QuantLib File List

Here is a list of all documented files with brief descriptions:
ql/argsandresults.hppBase classes for generic arguments and results
ql/basicdataformatters.hppClasses used to format basic types for output
ql/calendar.hppcalendar class
ql/capvolstructures.hppCap/Floor volatility structures
ql/cashflow.hppBase class for cash flows
ql/currency.hppKnown currencies
ql/dataformatters.hppClasses used to format data for output
ql/dataparsers.hppClasses used to parse data for input
ql/date.hppDate- and time-related classes, typedefs and enumerations
ql/daycounter.hppDay counter class
ql/diffusionprocess.hppDiffusion process
ql/discretizedasset.hppDiscretized asset classes
ql/disposable.hppGeneric disposable object with move semantics
ql/errors.hppClasses and functions for error handling
ql/exercise.hppOption exercise classes and payoff function
ql/grid.hppGrid classes with useful constructors for trees and finite diffs
ql/handle.hppReference-counted pointer
ql/history.hppHistory class
ql/index.hppPurely virtual base class for indexes
ql/instrument.hppAbstract instrument class
ql/null.hppNull values
ql/numericalmethod.hppNumerical method class
ql/option.hppBase option class
ql/payoff.hppOption payoff classes
ql/pricingengine.hppBase class for pricing engines
ql/qldefines.hppGlobal definitions and compiler switches
ql/quote.hppPurely virtual base class for market observables
ql/relinkablehandle.hppGlobally accessible relinkable pointer
ql/schedule.hppDate schedule
ql/solver1d.hppAbstract 1-D solver class
ql/stochasticprocess.hppStochastic processes
ql/swaptionvolstructure.hppSwaption volatility structure
ql/termstructure.hppTerm structure
ql/types.hppCustom types
ql/voltermstructure.hppVolatility term structures
ql/Calendars/beijing.hppBeijing calendar
ql/Calendars/budapest.hppBudapest calendar
ql/Calendars/copenhagen.hppCopenhagen calendar
ql/Calendars/frankfurt.hppFrankfurt calendar
ql/Calendars/germany.hppGerman calendars
ql/Calendars/helsinki.hppHelsinki calendar
ql/Calendars/hongkong.hppHong Kong calendar
ql/Calendars/italy.hppItalian calendars
ql/Calendars/johannesburg.hppJohannesburg calendar
ql/Calendars/jointcalendar.hppJoint calendar
ql/Calendars/london.hppLondon calendar
ql/Calendars/milan.hppMilan calendar
ql/Calendars/newyork.hppNew York calendar
ql/Calendars/nullcalendar.hppCalendar for reproducing theoretical calculations
ql/Calendars/oslo.hppOslo calendar
ql/Calendars/riyadh.hppRiyadh calendar
ql/Calendars/seoul.hppSouth Korea calendar
ql/Calendars/singapore.hppSingapore calendar
ql/Calendars/stockholm.hppStockholm calendar
ql/Calendars/sydney.hppSydney calendar
ql/Calendars/taiwan.hppTaiwan calendar
ql/Calendars/target.hppTARGET calendar
ql/Calendars/tokyo.hppTokyo calendar
ql/Calendars/toronto.hppToronto calendar
ql/Calendars/unitedkingdom.hppUK calendars
ql/Calendars/unitedstates.hppUS calendars
ql/Calendars/warsaw.hppWarsaw calendar
ql/Calendars/wellington.hppWellington calendar
ql/Calendars/zurich.hppZurich calendar
ql/CashFlows/basispointsensitivity.hppBasis point sensitivity calculator
ql/CashFlows/cashflowvectors.hppCash flow vector builders
ql/CashFlows/coupon.hppCoupon accruing over a fixed period
ql/CashFlows/fixedratecoupon.hppCoupon paying a fixed annual rate
ql/CashFlows/floatingratecoupon.hppCoupon at par on a term structure
ql/CashFlows/inarrearindexedcoupon.hppIn arrear indexed coupon
ql/CashFlows/indexcashflowvectors.hppIndex Cash flow vector builders
ql/CashFlows/indexedcoupon.hppIndexed coupon
ql/CashFlows/parcoupon.hppCoupon at par on a term structure
ql/CashFlows/shortfloatingcoupon.hppShort (or long) coupon at par on a term structure
ql/CashFlows/shortindexedcoupon.hppShort (or long) indexed coupon
ql/CashFlows/simplecashflow.hppPredetermined cash flow
ql/CashFlows/timebasket.hpp
ql/CashFlows/upfrontindexedcoupon.hppUp front indexed coupon
ql/DayCounters/actual360.hppAct/360 day counter
ql/DayCounters/actual365.hppAct/365 day counter
ql/DayCounters/actualactual.hppAct/act day counters
ql/DayCounters/simpledaycounter.hppSimple day counter for reproducing theoretical calculations
ql/DayCounters/thirty360.hpp30/360 day counters
ql/FiniteDifferences/americancondition.hppAmerican option exercise condition
ql/FiniteDifferences/boundarycondition.hppBoundary conditions for differential operators
ql/FiniteDifferences/bsmoperator.hppDifferential operator for Black-Scholes-Merton equation
ql/FiniteDifferences/cranknicolson.hppCrank-Nicolson scheme for finite difference methods
ql/FiniteDifferences/dminus.hpp$ D_{-} $ matricial representation
ql/FiniteDifferences/dplus.hpp$ D_{+} $ matricial representation
ql/FiniteDifferences/dplusdminus.hpp$ D_{+}D_{-} $ matricial representation
ql/FiniteDifferences/dzero.hpp$ D_{0} $ matricial representation
ql/FiniteDifferences/expliciteuler.hppExplicit Euler scheme for finite difference methods
ql/FiniteDifferences/fdtypedefs.hppDefault choices for template instantiations
ql/FiniteDifferences/finitedifferencemodel.hppGeneric finite difference model
ql/FiniteDifferences/impliciteuler.hppImplicit Euler scheme for finite difference methods
ql/FiniteDifferences/mixedscheme.hppMixed (explicit/implicit) scheme for finite difference methods
ql/FiniteDifferences/onefactoroperator.hppGeneral differential operator for one-factor interest rate models
ql/FiniteDifferences/shoutcondition.hppShout option exercise condition
ql/FiniteDifferences/stepcondition.hppConditions to be applied at every time step
ql/FiniteDifferences/tridiagonaloperator.hppTridiagonal operator
ql/FiniteDifferences/valueatcenter.hppCompute value, first, and second derivatives at grid center
ql/Indexes/audlibor.hppAUD Libor index (check settlement days)
ql/Indexes/cadlibor.hppCAD Libor index (Also known as CDOR)
ql/Indexes/chflibor.hppCHF Libor index (Also known as ZIBOR)
ql/Indexes/euribor.hppEuribor index
ql/Indexes/gbplibor.hppGBP Libor index
ql/Indexes/jpylibor.hppJPY Libor index (Also known as TIBOR, check settlement days)
ql/Indexes/usdlibor.hppUSD Libor index
ql/Indexes/xibor.hppBase class for libor indexes
ql/Indexes/xibormanager.hppGlobal repository for Xibor histories
ql/Indexes/zarlibor.hppZAR Libor index (also known as JIBAR)
ql/Instruments/asianoption.hppAsian option on a single asset
ql/Instruments/dividendvanillaoption.hppVanilla option on a single asset with discrete dividends
ql/Instruments/forwardvanillaoption.hppForward version of a vanilla option
ql/Instruments/multiassetoption.hppOption on multiple assets
ql/Instruments/oneassetoption.hppOption on a single asset
ql/Instruments/oneassetstrikedoption.hppOption on a single asset with striked payoff
ql/Instruments/payoffs.hppPayoffs for various options
ql/Instruments/quantoforwardvanillaoption.hppQuanto version of a forward vanilla option
ql/Instruments/quantovanillaoption.hppQuanto version of a vanilla option
ql/Instruments/simpleswap.hppSimple fixed-rate vs Libor swap
ql/Instruments/stock.hppConcrete stock class
ql/Instruments/vanillaoption.hppVanilla option on a single asset
ql/Lattices/binomialtree.hppBinomial tree class
ql/Lattices/bsmlattice.hppBinomial trees under the BSM model
ql/Lattices/lattice.hppLattice method class
ql/Lattices/lattice2d.hppTwo-dimensional lattice class
ql/Lattices/tree.hppTree class
ql/Lattices/trinomialtree.hppTrinomial tree class
ql/Math/array.hpp1-D array used in linear algebra
ql/Math/beta.hppBeta and beta incomplete functions
ql/Math/bicubicsplineinterpolation.hppBicubic spline interpolation between discrete points
ql/Math/bilinearinterpolation.hppBilinear interpolation between discrete points
ql/Math/binomialdistribution.hppBinomial distribution
ql/Math/bivariatenormaldistribution.hppBivariate cumulative normal distribution
ql/Math/chisquaredistribution.hppChi-square (central and non-central) distributions
ql/Math/choleskydecomposition.hppCholesky decomposition
ql/Math/comparison.hppFloating-point comparisons
ql/Math/cubicspline.hppCubic spline interpolation between discrete points
ql/Math/discrepancystatistics.hppStatistic tool for sequences with discrepancy calculation
ql/Math/errorfunction.hppError function
ql/Math/extrapolation.hppClass-wide extrapolation settings
ql/Math/functional.hppFunctionals and combinators not included in the STL
ql/Math/gammadistribution.hppGamma distribution
ql/Math/gaussianstatistics.hppStatistics tool for gaussian-assumption risk measures
ql/Math/generalstatistics.hppStatistics tool
ql/Math/incompletegamma.hppIncomplete Gamma function
ql/Math/incrementalstatistics.hppStatistics tool based on incremental accumulation
ql/Math/interpolation.hppBase class for 1-D interpolations
ql/Math/interpolation2D.hppAbstract base classes for 2-D interpolations
ql/Math/interpolationtraits.hppTraits classes for interpolation algorithms
ql/Math/kronrodintegral.hppIntegral of a 1-dimensional function using the Gauss-Kronrod method
ql/Math/lexicographicalview.hppLexicographical 2-D view of a contiguous set of data
ql/Math/linearinterpolation.hppLinear interpolation between discrete points
ql/Math/loglinearinterpolation.hppLog-linear interpolation between discrete points
ql/Math/matrix.hppMatrix used in linear algebra
ql/Math/normaldistribution.hppNormal, cumulative and inverse cumulative distributions
ql/Math/poissondistribution.hppPoisson distribution
ql/Math/primenumbers.hppPrime numbers calculator
ql/Math/pseudosqrt.hppPseudo square root of a real symmetric matrix
ql/Math/riskstatistics.hppEmpirical-distribution risk measures
ql/Math/segmentintegral.hppIntegral of a one-dimensional function
ql/Math/sequencestatistics.hppStatistics tools for sequence (vector, list, array) samples
ql/Math/simpsonintegral.hppIntegral of a one-dimensional function
ql/Math/statistics.hppStatistics tool with risk measures
ql/Math/svd.hppSingular value decomposition
ql/Math/symmetriceigenvalues.hppEigenvalues / eigenvectors of a real symmetric matrix
ql/Math/symmetricschurdecomposition.hppEigenvalues / eigenvectors of a real symmetric matrix
ql/Math/trapezoidintegral.hppIntegral of a one-dimensional function
ql/MonteCarlo/brownianbridge.hppBrowian bridge
ql/MonteCarlo/getcovariance.hppCovariance matrix calculation
ql/MonteCarlo/mctraits.hppMonte Carlo policies
ql/MonteCarlo/mctypedefs.hppDefault choices for template instantiations
ql/MonteCarlo/montecarlomodel.hppGeneral purpose Monte Carlo model
ql/MonteCarlo/multipath.hppCorrelated multiple asset paths
ql/MonteCarlo/multipathgenerator.hppGenerates a multi path from a random-array generator
ql/MonteCarlo/path.hppSingle factor random walk
ql/MonteCarlo/pathgenerator.hppGenerates random paths using a sequence generator
ql/MonteCarlo/pathpricer.hppBase class for single-path pricers
ql/MonteCarlo/sample.hppWeighted sample
ql/Optimization/armijo.hppArmijo line-search class
ql/Optimization/conjugategradient.hppConjugate gradient optimization method
ql/Optimization/constraint.hppAbstract constraint class
ql/Optimization/costfunction.hppOptimization cost function class
ql/Optimization/criteria.hppOptimization criteria class
ql/Optimization/leastsquare.hppLeast square cost function
ql/Optimization/linesearch.hppLine search abstract class
ql/Optimization/method.hppAbstract optimization method class
ql/Optimization/problem.hppAbstract optimization class
ql/Optimization/simplex.hppSimplex optimization method
ql/Optimization/steepestdescent.hppSteepest descent optimization method
ql/Patterns/bridge.hppBridge pattern (a.k.a. handle-body idiom)
ql/Patterns/composite.hppComposite pattern
ql/Patterns/curiouslyrecurring.hppCuriously recurring template pattern
ql/Patterns/lazyobject.hppFramework for calculation on demand and result caching
ql/Patterns/observable.hppObserver/observable pattern
ql/Patterns/visitor.hppDegenerate base class for the Acyclic Visitor pattern
ql/Pricers/cliquetoptionpricer.hppCliquet option
ql/Pricers/continuousgeometricapo.hppContinuous Geometric Average Price Option (European exercise)
ql/Pricers/discretegeometricapo.hppDiscrete Geometric Average Price Option
ql/Pricers/discretegeometricaso.hppDiscrete Geometric Average Strike Option
ql/Pricers/fdamericanoption.hppAmerican option
ql/Pricers/fdbermudanoption.hppFinite-difference evaluation of Bermudan option
ql/Pricers/fdbsmoption.hppCommon code for numerical option evaluation
ql/Pricers/fddividendamericanoption.hppAmerican option with discrete deterministic dividends
ql/Pricers/fddividendoption.hppBase class for option with dividends
ql/Pricers/fddividendshoutoption.hppBase class for shout option with dividends
ql/Pricers/fdeuropean.hppExample of European option calculated using finite differences
ql/Pricers/fdmultiperiodoption.hppBase class for option with events happening at different periods
ql/Pricers/fdshoutoption.hppShout option
ql/Pricers/fdstepconditionoption.hppOption requiring additional code to be executed at each time step
ql/Pricers/mcbasket.hppSimple example of multi-factor Monte Carlo pricer
ql/Pricers/mccliquetoption.hppCliquet option priced with Monte Carlo simulation
ql/Pricers/mcdiscretearithmeticapo.hppDiscrete Arithmetic Average Price Option
ql/Pricers/mcdiscretearithmeticaso.hppDiscrete Arithmetic Average Strike Option
ql/Pricers/mceverest.hppEverest-type option pricer
ql/Pricers/mchimalaya.hppHimalayan-type option pricer
ql/Pricers/mcmaxbasket.hppMax Basket Monte Carlo pricer
ql/Pricers/mcpagoda.hppRoofed multi asset Asian option
ql/Pricers/mcperformanceoption.hppPerformance option priced with Monte Carlo simulation
ql/Pricers/mcpricer.hppBase class for Monte Carlo pricers
ql/Pricers/performanceoption.hppPerformance option
ql/Pricers/singleassetoption.hppCommon code for option evaluation
ql/PricingEngines/americanpayoffatexpiry.hppAnalytical formulae for american exercise with payoff at expiry
ql/PricingEngines/americanpayoffathit.hppAnalytical formulae for american exercise with payoff at hit
ql/PricingEngines/blackformula.hppBlack formula
ql/PricingEngines/blackmodel.hppAbstract class for Black-type models (market models)
ql/PricingEngines/genericmodelengine.hppGeneric option engine based on a model
ql/PricingEngines/latticeshortratemodelengine.hppEngine for a short-rate model specialized on a lattice
ql/PricingEngines/mcsimulation.hppFramework for Monte Carlo engines
ql/PricingEngines/Asian/analyticcontinuousasianengine.hppAnalytic continuous-averaging Asian option engine
ql/PricingEngines/Asian/analyticdiscreteasianengine.hppAnalytic discrete-averaging Asian option engine
ql/PricingEngines/Barrier/analyticbarrierengine.hppAnalytic barrier option engines
ql/PricingEngines/Barrier/mcbarrierengine.hppMonte Carlo barrier option engines
ql/PricingEngines/Basket/mcamericanbasketengine.hppLeast-square Monte Carlo engines
ql/PricingEngines/Basket/mcbasketengine.hppEuropean Basket MC Engine
ql/PricingEngines/Basket/stulzengine.hpp2D European Basket formulae, due to Stulz (1982)
ql/PricingEngines/CapFloor/analyticcapfloorengine.hppAnalytic engine for caps/floors
ql/PricingEngines/CapFloor/blackcapfloorengine.hppBlack-formula cap/floor engine
ql/PricingEngines/CapFloor/discretizedcapfloor.hppDiscretized cap/floor
ql/PricingEngines/CapFloor/treecapfloorengine.hppNumerical lattice engine for cap/floors
ql/PricingEngines/Cliquet/analyticcliquetengine.hppAnalytic Cliquet engine
ql/PricingEngines/Cliquet/analyticperformanceengine.hppAnalytic performance engine
ql/PricingEngines/Cliquet/mccliquetengine.hppMonte Carlo Cliquet option engine
ql/PricingEngines/Forward/forwardengine.hppForward (strike-resetting) option engine
ql/PricingEngines/Forward/forwardperformanceengine.hppForward (strike-resetting) performance option engines
ql/PricingEngines/Quanto/quantoengine.hppQuanto option engine
ql/PricingEngines/Swaption/blackswaptionengine.hppBlack-formula swaption engine
ql/PricingEngines/Swaption/discretizedswaption.hppDiscretized swaption class
ql/PricingEngines/Swaption/jamshidianswaptionengine.hppSwaption engine using Jamshidian's decomposition
ql/PricingEngines/Swaption/treeswaptionengine.hppNumerical lattice engine for swaptions
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hppAnalytic digital American option engine
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hppAnalytic discrete-dividend European engine
ql/PricingEngines/Vanilla/analyticeuropeanengine.hppAnalytic European engine
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hppBarone-Adesi and Whaley approximation engine
ql/PricingEngines/Vanilla/binomialengine.hppBinomial option engine
ql/PricingEngines/Vanilla/bjerksundstenslandengine.hppBjerksund and Stensland approximation engine
ql/PricingEngines/Vanilla/discretizedvanillaoption.hppDiscretized vanilla option
ql/PricingEngines/Vanilla/integralengine.hppIntegral option engine
ql/PricingEngines/Vanilla/jumpdiffusionengine.hppJump diffusion (Merton 1976) engine
ql/PricingEngines/Vanilla/mcdigitalengine.hppDigital option Monte Carlo engine
ql/PricingEngines/Vanilla/mceuropeanengine.hppMonte Carlo European option engine
ql/PricingEngines/Vanilla/mcvanillaengine.hppMonte Carlo vanilla option engine
ql/RandomNumbers/boxmullergaussianrng.hppBox-Muller Gaussian random-number generator
ql/RandomNumbers/centrallimitgaussianrng.hppCentral limit Gaussian random-number generator
ql/RandomNumbers/haltonrsg.hppHalton low-discrepancy sequence generator
ql/RandomNumbers/inversecumgaussianrng.hppInverse cumulative Gaussian random-number generator
ql/RandomNumbers/inversecumgaussianrsg.hppInverse cumulative Gaussian random sequence generator
ql/RandomNumbers/knuthuniformrng.hppKnuth uniform random number generator
ql/RandomNumbers/lecuyeruniformrng.hppL'Ecuyer uniform random number generator
ql/RandomNumbers/mt19937uniformrng.hppMersenne Twister uniform random number generator
ql/RandomNumbers/randomsequencegenerator.hppRandom sequence generator based on a pseudo-random number generator
ql/RandomNumbers/rngtraits.hppRandom-number generation policies
ql/RandomNumbers/rngtypedefs.hppDefault choices for template instantiations
ql/RandomNumbers/sobolrsg.hppSobol low-discrepancy sequence generator
ql/ShortRateModels/calibrationhelper.hppCalibration helper class
ql/ShortRateModels/model.hppAbstract interest rate model class
ql/ShortRateModels/onefactormodel.hppAbstract one-factor interest rate model class
ql/ShortRateModels/parameter.hppModel parameter classes
ql/ShortRateModels/twofactormodel.hppAbstract two-factor interest rate model class
ql/ShortRateModels/CalibrationHelpers/caphelper.hppCapHelper calibration helper
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hppSwaption calibration helper
ql/ShortRateModels/OneFactorModels/blackkarasinski.hppBlack-Karasinski model
ql/ShortRateModels/OneFactorModels/coxingersollross.hppCox-Ingersoll-Ross model
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hppExtended Cox-Ingersoll-Ross model
ql/ShortRateModels/OneFactorModels/hullwhite.hppHull & White (HW) model
ql/ShortRateModels/OneFactorModels/vasicek.hppVasicek model class
ql/ShortRateModels/TwoFactorModels/g2.hppSwaption pricing engine for two-factor additive Gaussian Model G2++
ql/Solvers1D/bisection.hppBisection 1-D solver
ql/Solvers1D/brent.hppBrent 1-D solver
ql/Solvers1D/falseposition.hppFalse-position 1-D solver
ql/Solvers1D/newton.hppNewton 1-D solver
ql/Solvers1D/newtonsafe.hppSafe (bracketed) Newton 1-D solver
ql/Solvers1D/ridder.hppRidder 1-D solver
ql/Solvers1D/secant.hppSecant 1-D solver
ql/TermStructures/affinetermstructure.hppAffine term structure
ql/TermStructures/discountcurve.hppPre-bootstrapped discount factor structure
ql/TermStructures/drifttermstructure.hppDrift term structure
ql/TermStructures/extendeddiscountcurve.hppDiscount factor structure with detailed compound-forward calculation
ql/TermStructures/flatforward.hppFlat forward rate term structure
ql/TermStructures/forwardspreadedtermstructure.hppForward spreaded term structure
ql/TermStructures/impliedtermstructure.hppImplied term structure
ql/TermStructures/quantotermstructure.hppQuanto term structure
ql/TermStructures/ratehelpers.hppRate helpers base class
ql/TermStructures/zerocurve.hppPre-bootstrapped zero curve structure
ql/TermStructures/zerospreadedtermstructure.hppZero spreaded term structure
ql/Utilities/combiningiterator.hppIterator mapping a function to a set of underlying sequences
ql/Utilities/couplingiterator.hppIterator mapping a function to a pair of underlying sequences
ql/Utilities/filteringiterator.hppIterator filtering undesired data
ql/Utilities/iteratorcategories.hppLowest common denominator between two iterator categories
ql/Utilities/processingiterator.hppIterator mapping a unary function to an underlying sequence
ql/Utilities/steppingiterator.hppIterator advancing in constant steps
ql/Volatilities/blackconstantvol.hppBlack constant volatility, no time dependence, no strike dependence
ql/Volatilities/blackvariancecurve.hppBlack volatility curve modelled as variance curve
ql/Volatilities/blackvariancesurface.hppBlack volatility surface modelled as variance surface
ql/Volatilities/capflatvolvector.hppCap/floor at-the-money flat volatility vector
ql/Volatilities/impliedvoltermstructure.hppImplied Black Vol Term Structure
ql/Volatilities/localconstantvol.hppLocal constant volatility, no time dependence, no asset dependence
ql/Volatilities/localvolcurve.hppLocal volatility curve derived from a Black curve
ql/Volatilities/localvolsurface.hppLocal volatility surface derived from a Black vol surface
ql/Volatilities/swaptionvolmatrix.hppSwaption at-the-money volatility matrix

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