QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

QuantLib Compound List Here are the classes, structs, unions and interfaces with brief descriptions: 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

---

QuantLib.org

Hosted by

Documentation generated by