxbasket.cppMax Basket Monte Carlo pricer
ql/Pricers/mcmaxbasket.hppMax Basket Monte Carlo pricer
ql/Pricers/mcpagoda.cppRoofed multi asset Asian option
ql/Pricers/mcpagoda.hppRoofed multi asset Asian option
ql/Pricers/mcperformanceoption.cppPerformance option priced with Monte Carlo simulation
ql/Pricers/mcperformanceoption.hppPerformance option priced with Monte Carlo simulation
ql/Pricers/mcpricer.hppBase class for Monte Carlo pricers
ql/Pricers/performanceoption.cppPerformance option.computed using Monte Carlo simulation
ql/Pricers/performanceoption.hppPerformance option
ql/Pricers/singleassetoption.cppCommon code for option evaluation
ql/Pricers/singleassetoption.hppCommon code for option evaluation
ql/Pricers/swaptionpricer.cppSwaption pricer
ql/Pricers/swaptionpricer.hppSwaption pricer class
ql/Pricers/treecapfloor.cppCap/Floor calculated using a tree
ql/Pricers/treecapfloor.hppCap/Floor calculated using a tree
ql/Pricers/treeswaption.cppEuropean swaption computed on a lattice
ql/Pricers/treeswaption.hppSwaption computed using a lattice
ql/PricingEngines/americanmcengines.cppLeast-square Monte Carlo engines
ql/PricingEngines/americanmcengines.hppLeast-square Monte Carlo engines
ql/PricingEngines/analyticeuropeanengine.cppEuropean option engine using analytic formulas
ql/PricingEngines/binomialvanillaengine.cppVanilla option engine using binomial tree
ql/PricingEngines/cliquetengines.hppCliquet option engines
ql/PricingEngines/discretizedvanillaoption.cppDiscretized vanilla option
ql/PricingEngines/discretizedvanillaoption.hppDiscretized vanilla option
ql/PricingEngines/forwardengines.hppForward (strike-resetting) option engines
ql/PricingEngines/genericengine.hppGeneric option engine
ql/PricingEngines/integralengines.cppOption engines using the integral approach
ql/PricingEngines/latticeshortratemodelengine.hppEngine for a short-rate model specialized on a lattice
ql/PricingEngines/mcengine.hppBase class for Monte Carlo engines
ql/PricingEngines/quantoengines.hppQuanto option engines
ql/PricingEngines/vanillaengines.hppVanilla option engines
ql/RandomNumbers/boxmullergaussianrng.hppBox-Muller Gaussian random-number generator
ql/RandomNumbers/centrallimitgaussianrng.hppCentral limit Gaussian random-number generator
ql/RandomNumbers/haltonrsg.cppHalton low-discrepancy sequence generator
ql/RandomNumbers/haltonrsg.hppHalton low-discrepancy sequence generator
ql/RandomNumbers/inversecumgaussianrng.hppInverse cumulative Gaussian random-number generator
ql/RandomNumbers/inversecumgaussianrsg.hppInverse cumulative Gaussian random sequence generator
ql/RandomNumbers/knuthuniformrng.cppKnuth uniform random number generator
ql/RandomNumbers/knuthuniformrng.hppKnuth uniform random number generator
ql/RandomNumbers/lecuyeruniformrng.cppL'Ecuyer uniform random number generator
ql/RandomNumbers/lecuyeruniformrng.hppL'Ecuyer uniform random number generator
ql/RandomNumbers/mt19937uniformrng.cppMersenne Twister uniform random number generator
ql/RandomNumbers/mt19937uniformrng.hppMersenne Twister uniform random number generator
ql/RandomNumbers/randomarraygenerator.hppGenerates random arrays from a random number generator
ql/RandomNumbers/randomsequencegenerator.hppRandom sequence generator based on a pseudo-random number generator
ql/RandomNumbers/rngtypedefs.hppDefault choices for template instantiations
ql/RandomNumbers/sobolrsg.cppSobol low-discrepancy sequence generator
ql/RandomNumbers/sobolrsg.hppSobol low-discrepancy sequence generator
ql/ShortRateModels/calibrationhelper.cppCalibration helper class
ql/ShortRateModels/calibrationhelper.hppCalibration helper class
ql/ShortRateModels/model.cppAbstract interest rate model class
ql/ShortRateModels/model.hppAbstract interest rate model class
ql/ShortRateModels/onefactormodel.cppAbstract one-factor interest rate model class
ql/ShortRateModels/onefactormodel.hppAbstract one-factor interest rate model class
ql/ShortRateModels/parameter.hppModel parameter classes
ql/ShortRateModels/twofactormodel.cppAbstract two-factor interest rate model class
ql/ShortRateModels/twofactormodel.hppAbstract two-factor interest rate model class
ql/ShortRateModels/CalibrationHelpers/caphelper.cppCap calibration helper
ql/ShortRateModels/CalibrationHelpers/caphelper.hppCapHelper calibration helper
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cppSwaption calibration helper
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hppSwaption calibration helper
ql/ShortRateModels/OneFactorModels/blackkarasinski.cppBlack-Karasinski model
ql/ShortRateModels/OneFactorModels/blackkarasinski.hppBlack-Karasinski model
ql/ShortRateModels/OneFactorModels/coxingersollross.cppCox-Ingersoll-Ross model
ql/ShortRateModels/OneFactorModels/coxingersollross.hppCox-Ingersoll-Ross model
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cppExtended Cox-Ingersoll-Ross model
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hppExtended Cox-Ingersoll-Ross model
ql/ShortRateModels/OneFactorModels/hullwhite.cppHull & White model
ql/ShortRateModels/OneFactorModels/hullwhite.hppHull & White (HW) model
ql/ShortRateModels/OneFactorModels/vasicek.cppVasicek model class
ql/ShortRateModels/OneFactorModels/vasicek.hppVasicek model class
ql/ShortRateModels/TwoFactorModels/g2.cppTwo-factor additive Gaussian Model G2++
ql/ShortRateModels/TwoFactorModels/g2.hppTwo-factor additive Gaussian Model G2++
ql/Solvers1D/bisection.hppBisection 1-D solver
ql/Solvers1D/brent.hppBrent 1-D solver
ql/Solvers1D/falseposition.hppFalse-position 1-D solver
ql/Solvers1D/newton.hppNewton 1-D solver
ql/Solvers1D/newtonsafe.hppSafe (bracketed) Newton 1-D solver
ql/Solvers1D/ridder.hppRidder 1-D solver
ql/Solvers1D/secant.hppSecant 1-D solver
ql/TermStructures/affinetermstructure.cppAffine term-structure
ql/TermStructures/affinetermstructure.hppAffine term structure
ql/TermStructures/compoundforward.cppCompounded forward term structure
ql/TermStructures/compoundforward.hppCompounded forward term structure
ql/TermStructures/discountcurve.cppTerm structure based on loglinear interpolation of discount factors
ql/TermStructures/discountcurve.hppPre-bootstrapped discount factor structure
ql/TermStructures/drifttermstructure.hppDrift term structure
ql/TermStructures/extendeddiscountcurve.cppDiscount factor structure with detailed compound-forward calculation
ql/TermStructures/extendeddiscountcurve.hppDiscount factor structure with detailed compound-forward calculation
ql/TermStructures/flatforward.hppFlat forward rate term structure
ql/TermStructures/forwardspreadedtermstructure.hppForward spreaded term structure
ql/TermStructures/impliedtermstructure.hppImplied term structure
ql/TermStructures/piecewiseflatforward.cppPiecewise flat forward term structure
ql/TermStructures/piecewiseflatforward.hppPiecewise flat forward term structure
ql/TermStructures/quantotermstructure.hppQuanto term structure
ql/TermStructures/ratehelpers.cppRate helpers base class
ql/TermStructures/ratehelpers.hppRate helpers base class
ql/TermStructures/zerocurve.cppTerm structure based on linear interpolation of zero yields
ql/TermStructures/zerocurve.hppPre-bootstrapped zero curve structure
ql/TermStructures/zerospreadedtermstructure.hppZero spreaded term structure
ql/Utilities/combiningiterator.hppIterator mapping a function to a set of underlying sequences
ql/Utilities/couplingiterator.hppIterator mapping a function to a pair of underlying sequences
ql/Utilities/filteringiterator.hppIterator filtering undesired data
ql/Utilities/iteratorcategories.hppLowest common denominator between two iterator categories
ql/Utilities/processingiterator.hppIterator mapping a unary function to an underlying sequence
ql/Utilities/steppingiterator.hppIterator advancing in constant steps
ql/Volatilities/blackconstantvol.hppBlack constant volatility, no time dependence, no strike dependence
ql/Volatilities/blackvariancecurve.hppBlack volatility curve modelled as variance curve
ql/Volatilities/blackvariancesurface.hppBlack volatility surface modelled as variance surface
ql/Volatilities/capflatvolvector.hppCap/floor at-the-money flat volatility vector
ql/Volatilities/impliedvoltermstructure.hppImplied Black Vol Term Structure
ql/Volatilities/localconstantvol.hppLocal constant volatility, no time dependence, no asset dependence
ql/Volatilities/localvolcurve.hppLocal volatility curve derived from a Black curve
ql/Volatilities/localvolsurface.hppLocal volatility surface derived from a Black vol surface
ql/Volatilities/swaptionvolmatrix.hppSwaption at-the-money volatility matrix

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