QuantLib Class List

Here are the classes, structs, unions and interfaces with brief descriptions:
Actual360Actual/360 day count convention
Actual365Actual/365 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
AnalyticContinuousAveragingAsianEnginePricing engine for European continuous geometric average Asian option
AnalyticDigitalAmericanEngine
AnalyticDiscreteAveragingAsianEnginePricing engine for European discrete geometric average Asian option
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
ArrayFormatterFormats arrays for output
AssetOrNothingPayoffBinary asset-or-nothing payoff
AUDLiborAUD Libor index, also known as SIBOR
AveragePlaceholder for enumerated averaging types
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
BeijingBeijing calendar
BermudanExerciseBermudan exercise
BicubicSpline
BicubicSpline::ImplBicubic spline implementation
BilinearInterpolationBilinear interpolation between discrete points
BilinearInterpolation::ImplBilinear interpolation implementation
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
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
BrentBrent 1-D solver
BridgeThe Bridge pattern made explicit
BrownianBridgeBuilds Wiener process paths using Gaussian variates
BSMOperatorBlack-Scholes-Merton differential operator
BudapestBudapest calendar
CADLiborCAD Libor index, also known as CDOR
Calendarcalendar class
Calendar::WesternImplPartial calendar implementation
CalendarImplAbstract base class for calendar implementations
CalibrationHelperLiquid market instrument used during calibration
CalibrationSetSet of calibration instruments
CapConcrete cap class
CapFlatVolatilityStructureCap/floor flat volatility structure
CapFlatVolatilityVectorCap/floor at-the-money flat volatility vector
CapFloorBase class for cap-like instruments
CapFloor::argumentsArguments for cap/floor calculation
CapFloor::resultsResults from cap/floor calculation
CapletForwardVolatilityStructureCaplet/floorlet forward volatility structure
CashFlowBase class for cash flows
CashOrNothingPayoffBinary cash-or-nothing payoff
CeilingTruncationCeiling truncation
CHFLiborCHF Libor index, also known as ZIBOR
CLGaussianRngGaussian random number generator
CliquetOptionCliquet (Ratchet) option
CliquetOption::argumentsArguments for cliquet option calculation
CliquetOption::engineCliquet engine base class
CliquetOptionPricerCliquet (Ratchet) option
CollarConcrete collar class
combining_iteratorIterator mapping a function to a set of underlying sequences
CompositeComposite pattern
CompositeConstraintConstraint enforcing both given sub-constraints
CompositeQuoteMarket element whose value depends on two other market element
CompoundForward
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 Asian option calculation
ContinuousAveragingAsianOption::engineContinuous-averaging Asian engine base class
ContinuousGeometricAPOContinuous geometric average-price option (European exercise)
CopenhagenCopenhagen calendar
CostFunctionCost function abstract class for optimization problem
coupling_iteratorIterator mapping a function to a pair of underlying sequences
Couponcoupon accruing over a fixed period
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 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
CurrencyFormatterFormats currencies for output
DateConcrete date class
DateFormatterFormats dates for output
DayCounterDay counter class
DayCounterImplAbstract base class for day counter implementations
DecimalFormatterFormats real numbers for output
DepositRateHelperDeposit rate
DerivedQuoteMarket element whose value depends on another market element
DirichletBCNeumann boundary condition (i.e., constant value)
DiscountCurveTerm structure based on loglinear interpolation of discount factors
DiscountStructureDiscount factor term structure
DiscrepancyStatisticsStatistic tool for sequences with discrepancy calculation
DiscreteAveragingAsianOptionDiscrete-averaging Asian option
DiscreteAveragingAsianOption::argumentsExtra arguments for single-asset Asian option calculation
DiscreteAveragingAsianOption::engineDiscrete-averaging Asian engine base class
DiscreteGeometricAPODiscrete geometric average-price Asian option (European style)
DiscreteGeometricASODiscrete geometric average-strike Asian option (European style)
DiscretizedAssetDiscretized asset class used by numerical methods
DiscretizedDiscountBondUseful discretized discount bond asset
DiscretizedOptionDiscretized option on another asset
DiscretizedSwap
DisposableGeneric disposable object with move semantics
DividendEuropeanOptionEuropean option with dividends
DividendVanillaOptionSingle-asset vanilla option (no barriers) with discrete dividends
DividendVanillaOption::argumentsArguments for dividend vanilla option calculation
DividendVanillaOption::engineDividend vanilla option engine base class
DMinus$ D_{-} $ matricial representation
DPlus$ D_{+} $ matricial representation
DPlusDMinus$ D_{+}D_{-} $ matricial representation
DriftTermStructureDrift term structure
DZero$ D_{0} $ matricial representation
EarlyExerciseEarly-exercise base class
EndCriteriaCriteria to end optimization process
EqualJumpsBinomialTreeBase class for equal jumps binomial tree
EqualProbabilitiesBinomialTreeBase class for equal probabilities binomial tree
ErrorBase error class
ErrorFunctionError function
EulerDiscretizationEuler discretization for stochastic processes
EuriborEuribor index
EuroFormatterFormats amounts in Euro for output
EuropeanExerciseEuropean exercise
EuropeanOptionEuropean option on a single asset
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
FdAmericanOptionAmerican option
FdBermudanOptionBermudan option
FdBsmOptionBlack-Scholes-Merton option priced numerically
FdDividendAmericanOptionAmerican option with discrete dividends
FdDividendShoutOptionShout option with dividends
FdEuropeanExample of European option calculated using finite differences
FdStepConditionOptionoption executing additional code at each time step
filtering_iteratorIterator filtering undesired data
FiniteDifferenceModelGeneric finite difference model
FixedRateCouponCoupon paying a fixed interest rate
FlatForwardFlat interest-rate curve
FloatingRateCouponCoupon at par on a term structure
FloorConcrete floor class
FloorTruncationFloor truncation
ForwardEngineForward engine base class
ForwardOptionArgumentsArguments for forward (strike-resetting) option calculation
ForwardPerformanceEngineForward performance engine
ForwardRateStructureForward rate term structure
ForwardSpreadedTermStructureTerm structure with added spread on the instantaneous forward rate
ForwardVanillaOptionForward version of a vanilla option
Frankfurt
FraRateHelperForward rate agreement
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
GBPLiborGBP Libor index
GeneralStatisticsStatistics tool
GenericEngineTemplate base class for option pricing engines
GenericModelEngineBase class for some pricing engine on a particular model
GenericRiskStatisticsEmpirical-distribution risk measures
GermanyGerman calendars
GreeksAdditional option results
HaltonRsgHalton low-discrepancy sequence generator
HelsinkiHelsinki calendar
HistoryContainer for historical data
History::const_iteratorRandom access iterator on history entries
History::EntrySingle datum in history
HongKongHong Kong calendar
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) $
ICGaussianRngInverse cumulative Gaussian random number generator
ICGaussianRsgInverse cumulative Gaussian random sequence generator
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 indexed coupon class
IncrementalStatisticsStatistics tool based on incremental accumulation
IndexPurely virtual base class for indexes
IndexedCouponBase indexed coupon class
InstrumentAbstract instrument class
IntegerFormatterFormats integers for output
IntegralEngine
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
ItalyItalian calendars
JamshidianSwaptionEngineJamshidian swaption engine
JarrowRuddJarrow-Rudd (multiplicative) equal probabilities binomial tree
JohannesburgJohannesburg calendar
JointCalendarJoint calendar
JPYLiborJPY Libor index, also known as TIBOR
JumpDiffusionEngineJump-diffusion engine for vanilla options
KnuthUniformRngUniform random number generator
KronrodIntegralIntegral of a 1-dimensional function using the Gauss-Kronrod method
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 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 traits
LogLinearInterpolation
London
lowest_category_iteratorMost generic of two given iterator categories
MakeScheduleHelper class
MatrixMatrix used in linear algebra
MCAmericanBasketEngineLeast-square Monte Carlo engine
MCBarrierEnginePricing engine for barrier options using Monte Carlo
McBasketSimple example of multi-factor Monte Carlo pricer
MCBasketEngineMC pricing engine for European baskets
McCliquetOptionSimple example of Monte Carlo pricer
MCDigitalEnginePricing engine for digital options using Monte Carlo simulation
McDiscreteArithmeticAPOExample of Monte Carlo pricer using a control variate
McDiscreteArithmeticASOExample of Monte Carlo pricer using a control variate
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 option using Monte Carlo simulation
MersenneTwisterUniformRngUniform random number generator
Merton76ProcessMerton-76 jump-diffusion process
Milan
MixedSchemeMixed (explicit/implicit) scheme for finite difference methods
MonotonicCubicSplineCubic spline with monotonicity constraint
MonteCarloModelGeneral purpose Monte Carlo model for path samples
MoreGreeksMore additional option results
MoroInverseCumulativeNormalMoro Inverse cumulative normal distribution class
MultiAssetOptionBase class for options on multiple assets
MultiAssetOption::argumentsArguments for multi-asset option calculation
MultiAssetOption::resultsResults from multi-asset option calculation
MultiPathCorrelated multiple asset paths
MultiPathGeneratorGenerates a multipath from a random number generator
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
NewYork
NoConstraintNo constraint
NormalDistributionNormal distribution function
NullTemplate class providing a null value for a given type
NullCalendarCalendar for reproducing theoretical calculations
NullParameterParameter which is always zero $ a(t) = 0 $
NumericalMethodNumerical method (tree, finite-differences) base class
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
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
OptionTypeFormatterFormats 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
PerformanceOptionPerformance option
PeriodTime period described by a number of a given time unit
PiecewiseConstantParameterPiecewise-constant parameter
PiecewiseFlatForwardPiecewise flat forward term structure
PlainVanillaPayoffPlain-vanilla payoff
PoissonDistributionNormal distribution function
PositiveConstraintConstraint imposing positivity to all arguments
PricingEngineInterface for pricing engines
PrimeNumbersPrime numbers calculator
ProblemConstrained optimization problem
processing_iteratorIterator mapping a unary function to an underlying sequence
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
RandomSequenceGeneratorRandom sequence generator based on a pseudo-random number generator
RateFormatterFormats rates for output
RateHelperBase class for rate helpers
RelinkableHandleGlobally accessible relinkable pointer
ResultsBase class for generic result groups
RidderRidder 1-D solver
RiskStatistics
RiyadhRiyadh calendar
RoundingBasic rounding class
SalvagingAlgorithmAlgorithm used for matricial pseudo square root
SampleWeighted sample
SchedulePayment schedule
SecantSecant 1-D solver
SegmentIntegralIntegral of a one-dimensional function
SeoulSeoul calendar
SequenceStatisticsStatistics analysis of N-dimensional (sequence) data
ShortShort indexed coupon
ShortFloatingRateCouponShort 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
SizeFormatterFormats unsigned integers for output
SobolRsgSobol low-discrepancy sequence generator
Solver1DBase class for 1-D solvers
SquareRootProcessSquare-root process class
Statistics
StatsHolderHelper class for precomputed distributions
SteepestDescentMulti-dimensional steepest-descent class
StepConditionCondition to be applied at every time step
stepping_iteratorIterator advancing in constant steps
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
TermStructureInterest-rate term structure
TermStructureConsistentModelTerm-structure consistent model class
TermStructureFittingParameterDeterministic time-dependent parameter used for yield-curve fitting
Thirty36030/360 day count convention
TianTian tree: third moment matching, multiplicative approach
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
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
USDLiborUSD Libor index
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
VisitorVisitor for a specific class
VolatilityFormatterFormats volatilities for output
WarsawWarsaw calendar
WellingtonWellington calendar
XiborBase class for libor indexes
XiborManagerGlobal repository for libor histories
ZARLiborZAR Libor index, also known as JIBAR
ZeroCurveTerm structure based on linear interpolation of zero yields
ZeroSpreadedTermStructureTerm structure with an added spread on the zero yield rate
ZeroYieldStructureZero yield term structure
ZurichZurich calendar

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