|
Compounds |
class | Arguments |
| base class for generic argument groups More...
|
class | Results |
| base class for generic result groups More...
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class | OptionValue |
| option pricing results More...
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class | OptionGreeks |
| option pricing results More...
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class | Array |
| 1-D array used in linear algebra. More...
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class | BlackModel |
| Black-model for vanilla interest-rate derivatives. More...
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class | CalendarImpl |
| abstract base class for calendar implementations More...
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class | Calendar |
| calendar class More...
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class | Calendar.WesternImpl |
class | CapFlatVolatilityStructure |
| Cap/floor flat volatility structure. More...
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class | CapletForwardVolatilityStructure |
| Caplet/floorlet forward volatility structure. More...
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class | CashFlow |
| Base class for cash flows. More...
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class | IntegerFormatter |
| Formats integers for output. More...
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class | DoubleFormatter |
| Formats doubles for output. More...
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class | ArrayFormatter |
| Formats arrays for output. More...
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class | EuroFormatter |
| Formats amounts in Euro for output. More...
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class | RateFormatter |
| Formats rates for output. More...
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class | DateFormatter |
| Formats dates for output. More...
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class | CurrencyFormatter |
| Formats currencies for output. More...
|
class | StringFormatter |
| Formats strings as lower- or uppercase. More...
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class | Period |
| Time period described by a number of a given time unit. More...
|
class | Date |
| Concrete date class. More...
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class | DayCounterImpl |
| abstract base class for day counter implementations More...
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class | DayCounter |
| day counter class More...
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class | DiffusionProcess |
| Diffusion process class. More...
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class | BlackScholesProcess |
| Black-Scholes diffusion process class. More...
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class | OrnsteinUhlenbeckProcess |
| Ornstein-Uhlenbeck process class. More...
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class | SquareRootProcess |
| Square-root process class. More...
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class | DiscretizedAsset |
| Discretized asset class used by numerical methods. More...
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class | DiscretizedDiscountBond |
| Useful discretized discount bond asset. More...
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class | DiscretizedOption |
| Discretized option on another asset. More...
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class | Disposable |
| generic disposable object with move semantics More...
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class | Error |
| Base error class. More...
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class | AssertionFailedError |
| Specialized error. More...
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class | PreconditionNotSatisfiedError |
| Specialized error. More...
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class | PostconditionNotSatisfiedError |
| Specialized error. More...
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class | IndexError |
| Specialized error. More...
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class | IllegalArgumentError |
| Specialized error. More...
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class | IllegalResultError |
| Specialized error. More...
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class | OutOfMemoryError |
| Specialized error. More...
|
class | Exercise |
| Exercise class (American, Bermudan or European). More...
|
class | AmericanExercise |
| American exercise class. More...
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class | BermudanExercise |
| Bermudan exercise class. More...
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class | EuropeanExercise |
| European exercise class. More...
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class | TimeGrid |
| time grid class More...
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class | Handle |
| Reference-counted pointer. More...
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class | History |
| Container for historical data. More...
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class | History.Entry |
| single datum in history More...
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class | History.const_iterator |
| random access iterator on history entries More...
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class | Index |
| purely virtual base class for indexes More...
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class | Instrument |
| Abstract instrument class. More...
|
class | MarketElement |
| purely virtual base class for market observables More...
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class | SimpleMarketElement |
| market element returning a stored value More...
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class | DerivedMarketElement |
| market element whose value depends on another market element More...
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class | CompositeMarketElement |
| market element whose value depends on two other market element More...
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class | Null |
| template class providing a null value for a given type. More...
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class | NumericalMethod |
| Numerical method (Tree, Finite Differences) base class. More...
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class | Option |
| base option class More...
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class | Payoff |
| Option payoff base class. More...
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class | StrikedTypePayoff |
class | PlainVanillaPayoff |
class | CashOrNothingPayoff |
| Binary Cash-Or-Nothing option payoff. More...
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class | AssetOrNothingPayoff |
| Binary Asset-Or-Nothing option payoff. More...
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class | SupersharePayoff |
| Binary supershare option payoff. More...
|
class | PricingEngine |
| base class for pricing engines More...
|
class | Link |
| Relinkable access to a Handle. More...
|
class | RelinkableHandle |
| Globally accessible relinkable pointer. More...
|
class | RiskStatistics_old |
| Risk analysis tool. More...
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class | Scheduler |
| Date scheduler More...
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class | Solver1D |
| Base class for 1-D solvers. More...
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class | SwaptionVolatilityStructure |
| Swaption volatility structure. More...
|
class | TermStructure |
| Term structure. More...
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class | ZeroYieldStructure |
| Zero yield term structure. More...
|
class | DiscountStructure |
| Discount factor term structure. More...
|
class | ForwardRateStructure |
| Forward rate term structure. More...
|
class | BlackVolTermStructure |
| Black Volatility Term structure. More...
|
class | BlackVolatilityTermStructure |
| Black Volatility term structure. More...
|
class | BlackVarianceTermStructure |
| Black Variance term structure. More...
|
class | LocalVolTermStructure |
| Local Volatility Term structure. More...
|
Typedefs |
typedef int | Day |
| Day number.
|
typedef int | Year |
| Year number.
|
typedef int | Integer |
| integer number
|
typedef double | Real |
| real number
|
typedef QL_SIZE_T | Size |
| size of a container
|
typedef double | Time |
| continuous quantity with 1-year units
|
typedef double | DiscountFactor |
| used to describe discount factors between dates.
|
typedef double | Rate |
| used to describe interest rates.
|
typedef double | Spread |
| used to describe spreads on interest rates.
|
Enumerations |
enum | RollingConvention {
Preceding,
ModifiedPreceding,
Following,
ModifiedFollowing,
MonthEndReference
} |
| Rolling conventions. More...
|
enum | Currency {
ARS,
ATS,
AUD,
BDT,
BEF,
BGL,
BRL,
BYB,
CAD,
CHF,
CLP,
CNY,
COP,
CYP,
CZK,
DEM,
DKK,
EEK,
EUR,
GBP,
GRD,
HKD,
HUF,
ILS,
INR,
IQD,
IRR,
ISK,
ITL,
JPY,
KRW,
KWD,
LTL,
LVL,
MTL,
MXP,
NOK,
NPR,
NZD,
PKR,
PLN,
ROL,
SAR,
SEK,
SGD,
SIT,
SKK,
THB,
TRL,
TTD,
TWD,
USD,
VEB,
ZAR
} |
| Known currencies. More...
|
enum | Weekday {
Sunday = 1,
Monday = 2,
Tuesday = 3,
Wednesday = 4,
Thursday = 5,
Friday = 6,
Saturday = 7
} |
enum | Month {
January = 1,
February = 2,
March = 3,
April = 4,
May = 5,
June = 6,
July = 7,
August = 8,
September = 9,
October = 10,
November = 11,
December = 12
} |
| Month names.
|
enum | TimeUnit { Days = 0,
Weeks = 1,
Months = 2,
Years = 3
} |
| Units used to describe time periods.
|
Functions |
double | DotProduct (const Array &v1, const Array &v2) |
Disposable< Array > | operator+ (const Array &v) |
Disposable< Array > | operator- (const Array &v) |
Disposable< Array > | operator+ (const Array &v1, const Array &v2) |
Disposable< Array > | operator+ (const Array &v1, double a) |
Disposable< Array > | operator+ (double a, const Array &v2) |
Disposable< Array > | operator- (const Array &v1, const Array &v2) |
Disposable< Array > | operator- (const Array &v1, double a) |
Disposable< Array > | operator- (double a, const Array &v2) |
Disposable< Array > | operator * (const Array &v1, const Array &v2) |
Disposable< Array > | operator * (const Array &v1, double a) |
Disposable< Array > | operator * (double a, const Array &v2) |
Disposable< Array > | operator/ (const Array &v1, const Array &v2) |
Disposable< Array > | operator/ (const Array &v1, double a) |
Disposable< Array > | operator/ (double a, const Array &v2) |
Disposable< Array > | Abs (const Array &v) |
Disposable< Array > | Sqrt (const Array &v) |
Disposable< Array > | Log (const Array &v) |
Disposable< Array > | Exp (const Array &v) |
bool | operator== (const Calendar &c1, const Calendar &c2) |
bool | operator!= (const Calendar &c1, const Calendar &c2) |
std::ostream & | operator<< (std::ostream &stream, const Array &a) |
std::ostream & | operator<< (std::ostream &stream, const Math::Matrix &matrix) |
std::ostream & | operator<< (std::ostream &stream, const Date &date) |
bool | operator== (const Period &p1, const Period &p2) |
bool | operator< (const Period &p1, const Period &p2) |
long | operator- (const Date &d1, const Date &d2) |
bool | operator== (const Date &d1, const Date &d2) |
bool | operator!= (const Date &d1, const Date &d2) |
bool | operator< (const Date &d1, const Date &d2) |
bool | operator<= (const Date &d1, const Date &d2) |
bool | operator> (const Date &d1, const Date &d2) |
bool | operator>= (const Date &d1, const Date &d2) |
bool | operator== (const DayCounter &d1, const DayCounter &d2) |
bool | operator!= (const DayCounter &d1, const DayCounter &d2) |
Disposable< Array > | CenteredGrid (double center, double dx, Size steps) |
Disposable< Array > | BoundedGrid (double xMin, double xMax, Size steps) |