Actual360 | Actual/360 day count convention |
Actual365 | Actual/365 day count convention |
ActualActual | Actual/Actual day count |
AdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
AffineModel | Affine model class |
AffineTermStructure | Term-structure implied by an affine model |
AmericanCondition | |
AmericanExercise | American exercise class |
AmericanMCVanillaEngine | Least-square Monte Carlo engine |
AnalyticalCapFloor | Analytical pricer for cap/floor |
AnalyticEuropeanEngine | Pricing engine for European options using analytical formulae |
Arguments | Base class for generic argument groups |
ArithmeticAPOPathPricer_old | path pricer for arithmetic average price option |
ArithmeticASOPathPricer_old | path pricer for arithmetic average strike Asian options |
ArmijoLineSearch | |
Array | 1-D array used in linear algebra |
ArrayFormatter | Formats arrays for output |
AssertionFailedError | Specialized error |
AssetOrNothingPayoff | Binary Asset-Or-Nothing option payoff |
AUDLibor | AUD Libor index (Also known as SIBOR, check settlement days) |
BarrierOption | Barrier option |
BasketPathPricer_old | Multipath pricer for European-type basket option |
BermudanExercise | Bermudan exercise class |
BicubicSplineInterpolation | Bicubic spline interpolation between discrete points |
BilinearInterpolation | Bilinear interpolation between discrete points |
BinaryOption | Binary (digital) option |
BinomialTree | Binomial tree base class |
BinomialVanillaEngine | Pricing engine for Vanilla options using binomial trees |
Bisection | bisection 1-D solver |
BlackCapFloor | CapFloor priced by the Black formula |
BlackConstantVol | Constant Black volatility, no time-strike dependence |
BlackKarasinski | Standard Black-Karasinski model class |
BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
BlackModel | Black-model for vanilla interest-rate derivatives |
BlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model |
BlackScholesProcess | Black-Scholes diffusion process class |
BlackSwaption | Swaption priced by the Black formula |
BlackVarianceCurve | Black volatility curve modelled as variance curve |
BlackVarianceSurface | Black volatility surface modelled as variance surface |
BlackVarianceTermStructure | Black Variance term structure |
BlackVolatilityTermStructure | Black Volatility term structure |
BlackVolTermStructure | Black Volatility Term structure |
BoundaryCondition | Abstract boundary condition class for finite difference problems |
BoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
BoxMullerGaussianRng | Gaussian random number generator |
BPSCalculator | Basis point sensitivity (BPS) calculator |
Brent | Brent 1-D solver |
Bridge | The Bridge pattern made explicit |
BrownianBridge | Builds Wiener process paths using Gaussian variates |
BSMOperator | Black-Scholes-Merton differential operator |
Budapest | Budapest calendar |
CADLibor | CAD Libor index (Also known as CDOR) |
Calendar | calendar class |
Calendar::WesternImpl | |
CalendarImpl | Abstract base class for calendar implementations |
CalibrationHelper | Liquid market instrument used during calibration |
CalibrationSet | Set of calibration instruments |
CapFlatVolatilityStructure | Cap/floor flat volatility structure |
CapFlatVolatilityVector | Cap/floor at-the-money flat volatility vector |
CapFloorArguments | Arguments for cap/floor calculation |
CapFloorResults | results from cap/floor calculation |
CapletForwardVolatilityStructure | Caplet/floorlet forward volatility structure |
CashFlow | Base class for cash flows |
CashOrNothingPayoff | Binary Cash-Or-Nothing option payoff |
CHFLibor | CHF Libor index (Also known as ZIBOR) |
CLGaussianRng | Gaussian random number generator |
CliquetEngine | Cliquet engine base class |
CliquetOption | Cliquet (Ratchet) option |
CliquetOptionArguments | Arguments for cliquet option calculation |
CliquetOptionPathPricer | path pricer for cliquet options |
CliquetOptionPathPricer_old | path pricer for cliquet options |
combining_iterator | Iterator mapping a function to a set of underlying sequences |
CompositeMarketElement | Market element whose value depends on two other market element |
ConjugateGradient | Multi-dimensionnal Conjugate Gradient class |
ConstantParameter | Standard constant parameter |
Constraint | Base constraint class |
ConstraintImpl | Base class for Constraint implementations |
ContinuousGeometricAPO | Continuous Geometric Average Price Option (European exercise) |
CostFunction | Cost function abstract class for optimization problem |
coupling_iterator | Iterator mapping a function to a pair of underlying sequences |
Coupon | coupon accruing over a fixed period |
CoxIngersollRoss | Cox-Ingersoll-Ross model class |
CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
CrankNicolson | Crank-Nicolson scheme for finite difference methods |
CubicSpline | Cubic spline interpolation between discrete points |
CumulativeNormalDistribution | Cumulative normal distribution function |
CuriouslyRecurringTemplate | Support for the curiously recurring template pattern |
CurrencyFormatter | Formats currencies for output |
Date | Concrete date class |
DateFormatter | Formats dates for output |
DayCounter | Day counter class |
DayCounterImpl | Abstract base class for day counter implementations |
DepositRateHelper | Deposit rate |
DerivedMarketElement | Market element whose value depends on another market element |
DiffusionProcess | Diffusion process class |
DirichletBC | Neumann boundary condition (i.e., constant value) |
DiscountCurve | Term structure based on loglinear interpolation of discount factors |
DiscountStructure | Discount factor term structure |
DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
DiscreteGeometricAPO | Discrete Geometric Average Price Asian Option (European style) |
DiscreteGeometricASO | Discrete Geometric Average Strike Asian Option (European style) |
DiscretizedAsset | Discretized asset class used by numerical methods |
DiscretizedDiscountBond | Useful discretized discount bond asset |
DiscretizedOption | Discretized option on another asset |
Disposable | Generic disposable object with move semantics |
DMinus | matricial representation |
DoubleFormatter | Formats doubles for output |
DPlus | matricial representation |
DPlusDMinus | matricial representation |
DriftTermStructure | Drift term structure |
DZero | matricial representation |
EndCriteria | |
EqualJumpsBinomialTree | Base class for equal jumps binomial tree |
EqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
Error | Base error class |
ErrorFunction | Error function |
Euribor | Euribor index |
EuroFormatter | Formats amounts in Euro for output |
EuropeanExercise | European exercise class |
EuropeanOption | Black-Scholes-Merton European option |
EuropeanPathPricer | path pricer for European options |
EuropeanPathPricer_old | path pricer for European options |
EverestPathPricer_old | path pricer for European-type Everest option |
Exercise | Exercise class (American, Bermudan or European) |
ExplicitEuler | Forward Euler scheme for finite difference methods |
ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter |
ExtendedDiscountCurve | Term structure based on loglinear interpolation of discount factors |
FalsePosition | False position 1-D solver |
FdAmericanOption | |
FdBermudanOption | Bermudan option |
FdBsmOption | Black-Scholes-Merton option priced numerically |
FdDividendEuropeanOption | European option with dividends |
FdDividendShoutOption | Shout option with dividends |
FdEuropean | Example of European option calculated using finite differences |
FdStepConditionOption | option executing additional code at each time step |
filtering_iterator | Iterator filtering undesired data |
FiniteDifferenceModel | Generic finite difference model |
FixedRateCoupon | coupon paying a fixed interest rate |
FloatingRateCoupon | coupon at par on a term structure |
ForwardEngine | Forward engine base class |
ForwardOptionArguments | Arguments for forward (strike-resetting) option calculation |
ForwardPerformanceEngine | Forward Performance engine base class |
ForwardRateStructure | Forward rate term structure |
ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
ForwardVanillaOption | Forward version of a vanilla option |
Frankfurt | Frankfurt calendar |
FraRateHelper | Forward rate agreement |
FuturesRateHelper | Interest Rate Futures |
G2 | Two-additive-factor gaussian model class |
G2::FittingParameter | Analytical term-structure fitting parameter |
GammaFunction | Gamma function class |
GaussianStatistics | Statistics tool for gaussian-assumption risk measures |
GBPLibor | GBP Libor index |
GeneralStatistics | Statistics tool |
GenericEngine | Template base class for option pricing engines |
GenericModelEngine | Base class for some pricing engine on a particular model |
GenericRiskStatistics | Empirical-distribution risk measures |
GeometricAPOPathPricer_old | path pricer for geometric average price option |
GeometricASOPathPricer_old | path pricer for geometric average strike option |
HaltonRsg | Halton low-discrepancy sequence generator |
Handle | Reference-counted pointer |
Helsinki | Helsinki calendar |
HimalayaPathPricer_old | Multipath pricer for European-type Himalaya option |
History | Container for historical data |
History::const_iterator | Random access iterator on history entries |
History::Entry | Single datum in history |
HullWhite | Single-factor Hull-White (extended Vasicek) model class |
HullWhite::Dynamics | Short-rate dynamics in the Hull-White model |
HullWhite::FittingParameter | Analytical term-structure fitting parameter |
ICGaussianRng | Inverse cumulative Gaussian random number generator |
ICGaussianRsg | Inverse cumulative Gaussian random sequence generator |
IllegalArgumentError | Specialized error |
IllegalResultError | Specialized error |
ImplicitEuler | Backward Euler scheme for finite difference methods |
ImpliedTermStructure | Implied term structure at a given date in the future |
ImpliedVolTermStructure | Implied vol term structure at a given date in the future |
InArrearIndexedCoupon | in arrear indexed coupon class |
IncrementalStatistics | Statistics tool based on incremental accumulation |
Index | Purely virtual base class for indexes |
IndexedCoupon | base indexed coupon class |
IndexError | Specialized error |
Instrument | Abstract instrument class |
IntegerFormatter | Formats integers for output |
IntegralEngine | Pricing engine for Vanilla options using integral approach |
Interpolation | Abstract base class for 1-D interpolations |
Interpolation2D | Abstract base class for 2-D interpolations |
InverseCumulativeNormal | Inverse cumulative normal distribution function |
JamshidianSwaption | Jamshidian swaption pricer |
JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
Johannesburg | Johannesburg calendar |
JointCalendar | Joint calendar |
JPYLibor | JPY Libor index (Also known as TIBOR, check settlement days) |
KnuthUniformRng | Uniform random number generator |
KronrodIntegral | Integral of a 1-dimensional function using the Gauss-Kronrod method |
Lattice | Lattice-method base class |
Lattice2D | Two-dimensional lattice |
LatticeShortRateModelEngine | Engine for a short-rate model specialized on a lattice |
LazyObject | Framework for calculation on demand and result caching |
LeastSquareFunction | |
LeastSquareProblem | Base class for least square problem |
LecuyerUniformRng | Uniform random number generator |
LexicographicalView | Lexicographical 2-D view of a contiguous set of data |
LinearInterpolation | Linear interpolation between discrete points |
LineSearch | Base class for line search |
Link | Relinkable access to a Handle |
LocalConstantVol | Constant local volatility, no time-strike dependence |
LocalVolCurve | Local volatility curve derived from a Black curve |
LocalVolSurface | Local volatility surface derived from a Black vol surface |
LocalVolTermStructure | Local Volatility Term structure |
LogLinearInterpolation | Log linear interpolation between discrete points |
London | London calendar |
lowest_category_iterator | Most generic of two given iterator categories |
MarketElement | Purely virtual base class for market observables |
Matrix | matrix used in linear algebra |
MaxBasketPathPricer_old | Multipath pricer for European-type basket option |
McBasket | Simple example of multi-factor Monte Carlo pricer |
McCliquetOption | Simple example of Monte Carlo pricer |
McDiscreteArithmeticAPO | Example of Monte Carlo pricer using a control variate |
McDiscreteArithmeticASO | Example of Monte Carlo pricer using a control variate |
McEuropean | Simple example of Monte Carlo pricer |
MCEuropeanEngine | European Vanilla option pricing engine using Monte Carlo simulation |
McEverest | Everest-type option pricer |
McHimalaya | Himalayan-type option pricer |
McMaxBasket | Simple example of multi-factor Monte Carlo pricer |
McPagoda | Roofed Asian option |
McPerformanceOption | Performance option computed using Monte Carlo simulation |
McPricer | Base class for Monte Carlo pricers |
McSimulation | Base class for Monte Carlo engines |
MCVanillaEngine | Base class for Monte Carlo vanilla option engines |
MersenneTwisterUniformRng | Uniform random number generator |
Method | Optimization Method abstract class for constrained optimization pb |
Milan | Milan calendar |
MixedScheme | Mixed (explicit/implicit) scheme for finite difference methods |
Model | Abstract short-rate model class |
MonteCarloModel | General purpose Monte Carlo model for path samples |
MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
MultiPath | Single random walk |
MultiPathGenerator | Generates a multipath from a random number generator |
MultiPathGenerator_old | Generates a multipath from a random number generator |
MultivariateAccumulator | A sample accumulator for multivariate analysis |
NeumannBC | Neumann boundary condition (i.e., constant derivative) |
Newton | Newton 1-D solver |
NewtonSafe | Safe Newton 1-D solver |
NewYork | New York calendar |
NoConstraint | No constraint |
NonLinearLeastSquare | |
NormalDistribution | Normal distribution function |
Null | Template class providing a null value for a given type |
NullParameter | Parameter which is always zero |
NumericalMethod | Numerical method (Tree, Finite Differences) base class |
Observable | Object that notifies its changes to a set of observables |
Observer | Object that gets notified when a given observable changes |
OneFactorAffineModel | Single-factor affine base class |
OneFactorModel | Single-factor short-rate model abstract class |
OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics |
OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable |
OneFactorOperator | Interest-rate single factor model differential operator |
Option | Base option class |
OptionGreeks | option pricing results |
OptionValue | option pricing results |
OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
Oslo | Oslo calendar |
OutOfMemoryError | Specialized error |
PagodaPathPricer_old | multipath pricer for pagoda options |
Parameter | Base class for model arguments |
ParameterImpl | Base class for model parameter implementation |
ParCoupon | coupon at par on a term structure |
Path | Single factor random walk |
PathGenerator | Generates random paths using a sequence generator |
PathGenerator_old | Generates random paths from a random number generator |
PathPricer | Base class for path pricers |
PathPricer_old | Base class for path pricers |
Payoff | Option payoff base class |
PerformanceOption | Performance option |
PerformanceOptionPathPricer_old | path pricer for performance options |
Period | Time period described by a number of a given time unit |
PiecewiseConstantParameter | Piecewise constant parameter |
PiecewiseFlatForward | Piecewise flat forward term structure |
PlainVanillaPayoff | |
PositiveConstraint | Constraint imposing positivity to all arguments |
PostconditionNotSatisfiedError | Specialized error |
PreconditionNotSatisfiedError | Specialized error |
PricingEngine | Base class for pricing engines |
PrimeNumbers | Prime numbers calculator |
Problem | Constrained optimization problem |
processing_iterator | Iterator mapping a unary function to an underlying sequence |
QuantoEngine | Quanto engine base class |
QuantoForwardVanillaOption | Quanto version of a forward vanilla option |
QuantoOptionArguments | Arguments for quanto option calculation |
QuantoOptionResults | results from quanto option calculation |
QuantoTermStructure | Quanto term structure |
QuantoVanillaOption | Quanto version of a vanilla option |
RandomArrayGenerator | Generates random arrays using a random number generator |
RandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator |
RateFormatter | Formats rates for output |
RateHelper | Base class for rate helpers |
RelinkableHandle | Globally accessible relinkable pointer |
Results | Base class for generic result groups |
Ridder | Ridder 1-D solver |
RiskMeasures | |
RiskStatistics_old | Risk analysis tool |
Sample | Weighted sample |
Scheduler | Date scheduler |
Secant | secant 1-D solver |
SegmentIntegral | Integral of a one-dimensional function |
SequenceStatistics | Statistics analysis of N-dimensional (sequence) data |
Short | Short indexed coupon |
ShortFloatingRateCoupon | Short coupon at par on a term structure |
ShoutCondition | Shout option condition |
SimpleCashFlow | Predetermined cash flow |
SimpleMarketElement | Market element returning a stored value |
SimpleSwap | Simple fixed-rate vs Libor swap |
Simplex | Multi-dimensionnal Simplex class |
SingleAssetOption | Black-Scholes-Merton option |
SobolRsg | Sobol low-discrepancy sequence generator |
Solver1D | Base class for 1-D solvers |
SquareRootProcess | Square-root process class |
SteepestDescent | Multi-dimensional steepest-descent class |
StepCondition | Condition to be applied at every time step |
stepping_iterator | Iterator advancing in constant steps |
Stock | Simple stock class |
Stockholm | Stockholm calendar |
StrikedTypePayoff | |
StringFormatter | Formats strings as lower- or uppercase |
SupersharePayoff | Binary supershare option payoff |
SVD | Singular Value Decomposition |
Swap | Interest rate swap |
SwapRateHelper | Swap rate |
Swaption | Swaption class |
SwaptionArguments | Arguments for swaption calculation |
SwaptionResults | results from swaption calculation |
SwaptionVolatilityMatrix | Swaption at-the-money volatility matrix |
SwaptionVolatilityStructure | Swaption volatility structure |
Sydney | Sydney, calendar (New South Wales, Australia) |
SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
TARGET | TARGET calendar |
TermStructure | Term structure |
TermStructureConsistentModel | Term-structure consistent model class |
TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
Thirty360 | 30/360 day count convention |
Tian | Tian tree: third moment matching, multiplicative approach |
TimeGrid | Time grid class |
Tokyo | Tokyo calendar |
Toronto | Toronto calendar |
Tree | Tree approximating a single-factor diffusion |
TreeCapFloor | Cap/Floor priced in a tree |
TreeSwaption | Swaption priced on a lattice |
TridiagonalOperator | Base implementation for tridiagonal operator |
TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic |
Trigeorgis | Trigeorgis (additive equal jumps) binomial tree |
TrinomialBranching | Branching scheme for a trinomial node |
TrinomialTree | Recombining trinomial tree class |
TwoFactorModel | Abstract base-class for two-factor models |
TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables |
TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
UpFrontIndexedCoupon | up front indexed coupon class |
USDLibor | USD Libor index |
VanillaCap | Concrete cap class |
VanillaCapFloor | Base class for cap-like instruments |
VanillaCollar | Concrete cap class |
VanillaEngine | Vanilla engine base class |
VanillaFloor | Concrete floor class |
VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
VanillaOptionArguments | Arguments for vanilla option calculation |
VanillaOptionResults | results from vanilla option calculation |
Vasicek | Vasicek model class |
Vasicek::Dynamics | Short-rate dynamics in the Vasicek model |
Visitor | Degenerate base class for the Acyclic Visitor pattern |
Warsaw | Warsaw calendar |
Wellington | Wellington calendar |
Xibor | Base class for libor indexes |
XiborManager | Global repository for libor histories |
ZARLibor | ZAR Libor index (also known as JIBAR) |
ZeroCurve | Term structure based on linear interpolation of zero yields |
ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
ZeroYieldStructure | Zero yield term structure |
Zurich | Zurich calendar |