QuantLib 0.3.7
Getting started
Reference manual
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Here is a list of all documented class members with links to the class documentation for each member:
- accrualDays()
: Coupon
- accrualEndDate()
: Coupon
- accrualPeriod()
: Coupon
- accrualStartDate()
: Coupon
- accruedAmount()
: FloatingRateCoupon, FixedRateCoupon, Coupon
- add()
: IncrementalStatistics, GeneralStatistics
- addHoliday()
: Calendar
- addSequence()
: IncrementalStatistics, GeneralStatistics
- adjust()
: Calendar
- advance()
: Calendar
- AffineTermStructure()
: AffineTermStructure
- allowsExtrapolation()
: Extrapolator
- amount()
: SimpleCashFlow, Short, ShortFloatingRateCoupon, ParCoupon, IndexedCoupon, FixedRateCoupon, CashFlow
- applyAfterApplying()
: BoundaryCondition
- applyAfterSolving()
: BoundaryCondition
- applyBeforeApplying()
: BoundaryCondition
- applyBeforeSolving()
: BoundaryCondition
- applyTo()
: TridiagonalOperator
- ArmijoLineSearch()
: ArmijoLineSearch
- Array()
: Array
- averageShortfall()
: GenericRiskStatistics
- calculate()
: LazyObject, Instrument
- Calendar()
: Calendar
- calibrate()
: ShortRateModel
- calibrationError()
: CalibrationHelper
- Ceiling
: Rounding
- Closest
: Rounding
- compoundForward()
: TermStructure
- compoundForwardImpl()
: PiecewiseFlatForward, FlatForward, ExtendedDiscountCurve, CompoundForward, ForwardRateStructure, DiscountStructure, ZeroYieldStructure, TermStructure
- ConjugateGradient()
: ConjugateGradient
- const_data_iterator
: History
- const_valid_data_iterator
: History
- const_valid_iterator
: History
- constraint()
: Problem
- constraint_
: Problem
- convertDates()
: SwaptionVolatilityStructure
- correlation()
: TwoFactorModel::ShortRateDynamics, SequenceStatistics
- costFunction()
: Problem
- costFunction_
: Problem
- Coupon()
: Coupon
- covariance()
: SequenceStatistics
- criteria()
: EndCriteria
- CubicSpline()
: CubicSpline
- currentLink()
: RelinkableHandle, Link
- data()
: GeneralStatistics
- date()
: SimpleCashFlow, Coupon, CashFlow
- Date()
: Date
- dayCount()
: DayCounter
- dayCounter()
: LocalVolTermStructure, BlackVolTermStructure, SwaptionVolatilityMatrix, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, CapFlatVolatilityVector, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol, ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ImpliedTermStructure, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, DiscountCurve, CompoundForward, AffineTermStructure, TermStructure, SwaptionVolatilityStructure, ParCoupon, IndexedCoupon, FixedRateCoupon, Coupon, CapletForwardVolatilityStructure, CapFlatVolatilityStructure
- DayCounter()
: DayCounter
- dayOfYear()
: Date
- descendant()
: OneFactorModel::ShortRateTree, Lattice2D, Lattice, BlackScholesLattice
- diffusion()
: SquareRootProcess, OrnsteinUhlenbeckProcess, Merton76Process, BlackScholesProcess, StochasticProcess
- disableExtrapolation()
: Extrapolator
- discount()
: TermStructure, G2, TwoFactorModel::ShortRateTree, OneFactorAffineModel, OneFactorModel::ShortRateTree, AffineModel, Lattice, BlackScholesLattice
- discountImpl()
: PiecewiseFlatForward, ImpliedTermStructure, FlatForward, DiscountCurve, CompoundForward, AffineTermStructure, ForwardRateStructure, ZeroYieldStructure, TermStructure
- Down
: Rounding
- downsideDeviation()
: GenericRiskStatistics, IncrementalStatistics
- downsideVariance()
: GenericRiskStatistics, IncrementalStatistics
- drift()
: SquareRootProcess, OrnsteinUhlenbeckProcess, Merton76Process, BlackScholesProcess, StochasticProcess
- dynamics()
: G2, TwoFactorModel, Vasicek, HullWhite, ExtendedCoxIngersollRoss, CoxIngersollRoss, BlackKarasinski, OneFactorModel
- identity()
: TridiagonalOperator
- impliedVolatility()
: CalibrationHelper, SingleAssetOption, OneAssetOption, CapFloor
- initialize()
: Lattice
- initialValue_
: OptimizationMethod
- instantaneousForward()
: TermStructure
- isAdjusted()
: Schedule
- isBusinessDay()
: Calendar
- isEndOfMonth()
: Calendar
- isExpired()
: Swaption, Swap, Stock, OneAssetOption, MultiAssetOption, CapFloor, Instrument
- isHoliday()
: Calendar
- isNull()
: RelinkableHandle, Link
- iterationNumber()
: OptimizationMethod
- iterationNumber_
: OptimizationMethod
- itmAssetProbability()
: BlackFormula
- itmCashProbability()
: BlackFormula
- itmProbability()
: BlackModel
- make_combining_iterator()
: combining_iterator
- make_coupling_iterator()
: coupling_iterator
- make_filtering_iterator()
: filtering_iterator
- make_processing_iterator()
: processing_iterator
- make_stepping_iterator()
: stepping_iterator
- MakeSchedule()
: MakeSchedule
- Market
: UnitedStates, UnitedKingdom, Italy, Germany
- marketValue()
: CalibrationHelper
- Matrix()
: Matrix
- maturity()
: SwapRateHelper, FuturesRateHelper, FraRateHelper, DepositRateHelper, RateHelper
- max()
: IncrementalStatistics, GeneralStatistics
- maxDate()
: LocalVolTermStructure, BlackVolTermStructure, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol, ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ImpliedTermStructure, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, DiscountCurve, CompoundForward, AffineTermStructure, TermStructure, Date
- maxIteration_
: EndCriteria
- maxIterStatPt_
: EndCriteria
- maxStrike()
: LocalVolTermStructure, BlackVolTermStructure, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol
- maxTime()
: LocalVolTermStructure, BlackVolTermStructure, ZeroSpreadedTermStructure, ZeroCurve, PiecewiseFlatForward, ImpliedTermStructure, ForwardSpreadedTermStructure, DiscountCurve, CompoundForward, TermStructure
- mean()
: IncrementalStatistics, GeneralStatistics
- MersenneTwisterUniformRng()
: MersenneTwisterUniformRng
- method()
: Problem
- method_
: Problem
- min()
: IncrementalStatistics, GeneralStatistics
- minDate()
: Date
- minimize()
: SteepestDescent, Simplex, Problem, OptimizationMethod, ConjugateGradient
- minStrike()
: LocalVolTermStructure, BlackVolTermStructure, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol
- modelValue()
: CalibrationHelper
- MonotonicCubicSpline()
: MonotonicCubicSpline
- params()
: ShortRateModel
- percentile()
: GeneralStatistics
- performCalculations()
: LazyObject, Swap, Stock, QuantoVanillaOption, OneAssetStrikedOption, OneAssetOption, MultiAssetOption, ForwardVanillaOption, BarrierOption, Instrument
- Periodic
: CubicSpline
- PiecewiseFlatForward()
: PiecewiseFlatForward
- postAdjustValues()
: DiscretizedOption, DiscretizedAsset
- potentialUpside()
: GenericRiskStatistics
- preAdjustValues()
: DiscretizedSwap, DiscretizedAsset
- presentValue()
: Lattice
- Problem()
: Problem
- process()
: OneFactorModel::ShortRateDynamics
- pseudoSqrt()
: Matrix
- rankReducedSqrt()
: Matrix
- rebin()
: TimeBasket
- recalculate()
: LazyObject
- referenceDate()
: LocalVolTermStructure, BlackVolTermStructure, LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol, ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ImpliedTermStructure, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, DiscountCurve, CompoundForward, AffineTermStructure, TermStructure
- regret()
: GenericRiskStatistics
- RelinkableHandle()
: RelinkableHandle
- removeHoliday()
: Calendar
- reset()
: IncrementalStatistics, GeneralStatistics
- roll()
: ExtendedDiscountCurve, CompoundForward, Calendar
- rollAlmostBack()
: Lattice
- rollback()
: Lattice, FiniteDifferenceModel
- rollingConvention()
: Schedule, Xibor
- sampleAccumulator()
: McSimulation, McPricer
- samples()
: IncrementalStatistics, GeneralStatistics
- Schedule()
: Schedule
- searchDirection()
: OptimizationMethod
- searchDirection_
: OptimizationMethod
- SecondDerivative
: CubicSpline
- semiDeviation()
: GenericRiskStatistics
- semiVariance()
: GenericRiskStatistics
- sensitivity()
: Swap
- setEndCriteria()
: OptimizationMethod
- setInitialValue()
: OptimizationMethod
- setLowerBound()
: Solver1D
- setMaxEvaluations()
: Solver1D
- setPricingEngine()
: Instrument
- setTermStructure()
: SwapRateHelper, FraRateHelper, DepositRateHelper, RateHelper
- setTime()
: DirichletBC, NeumannBC, BoundaryCondition
- Settlement
: UnitedStates, UnitedKingdom, Italy, Germany
- settlementDate()
: CapFlatVolatilityVector, CapletForwardVolatilityStructure, CapFlatVolatilityStructure
- setupArguments()
: Swaption, SimpleSwap, QuantoVanillaOption, QuantoForwardVanillaOption, OneAssetStrikedOption, OneAssetOption, MultiAssetOption, ForwardVanillaOption, DividendVanillaOption, CliquetOption, CapFloor, BasketOption, BarrierOption, DiscreteAveragingAsianOption, ContinuousAveragingAsianOption, Instrument
- setupExpired()
: Swap, QuantoVanillaOption, OneAssetOption, MultiAssetOption, Instrument
- setUpperBound()
: Solver1D
- shortfall()
: GenericRiskStatistics
- shortRate()
: OneFactorModel::ShortRateDynamics
- ShortRateTree()
: TwoFactorModel::ShortRateTree, OneFactorModel::ShortRateTree
- Side
: BoundaryCondition
- SimpleSwap()
: SimpleSwap
- Simplex()
: Simplex
- size()
: LeastSquareProblem, Array, History
- skewness()
: IncrementalStatistics, GeneralStatistics
- solve()
: Solver1D
- solveFor()
: TridiagonalOperator
- SOR()
: TridiagonalOperator
- sort()
: GeneralStatistics
- squaredNorm_
: OptimizationMethod
- standardDeviation()
: IncrementalStatistics, GeneralStatistics
- statState_
: EndCriteria
- SteepestDescent()
: SteepestDescent
- succeed_
: LineSearch
- SwapRateHelper()
: SwapRateHelper
- targetAndValue()
: LeastSquareProblem
- targetValueAndGradient()
: LeastSquareProblem
- test()
: ConstraintImpl
- TimeGrid()
: TimeGrid
- todaysDate()
: SwaptionVolatilityMatrix, CapFlatVolatilityVector, ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ImpliedTermStructure, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, DiscountCurve, CompoundForward, AffineTermStructure, TermStructure, SwaptionVolatilityStructure, Date, CapletForwardVolatilityStructure, CapFlatVolatilityStructure
- topPercentile()
: GeneralStatistics
- tree()
: TwoFactorModel, HullWhite, ExtendedCoxIngersollRoss, CoxIngersollRoss, BlackKarasinski, OneFactorModel
- Type
: Rounding
- underlyingArgs()
: QuantoEngine
- unfreeze()
: LazyObject
- Up
: Rounding
- update()
: LocalVolSurface, LocalVolCurve, LocalConstantVol, ImpliedVolTermStructure, BlackVarianceSurface, BlackVarianceCurve, BlackConstantVol, ZeroSpreadedTermStructure, RateHelper, QuantoTermStructure, ImpliedTermStructure, ForwardSpreadedTermStructure, FlatForward, ExtendedDiscountCurve, DriftTermStructure, CompoundForward, BlackScholesProcess, StochasticProcess, ShortRateModel, CalibrationHelper, Link, CompositeQuote, DerivedQuote, LatticeShortRateModelEngine, GenericModelEngine, BlackModel, Observer, LazyObject, Xibor, ParCoupon, IndexedCoupon
- value()
: CompositeQuote, DerivedQuote, SimpleQuote, Quote, McSimulation, McPricer, Problem, LeastSquareFunction, CostFunction
- valueAndGradient()
: Problem, LeastSquareFunction, CostFunction
- valueAtRisk()
: GenericRiskStatistics
- valueWithSamples()
: McSimulation, McPricer
- variable()
: OneFactorModel::ShortRateDynamics
- variance()
: OrnsteinUhlenbeckProcess, EulerDiscretization, StochasticProcess, IncrementalStatistics, GeneralStatistics
- volatility()
: SwaptionVolatilityStructure, CapletForwardVolatilityStructure, CapFlatVolatilityStructure
- volatilityImpl()
: SwaptionVolatilityStructure, CapletForwardVolatilityStructure, CapFlatVolatilityStructure
- zeroCoupon()
: TermStructure
- zeroYield()
: TermStructure
- zeroYieldImpl()
: ZeroSpreadedTermStructure, ZeroCurve, QuantoTermStructure, PiecewiseFlatForward, ForwardSpreadedTermStructure, FlatForward, DriftTermStructure, CompoundForward, ForwardRateStructure, DiscountStructure, TermStructure
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