QuantLib Class List

Here are the classes, structs, unions and interfaces with brief descriptions:
Actual360Actual/360 day count convention
Actual365FixedActual/365 (Fixed) day count convention
ActualActualActual/Actual day count
AcyclicVisitorDegenerate base class for the Acyclic Visitor pattern
AdditiveEQPBinomialTreeAdditive equal probabilities binomial tree
AffineModelAffine model class
AffineTermStructureTerm-structure implied by an affine model
AmericanConditionAmerican exercise condition
AmericanExerciseAmerican exercise
AmericanPayoffAtExpiry
AmericanPayoffAtHit
AnalyticBarrierEnginePricing engine for barrier options using analytical formulae
AnalyticCapFloorEngineAnalytic engine for cap/floor
AnalyticCliquetEnginePricing engine for Cliquet options using analytical formulae
AnalyticContinuousGeometricAveragePriceAsianEnginePricing engine for European continuous geometric average price Asian
AnalyticDigitalAmericanEngine
AnalyticDiscreteGeometricAveragePriceAsianEnginePricing engine for European discrete geometric average price Asian
AnalyticDividendEuropeanEngineAnalytic pricing engine for European options with discrete dividends
AnalyticEuropeanEnginePricing engine for European vanilla options using analytical formulae
AnalyticPerformanceEnginePricing engine for performance options using analytical formulae
ArgumentsBase class for generic argument groups
ArmijoLineSearchArmijo line search
Array1-D array used in linear algebra
ArrayFormatterFormat arrays for output
ARSCurrencyArgentinian peso
AssetOrNothingPayoffBinary asset-or-nothing payoff
ATSCurrencyAustrian shilling
AUDCurrencyAustralian dollar
AUDLiborAUD LIBOR rate
AveragePlaceholder for enumerated averaging types
BackwardFlatBackward-flat interpolation factory and traits
BackwardFlatInterpolationBackward-flat interpolation between discrete points
BaroneAdesiWhaleyApproximationEngine
BarrierPlaceholder for enumerated barrier types
BarrierOptionBarrier option on a single asset
BarrierOption::argumentsArguments for barrier option calculation
BarrierOption::engineBarrier engine base class
BasketOptionBasket option on a number of assets
BasketOption::argumentsArguments for basket option calculation
BasketOption::engineBasket option engine base class
BDTCurrencyBangladesh taka
BEFCurrencyBelgian franc
BeijingBeijing calendar
BermudanExerciseBermudan exercise
BGLCurrencyBulgarian lev
BicubicBicubic-spline interpolation factory
BicubicSpline
BilinearBilinear interpolation factory
BilinearInterpolationBilinear interpolation between discrete points
BinomialDistributionBinomial probability distribution function
BinomialTreeBinomial tree base class
BinomialVanillaEnginePricing engine for vanilla options using binomial trees
BisectionBisection 1-D solver
BivariateCumulativeNormalDistributionCumulative bivariate normal distribution function
BjerksundStenslandApproximationEngine
BlackCapFloorEngineBlack-formula cap/floor engine
BlackConstantVolConstant Black volatility, no time-strike dependence
BlackFormulaBlack-formula calculator
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 stochastic process
BlackSwaptionEngineBlack-formula swaption engine
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
BondBase bond class
BoundaryConditionAbstract boundary condition class for finite difference problems
BoundaryConstraintConstraint imposing all arguments to be in [low,high]
BoxMullerGaussianRngGaussian random number generator
BPSBasketCalculator
BPSCalculatorBasis point sensitivity (BPS) calculator
BratislavaBratislava calendar
BrentBrent 1-D solver
BridgeThe Bridge pattern made explicit
BRLCurrencyBrazilian real
BrownianBridgeBuilds Wiener process paths using Gaussian variates
BSMOperatorBlack-Scholes-Merton differential operator
BSMTermOperatorBlack-Scholes-Merton differential operator
BudapestBudapest calendar
BYRCurrencyBelarussian ruble
CADCurrencyCanadian dollar
CADLiborCAD LIBOR rate
Calendarcalendar class
Calendar::WesternImplPartial calendar implementation
CalendarImplAbstract base class for calendar implementations
CalibrationHelperLiquid market instrument used during calibration
CapConcrete cap class
CapFloorBase class for cap-like instruments
CapFloor::argumentsArguments for cap/floor calculation
CapFloor::resultsResults from cap/floor calculation
CapletConstantVolatilityConstant caplet volatility, no time-strike dependence
CapletVolatilityStructureCaplet/floorlet forward-volatility structure
CapVolatilityStructureCap/floor term-volatility structure
CapVolatilityVectorCap/floor at-the-money term-volatility vector
CashFlowBase class for cash flows
CashOrNothingPayoffBinary cash-or-nothing payoff
CdorCDOR rate
CeilingTruncationCeiling truncation
CHFCurrencySwiss franc
CHFLiborCHF LIBOR rate
CLGaussianRngGaussian random number generator
CliquetOptionCliquet (Ratchet) option
CliquetOption::argumentsArguments for cliquet option calculation
CliquetOption::engineCliquet engine base class
ClosestRoundingClosest rounding
CLPCurrencyChilean peso
CNYCurrencyChinese yuan
CollarConcrete collar class
CompositeComposite pattern
CompositeConstraintConstraint enforcing both given sub-constraints
CompositeQuoteMarket element whose value depends on two other market element
CompoundForwardCompound-forward structure
CompoundingRuleFormatterFormats compounding rule for output
ConjugateGradientMulti-dimensional Conjugate Gradient class
ConstantParameterStandard constant parameter $ a(t) = a $
ConstraintBase constraint class
ConstraintImplBase class for constraint implementations
ContinuousAveragingAsianOptionContinuous-averaging Asian option
ContinuousAveragingAsianOption::argumentsExtra arguments for single-asset continuous-average Asian option
ContinuousAveragingAsianOption::engineContinuous-averaging Asian engine base class
COPCurrencyColombian peso
CopenhagenCopenhagen calendar
CostFunctionCost function abstract class for optimization problem
Couponcoupon accruing over a fixed period
CovarianceDecomposition
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
Cubiccubic-spline interpolation factory and traits
CubicSplineCubic spline interpolation between discrete points
CumulativeBinomialDistributionCumulative binomial distribution function
CumulativeNormalDistributionCumulative normal distribution function
CumulativePoissonDistributionCumulative Poisson distribution function
CuriouslyRecurringTemplateSupport for the curiously recurring template pattern
CurrencyCurrency specification
CurrencyFormatterFormat currencies for output
CYPCurrencyCyprus pound
CZKCurrencyCzech koruna
DateConcrete date class
DateFormatterFormats dates for output
DayCounterDay counter class
DayCounterImplAbstract base class for day counter implementations
DecimalFormatterFormats real numbers for output
DEMCurrencyDeutsche mark
DepositRateHelperDeposit rate
DerivedQuoteMarket element whose value depends on another market element
DirichletBCNeumann boundary condition (i.e., constant value)
DiscountDiscount-curve traits
DiscrepancyStatisticsStatistic tool for sequences with discrepancy calculation
DiscreteAveragingAsianOptionDiscrete-averaging Asian option
DiscreteAveragingAsianOption::argumentsExtra arguments for single-asset discrete-average Asian option
DiscreteAveragingAsianOption::engineDiscrete-averaging Asian engine base class
DiscreteGeometricASODiscrete geometric average-strike Asian option (European style)
DiscretizedAssetDiscretized asset class used by numerical methods
DiscretizedDiscountBondUseful discretized discount bond asset
DiscretizedOptionDiscretized option on a given asset
DisposableGeneric disposable object with move semantics
DividendVanillaOptionSingle-asset vanilla option (no barriers) with discrete dividends
DividendVanillaOption::argumentsArguments for dividend vanilla option calculation
DividendVanillaOption::engineDividend vanilla option engine base class
DKKCurrencyDanish krone
DMinus$ D_{-} $ matricial representation
DownRoundingDown-rounding
DPlus$ D_{+} $ matricial representation
DPlusDMinus$ D_{+}D_{-} $ matricial representation
DriftTermStructureDrift term structure
DZero$ D_{0} $ matricial representation
EarlyExerciseEarly-exercise base class
EEKCurrencyEstonian kroon
EndCriteriaCriteria to end optimization process
EqualJumpsBinomialTreeBase class for equal jumps binomial tree
EqualProbabilitiesBinomialTreeBase class for equal probabilities binomial tree
ErrorBase error class
ErrorFunctionError function
ESPCurrencySpanish peseta
EulerDiscretizationEuler discretization for stochastic processes
EURCurrencyEuropean Euro
EuriborEuribor index
EuropeanExerciseEuropean exercise
EuropeanOptionEuropean option on a single asset
ExchangeRateExchange rate between two currencies
ExchangeRateManagerExchange-rate repository
ExerciseBase exercise class
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
ExtrapolatorBase class for classes possibly allowing extrapolation
FactorialFactorial numbers calculator
FalsePositionFalse position 1-D solver
FaureRsgFaure low-discrepancy sequence generator
FDAmericanEngineFinite-differences pricing engine for American vanilla options
FdAmericanOptionAmerican option
FDBermudanEngineFinite-differences Bermudan engine
FdBermudanOptionBermudan option
FdBsmOption
FDDividendAmericanEngineFinite-differences pricing engine for dividend American options
FdDividendAmericanOptionAmerican option with discrete dividends
FDDividendEngineBase finite-differences pricing engine for dividend options
FDDividendEuropeanEngineFinite-differences pricing engine for dividend European options
FdDividendOption
FDDividendShoutEngineFinite-differences shout engine with dividends
FdDividendShoutOptionShout option with dividends
FdEuropeanExample of European option calculated using finite differences
FDEuropeanEnginePricing engine for European vanilla options using finite-differences
FdMultiPeriodOption
FDShoutEngineFinite-differences pricing engine for shout vanilla options
FdShoutOption
FDStepConditionEngineFinite-differences pricing engine for American-style vanilla options
FdStepConditionOptionoption executing additional code at each time step
FDVanillaEngineFinite-differences pricing engine for BSM vanilla options
FIMCurrencyFinnish markka
FiniteDifferenceModelGeneric finite difference model
FixedCouponBondFixed-coupon bond
FixedRateCouponCoupon paying a fixed interest rate
FlatForwardFlat interest-rate curve
FloatingRateBondFloating-rate bond
FloatingRateCouponCoupon paying a variable rate
FloorConcrete floor class
FloorTruncationFloor truncation
ForwardEngineForward engine base class
ForwardFlatForward-flat interpolation factory and traits
ForwardFlatInterpolationForward-flat interpolation between discrete points
ForwardOptionArgumentsArguments for forward (strike-resetting) option calculation
ForwardPerformanceEngineForward performance engine
ForwardRateForward-curve traits
ForwardRateStructureForward rate term structure
ForwardSpreadedTermStructureTerm structure with added spread on the instantaneous forward rate
ForwardVanillaOptionForward version of a vanilla option
FraRateHelperForward rate agreement
FrequencyFormatterFormats frequency for output
FRFCurrencyFrench franc
FuturesRateHelperInterest-rate futures
G2Two-additive-factor gaussian model class
G2::FittingParameterAnalytical term-structure fitting parameter $ \varphi(t) $
G2SwaptionEngineSwaption priced by means of the Black formula
GammaFunctionGamma function class
GapPayoffBinary gap payoff
GaussianStatisticsStatistics tool for gaussian-assumption risk measures
GBPCurrencyBritish pound sterling
GBPLiborGBP LIBOR rate
GeneralStatisticsStatistics tool
GenericEngineTemplate base class for option pricing engines
GenericModelEngineBase class for some pricing engine on a particular model
GenericRiskStatisticsEmpirical-distribution risk measures
GeometricBrownianMotionProcessGeometric brownian-motion process
GermanyGerman calendars
GRDCurrencyGreek drachma
GreeksAdditional option results
HaltonRsgHalton low-discrepancy sequence generator
HandleGlobally accessible relinkable pointer
HelsinkiHelsinki calendar
HistoryContainer for historical data
History::const_iteratorRandom access iterator on history entries
History::EntrySingle datum in history
HKDCurrencyHonk Kong dollar
HongKongHong Kong calendar
HUFCurrencyHungarian forint
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) $
IEPCurrencyIrish punt
ILSCurrencyIsraeli shekel
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 floating-rate coupon
IncrementalStatisticsStatistics tool based on incremental accumulation
IndexPurely virtual base class for indexes
IndexedCouponBase indexed coupon class
IndexManagerGlobal repository for past index fixings
INRCurrencyIndian rupee
InstrumentAbstract instrument class
IntegerFormatterFormats integers for output
IntegralEngine
InterestRateConcrete interest rate class
InterestRateFormatterFormats interest rates for output
InterpolatedDiscountCurveTerm structure based on interpolation of discount factors
InterpolatedForwardCurveTerm structure based on interpolation of forward rates
InterpolatedZeroCurveTerm structure based on interpolation of zero yields
InterpolationBase class for 1-D interpolations
Interpolation2DBase class for 2-D interpolations
Interpolation2D::templateImplBasic template implementation
Interpolation2DImplAbstract base class for 2-D interpolation implementations
Interpolation::templateImplBasic template implementation
InterpolationImplAbstract base class for interpolation implementations
InverseCumulativeNormalInverse cumulative normal distribution function
InverseCumulativePoissonInverse cumulative Poisson distribution function
InverseCumulativeRngInverse cumulative random number generator
InverseCumulativeRsgInverse cumulative random sequence generator
IQDCurrencyIraqi dinar
IRRCurrencyIranian rial
ISKCurrencyIceland krona
ItalyItalian calendars
ITLCurrencyItalian lira
JamshidianSwaptionEngineJamshidian swaption engine
JarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
JibarJIBAR rate
JohannesburgJohannesburg calendar
JointCalendarJoint calendar
JPYCurrencyJapanese yen
JPYLiborJPY LIBOR rate
JumpDiffusionEngineJump-diffusion engine for vanilla options
JuQuadraticApproximationEngine
KnuthUniformRngUniform random number generator
KronrodIntegralIntegral of a 1-dimensional function using the Gauss-Kronrod method
KRWCurrencySouth-Korean won
KWDCurrencyKuwaiti dinar
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
LeastSquareFunctionCost function for least-square problems
LeastSquareProblemBase class for least square problem
LecuyerUniformRngUniform random number generator
LeisenReimerLeisen & Reimer tree: multiplicative approach
LexicographicalViewLexicographical 2-D view of a contiguous set of data
LinearLinear interpolation factory and traits
LinearInterpolationLinear interpolation between discrete points
LineSearchBase class for line search
LinkRelinkable access to a shared pointer
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
LogLinearLog-linear interpolation factory and traits
LogLinearInterpolation
LTLCurrencyLithuanian litas
LUFCurrencyLuxembourg franc
LVLCurrencyLatvian lat
MakeScheduleHelper class
MatrixMatrix used in linear algebra
MatrixFormatterFormat matrices for output
MCAmericanBasketEngineLeast-square Monte Carlo engine
MCBarrierEnginePricing engine for barrier options using Monte Carlo simulation
MCBasketEnginePricing engine for basket options using Monte Carlo simulation
McCliquetOptionSimple example of Monte Carlo pricer
MCDigitalEnginePricing engine for digital options using Monte Carlo simulation
MCDiscreteArithmeticAPEngineMonte Carlo pricing engine for discrete arithmetic average price Asian
McDiscreteArithmeticASOExample of Monte Carlo pricer using a control variate
MCDiscreteAveragingAsianEnginePricing engine for discrete average Asians using Monte Carlo simulation
MCDiscreteGeometricAPEngineMonte Carlo pricing engine for discrete geometric average price Asian
MCEuropeanEngineEuropean 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
MCVanillaEnginePricing engine for vanilla options using Monte Carlo simulation
MersenneTwisterUniformRngUniform random number generator
Merton76ProcessMerton-76 jump-diffusion process
MixedSchemeMixed (explicit/implicit) scheme for finite difference methods
MoneyAmount of cash
MoneyFormatterFormat money for output
MonotonicCubicSplineCubic spline with monotonicity constraint
MonteCarloModelGeneral purpose Monte Carlo model for path samples
MoreGreeksMore additional option results
MoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
MTLCurrencyMaltese lira
MultiAssetOptionBase class for options on multiple assets
MultiAssetOption::argumentsArguments for multi-asset option calculation
MultiAssetOption::resultsResults from multi-asset option calculation
MultiCubicSpline
MultiPathCorrelated multiple asset paths
MultiPathGeneratorGenerates a multipath from a random number generator
MXNCurrencyMexican peso
NaturalCubicSplineCubic spline with null second derivative at end points
NaturalMonotonicCubicSplineNatural cubic spline with monotonicity constraint
NeumannBCNeumann boundary condition (i.e., constant derivative)
NewtonNewton 1-D solver
NewtonSafeSafe Newton 1-D solver
NLGCurrencyDutch guilder
NoConstraintNo constraint
NOKCurrencyNorwegian krone
NonLinearLeastSquareNon-linear least-square method
NormalDistributionNormal distribution function
NPRCurrencyNepal rupee
NullTemplate class providing a null value for a given type
NullCalendarCalendar for reproducing theoretical calculations
NullConditionNull step condition
NullParameterParameter which is always zero $ a(t) = 0 $
NumericalMethodNumerical method (tree, finite-differences) base class
NZDCurrencyNew Zealand dollar
ObservableObject that notifies its changes to a set of observables
ObserverObject that gets notified when a given observable changes
OneAssetOptionBase class for options on a single asset
OneAssetOption::argumentsArguments for single-asset option calculation
OneAssetOption::resultsResults from single-asset option calculation
OneAssetStrikedOptionBase class for options on a single asset with striked payoff
OneDayCounter1/1 day count convention
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
OptimizationMethodAbstract class for constrained optimization method
OptionBase option class
Option::arguments
OptionTypeFormatterFormat option type for output
OrnsteinUhlenbeckProcessOrnstein-Uhlenbeck process class
OsloOslo calendar
ParameterBase class for model arguments
ParameterImplBase class for model parameter implementation
ParCouponcoupon at par on a term structure
Path
PathGeneratorGenerates random paths using a sequence generator
PathPricerBase class for path pricers
PayoffBase class for option payoffs
PercentageStrikePayoffPayoff with strike expressed as percentage
PeriodTime period described by a number of a given time unit
PiecewiseConstantParameterPiecewise-constant parameter
PiecewiseFlatForwardPiecewise flat forward term structure
PiecewiseYieldCurvePiecewise yield term structure
PKRCurrencyPakistani rupee
PlainVanillaPayoffPlain-vanilla payoff
PLNCurrencyPolish zloty
PoissonDistributionNormal distribution function
PositiveConstraintConstraint imposing positivity to all arguments
PraguePrague calendar
PricingEngineInterface for pricing engines
PrimeNumbersPrime numbers calculator
ProblemConstrained optimization problem
PTECurrencyPortuguese escudo
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
QuotePurely virtual base class for market observables
RamdomizedLDSRandomized (random shift) low-discrepancy sequence
RandomSequenceGeneratorRandom sequence generator based on a pseudo-random number generator
RateFormatterFormats rates for output
RateHelperBase class for rate helpers
ResultsBase class for generic result groups
RidderRidder 1-D solver
RiyadhRiyadh calendar
ROLCurrencyRomanian leu
RoundingBasic rounding class
SalvagingAlgorithmAlgorithm used for matricial pseudo square root
SampleWeighted sample
SARCurrencySaudi riyal
SchedulePayment schedule
SecantSecant 1-D solver
SeedGeneratorRandom seed generator
SegmentIntegralIntegral of a one-dimensional function
SEKCurrencySwedish krona
SeoulSeoul calendar
SequenceFormatterFormats numeric sequences for output
SequenceStatisticsStatistics analysis of N-dimensional (sequence) data
SettingsGlobal repository for run-time library settings
SGDCurrencySingapore dollar
ShortShort indexed coupon
Short< ParCoupon >Short coupon at par on a term structure
ShortRateModelAbstract short-rate model class
ShoutConditionShout option condition
SimpleCashFlowPredetermined cash flow
SimpleDayCounterSimple day counter for reproducing theoretical calculations
SimpleQuoteMarket element returning a stored value
SimpleSwapSimple fixed-rate vs Libor swap
SimpleSwap::argumentsArguments for simple swap calculation
SimpleSwap::resultsResults from simple swap calculation
SimplexMulti-dimensional simplex class
SimpsonIntegralIntegral of a one-dimensional function
SingaporeSingapore calendar
SingleAssetOptionBlack-Scholes-Merton option
SingletonBasic support for the singleton pattern
SITCurrencySlovenian tolar
SizeFormatterFormats unsigned integers for output
SKKCurrencySlovak koruna
SobolRsgSobol low-discrepancy sequence generator
Solver1DBase class for 1-D solvers
SquareRootProcessSquare-root process class
StatsHolderHelper class for precomputed distributions
SteepestDescentMulti-dimensional steepest-descent class
step_iteratorIterator advancing in constant steps
StepConditionCondition to be applied at every time step
StepConditionSetParallel evolver for multiple arrays
StochasticProcessStochastic process class
StochasticProcess::discretizationDiscretization of a stochastic process over a given time interval
StockSimple stock class
StockholmStockholm calendar
StrikedTypePayoffIntermediate class for payoffs based on a fixed strike
StringFormatterFormats strings as lower- or uppercase
StulzEnginePricing engine for 2D European Baskets
SuperSharePayoffBinary supershare payoff
SVDSingular value decomposition
SwapInterest rate swap
SwapRateHelperSwap rate
SwaptionSwaption class
Swaption::argumentsArguments for swaption calculation
Swaption::resultsResults from swaption calculation
SwaptionVolatilityMatrixAt-the-money swaption-volatility matrix
SwaptionVolatilityStructureSwaption-volatility structure
SydneySydney calendar (New South Wales, Australia)
SymmetricSchurDecompositionSymmetric threshold Jacobi algorithm
TaiwanTaiwan calendar
TARGETTARGET calendar
TermStructureBasic term-structure functionality
TermStructureConsistentModelTerm-structure consistent model class
TermStructureFittingParameterDeterministic time-dependent parameter used for yield-curve fitting
THBCurrencyThai baht
Thirty36030/360 day count convention
TianTian tree: third moment matching, multiplicative approach
TiborJPY TIBOR index
TimeBasketDistribution over a number of dates
TimeGridTime grid class
TokyoTokyo calendar
TorontoToronto calendar
TrapezoidIntegralIntegral of a one-dimensional function
TreeTree approximating a single-factor diffusion
TreeCapFloorEngineNumerical lattice engine for cap/floors
TreeSwaptionEngineNumerical lattice engine for swaptions
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
TRLCurrencyTurkish lira
TTDCurrencyTrinidad & Tobago dollar
TWDCurrencyTaiwan dollar
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
TypePayoffIntermediate class for call/put/straddle payoffs
UnitedKingdomUnited Kingdom calendars
UnitedStatesUnited States calendars
UpFrontIndexedCouponup front indexed coupon class
UpRoundingUp-rounding
USDCurrencyU.S. dollar
USDLiborUSD LIBOR rate
ValuePricing results
VanillaOptionVanilla option (no discrete dividends, no barriers) on a single asset
VanillaOption::engineVanilla option engine base class
VasicekVasicek model class
Vasicek::DynamicsShort-rate dynamics in the Vasicek model
VEBCurrencyVenezuelan bolivar
VisitorVisitor for a specific class
VolatilityFormatterFormats volatilities for output
WarsawWarsaw calendar
WeekdayFormatterFormats weekday for output
WellingtonWellington calendar
XiborBase class for libor indexes
YieldTermStructureInterest-rate term structure
ZARCurrencySouth-African rand
ZeroCouponBondZero-coupon bond
ZeroSpreadedTermStructureTerm structure with an added spread on the zero yield rate
ZeroYieldZero-curve traits
ZeroYieldStructureZero-yield term structure
ZiborCHF ZIBOR rate
ZurichZurich calendar

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