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QuantLib: a free/open-source library for quantitative finance
Reference manual - version 1.41
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Namespaces | |
| namespace | detail |
| namespace | ExponentialIntegral |
Classes | |
| class | CashFlow |
| Base class for cash flows. More... | |
| class | AverageBMACoupon |
| Average BMA coupon. More... | |
| class | AverageBMALeg |
| helper class building a sequence of average BMA coupons More... | |
| class | BlackCompoundingOvernightIndexedCouponPricer |
| Black compounded overnight coupon pricer. More... | |
| class | BlackAveragingOvernightIndexedCouponPricer |
| Black averaged overnight coupon pricer. More... | |
| class | CappedFlooredCoupon |
| Capped and/or floored floating-rate coupon. More... | |
| class | CappedFlooredYoYInflationCoupon |
| Capped or floored inflation coupon. More... | |
| class | CashFlows |
| cashflow-analysis functions More... | |
| class | CmsCoupon |
| CMS coupon class. More... | |
| class | CmsLeg |
| helper class building a sequence of capped/floored cms-rate coupons More... | |
| class | HaganPricer |
| CMS-coupon pricer. More... | |
| class | NumericHaganPricer |
| CMS-coupon pricer. More... | |
| class | AnalyticHaganPricer |
| CMS-coupon pricer. More... | |
| class | Coupon |
| coupon accruing over a fixed period More... | |
| class | FloatingRateCouponPricer |
| generic pricer for floating-rate coupons More... | |
| class | IborCouponPricer |
| base pricer for capped/floored Ibor coupons More... | |
| class | BlackIborCouponPricer |
| class | CmsCouponPricer |
| base pricer for vanilla CMS coupons More... | |
| class | MeanRevertingPricer |
| class | CPICoupon |
| Coupon paying the performance of a CPI (zero inflation) index More... | |
| class | CPICashFlow |
| Cash flow paying the performance of a CPI (zero inflation) index. More... | |
| class | CPILeg |
| Helper class building a sequence of capped/floored CPI coupons. More... | |
| class | CPICouponPricer |
| base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO More... | |
| class | DigitalCmsCoupon |
| Cms-rate coupon with digital digital call/put option. More... | |
| class | DigitalCmsLeg |
| helper class building a sequence of digital ibor-rate coupons More... | |
| class | DigitalCoupon |
| Digital-payoff coupon. More... | |
| class | DigitalIborCoupon |
| Ibor rate coupon with digital digital call/put option. More... | |
| class | DigitalIborLeg |
| helper class building a sequence of digital ibor-rate coupons More... | |
| class | Dividend |
| Predetermined cash flow. More... | |
| class | FixedDividend |
| Predetermined cash flow. More... | |
| class | FractionalDividend |
| Predetermined cash flow. More... | |
| struct | Duration |
| duration type More... | |
| class | FixedRateCoupon |
| Coupon paying a fixed interest rate More... | |
| class | FixedRateLeg |
| helper class building a sequence of fixed rate coupons More... | |
| class | FloatingRateCoupon |
| base floating-rate coupon class More... | |
| class | IborCoupon |
| Coupon paying a Libor-type index More... | |
| class | IborLeg |
| helper class building a sequence of capped/floored ibor-rate coupons More... | |
| class | IndexedCashFlow |
| Cash flow dependent on an index ratio. More... | |
| class | InflationCoupon |
| Base inflation-coupon class. More... | |
| class | InflationCouponPricer |
| Base inflation-coupon pricer. More... | |
| class | YoYInflationCouponPricer |
| base pricer for capped/floored YoY inflation coupons More... | |
| class | BlackYoYInflationCouponPricer |
| Black-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | UnitDisplacedBlackYoYInflationCouponPricer |
| Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | BachelierYoYInflationCouponPricer |
| Bachelier-formula pricer for capped/floored yoy inflation coupons. More... | |
| class | LinearTsrPricer |
| CMS-coupon pricer. More... | |
| class | MultipleResetsCoupon |
| multiple-reset coupon More... | |
| class | MultipleResetsLeg |
| helper class building a sequence of multiple-reset coupons More... | |
| class | SubPeriodsLeg |
| class | OvernightIndexedCoupon |
| overnight coupon More... | |
| class | CappedFlooredOvernightIndexedCoupon |
| capped floored overnight indexed coupon More... | |
| class | OvernightLeg |
| helper class building a sequence of overnight coupons More... | |
| class | OvernightIndexedCouponPricer |
| Base pricer for overnight-indexed floating coupons. More... | |
| class | CompoundingOvernightIndexedCouponPricer |
| Base pricer for compounded overnight-indexed floating coupons. More... | |
| class | ArithmeticAveragedOvernightIndexedCouponPricer |
| Base pricer for arithmetically averaged overnight-indexed floating coupons. More... | |
| class | RangeAccrualLeg |
| helper class building a sequence of range-accrual floating-rate coupons More... | |
| struct | RateAveraging |
| rate averaging method More... | |
| struct | Replication |
| Digital option replication strategy. More... | |
| class | SimpleCashFlow |
| Predetermined cash flow. More... | |
| class | Redemption |
| Bond redemption. More... | |
| class | AmortizingPayment |
| Amortizing payment. More... | |
| class | TimeBasket |
| Distribution over a number of dates. More... | |
| class | YoYInflationCoupon |
| Coupon paying a YoY-inflation type index More... | |
| class | yoyInflationLeg |
| Helper class building a sequence of capped/floored yoy inflation coupons. More... | |
| class | ZeroInflationCashFlow |
| Cash flow dependent on a zero inflation index ratio. More... | |
| class | AOACurrency |
| class | BWPCurrency |
| class | EGPCurrency |
| Egyptian pound. More... | |
| class | ETBCurrency |
| class | GHSCurrency |
| Ghanaian cedi. More... | |
| class | KESCurrency |
| Kenyan shilling. More... | |
| class | MADCurrency |
| Moroccan dirham. More... | |
| class | MURCurrency |
| Mauritian rupee. More... | |
| class | NGNCurrency |
| Nigerian Naira. More... | |
| class | TNDCurrency |
| Tunisian dinar. More... | |
| class | UGXCurrency |
| Ugandan shilling. More... | |
| class | XOFCurrency |
| class | ZARCurrency |
| South-African rand. More... | |
| class | ZMWCurrency |
| Zambian kwacha. More... | |
| class | ARSCurrency |
| Argentinian peso. More... | |
| class | BRLCurrency |
| Brazilian real. More... | |
| class | CADCurrency |
| Canadian dollar. More... | |
| class | CLPCurrency |
| Chilean peso. More... | |
| class | COPCurrency |
| Colombian peso. More... | |
| class | MXNCurrency |
| Mexican peso. More... | |
| class | PENCurrency |
| Peruvian nuevo sol. More... | |
| class | PEICurrency |
| Peruvian inti. More... | |
| class | PEHCurrency |
| Peruvian sol. More... | |
| class | TTDCurrency |
| Trinidad & Tobago dollar. More... | |
| class | USDCurrency |
| U.S. dollar. More... | |
| class | VEBCurrency |
| Venezuelan bolivar. More... | |
| class | MXVCurrency |
| Mexican Unidad de Inversion. More... | |
| class | COUCurrency |
| Unidad de Valor Real. More... | |
| class | CLFCurrency |
| Unidad de Fomento (funds code). More... | |
| class | UYUCurrency |
| Uruguayan peso. More... | |
| class | BDTCurrency |
| Bangladesh taka. More... | |
| class | CNYCurrency |
| Chinese yuan. More... | |
| class | HKDCurrency |
| Hong Kong dollar. More... | |
| class | IDRCurrency |
| Indonesian Rupiah. More... | |
| class | ILSCurrency |
| Israeli shekel. More... | |
| class | INRCurrency |
| Indian rupee. More... | |
| class | IQDCurrency |
| Iraqi dinar. More... | |
| class | IRRCurrency |
| Iranian rial. More... | |
| class | JPYCurrency |
| Japanese yen. More... | |
| class | KRWCurrency |
| South-Korean won. More... | |
| class | KWDCurrency |
| Kuwaiti dinar. More... | |
| class | MYRCurrency |
| Malaysian Ringgit. More... | |
| class | NPRCurrency |
| Nepal rupee. More... | |
| class | PKRCurrency |
| Pakistani rupee. More... | |
| class | SARCurrency |
| Saudi riyal. More... | |
| class | SGDCurrency |
| Singapore dollar More... | |
| class | THBCurrency |
| Thai baht. More... | |
| class | TWDCurrency |
| Taiwan dollar More... | |
| class | VNDCurrency |
| Vietnamese Dong. More... | |
| class | QARCurrency |
| Qatari riyal. More... | |
| class | BHDCurrency |
| Bahraini dinar. More... | |
| class | OMRCurrency |
| Omani rial. More... | |
| class | JODCurrency |
| Jordanian dinar. More... | |
| class | AEDCurrency |
| United Arab Emirates dirham. More... | |
| class | PHPCurrency |
| Philippine peso. More... | |
| class | CNHCurrency |
| Chinese yuan (Hong Kong). More... | |
| class | LKRCurrency |
| Sri Lankan rupee. More... | |
| class | BTCCurrency |
| Bitcoin. More... | |
| class | ETHCurrency |
| Ethereum. More... | |
| class | ETCCurrency |
| Ethereum Classic. More... | |
| class | BCHCurrency |
| Bitcoin Cash. More... | |
| class | XRPCurrency |
| Ripple. More... | |
| class | LTCCurrency |
| Litecoin. More... | |
| class | DASHCurrency |
| Dash coin. More... | |
| class | ZECCurrency |
| Zcash. More... | |
| class | BGLCurrency |
| Bulgarian lev. More... | |
| class | BGNCurrency |
| Bulgarian lev. More... | |
| class | BYRCurrency |
| Belarussian ruble. More... | |
| class | CHFCurrency |
| Swiss franc. More... | |
| class | CZKCurrency |
| Czech koruna. More... | |
| class | DKKCurrency |
| Danish krone. More... | |
| class | EEKCurrency |
| Estonian kroon. More... | |
| class | EURCurrency |
| European Euro. More... | |
| class | GBPCurrency |
| British pound sterling. More... | |
| class | GELCurrency |
| Georgian lari. More... | |
| class | HUFCurrency |
| Hungarian forint. More... | |
| class | ISKCurrency |
| Icelandic krona. More... | |
| class | LTLCurrency |
| Lithuanian litas. More... | |
| class | LVLCurrency |
| Latvian lat. More... | |
| class | NOKCurrency |
| Norwegian krone. More... | |
| class | PLNCurrency |
| Polish zloty. More... | |
| class | ROLCurrency |
| Romanian leu. More... | |
| class | RONCurrency |
| Romanian new leu. More... | |
| class | RSDCurrency |
| Serbian dinar. More... | |
| class | RUBCurrency |
| Russian ruble. More... | |
| class | SEKCurrency |
| Swedish krona. More... | |
| class | SITCurrency |
| Slovenian tolar. More... | |
| class | TRLCurrency |
| Turkish lira. More... | |
| class | TRYCurrency |
| New Turkish lira. More... | |
| class | UAHCurrency |
| Ukrainian hryvnia. More... | |
| class | ATSCurrency |
| Austrian shilling. More... | |
| class | BEFCurrency |
| Belgian franc. More... | |
| class | CYPCurrency |
| Cyprus pound. More... | |
| class | DEMCurrency |
| Deutsche mark. More... | |
| class | ESPCurrency |
| Spanish peseta. More... | |
| class | FIMCurrency |
| Finnish markka. More... | |
| class | FRFCurrency |
| French franc. More... | |
| class | GRDCurrency |
| Greek drachma. More... | |
| class | HRKCurrency |
| Croatian kuna. More... | |
| class | IEPCurrency |
| Irish punt. More... | |
| class | ITLCurrency |
| Italian lira. More... | |
| class | LUFCurrency |
| Luxembourg franc. More... | |
| class | MTLCurrency |
| Maltese lira. More... | |
| class | NLGCurrency |
| Dutch guilder. More... | |
| class | PTECurrency |
| Portuguese escudo. More... | |
| class | SKKCurrency |
| Slovak koruna. More... | |
| class | ExchangeRateManager |
| exchange-rate repository More... | |
| class | AUDCurrency |
| Australian dollar. More... | |
| class | NZDCurrency |
| New Zealand dollar. More... | |
| class | Currency |
| Currency specification More... | |
| struct | Protection |
| information on a default-protection contract More... | |
| class | DiscretizedAsset |
| Discretized asset class used by numerical methods. More... | |
| class | DiscretizedDiscountBond |
| Useful discretized discount bond asset. More... | |
| class | DiscretizedOption |
| Discretized option on a given asset. More... | |
| class | Error |
| Base error class. More... | |
| class | Event |
| Base class for event. More... | |
| class | ExchangeRate |
| exchange rate between two currencies More... | |
| class | Exercise |
| Base exercise class. More... | |
| class | EarlyExercise |
| Early-exercise base class. More... | |
| class | AmericanExercise |
| American exercise. More... | |
| class | BermudanExercise |
| Bermudan exercise. More... | |
| class | EuropeanExercise |
| European exercise. More... | |
| class | AnalyticContinuousGeometricAveragePriceAsianHestonEngine |
| Pricing engine for European continuous geometric average price Asian. More... | |
| class | AnalyticDiscreteGeometricAveragePriceAsianHestonEngine |
| Pricing engine for European discrete geometric average price Asian. More... | |
| class | BinomialDoubleBarrierEngine |
| Pricing engine for double barrier options using binomial trees. More... | |
| class | DiscretizedDoubleBarrierOption |
| Standard discretized option helper class. More... | |
| class | DiscretizedDermanKaniDoubleBarrierOption |
| Derman-Kani-Ergener-Bardhan discretized option helper class. More... | |
| class | MakeMCDoubleBarrierEngine |
| Monte Carlo double-barrier-option engine factory. More... | |
| class | PerturbativeBarrierOptionEngine |
| perturbative barrier-option engine More... | |
| class | QuantoDoubleBarrierOption |
| Quanto version of a double barrier option. More... | |
| class | SuoWangDoubleBarrierEngine |
| Pricing engine for barrier options using analytical formulae. More... | |
| class | VannaVolgaBarrierEngine |
| Vanna/Volga barrier option engine. More... | |
| class | VannaVolgaDoubleBarrierEngine |
| Vanna Volga double-barrier option engine. More... | |
| class | VannaVolgaInterpolation |
| Vanna Volga interpolation between discrete points More... | |
| class | VannaVolga |
| VannaVolga-interpolation factory and traits More... | |
| class | BlackCallableFixedRateBondEngine |
| Black-formula callable fixed rate bond engine. More... | |
| class | BlackCallableZeroCouponBondEngine |
| Black-formula callable zero coupon bond engine. More... | |
| class | CallableBond |
| Callable bond base class. More... | |
| class | CallableFixedRateBond |
| callable/puttable fixed rate bond More... | |
| class | CallableZeroCouponBond |
| callable/puttable zero coupon bond More... | |
| class | CallableBondConstantVolatility |
| Constant callable-bond volatility, no time-strike dependence. More... | |
| class | CallableBondVolatilityStructure |
| Callable-bond volatility structure. More... | |
| class | TreeCallableFixedRateBondEngine |
| Numerical lattice engine for callable fixed rate bonds. More... | |
| class | TreeCallableZeroCouponBondEngine |
| Numerical lattice engine for callable zero coupon bonds. More... | |
| class | FloatingCatBond |
| floating-rate cat bond (possibly capped and/or floored) More... | |
| class | Commodity |
| Commodity base class. More... | |
| class | CommodityCurve |
| Commodity term structure. More... | |
| class | CommodityIndex |
| base class for commodity indexes More... | |
| class | CommodityPricingHelper |
| commodity index helper More... | |
| class | CommoditySettings |
| global repository for run-time library settings More... | |
| class | CommodityType |
| commodity type More... | |
| class | DateInterval |
| Date interval described by a number of a given time unit. More... | |
| class | EnergyBasisSwap |
| Energy basis swap. More... | |
| class | EnergyCommodity |
| Energy commodity class. More... | |
| class | EnergyFuture |
| Energy future. More... | |
| class | EnergyVanillaSwap |
| Vanilla energy swap. More... | |
| class | PricingPeriod |
| Time pricingperiod described by a number of a given time unit. More... | |
| class | Quantity |
| Amount of a commodity. More... | |
| class | UnitOfMeasure |
| Unit of measure specification More... | |
| class | UnitOfMeasureConversionManager |
| repository of conversion factors between units of measure More... | |
| class | CmsSpreadCoupon |
| CMS spread coupon class. More... | |
| class | CmsSpreadLeg |
| helper class building a sequence of capped/floored cms-spread-rate coupons More... | |
| class | CmsSpreadCouponPricer |
| base pricer for vanilla CMS spread coupons More... | |
| class | DigitalCmsSpreadCoupon |
| Cms-spread-rate coupon with digital digital call/put option. More... | |
| class | DigitalCmsSpreadLeg |
| helper class building a sequence of digital ibor-rate coupons More... | |
| class | LognormalCmsSpreadPricer |
| CMS spread - coupon pricer. More... | |
| class | ProxyIbor |
| IborIndex calculated as proxy of some other IborIndex. More... | |
| class | SwapSpreadIndex |
| class for swap-rate spread indexes More... | |
| class | BaseCorrelationLossModel |
| class | BaseCorrelationTermStructure |
| class | Basket |
| class | BinomialLossModel |
| class | BlackCdsOptionEngine |
| Black-formula CDS-option engine. More... | |
| class | CDO |
| collateralized debt obligation More... | |
| class | CdsOption |
| CDS option. More... | |
| class | ConstantLossLatentmodel |
| class | ConstantLossModel |
| class | CorrelationTermStructure |
| class | DefaultEvent |
| Credit event on a bond of a certain seniority(ies)/currency. More... | |
| class | DefaultLossModel |
| class | DefaultProbKey |
| class | NorthAmericaCorpDefaultKey |
| ISDA standard default contractual key for corporate US debt. More... | |
| class | DefaultLatentModel |
| Default event Latent Model. More... | |
| struct | AtomicDefault |
| Atomic (single contractual event) default events. More... | |
| struct | Restructuring |
| Restructuring type. More... | |
| class | DefaultType |
| Atomic credit-event type. More... | |
| class | FailureToPay |
| Failure to Pay atomic event type. More... | |
| class | FactorSpreadedHazardRateCurve |
| Default-probability structure with a multiplicative spread on hazard rates. More... | |
| class | GaussianLHPLossModel |
| class | HomogeneousPoolLossModel |
| Default loss distribution convolution for finite homogeneous pool. More... | |
| class | InhomogeneousPoolLossModel |
| Default loss distribution convolution for finite non homogeneous pool. More... | |
| class | InterpolatedAffineHazardRateCurve |
| struct | AffineHazardRate |
| class | LossDist |
| Probability formulas and algorithms. More... | |
| class | ProbabilityOfNEvents |
| Probability of N events. More... | |
| class | ProbabilityOfAtLeastNEvents |
| Probability of at least N events. More... | |
| class | BinomialProbabilityOfAtLeastNEvents |
| Probability of at least N events. More... | |
| class | LossDistBinomial |
| Binomial loss distribution. More... | |
| class | LossDistHomogeneous |
| Loss Distribution for Homogeneous Pool. More... | |
| class | LossDistBucketing |
| Loss distribution with Hull-White bucketing. More... | |
| class | LossDistMonteCarlo |
| Loss distribution with Monte Carlo simulation. More... | |
| class | MidPointCDOEngine |
| CDO base engine taking schedule steps. More... | |
| class | NthToDefault |
| N-th to default swap. More... | |
| class | OneFactorAffineSurvivalStructure |
| class | OneFactorCopula |
| Abstract base class for one-factor copula models. More... | |
| class | OneFactorGaussianCopula |
| One-factor Gaussian Copula. More... | |
| class | OneFactorStudentCopula |
| One-factor Double Student t-Copula. More... | |
| class | OneFactorGaussianStudentCopula |
| One-factor Gaussian-Student t-Copula. More... | |
| class | OneFactorStudentGaussianCopula |
| One-factor Student t - Gaussian Copula. More... | |
| struct | simEvent |
| class | RandomLM |
| class | RandomDefaultLM |
| class | RandomDefaultModel |
| Base class for random default models. More... | |
| class | GaussianRandomDefaultModel |
| class | RandomLossLM |
| class | RecoveryRateModel |
| class | ConstantRecoveryModel |
| class | RecoveryRateQuote |
| Stores a recovery rate market quote and the associated seniority. More... | |
| class | RecursiveLossModel |
| class | RiskyAssetSwap |
| Risky asset-swap instrument. More... | |
| class | RiskyAssetSwapOption |
| Option on risky asset swap More... | |
| class | SaddlePointLossModel |
| Saddle point portfolio credit default loss model. More... | |
| class | SpotRecoveryLatentModel |
| Random spot recovery rate latent variable portfolio model. More... | |
| class | SpreadedHazardRateCurve |
| Default-probability structure with an additive spread on hazard rates. More... | |
| class | SyntheticCDO |
| Synthetic Collateralized Debt Obligation. More... | |
| class | ContinuousArithmeticAsianVecerEngine |
| Vecer engine for continuous-avaeraging Asian options. More... | |
| class | HimalayaOption |
| Himalaya option. More... | |
| class | KirkSpreadOptionEngine |
| class | MakeMCEverestEngine |
| Monte Carlo Everest-option engine factory. More... | |
| class | MakeMCHimalayaEngine |
| Monte Carlo Himalaya-option engine factory. More... | |
| class | MCPagodaEngine |
| Pricing engine for pagoda options using Monte Carlo simulation. More... | |
| class | MakeMCPagodaEngine |
| Monte Carlo pagoda-option engine factory. More... | |
| class | PagodaOption |
| Roofed Asian option on a number of assets. More... | |
| class | SpreadOption |
| class | FdmExtOUJumpOp |
| class | FdmKlugeExtOUOp |
| class | AnalyticHestonForwardEuropeanEngine |
| Analytic Heston engine incl. stochastic interest rates. More... | |
| class | InterpolatingCPICapFloorEngine |
| Engine for CPI cap/floors based on a price surface. More... | |
| class | CPICapFloorTermPriceSurface |
| Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More... | |
| class | GenericRegion |
| Generic geographical/economic region. More... | |
| class | GenericCPI |
| Generic CPI index. More... | |
| class | YYGenericCPI |
| Quoted year-on-year Generic CPI (i.e. not a ratio). More... | |
| class | InterpolatedYoYOptionletStripper |
| class | KInterpolatedYoYOptionletVolatilitySurface |
| K-interpolated YoY optionlet volatility. More... | |
| class | YoYInflationVolatilityTraits |
| traits for inflation-volatility bootstrap More... | |
| class | PiecewiseYoYOptionletVolatilityCurve |
| Piecewise year-on-year inflation volatility term structure. More... | |
| class | Polynomial2DSpline |
| polynomial2D-spline interpolation between discrete points More... | |
| class | Polynomial |
| polynomial2D-spline-interpolation factory More... | |
| class | YoYCapFloorTermPriceSurface |
| Abstract base class, inheriting from InflationTermStructure. More... | |
| class | InterpolatedYoYOptionletVolatilityCurve |
| Interpolated flat smile surface. More... | |
| class | YoYOptionletHelper |
| Year-on-year inflation-volatility bootstrap helper. More... | |
| class | YoYOptionletStripper |
| Interface for inflation cap stripping, i.e. from price surfaces. More... | |
| class | ExtendedBinomialTree |
| Binomial tree base class. More... | |
| class | ExtendedEqualProbabilitiesBinomialTree |
| Base class for equal probabilities binomial tree. More... | |
| class | ExtendedEqualJumpsBinomialTree |
| Base class for equal jumps binomial tree. More... | |
| class | ExtendedJarrowRudd |
| Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More... | |
| class | ExtendedCoxRossRubinstein |
| Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More... | |
| class | ExtendedAdditiveEQPBinomialTree |
| Additive equal probabilities binomial tree. More... | |
| class | ExtendedTrigeorgis |
| Trigeorgis (additive equal jumps) binomial tree More... | |
| class | ExtendedTian |
| Tian tree: third moment matching, multiplicative approach More... | |
| class | ExtendedLeisenReimer |
| Leisen & Reimer tree: multiplicative approach. More... | |
| class | ClaytonCopulaRng |
| Clayton copula random-number generator. More... | |
| class | CumulativeBehrensFisher |
| Cumulative (generalized) BehrensFisher distribution. More... | |
| class | InverseCumulativeBehrensFisher |
| Inverse of the cumulative of the convolution of odd-T distributions. More... | |
| class | FarlieGumbelMorgensternCopulaRng |
| Farlie-Gumbel-Morgenstern copula random-number generator. More... | |
| class | FireflyAlgorithm |
| class | ExponentialIntensity |
| Exponential Intensity. More... | |
| class | InverseLawSquareIntensity |
| Inverse Square Intensity. More... | |
| class | DistributionRandomWalk |
| Distribution Walk. More... | |
| class | GaussianWalk |
| Gaussian Walk. More... | |
| class | LevyFlightWalk |
| Levy Flight Random Walk. More... | |
| class | DecreasingGaussianWalk |
| Decreasing Random Walk. More... | |
| class | FrankCopulaRng |
| Frank copula random-number generator. More... | |
| struct | GaussianCopulaPolicy |
| class | HybridSimulatedAnnealing |
| class | SamplerLogNormal |
| Lognormal Sampler. More... | |
| class | SamplerGaussian |
| Gaussian Sampler. More... | |
| class | SamplerRingGaussian |
| Gaussian Ring Sampler. More... | |
| class | SamplerMirrorGaussian |
| Gaussian Mirror Sampler. More... | |
| class | SamplerCauchy |
| Cauchy Sampler. More... | |
| class | SamplerVeryFastAnnealing |
| Very Fast Annealing Sampler. More... | |
| struct | ProbabilityAlwaysDownhill |
| Always Downhill Probability. More... | |
| class | ProbabilityBoltzmann |
| Boltzmann Probability. More... | |
| class | ProbabilityBoltzmannDownhill |
| Boltzmann Downhill Probability. More... | |
| class | TemperatureBoltzmann |
| Temperature Boltzmann. More... | |
| class | TemperatureCauchy |
| Temperature Cauchy. More... | |
| class | TemperatureVeryFastAnnealing |
| Temperature Very Fast Annealing. More... | |
| struct | ReannealingTrivial |
| Reannealing Trivial. More... | |
| class | ReannealingFiniteDifferences |
| Reannealing Finite Difference. More... | |
| class | IsotropicRandomWalk |
| Isotropic random walk. More... | |
| class | LaplaceInterpolation |
| class | LatentModel |
| Generic multifactor latent variable model. More... | |
| class | LevyFlightDistribution |
| Levy Flight distribution. More... | |
| class | MultidimIntegral |
| Integrates a vector or scalar function of vector domain. More... | |
| class | GaussianQuadMultidimIntegrator |
| Integrates a vector or scalar function of vector domain. More... | |
| class | ParticleSwarmOptimization |
| class | TrivialInertia |
| Trivial Inertia. More... | |
| class | SimpleRandomInertia |
| Simple Random Inertia. More... | |
| class | DecreasingInertia |
| Decreasing Inertia. More... | |
| class | AdaptiveInertia |
| AdaptiveInertia. More... | |
| class | LevyFlightInertia |
| Levy Flight Inertia. More... | |
| class | GlobalTopology |
| Global Topology. More... | |
| class | KNeighbors |
| K-Neighbor Topology. More... | |
| class | ClubsTopology |
| Clubs Topology. More... | |
| class | PolarStudentTRng |
| Student t random number generator. More... | |
| class | TCopulaPolicy |
| Student-T Latent Model's copula policy. More... | |
| class | ZigguratRng |
| Ziggurat random-number generator. More... | |
| class | LongstaffSchwartzMultiPathPricer |
| Longstaff-Schwarz path pricer for early exercise options. More... | |
| class | MCAmericanPathEngine |
| least-square Monte Carlo engine More... | |
| class | MakeMCAmericanPathEngine |
| Monte Carlo American basket-option engine factory. More... | |
| class | MCLongstaffSchwartzPathEngine |
| Longstaff-Schwarz Monte Carlo engine for early exercise options. More... | |
| class | MCPathBasketEngine |
| Pricing engine for path dependent basket options using. More... | |
| class | MakeMCPathBasketEngine |
| Monte Carlo Path Basket engine factory. More... | |
| class | PathMultiAssetOption |
| Base class for path-dependent options on multiple assets. More... | |
| class | PathPayoff |
| Abstract base class for path-dependent option payoffs. More... | |
| class | ExtendedBlackScholesMertonProcess |
| experimental Black-Scholes-Merton stochastic process More... | |
| class | ExtendedOrnsteinUhlenbeckProcess |
| Extended Ornstein-Uhlenbeck process class. More... | |
| class | ExtOUWithJumpsProcess |
| class | GemanRoncoroniProcess |
| Geman-Roncoroni process class. More... | |
| class | KlugeExtOUProcess |
| class | VegaStressedBlackScholesProcess |
| Black-Scholes process which supports local vega stress tests. More... | |
| class | InterpolationParameter |
| Parameter that holds an interpolation object. More... | |
| class | GeneralizedHullWhite |
| Generalized Hull-White model class. More... | |
| class | LinearFlatInterpolation |
| Linear interpolation between discrete points with flat extapolation More... | |
| class | LinearFlat |
| Linear-interpolation with flat-extrapolation factory and traits More... | |
| class | GeneralizedOrnsteinUhlenbeckProcess |
| Piecewise linear Ornstein-Uhlenbeck process class. More... | |
| class | HaganIrregularSwaptionEngine |
| Pricing engine for irregular swaptions. More... | |
| class | IrregularSwap |
| Irregular swap: fixed vs floating leg. More... | |
| struct | IrregularSettlement |
| settlement information More... | |
| class | IrregularSwaption |
| Irregular Swaption class. More... | |
| class | IborIborBasisSwapRateHelper |
| Rate helper for bootstrapping over ibor-ibor basis swaps. More... | |
| class | OvernightIborBasisSwapRateHelper |
| Rate helper for bootstrapping over overnight-ibor basis swaps. More... | |
| class | CrossCurrencyBasisSwapRateHelperBase |
| Base class for cross-currency basis swap rate helpers. More... | |
| class | ConstNotionalCrossCurrencyBasisSwapRateHelper |
| Rate helper for bootstrapping over constant-notional cross-currency basis swaps. More... | |
| class | MtMCrossCurrencyBasisSwapRateHelper |
| Rate helper for bootstrapping over market-to-market cross-currency basis swaps. More... | |
| class | ConstNotionalCrossCurrencySwapRateHelper |
| Rate helper for bootstrapping fixed–vs-floating cross-currency par swaps. More... | |
| class | VarianceGammaEngine |
| Variance Gamma Pricing engine for European vanilla options using integral approach. More... | |
| class | FFTEngine |
| Base class for FFT pricing engines for European vanilla options. More... | |
| class | FFTVanillaEngine |
| FFT Pricing engine vanilla options under a Black Scholes process. More... | |
| class | FFTVarianceGammaEngine |
| FFT engine for vanilla options under a Variance Gamma process. More... | |
| class | VarianceGammaModel |
| Variance Gamma model. More... | |
| class | VarianceGammaProcess |
| Variance gamma process. More... | |
| class | IntegralHestonVarianceOptionEngine |
| integral Heston-model variance-option engine More... | |
| class | VarianceOption |
| Variance option. More... | |
| class | AbcdAtmVolCurve |
| Abcd-interpolated at-the-money (no-smile) volatility curve. More... | |
| class | BlackAtmVolCurve |
| Black at-the-money (no-smile) volatility curve. More... | |
| class | BlackVolSurface |
| Black volatility (smile) surface. More... | |
| class | EquityFXVolSurface |
| Equity/FX volatility (smile) surface. More... | |
| class | ExtendedBlackVarianceCurve |
| Black volatility curve modelled as variance curve. More... | |
| class | ExtendedBlackVarianceSurface |
| Black volatility surface modelled as variance surface. More... | |
| class | InterestRateVolSurface |
| Interest rate volatility (smile) surface. More... | |
| class | NoArbSabrInterpolation |
| no arbitrage sabr smile interpolation between discrete volatility points. More... | |
| class | NoArbSabr |
| no arbtrage sabr interpolation factory and traits More... | |
| class | SabrVolSurface |
| SABR volatility (smile) surface. More... | |
| class | SviInterpolation |
| Svi smile interpolation between discrete volatility points. More... | |
| class | Svi |
| Svi interpolation factory and traits More... | |
| class | SviSmileSection |
| Stochastic Volatility Inspired Smile Section. More... | |
| class | ZabrInterpolation |
| zabr smile interpolation between discrete volatility points. More... | |
| class | Zabr |
| no arbtrage sabr interpolation factory and traits More... | |
| class | Handle |
| Shared handle to an observable. More... | |
| class | RelinkableHandle |
| Relinkable handle to an observable. More... | |
| class | Index |
| purely virtual base class for indexes More... | |
| class | BMAIndex |
| Bond Market Association index. More... | |
| class | EquityIndex |
| Base class for equity indexes. More... | |
| class | Aonia |
| Aonia index More... | |
| class | AUDLibor |
| AUD LIBOR rate More... | |
| class | Bbsw |
| Bbsw index More... | |
| class | Bbsw1M |
| 1-month Bbsw index More... | |
| class | Bbsw2M |
| 2-months Bbsw index More... | |
| class | Bbsw3M |
| 3-months Bbsw index More... | |
| class | Bbsw4M |
| 4-months Bbsw index More... | |
| class | Bbsw5M |
| 5-months Bbsw index More... | |
| class | Bbsw6M |
| 6-months Bbsw index More... | |
| class | Bibor |
| Bibor index More... | |
| class | BiborSW |
| 1-week Bibor index More... | |
| class | Bibor1M |
| 1-month Bibor index More... | |
| class | Bibor2M |
| 2-months Bibor index More... | |
| class | Bibor3M |
| 3-months Bibor index More... | |
| class | Bibor6M |
| 6-months Bibor index More... | |
| class | Bibor1Y |
| 1-year Bibor index More... | |
| class | Bkbm |
| Bkbm index More... | |
| class | Bkbm1M |
| 1-month Bkbm index More... | |
| class | Bkbm2M |
| 2-months Bkbm index More... | |
| class | Bkbm3M |
| 3-months Bkbm index More... | |
| class | Bkbm4M |
| 4-months Bkbm index More... | |
| class | Bkbm5M |
| 5-months Bkbm index More... | |
| class | Bkbm6M |
| 6-months Bkbm index More... | |
| class | CADLibor |
| CAD LIBOR rate More... | |
| class | CADLiborON |
| Overnight CAD Libor index. More... | |
| class | Cdi |
| BRL-CDI Index: relevant for https://en.wikipedia.org/wiki/Brazilian_Swap. More... | |
| class | Cdor |
| CDOR rate More... | |
| class | CHFLibor |
| CHF LIBOR rate More... | |
| class | DailyTenorCHFLibor |
| base class for the one day deposit BBA CHF LIBOR indexes More... | |
| class | CustomIborIndex |
| class | Destr |
| Destr (Denmark Short-Term Rate) index. More... | |
| class | DKKLibor |
| DKK LIBOR rate More... | |
| class | Eonia |
| Eonia (Euro Overnight Index Average) rate fixed by the ECB. More... | |
| class | Estr |
| ESTR (Euro Short-Term Rate) rate fixed by the ECB. More... | |
| class | Euribor |
| Euribor index More... | |
| class | Euribor365 |
| Actual/365 Euribor index. More... | |
| class | Euribor1W |
| 1-week Euribor index More... | |
| class | Euribor1M |
| 1-month Euribor index More... | |
| class | Euribor3M |
| 3-months Euribor index More... | |
| class | Euribor6M |
| 6-months Euribor index More... | |
| class | Euribor1Y |
| 1-year Euribor index More... | |
| class | EURLibor |
| base class for all ICE EUR LIBOR indexes but the O/N More... | |
| class | DailyTenorEURLibor |
| base class for the one day deposit ICE EUR LIBOR indexes More... | |
| class | EURLiborON |
| Overnight EUR Libor index. More... | |
| class | EURLibor1M |
| 1-month EUR Libor index More... | |
| class | EURLibor3M |
| 3-months EUR Libor index More... | |
| class | EURLibor6M |
| 6-months EUR Libor index More... | |
| class | EURLibor1Y |
| 1-year EUR Libor index More... | |
| class | FedFunds |
| Fed Funds rate fixed by the FED. More... | |
| class | GBPLibor |
| GBP LIBOR rate More... | |
| class | DailyTenorGBPLibor |
| Base class for the one day deposit ICE GBP LIBOR indexes. More... | |
| class | GBPLiborON |
| Overnight GBP Libor index. More... | |
| class | Jibar |
| JIBAR rate More... | |
| class | JPYLibor |
| JPY LIBOR rate More... | |
| class | DailyTenorJPYLibor |
| base class for the one day deposit ICE JPY LIBOR indexes More... | |
| class | Kofr |
| KOFR index. More... | |
| class | Libor |
| base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones More... | |
| class | DailyTenorLibor |
| base class for all O/N-S/N BBA LIBOR indexes but the EUR ones More... | |
| class | Mosprime |
| MOSPRIME rate More... | |
| class | NZDLibor |
| NZD LIBOR rate More... | |
| class | Nzocr |
| Nzocr index More... | |
| class | Pribor |
| PRIBOR rate More... | |
| class | Robor |
| ROBOR rate More... | |
| class | Saron |
| SARON (Swiss Average Rate Overnight) index. More... | |
| class | SEKLibor |
| SEK LIBOR rate More... | |
| class | Sofr |
| Sofr (Secured Overnight Financing Rate) index. More... | |
| class | Sonia |
| Sonia (Sterling Overnight Index Average) rate. More... | |
| class | Swestr |
| Swestr (Swedish krona Short Term Rate) index. More... | |
| class | THBFIX |
| THB THBFIX rate More... | |
| class | Tibor |
| JPY TIBOR index More... | |
| class | Tonar |
| TONAR index More... | |
| class | TRLibor |
| TRY LIBOR rate More... | |
| class | USDLibor |
| USD LIBOR rate More... | |
| class | DailyTenorUSDLibor |
| base class for the one day deposit ICE USD LIBOR indexes More... | |
| class | USDLiborON |
| Overnight USD Libor index. More... | |
| class | Wibor |
| WIBOR rate More... | |
| class | Zibor |
| CHF ZIBOR rate More... | |
| class | IborIndex |
| base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) More... | |
| class | IndexManager |
| global repository for past index fixings More... | |
| class | AUCPI |
| AU CPI index (either quarterly or annual). More... | |
| class | YYAUCPI |
| Quoted year-on-year AU CPI (i.e. not a ratio). More... | |
| class | EUHICP |
| EU HICP index. More... | |
| class | EUHICPXT |
| EU HICPXT index. More... | |
| class | YYEUHICP |
| Quoted year-on-year EU HICP (i.e. not a ratio of EU HICP). More... | |
| class | YYEUHICPXT |
| Quoted year-on-year EU HICPXT. More... | |
| class | FRHICP |
| FR HICP index. More... | |
| class | YYFRHICP |
| Quoted year-on-year FR HICP (i.e. not a ratio). More... | |
| class | UKHICP |
| UK HICP index. More... | |
| class | UKRPI |
| UK Retail Price Inflation Index. More... | |
| class | YYUKRPI |
| Quoted year-on-year UK RPI (i.e. not a ratio of UK RPI). More... | |
| class | USCPI |
| US CPI index. More... | |
| class | YYUSCPI |
| Quoted year-on-year US CPI (i.e. not a ratio of US CPI). More... | |
| class | ZACPI |
| South African Consumer Price Inflation Index. More... | |
| class | YYZACPI |
| Quoted year-on-year South African CPI (i.e. not a ratio of ZA CPI). More... | |
| class | InflationIndex |
| Base class for inflation-rate indexes,. More... | |
| class | ZeroInflationIndex |
| Base class for zero inflation indices. More... | |
| class | YoYInflationIndex |
| Base class for year-on-year inflation indices. More... | |
| class | InterestRateIndex |
| base class for interest rate indexes More... | |
| class | Region |
| Region class, used for inflation applicability. More... | |
| class | CustomRegion |
| Custom geographical/economic region. More... | |
| class | AustraliaRegion |
| Australia as geographical/economic region. More... | |
| class | EURegion |
| European Union as geographical/economic region. More... | |
| class | FranceRegion |
| France as geographical/economic region. More... | |
| class | UKRegion |
| United Kingdom as geographical/economic region. More... | |
| class | USRegion |
| USA as geographical/economic region. More... | |
| class | ZARegion |
| South Africa as geographical/economic region. More... | |
| class | ChfLiborSwapIsdaFix |
| ChfLiborSwapIsdaFix index base class More... | |
| class | EuriborSwapIsdaFixA |
| EuriborSwapIsdaFixA index base class More... | |
| class | EuriborSwapIsdaFixB |
| EuriborSwapIsdaFixB index base class More... | |
| class | EuriborSwapIfrFix |
| EuriborSwapIfrFix index base class More... | |
| class | EurLiborSwapIsdaFixA |
| EurLiborSwapIsdaFixA index base class More... | |
| class | EurLiborSwapIsdaFixB |
| EurLiborSwapIsdaFixB index base class More... | |
| class | EurLiborSwapIfrFix |
| EurLiborSwapIfrFix index base class More... | |
| class | GbpLiborSwapIsdaFix |
| GbpLiborSwapIsdaFix index base class More... | |
| class | JpyLiborSwapIsdaFixAm |
| JpyLiborSwapIsdaFixAm index base class More... | |
| class | JpyLiborSwapIsdaFixPm |
| JpyLiborSwapIsdaFixPm index base class More... | |
| class | UsdLiborSwapIsdaFixAm |
| UsdLiborSwapIsdaFixAm index base class More... | |
| class | UsdLiborSwapIsdaFixPm |
| UsdLiborSwapIsdaFixPm index base class More... | |
| class | SwapIndex |
| base class for swap-rate indexes More... | |
| class | OvernightIndexedSwapIndex |
| base class for overnight indexed swap indexes More... | |
| class | Instrument |
| Abstract instrument class. More... | |
| class | ContinuousAveragingAsianOption |
| Continuous-averaging Asian option. More... | |
| class | DiscreteAveragingAsianOption |
| Discrete-averaging Asian option. More... | |
| class | AssetSwap |
| Bullet bond vs Libor swap. More... | |
| struct | Average |
| Placeholder for enumerated averaging types. More... | |
| class | BarrierOption |
| Barrier option on a single asset. More... | |
| struct | Barrier |
| Placeholder for enumerated barrier types. More... | |
| class | BasketOption |
| Basket option on a number of assets. More... | |
| class | BMASwap |
| swap paying Libor against BMA coupons More... | |
| class | Bond |
| Base bond class. More... | |
| class | BondForward |
| Forward contract on a bond More... | |
| class | AmortizingCmsRateBond |
| amortizing CMS-rate bond More... | |
| class | AmortizingFixedRateBond |
| amortizing fixed-rate bond More... | |
| class | AmortizingFloatingRateBond |
| amortizing floating-rate bond (possibly capped and/or floored) More... | |
| class | CCTEU |
| class | BTP |
| Italian BTP (Buono Poliennali del Tesoro) fixed rate bond. More... | |
| class | RendistatoEquivalentSwapLengthQuote |
| RendistatoCalculator equivalent swap lenth Quote adapter. More... | |
| class | RendistatoEquivalentSwapSpreadQuote |
| RendistatoCalculator equivalent swap spread Quote adapter. More... | |
| class | CmsRateBond |
| CMS-rate bond. More... | |
| class | SoftCallability |
| callability leaving to the holder the possibility to convert More... | |
| class | ConvertibleBond |
| base class for convertible bonds More... | |
| class | ConvertibleZeroCouponBond |
| convertible zero-coupon bond More... | |
| class | ConvertibleFixedCouponBond |
| convertible fixed-coupon bond More... | |
| class | ConvertibleFloatingRateBond |
| convertible floating-rate bond More... | |
| class | CPIBond |
| class | FixedRateBond |
| fixed-rate bond More... | |
| class | FloatingRateBond |
| floating-rate bond (possibly capped and/or floored) More... | |
| class | ZeroCouponBond |
| zero-coupon bond More... | |
| class | Callability |
| instrument callability More... | |
| class | CapFloor |
| Base class for cap-like instruments. More... | |
| class | Cap |
| Concrete cap class. More... | |
| class | Floor |
| Concrete floor class. More... | |
| class | Collar |
| Concrete collar class. More... | |
| class | Claim |
| Claim associated to a default event. More... | |
| class | FaceValueClaim |
| Claim on a notional. More... | |
| class | FaceValueAccrualClaim |
| Claim on the notional of a reference security, including accrual. More... | |
| class | CliquetOption |
| cliquet (Ratchet) option More... | |
| class | ComplexChooserOption |
| Complex chooser option. More... | |
| class | CompositeInstrument |
| Composite instrument More... | |
| class | CompoundOption |
| Compound option (i.e., option on option) on a single asset. More... | |
| class | CPICapFloor |
| CPI cap or floor. More... | |
| class | CPISwap |
| zero-inflation-indexed swap, More... | |
| class | CreditDefaultSwap |
| Credit default swap. More... | |
| class | DoubleBarrierOption |
| Double Barrier option on a single asset. More... | |
| struct | DoubleBarrier |
| Placeholder for enumerated barrier types. More... | |
| class | EquityTotalReturnSwap |
| Equity total return swap. More... | |
| class | EuropeanOption |
| European option on a single asset. More... | |
| class | FixedVsFloatingSwap |
| Fixed vs floating swap. More... | |
| class | FloatFloatSwap |
| float float swap More... | |
| class | FloatFloatSwaption |
| floatfloat swaption class More... | |
| class | Forward |
| Abstract base forward class. More... | |
| class | ForwardTypePayoff |
| Class for forward type payoffs. More... | |
| class | ForwardRateAgreement |
| Forward rate agreement (FRA) class More... | |
| class | ForwardOptionArguments |
| Arguments for forward (strike-resetting) option calculation More... | |
| class | ForwardVanillaOption |
| Forward version of a vanilla option More... | |
| class | HolderExtensibleOption |
| Holder-extensible option. More... | |
| class | YoYInflationCapFloor |
| Base class for yoy inflation cap-like instruments. More... | |
| class | YoYInflationCap |
| Concrete YoY Inflation cap class. More... | |
| class | YoYInflationFloor |
| Concrete YoY Inflation floor class. More... | |
| class | YoYInflationCollar |
| Concrete YoY Inflation collar class. More... | |
| class | ContinuousFloatingLookbackOption |
| Continuous-floating lookback option. More... | |
| class | ContinuousFixedLookbackOption |
| Continuous-fixed lookback option. More... | |
| class | ContinuousPartialFloatingLookbackOption |
| Continuous-partial-floating lookback option. More... | |
| class | ContinuousPartialFixedLookbackOption |
| Continuous-partial-fixed lookback option. More... | |
| class | MakeCapFloor |
| helper class More... | |
| class | MakeCreditDefaultSwap |
| helper class More... | |
| class | MakeCms |
| helper class for instantiating CMS More... | |
| class | MakeOIS |
| helper class More... | |
| class | MakeSwaption |
| helper class More... | |
| class | MakeVanillaSwap |
| helper class More... | |
| class | MakeYoYInflationCapFloor |
| helper class More... | |
| class | MargrabeOption |
| Margrabe option on two assets. More... | |
| class | MultiAssetOption |
| Base class for options on multiple assets. More... | |
| class | NonstandardSwap |
| nonstandard swap More... | |
| class | NonstandardSwaption |
| nonstandard swaption class More... | |
| class | OneAssetOption |
| Base class for options on a single asset. More... | |
| class | OvernightIndexedSwap |
| Overnight indexed swap: fix vs compounded overnight rate. More... | |
| class | OvernightIndexFuture |
| struct | PartialBarrier |
| choice of time range for partial-time barrier options More... | |
| class | PartialTimeBarrierOption |
| Partial-time barrier option. More... | |
| class | NullPayoff |
| Dummy payoff class. More... | |
| class | TypePayoff |
| Intermediate class for put/call payoffs. More... | |
| class | FloatingTypePayoff |
| Payoff based on a floating strike More... | |
| class | StrikedTypePayoff |
| Intermediate class for payoffs based on a fixed strike. More... | |
| class | PlainVanillaPayoff |
| Plain-vanilla payoff. More... | |
| class | PercentageStrikePayoff |
| Payoff with strike expressed as percentage More... | |
| class | AssetOrNothingPayoff |
| Binary asset-or-nothing payoff. More... | |
| class | CashOrNothingPayoff |
| Binary cash-or-nothing payoff. More... | |
| class | GapPayoff |
| Binary gap payoff. More... | |
| class | SuperFundPayoff |
| Binary supershare and superfund payoffs. More... | |
| class | SuperSharePayoff |
| Binary supershare payoff. More... | |
| class | PerpetualFutures |
| Perpetual Futures. More... | |
| class | QuantoBarrierOption |
| Quanto version of a barrier option. More... | |
| class | QuantoForwardVanillaOption |
| Quanto version of a forward vanilla option. More... | |
| class | QuantoOptionResults |
| Results from quanto option calculation More... | |
| class | QuantoVanillaOption |
| quanto version of a vanilla option More... | |
| class | SimpleChooserOption |
| Simple chooser option. More... | |
| class | SoftBarrierOption |
| Soft barrier option on a single asset. More... | |
| class | DoubleStickyRatchetPayoff |
| Intermediate class for single/double sticky/ratchet payoffs. More... | |
| class | RatchetPayoff |
| Ratchet payoff (single option). More... | |
| class | StickyPayoff |
| Sticky payoff (single option). More... | |
| class | RatchetMaxPayoff |
| RatchetMax payoff (double option). More... | |
| class | RatchetMinPayoff |
| RatchetMin payoff (double option). More... | |
| class | StickyMaxPayoff |
| StickyMax payoff (double option). More... | |
| class | StickyMinPayoff |
| StickyMin payoff (double option). More... | |
| class | Stock |
| Simple stock class. More... | |
| class | Swap |
| Interest rate swap. More... | |
| struct | Settlement |
| settlement information More... | |
| class | Swaption |
| Swaption class More... | |
| class | TwoAssetBarrierOption |
| Barrier option on two assets More... | |
| class | TwoAssetCorrelationOption |
| Two-asset correlation option. More... | |
| class | VanillaOption |
| Vanilla option (no discrete dividends, no barriers) on a single asset. More... | |
| class | VanillaStorageOption |
| base option class More... | |
| class | VanillaSwap |
| Plain-vanilla swap: fix vs ibor leg. More... | |
| class | SwingExercise |
| Swing exercise. More... | |
| class | VanillaSwingOption |
| base option class More... | |
| class | VarianceSwap |
| Variance swap. More... | |
| class | WriterExtensibleOption |
| Writer-extensible option. More... | |
| class | YearOnYearInflationSwap |
| Year-on-year inflation-indexed swap. More... | |
| class | ZeroCouponInflationSwap |
| Zero-coupon inflation-indexed swap. More... | |
| class | ZeroCouponSwap |
| Zero-coupon interest rate swap. More... | |
| class | InterestRate |
| Concrete interest rate class. More... | |
| class | LfmCovarianceParameterization |
| Libor market model parameterization More... | |
| class | LfmCovarianceProxy |
| proxy for a libor forward model covariance parameterization More... | |
| class | LfmHullWhiteParameterization |
| Libor market model parameterization based on Hull White paper More... | |
| class | LiborForwardModelProcess |
| libor-forward-model process More... | |
| class | LfmSwaptionEngine |
| Libor forward model swaption engine based on Black formula More... | |
| class | LiborForwardModel |
| Libor forward model More... | |
| class | LmConstWrapperVolatilityModel |
| caplet const volatility model More... | |
| class | LmCorrelationModel |
| libor forward correlation model More... | |
| class | LmExponentialCorrelationModel |
| exponential correlation model More... | |
| class | LmExtLinearExponentialVolModel |
| extended linear exponential volatility model More... | |
| class | LmLinearExponentialCorrelationModel |
| linear exponential correlation model More... | |
| class | LmLinearExponentialVolatilityModel |
| linear exponential volatility model More... | |
| class | LmVolatilityModel |
| caplet volatility model More... | |
| class | AbcdMathFunction |
| Abcd functional form More... | |
| class | Array |
| 1-D array used in linear algebra. More... | |
| class | BernsteinPolynomial |
| class of Bernstein polynomials More... | |
| class | BSpline |
| B-spline basis functions. More... | |
| struct | earlier_than |
| compare two objects by date More... | |
| class | AliMikhailHaqCopula |
| Ali-Mikhail-Haq copula. More... | |
| class | ClaytonCopula |
| Clayton copula. More... | |
| class | FarlieGumbelMorgensternCopula |
| Farlie-Gumbel-Morgenstern copula. More... | |
| class | FrankCopula |
| Frank copula. More... | |
| class | GalambosCopula |
| Galambos copula. More... | |
| class | GaussianCopula |
| Gaussian copula. More... | |
| class | GumbelCopula |
| Gumbel copula. More... | |
| class | HuslerReissCopula |
| Husler-Reiss copula. More... | |
| class | IndependentCopula |
| independent copula More... | |
| class | MarshallOlkinCopula |
| Marshall-Olkin copula. More... | |
| class | MaxCopula |
| max copula More... | |
| class | MinCopula |
| min copula More... | |
| class | PlackettCopula |
| Plackett copula. More... | |
| class | BinomialDistribution |
| Binomial probability distribution function. More... | |
| class | CumulativeBinomialDistribution |
| Cumulative binomial distribution function. More... | |
| class | BivariateCumulativeNormalDistributionDr78 |
| Cumulative bivariate normal distribution function. More... | |
| class | BivariateCumulativeNormalDistributionWe04DP |
| Cumulative bivariate normal distibution function (West 2004). More... | |
| class | BivariateCumulativeStudentDistribution |
| Cumulative Student t-distribution. More... | |
| class | GammaFunction |
| Gamma function class. More... | |
| class | NormalDistribution |
| Normal distribution function. More... | |
| class | CumulativeNormalDistribution |
| Cumulative normal distribution function. More... | |
| class | InverseCumulativeNormal |
| Inverse cumulative normal distribution function. More... | |
| class | MoroInverseCumulativeNormal |
| Moro Inverse cumulative normal distribution class. More... | |
| class | MaddockInverseCumulativeNormal |
| Maddock's Inverse cumulative normal distribution class. More... | |
| class | MaddockCumulativeNormal |
| Maddock's cumulative normal distribution class. More... | |
| class | PoissonDistribution |
| Poisson distribution function. More... | |
| class | CumulativePoissonDistribution |
| Cumulative Poisson distribution function. More... | |
| class | InverseCumulativePoisson |
| Inverse cumulative Poisson distribution function. More... | |
| class | StudentDistribution |
| Student t-distribution. More... | |
| class | CumulativeStudentDistribution |
| Cumulative Student t-distribution. More... | |
| class | InverseCumulativeStudent |
| Inverse cumulative Student t-distribution. More... | |
| class | ErrorFunction |
| Error function More... | |
| class | Factorial |
| Factorial numbers calculator More... | |
| class | FastFourierTransform |
| FFT implementation. More... | |
| class | GeneralLinearLeastSquares |
| general linear least squares regression More... | |
| class | DiscreteTrapezoidIntegral |
| class | FilonIntegral |
| Integral of a one-dimensional function. More... | |
| class | GaussianOrthogonalPolynomial |
| orthogonal polynomial for Gaussian quadratures More... | |
| class | GaussLaguerrePolynomial |
| Gauss-Laguerre polynomial. More... | |
| class | GaussHermitePolynomial |
| Gauss-Hermite polynomial. More... | |
| class | GaussJacobiPolynomial |
| Gauss-Jacobi polynomial. More... | |
| class | GaussLegendrePolynomial |
| Gauss-Legendre polynomial. More... | |
| class | GaussChebyshevPolynomial |
| Gauss-Chebyshev polynomial. More... | |
| class | GaussChebyshev2ndPolynomial |
| Gauss-Chebyshev polynomial (second kind). More... | |
| class | GaussGegenbauerPolynomial |
| Gauss-Gegenbauer polynomial. More... | |
| class | GaussHyperbolicPolynomial |
| Gauss hyperbolic polynomial. More... | |
| class | GaussianQuadrature |
| Integral of a 1-dimensional function using the Gauss quadratures method. More... | |
| class | GaussLaguerreIntegration |
| generalized Gauss-Laguerre integration More... | |
| class | GaussHermiteIntegration |
| generalized Gauss-Hermite integration More... | |
| class | GaussJacobiIntegration |
| Gauss-Jacobi integration. More... | |
| class | GaussHyperbolicIntegration |
| Gauss-Hyperbolic integration. More... | |
| class | GaussLegendreIntegration |
| Gauss-Legendre integration. More... | |
| class | GaussChebyshevIntegration |
| Gauss-Chebyshev integration. More... | |
| class | GaussChebyshev2ndIntegration |
| Gauss-Chebyshev integration (second kind). More... | |
| class | GaussGegenbauerIntegration |
| Gauss-Gegenbauer integration. More... | |
| class | TabulatedGaussLegendre |
| tabulated Gauss-Legendre quadratures More... | |
| class | GaussLaguerreCosinePolynomial |
| Gauss-Laguerre Cosine integration. More... | |
| class | GaussLaguerreSinePolynomial |
| Gauss-Laguerre Sine integration. More... | |
| class | GaussLobattoIntegral |
| Integral of a one-dimensional function. More... | |
| class | GaussKronrodNonAdaptive |
| Integral of a 1-dimensional function using the Gauss-Kronrod methods. More... | |
| class | GaussKronrodAdaptive |
| Integral of a 1-dimensional function using the Gauss-Kronrod methods. More... | |
| class | MomentBasedGaussianPolynomial |
| class | SegmentIntegral |
| Integral of a one-dimensional function. More... | |
| class | SimpsonIntegral |
| Integral of a one-dimensional function. More... | |
| class | TrapezoidIntegral |
| Integral of a one-dimensional function. More... | |
| class | TwoDimensionalIntegral |
| Integral of a two-dimensional function. More... | |
| class | Interpolation |
| base class for 1-D interpolations. More... | |
| class | AbcdInterpolation |
| Abcd interpolation between discrete points. More... | |
| class | Abcd |
| Abcd interpolation factory and traits More... | |
| class | BackwardFlatInterpolation |
| Backward-flat interpolation between discrete points. More... | |
| class | BackwardFlat |
| Backward-flat interpolation factory and traits. More... | |
| class | BackwardflatLinearInterpolation |
| class | BicubicSpline |
| bicubic-spline interpolation between discrete points More... | |
| class | Bicubic |
| bicubic-spline-interpolation factory More... | |
| class | BilinearInterpolation |
| bilinear interpolation between discrete points More... | |
| class | Bilinear |
| bilinear-interpolation factory More... | |
| class | ChebyshevInterpolation |
| class | ConvexMonotoneInterpolation |
| Convex monotone yield-curve interpolation method. More... | |
| class | ConvexMonotone |
| Convex-monotone interpolation factory and traits. More... | |
| class | CubicInterpolation |
| Cubic interpolation between discrete points. More... | |
| class | Cubic |
| Cubic interpolation factory and traits More... | |
| class | Extrapolator |
| base class for classes possibly allowing extrapolation More... | |
| class | FlatExtrapolator2D |
| class | ForwardFlatInterpolation |
| Forward-flat interpolation between discrete points. More... | |
| class | ForwardFlat |
| Forward-flat interpolation factory and traits. More... | |
| class | Interpolation2D |
| base class for 2-D interpolations. More... | |
| class | KernelInterpolation |
| Kernel interpolation between discrete points. More... | |
| class | KernelInterpolation2D |
| class | LagrangeInterpolation |
| class | LinearInterpolation |
| Linear interpolation between discrete points More... | |
| class | Linear |
| Linear-interpolation factory and traits More... | |
| class | LogLinearInterpolation |
| log-linear interpolation between discrete points More... | |
| class | LogLinear |
| log-linear interpolation factory and traits More... | |
| class | LogCubicInterpolation |
| log-cubic interpolation between discrete points More... | |
| class | LogCubic |
| log-cubic interpolation factory and traits More... | |
| class | LogMixedLinearCubicInterpolation |
| log-mixedlinearcubic interpolation between discrete points More... | |
| class | LogMixedLinearCubic |
| log-cubic interpolation factory and traits More... | |
| class | MixedLinearCubicInterpolation |
| mixed linear/cubic interpolation between discrete points More... | |
| class | MixedLinearCubic |
| mixed linear/cubic interpolation factory and traits More... | |
| class | MultiCubicSpline |
| N-dimensional cubic spline interpolation between discrete points. More... | |
| class | SABRInterpolation |
| SABR smile interpolation between discrete volatility points. More... | |
| class | SABR |
| SABR interpolation factory and traits More... | |
| class | KernelFunction |
| class | GaussianKernel |
| Gaussian kernel function. More... | |
| class | Matrix |
| Matrix used in linear algebra. More... | |
| class | OrthogonalProjections |
| class | CovarianceDecomposition |
| Covariance decomposition into correlation and variances. More... | |
| struct | GMRESResult |
| class | HouseholderTransformation |
| struct | SalvagingAlgorithm |
| algorithm used for matricial pseudo square root More... | |
| class | SparseILUPreconditioner |
| class | SVD |
| Singular value decomposition. More... | |
| class | SymmetricSchurDecomposition |
| symmetric threshold Jacobi algorithm. More... | |
| class | TqrEigenDecomposition |
| tridiag. QR eigen decomposition with explicite shift aka Wilkinson More... | |
| class | ArmijoLineSearch |
| Armijo line search. More... | |
| class | BFGS |
| Broyden-Fletcher-Goldfarb-Shanno algorithm. More... | |
| class | ConjugateGradient |
| Multi-dimensional Conjugate Gradient class. More... | |
| class | Constraint |
| Base constraint class. More... | |
| class | NoConstraint |
| No constraint. More... | |
| class | PositiveConstraint |
| Constraint imposing positivity to all arguments More... | |
| class | BoundaryConstraint |
| Constraint imposing all arguments to be in [low,high] More... | |
| class | CompositeConstraint |
| Constraint enforcing both given sub-constraints More... | |
| class | NonhomogeneousBoundaryConstraint |
| Constraint imposing i-th argument to be in [low_i,high_i] for all i More... | |
| class | CostFunction |
| Cost function abstract class for optimization problem. More... | |
| class | DifferentialEvolution |
| Differential Evolution configuration object. More... | |
| class | EndCriteria |
| Criteria to end optimization process: More... | |
| class | LeastSquareProblem |
| Base class for least square problem. More... | |
| class | LeastSquareFunction |
| Cost function for least-square problems. More... | |
| class | NonLinearLeastSquare |
| Non-linear least-square method. More... | |
| class | LevenbergMarquardt |
| Levenberg-Marquardt optimization method. More... | |
| class | LineSearch |
| Base class for line search. More... | |
| class | LineSearchBasedMethod |
| Line search based method. More... | |
| class | OptimizationMethod |
| Abstract class for constrained optimization method. More... | |
| class | Problem |
| Constrained optimization problem. More... | |
| class | ProjectedCostFunction |
| Parameterized cost function. More... | |
| class | Simplex |
| Multi-dimensional simplex class. More... | |
| class | SimulatedAnnealing |
| Simulated Annealing. More... | |
| class | SphereCylinderOptimizer |
| class | SteepestDescent |
| Multi-dimensional steepest-descent class. More... | |
| class | PascalTriangle |
| Pascal triangle coefficients calculator. More... | |
| class | PolynomialFunction |
| Cubic functional form More... | |
| class | PrimeNumbers |
| Prime numbers calculator. More... | |
| class | BoxMullerGaussianRng |
| Gaussian random number generator. More... | |
| class | Burley2020SobolRsg |
| Scrambled sobol sequence according to Burley, 2020. More... | |
| class | CLGaussianRng |
| Gaussian random number generator. More... | |
| class | FaureRsg |
| Faure low-discrepancy sequence generator. More... | |
| class | HaltonRsg |
| Halton low-discrepancy sequence generator. More... | |
| class | InverseCumulativeRng |
| Inverse cumulative random number generator. More... | |
| class | InverseCumulativeRsg |
| Inverse cumulative random sequence generator. More... | |
| class | KnuthUniformRng |
| Uniform random number generator. More... | |
| class | LecuyerUniformRng |
| Uniform random number generator. More... | |
| class | MersenneTwisterUniformRng |
| Uniform random number generator. More... | |
| class | RandomizedLDS |
| Randomized (random shift) low-discrepancy sequence. More... | |
| class | RandomSequenceGenerator |
| Random sequence generator based on a pseudo-random number generator. More... | |
| class | Ranlux64UniformRng |
| Uniform random number generator. More... | |
| class | SeedGenerator |
| Random seed generator. More... | |
| class | SobolRsg |
| Sobol low-discrepancy sequence generator. More... | |
| class | StochasticCollocationInvCDF |
| Stochastic collocation inverse cumulative distribution function. More... | |
| class | Xoshiro256StarStarUniformRng |
| Uniform random number generator. More... | |
| class | ZigguratGaussianRng |
| Gaussian random number generator. More... | |
| class | RichardsonExtrapolation |
| Richardson Extrapolation. More... | |
| class | Rounding |
| class | UpRounding |
| Up-rounding. More... | |
| class | DownRounding |
| Down-rounding. More... | |
| class | ClosestRounding |
| Closest rounding. More... | |
| class | CeilingTruncation |
| Ceiling truncation. More... | |
| class | FloorTruncation |
| Floor truncation. More... | |
| class | Solver1D |
| Base class for 1-D solvers. More... | |
| class | Bisection |
| Bisection 1-D solver More... | |
| class | Brent |
| Brent 1-D solver More... | |
| class | FalsePosition |
| False position 1-D solver. More... | |
| class | FiniteDifferenceNewtonSafe |
| safe Newton 1-D solver with finite difference derivatives More... | |
| class | Halley |
| Halley 1-D solver More... | |
| class | Newton |
| Newton 1-D solver More... | |
| class | NewtonSafe |
| safe Newton 1-D solver More... | |
| class | Ridder |
| Ridder 1-D solver More... | |
| class | Secant |
| Secant 1-D solver More... | |
| class | ConvergenceStatistics |
| statistics class with convergence table More... | |
| class | DiscrepancyStatistics |
| Statistic tool for sequences with discrepancy calculation. More... | |
| class | GenericGaussianStatistics |
| Statistics tool for gaussian-assumption risk measures. More... | |
| class | StatsHolder |
| Helper class for precomputed distributions. More... | |
| class | GeneralStatistics |
| Statistics tool. More... | |
| class | Histogram |
| Histogram class. More... | |
| class | IncrementalStatistics |
| Statistics tool based on incremental accumulation. More... | |
| class | GenericRiskStatistics |
| empirical-distribution risk measures More... | |
| class | GenericSequenceStatistics |
| Statistics analysis of N-dimensional (sequence) data. More... | |
| class | TransformedGrid |
| class | LogGrid |
| class | BoundaryCondition |
| Abstract boundary condition class for finite difference problems. More... | |
| class | NeumannBC |
| Neumann boundary condition (i.e., constant derivative). More... | |
| class | DirichletBC |
| Dirichlet boundary condition (i.e., constant value). More... | |
| class | BSMOperator |
| class | CrankNicolson |
| Crank-Nicolson scheme for finite difference methods. More... | |
| class | DMinus |
| \( D_{-} \) matricial representation More... | |
| class | DPlus |
| \( D_{+} \) matricial representation More... | |
| class | DPlusDMinus |
| \( D_{+}D_{-} \) matricial representation More... | |
| class | DZero |
| \( D_{0} \) matricial representation More... | |
| class | ExplicitEuler |
| Forward Euler scheme for finite difference methods More... | |
| class | FiniteDifferenceModel |
| Generic finite difference model. More... | |
| class | ImplicitEuler |
| Backward Euler scheme for finite difference methods. More... | |
| class | ExponentialJump1dMesher |
| class | MixedScheme |
| Mixed (explicit/implicit) scheme for finite difference methods. More... | |
| class | NumericalDifferentiation |
| Numerical Differentiation on arbitrarily spaced grids. More... | |
| class | PdeSecondOrderParabolic |
| class | PdeConstantCoeff |
| class | GenericTimeSetter |
| class | PdeOperator |
| class | PdeBSM |
| class | ModifiedCraigSneydScheme |
| modified Craig-Sneyd scheme More... | |
| class | StepCondition |
| condition to be applied at every time step More... | |
| class | NullCondition |
| null step condition More... | |
| class | TRBDF2 |
| TR-BDF2 scheme for finite difference methods. More... | |
| class | TridiagonalOperator |
| Base implementation for tridiagonal operator. More... | |
| class | CEVRNDCalculator |
| constant elasticity of variance process (absorbing boundary at f=0) More... | |
| class | HestonRNDCalculator |
| Risk neutral terminal probability density for the Heston model. More... | |
| class | ZeroCondition |
| Zero exercise condition. More... | |
| class | BinomialTree |
| Binomial tree base class. More... | |
| class | EqualProbabilitiesBinomialTree |
| Base class for equal probabilities binomial tree. More... | |
| class | EqualJumpsBinomialTree |
| Base class for equal jumps binomial tree. More... | |
| class | JarrowRudd |
| Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More... | |
| class | CoxRossRubinstein |
| Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More... | |
| class | AdditiveEQPBinomialTree |
| Additive equal probabilities binomial tree. More... | |
| class | Trigeorgis |
| Trigeorgis (additive equal jumps) binomial tree More... | |
| class | Tian |
| Tian tree: third moment matching, multiplicative approach More... | |
| class | LeisenReimer |
| Leisen & Reimer tree: multiplicative approach. More... | |
| class | BlackScholesLattice |
| Simple binomial lattice approximating the Black-Scholes model. More... | |
| class | TreeLattice |
| Tree-based lattice-method base class. More... | |
| class | TreeLattice1D |
| One-dimensional tree-based lattice. More... | |
| class | TreeLattice2D |
| Two-dimensional tree-based lattice. More... | |
| class | TsiveriotisFernandesLattice |
| Binomial lattice approximating the Tsiveriotis-Fernandes model. More... | |
| class | Tree |
| Tree approximating a single-factor diffusion More... | |
| class | TrinomialTree |
| Recombining trinomial tree class. More... | |
| class | BrownianBridge |
| Builds Wiener process paths using Gaussian variates. More... | |
| class | EarlyExercisePathPricer |
| base class for early exercise path pricers More... | |
| class | LongstaffSchwartzPathPricer |
| Longstaff-Schwarz path pricer for early exercise options. More... | |
| struct | SingleVariate |
| default Monte Carlo traits for single-variate models More... | |
| struct | MultiVariate |
| default Monte Carlo traits for multi-variate models More... | |
| class | MonteCarloModel |
| General-purpose Monte Carlo model for path samples. More... | |
| class | MultiPath |
| Correlated multiple asset paths. More... | |
| class | MultiPathGenerator |
| Generates a multipath from a random number generator. More... | |
| class | Path |
| single-factor random walk More... | |
| class | PathGenerator |
| Generates random paths using a sequence generator. More... | |
| class | PathPricer |
| base class for path pricers More... | |
| struct | Sample |
| weighted sample More... | |
| class | CalibrationHelper |
| abstract base class for calibration helpers More... | |
| class | BlackCalibrationHelper |
| liquid Black76 market instrument used during calibration More... | |
| class | BatesModel |
| Bates stochastic-volatility model. More... | |
| class | GJRGARCHModel |
| GJR-GARCH model for the stochastic volatility of an asset. More... | |
| class | HestonModel |
| Heston model for the stochastic volatility of an asset. More... | |
| class | HestonModelHelper |
| calibration helper for Heston model More... | |
| class | HestonSLVMCModel |
| class | PiecewiseTimeDependentHestonModel |
| Piecewise time dependent Heston model. More... | |
| class | AccountingEngine |
| Engine collecting cash flows along a market-model simulation. More... | |
| class | MTBrownianGenerator |
| Mersenne-twister Brownian generator for market-model simulations. More... | |
| class | SobolBrownianGeneratorBase |
| Sobol Brownian generator for market-model simulations. More... | |
| class | UpperBoundEngine |
| Market-model engine for upper-bound estimation. More... | |
| class | ConstrainedEvolver |
| Constrained market-model evolver. More... | |
| class | CurveState |
| Curve state for market-model simulations More... | |
| class | CMSwapCurveState |
| Curve state for constant-maturity-swap market models More... | |
| class | CoterminalSwapCurveState |
| Curve state for coterminal-swap market models More... | |
| class | LMMCurveState |
| Curve state for Libor market models More... | |
| class | CMSMMDriftCalculator |
| Drift computation for CMS market models. More... | |
| class | LMMDriftCalculator |
| Drift computation for log-normal Libor market models. More... | |
| class | LMMNormalDriftCalculator |
| Drift computation for normal Libor market models. More... | |
| class | SMMDriftCalculator |
| Drift computation for coterminal swap market models. More... | |
| class | EvolutionDescription |
| Market-model evolution description. More... | |
| class | MarketModelEvolver |
| Market-model evolver. More... | |
| class | LogNormalCmSwapRatePc |
| Predictor-Corrector. More... | |
| class | LogNormalCotSwapRatePc |
| Predictor-Corrector. More... | |
| class | LogNormalFwdRateBalland |
| Iterative Predictor-Corrector. More... | |
| class | LogNormalFwdRateEuler |
| Euler. More... | |
| class | LogNormalFwdRateEulerConstrained |
| euler stepping More... | |
| class | LogNormalFwdRateiBalland |
| Iterative Predictor-Corrector. More... | |
| class | LogNormalFwdRateIpc |
| Iterative Predictor-Corrector. More... | |
| class | LogNormalFwdRatePc |
| Predictor-Corrector. More... | |
| class | MarketModelVolProcess |
| class | NormalFwdRatePc |
| Predictor-Corrector. More... | |
| class | SVDDFwdRatePc |
| class | SquareRootAndersen |
| class | HistoricalForwardRatesAnalysisImpl |
| Historical correlation class More... | |
| class | HistoricalRatesAnalysis |
| Historical rate analysis class More... | |
| class | MarketModel |
| base class for market models More... | |
| class | MarketModelFactory |
| base class for market-model factories More... | |
| class | AbcdVol |
| Abcd-interpolated volatility structure More... | |
| class | MarketModelMultiProduct |
| market-model product More... | |
| class | PathwiseAccountingEngine |
| Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. More... | |
| class | PathwiseVegasAccountingEngine |
| Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More... | |
| class | PathwiseVegasOuterAccountingEngine |
| Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. More... | |
| class | MarketModelPathwiseDiscounter |
| class | OrthogonalizedBumpFinder |
| class | CapPseudoDerivative |
| class | VegaBumpCollection |
| class | MarketModelPathwiseMultiProduct |
| market-model pathwise product More... | |
| class | MarketModelComposite |
| Composition of two or more market-model products. More... | |
| class | MultiProductComposite |
| Composition of one or more market-model products. More... | |
| class | MultiProductMultiStep |
| Multiple-step market-model product. More... | |
| class | MultiProductOneStep |
| Single-step market-model product. More... | |
| class | MarketModelCashRebate |
| class | MultiProductPathwiseWrapper |
| class | MultiStepSwaption |
| class | MarketModelPathwiseMultiCaplet |
| market-model pathwise caplet More... | |
| class | MarketModelPathwiseMultiDeflatedCap |
| class | MarketModelPathwiseCashRebate |
| class | MarketModelPathwiseInverseFloater |
| class | MarketModelPathwiseSwap |
| class | MarketModelPathwiseCoterminalSwaptionsDeflated |
| class | MarketModelPathwiseCoterminalSwaptionsNumericalDeflated |
| class | SingleProductComposite |
| Composition of one or more market-model products. More... | |
| class | AffineModel |
| Affine model class. More... | |
| class | TermStructureConsistentModel |
| Term-structure consistent model class. More... | |
| class | CalibratedModel |
| Calibrated model class. More... | |
| class | ShortRateModel |
| Abstract short-rate model class. More... | |
| class | Parameter |
| Base class for model arguments. More... | |
| class | ConstantParameter |
| Standard constant parameter \( a(t) = a \). More... | |
| class | NullParameter |
| Parameter which is always zero \( a(t) = 0 \) More... | |
| class | PiecewiseConstantParameter |
| Piecewise-constant parameter. More... | |
| class | TermStructureFittingParameter |
| Deterministic time-dependent parameter used for yield-curve fitting. More... | |
| class | CapHelper |
| calibration helper for ATM cap More... | |
| class | SwaptionHelper |
| calibration helper for interest-rate swaptions More... | |
| class | OneFactorModel |
| Single-factor short-rate model abstract class. More... | |
| class | OneFactorAffineModel |
| Single-factor affine base class. More... | |
| class | BlackKarasinski |
| Standard Black-Karasinski model class. More... | |
| class | CoxIngersollRoss |
| Cox-Ingersoll-Ross model class. More... | |
| class | ExtendedCoxIngersollRoss |
| Extended Cox-Ingersoll-Ross model class. More... | |
| class | Gaussian1dModel |
| class | Gsr |
| One factor gsr model, formulation is in forward measure. More... | |
| class | HullWhite |
| Single-factor Hull-White (extended Vasicek) model class. More... | |
| class | MarkovFunctional |
| class | Vasicek |
| Vasicek model class More... | |
| class | TwoFactorModel |
| Abstract base-class for two-factor models. More... | |
| class | G2 |
| Two-additive-factor gaussian model class. More... | |
| class | ConstantEstimator |
| Constant-estimator volatility model. More... | |
| class | Garch11 |
| GARCH volatility model. More... | |
| class | GarmanKlassAbstract |
| Garman-Klass volatility model. More... | |
| class | SimpleLocalEstimator |
| Local-estimator volatility model. More... | |
| class | Money |
| amount of cash More... | |
| class | Lattice |
| Lattice (tree, finite-differences) base class More... | |
| class | Option |
| base option class More... | |
| class | Greeks |
| additional option results More... | |
| class | MoreGreeks |
| more additional option results More... | |
| class | CuriouslyRecurringTemplate |
| Support for the curiously recurring template pattern. More... | |
| class | LazyObject |
| Framework for calculation on demand and result caching. More... | |
| class | Observable |
| Object that notifies its changes to a set of observers. More... | |
| class | ObservableSettings |
| global repository for run-time library settings More... | |
| class | Observer |
| Object that gets notified when a given observable changes. More... | |
| class | Singleton |
| Basic support for the singleton pattern. More... | |
| class | AcyclicVisitor |
| degenerate base class for the Acyclic Visitor pattern More... | |
| class | Visitor |
| Visitor for a specific class More... | |
| class | Payoff |
| Abstract base class for option payoffs. More... | |
| class | IntervalPrice |
| interval price More... | |
| class | PricingEngine |
| interface for pricing engines More... | |
| class | GenericEngine |
| template base class for option pricing engines More... | |
| class | AmericanPayoffAtExpiry |
| Analytic formula for American exercise payoff at-expiry options. More... | |
| class | AmericanPayoffAtHit |
| Analytic formula for American exercise payoff at-hit options. More... | |
| class | AnalyticContinuousGeometricAveragePriceAsianEngine |
| Pricing engine for European continuous geometric average price Asian. More... | |
| class | AnalyticDiscreteGeometricAveragePriceAsianEngine |
| Pricing engine for European discrete geometric average price Asian. More... | |
| class | AnalyticDiscreteGeometricAverageStrikeAsianEngine |
| Pricing engine for European discrete geometric average-strike Asian option. More... | |
| class | ChoiAsianEngine |
| Pricing engine for arithmetic Asian options. More... | |
| class | ContinuousArithmeticAsianLevyEngine |
| Levy engine for continuously averaged arithmetic Asian options. More... | |
| class | MCDiscreteArithmeticAPEngine |
| Monte Carlo pricing engine for discrete arithmetic average price Asian. More... | |
| class | MCDiscreteArithmeticAPHestonEngine |
| Heston MC pricing engine for discrete arithmetic average price Asian. More... | |
| class | MCDiscreteArithmeticASEngine |
| Monte Carlo pricing engine for discrete arithmetic average-strike Asian. More... | |
| class | MCDiscreteGeometricAPEngine |
| Monte Carlo pricing engine for discrete geometric average price Asian. More... | |
| class | MCDiscreteGeometricAPHestonEngine |
| Heston MC pricing engine for discrete geometric average price Asian. More... | |
| class | MCDiscreteAveragingAsianEngineBase |
| Pricing engine for discrete average Asians using Monte Carlo simulation. More... | |
| class | TurnbullWakemanAsianEngine |
| class | BachelierCalculator |
| Bachelier calculator class. More... | |
| class | AnalyticBarrierEngine |
| Pricing engine for barrier options using analytical formulae. More... | |
| class | AnalyticBinaryBarrierEngine |
| Analytic pricing engine for American binary barriers options. More... | |
| class | AnalyticDoubleBarrierBinaryEngine |
| Analytic pricing engine for double barrier binary options. More... | |
| class | AnalyticDoubleBarrierEngine |
| Pricing engine for double barrier european options using analytical formulae. More... | |
| class | AnalyticPartialTimeBarrierOptionEngine |
| analytic engine for partial-time barrier options. More... | |
| class | AnalyticSoftBarrierEngine |
| Pricing engine for soft barrier european options using an analytical formula. More... | |
| class | AnalyticTwoAssetBarrierEngine |
| Analytic engine for barrier option on two assets. More... | |
| class | BinomialBarrierEngine |
| Pricing engine for barrier options using binomial trees. More... | |
| class | FdBlackScholesBarrierEngine |
| Finite-differences Black/Scholes barrier-option engine. More... | |
| class | FdBlackScholesRebateEngine |
| Finite-differences Black/Scholes barrier-option rebate helper engine. More... | |
| class | FdHestonBarrierEngine |
| Finite-differences Heston barrier-option engine. More... | |
| class | FdHestonDoubleBarrierEngine |
| Finite-Differences Heston Double Barrier Option engine. More... | |
| class | FdHestonRebateEngine |
| Finite-differences Heston barrier-option rebate helper engine. More... | |
| class | MCBarrierEngine |
| Pricing engine for barrier options using Monte Carlo simulation. More... | |
| class | MakeMCBarrierEngine |
| Monte Carlo barrier-option engine factory. More... | |
| class | BjerksundStenslandSpreadEngine |
| Pricing engine for spread option on two futures. More... | |
| class | ChoiBasketEngine |
| Pricing engine for basket option on multiple underlyings. More... | |
| class | DengLiZhouBasketEngine |
| Pricing engine for basket option on multiple underlyings. More... | |
| class | Fd2dBlackScholesVanillaEngine |
| Two dimensional finite-differences Black Scholes vanilla option engine. More... | |
| class | FdndimBlackScholesVanillaEngine |
| n-dimensional finite-differences Black Scholes vanilla option engine More... | |
| class | KirkEngine |
| Pricing engine for spread option on two futures. More... | |
| class | MCAmericanBasketEngine |
| least-square Monte Carlo engine More... | |
| class | MakeMCAmericanBasketEngine |
| Monte Carlo American basket-option engine factory. More... | |
| class | MCEuropeanBasketEngine |
| Pricing engine for European basket options using Monte Carlo simulation. More... | |
| class | MakeMCEuropeanBasketEngine |
| Monte Carlo basket-option engine factory. More... | |
| class | OperatorSplittingSpreadEngine |
| Pricing engine for spread options with two assets. More... | |
| class | SingleFactorBsmBasketEngine |
| Pricing engine for baskets where all underlyings are driven by one stochastic factor. More... | |
| class | StulzEngine |
| Pricing engine for 2D European Baskets. More... | |
| class | BlackCalculator |
| Black 1976 calculator class. More... | |
| class | BlackDeltaCalculator |
| Black delta calculator class. More... | |
| class | BlackDeltaPremiumAdjustedSolverClass |
| class | BlackDeltaPremiumAdjustedMaxStrikeClass |
| class | BlackScholesCalculator |
| Black-Scholes 1973 calculator class. More... | |
| class | BinomialConvertibleEngine |
| Binomial Tsiveriotis-Fernandes engine for convertible bonds. More... | |
| struct | BondFunctions |
| Bond adapters of CashFlows functions. More... | |
| class | DiscountingBondEngine |
| Discounting engine for bonds. More... | |
| class | RiskyBondEngine |
| Risky pricing engine for bonds. More... | |
| class | AnalyticCapFloorEngine |
| Analytic engine for cap/floor. More... | |
| class | BachelierCapFloorEngine |
| Bachelier-Black-formula cap/floor engine. More... | |
| class | BlackCapFloorEngine |
| Black-formula cap/floor engine. More... | |
| class | Gaussian1dCapFloorEngine |
| Gaussian1d cap/floor engine. More... | |
| class | MCHullWhiteCapFloorEngine |
| Monte Carlo Hull-White engine for cap/floors. More... | |
| class | MakeMCHullWhiteCapFloorEngine |
| Monte Carlo Hull-White cap-floor engine factory. More... | |
| class | TreeCapFloorEngine |
| Numerical lattice engine for cap/floors. More... | |
| class | AnalyticCliquetEngine |
| Pricing engine for Cliquet options using analytical formulae. More... | |
| class | AnalyticPerformanceEngine |
| Pricing engine for performance options using analytical formulae. More... | |
| class | MCPerformanceEngine |
| Pricing engine for performance options using Monte Carlo simulation. More... | |
| class | MakeMCPerformanceEngine |
| Monte Carlo performance-option engine factory. More... | |
| class | IsdaCdsEngine |
| class | AnalyticAmericanMargrabeEngine |
| Analytic engine for American Margrabe option. More... | |
| class | AnalyticCompoundOptionEngine |
| Pricing engine for compound options using analytical formulae. More... | |
| class | AnalyticEuropeanMargrabeEngine |
| Analytic engine for European Margrabe option. More... | |
| class | AnalyticHolderExtensibleOptionEngine |
| Analytic enging for holder-extensible options. More... | |
| class | AnalyticSimpleChooserEngine |
| Pricing engine for European simple chooser option. More... | |
| class | AnalyticTwoAssetCorrelationEngine |
| Analytic two-asset correlation option engine. More... | |
| class | AnalyticWriterExtensibleOptionEngine |
| Analytic engine for writer-extensible options. More... | |
| class | ForwardVanillaEngine |
| Forward engine for vanilla options More... | |
| class | ForwardPerformanceVanillaEngine |
| Forward performance engine for vanilla options More... | |
| class | MCForwardEuropeanBSEngine |
| class | MCForwardEuropeanHestonEngine |
| class | MCForwardVanillaEngine |
| Monte Carlo engine for forward-starting vanilla options. More... | |
| class | MCVarianceSwapEngine |
| Variance-swap pricing engine using Monte Carlo simulation,. More... | |
| class | MakeMCVarianceSwapEngine |
| Monte Carlo variance-swap engine factory. More... | |
| class | ReplicatingVarianceSwapEngine |
| Variance-swap pricing engine using replicating cost,. More... | |
| class | DiscountingPerpetualFuturesEngine |
| Discounting engine for perpetual futures. More... | |
| class | GenericModelEngine |
| Base class for some pricing engine on a particular model. More... | |
| class | YoYInflationCapFloorEngine |
| Base YoY inflation cap/floor engine. More... | |
| class | YoYInflationBlackCapFloorEngine |
| Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer). More... | |
| class | YoYInflationUnitDisplacedBlackCapFloorEngine |
| Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer). More... | |
| class | YoYInflationBachelierCapFloorEngine |
| Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer). More... | |
| class | LatticeShortRateModelEngine |
| Engine for a short-rate model specialized on a lattice. More... | |
| class | AnalyticContinuousFixedLookbackEngine |
| Pricing engine for European continuous fixed-strike lookback. More... | |
| class | AnalyticContinuousFloatingLookbackEngine |
| Pricing engine for European continuous floating-strike lookback. More... | |
| class | AnalyticContinuousPartialFixedLookbackEngine |
| Pricing engine for European continuous partial-time fixed-strike lookback options. More... | |
| class | AnalyticContinuousPartialFloatingLookbackEngine |
| Pricing engine for European continuous partial-time floating-strike lookback option. More... | |
| class | MCLookbackEngine |
| Monte Carlo lookback-option engine. More... | |
| class | MakeMCLookbackEngine |
| Monte Carlo lookback-option engine factory. More... | |
| class | MCLongstaffSchwartzEngine |
| Longstaff-Schwarz Monte Carlo engine for early exercise options. More... | |
| class | McSimulation |
| base class for Monte Carlo engines More... | |
| class | QuantoEngine |
| Quanto engine. More... | |
| class | CounterpartyAdjSwapEngine |
| class | DiscountingSwapEngine |
| Discounting engine for swaps. More... | |
| class | TreeVanillaSwapEngine |
| Numerical lattice engine for simple swaps. More... | |
| class | BlackSwaptionEngine |
| Shifted Lognormal Black-formula swaption engine. More... | |
| class | BachelierSwaptionEngine |
| Normal Bachelier-formula swaption engine. More... | |
| class | G2SwaptionEngine |
| Swaption priced by means of the Black formula More... | |
| class | Gaussian1dFloatFloatSwaptionEngine |
| One factor model float float swaption engine. More... | |
| class | Gaussian1dJamshidianSwaptionEngine |
| Jamshidian swaption engine. More... | |
| class | Gaussian1dNonstandardSwaptionEngine |
| One factor model non standard swaption engine. More... | |
| class | Gaussian1dSwaptionEngine |
| One factor model swaption engine. More... | |
| class | JamshidianSwaptionEngine |
| Jamshidian swaption engine. More... | |
| class | TreeSwaptionEngine |
| Numerical lattice engine for swaptions. More... | |
| class | AnalyticBSMHullWhiteEngine |
| analytic european option pricer including stochastic interest rates More... | |
| class | CEVCalculator |
| constant elasticity of variance process (absorbing boundary at f=0) More... | |
| class | AnalyticDigitalAmericanEngine |
| Analytic pricing engine for American vanilla options with digital payoff. More... | |
| class | AnalyticDigitalAmericanKOEngine |
| Analytic pricing engine for American Knock-out options with digital payoff. More... | |
| class | AnalyticDividendEuropeanEngine |
| Analytic pricing engine for European options with discrete dividends. More... | |
| class | AnalyticEuropeanEngine |
| Pricing engine for European vanilla options using analytical formulae. More... | |
| class | AnalyticBlackVasicekEngine |
| class | AnalyticGJRGARCHEngine |
| GJR-GARCH(1,1) engine. More... | |
| class | AnalyticH1HWEngine |
| Analytic Heston-Hull-White engine based on the H1-HW approximation. More... | |
| class | AnalyticHestonEngine |
| analytic Heston-model engine based on Fourier transform More... | |
| class | AnalyticHestonHullWhiteEngine |
| Analytic Heston engine incl. stochastic interest rates. More... | |
| class | AnalyticPDFHestonEngine |
| Analytic engine for arbitrary European payoffs under the Heston model. More... | |
| class | AnalyticPTDHestonEngine |
| analytic piecewise constant time dependent Heston-model engine More... | |
| class | BaroneAdesiWhaleyApproximationEngine |
| Barone-Adesi and Whaley pricing engine for American options (1987). More... | |
| class | BatesEngine |
| Bates model engines based on Fourier transform. More... | |
| class | BinomialVanillaEngine |
| Pricing engine for vanilla options using binomial trees. More... | |
| class | BjerksundStenslandApproximationEngine |
| Bjerksund and Stensland pricing engine for American options (1993). More... | |
| class | CashDividendEuropeanEngine |
| (Semi)-Analytic pricing engine for European options with cash dividends More... | |
| class | COSHestonEngine |
| COS-method Heston engine based on efficient Fourier series expansions. More... | |
| class | ExponentialFittingHestonEngine |
| analytic Heston-model engine based on More... | |
| class | FdBatesVanillaEngine |
| Partial integro finite-differences Bates vanilla option engine. More... | |
| class | FdBlackScholesVanillaEngine |
| Finite-differences Black Scholes vanilla option engine. More... | |
| class | FdCIRVanillaEngine |
| Finite-differences CIR vanilla option engine. More... | |
| class | FdHestonHullWhiteVanillaEngine |
| Finite-differences Heston Hull-White vanilla option engine. More... | |
| class | FdHestonVanillaEngine |
| Finite-differences Heston vanilla option engine. More... | |
| class | HestonExpansionEngine |
| Heston-model engine for European options based on analytic expansions. More... | |
| class | HestonExpansion |
| class | LPP2HestonExpansion |
| class | LPP3HestonExpansion |
| class | FordeHestonExpansion |
| class | IntegralEngine |
| Pricing engine for European vanilla options using integral approach. More... | |
| class | JumpDiffusionEngine |
| Jump-diffusion engine for vanilla options. More... | |
| class | JuQuadraticApproximationEngine |
| Pricing engine for American options with Ju quadratic approximation. More... | |
| class | MCAmericanEngine |
| American Monte Carlo engine. More... | |
| class | MakeMCAmericanEngine |
| Monte Carlo American engine factory. More... | |
| class | MCDigitalEngine |
| Pricing engine for digital options using Monte Carlo simulation. More... | |
| class | MakeMCDigitalEngine |
| Monte Carlo digital engine factory. More... | |
| class | MCEuropeanEngine |
| European option pricing engine using Monte Carlo simulation. More... | |
| class | MakeMCEuropeanEngine |
| Monte Carlo European engine factory. More... | |
| class | MCEuropeanGJRGARCHEngine |
| Monte Carlo GJR-GARCH-model engine for European options. More... | |
| class | MakeMCEuropeanGJRGARCHEngine |
| Monte Carlo GJR-GARCH European engine factory. More... | |
| class | MCEuropeanHestonEngine |
| Monte Carlo Heston-model engine for European options. More... | |
| class | MakeMCEuropeanHestonEngine |
| Monte Carlo Heston European engine factory. More... | |
| class | MakeMCHestonHullWhiteEngine |
| Monte Carlo Heston/Hull-White engine factory. More... | |
| class | MCVanillaEngine |
| Pricing engine for vanilla options using Monte Carlo simulation. More... | |
| class | QdFpIterationScheme |
| Iteration scheme for fixed-point QD American engine. More... | |
| class | QdFpLegendreScheme |
| Gauss-Legendre (l,m,n)-p Scheme. More... | |
| class | QdFpLegendreTanhSinhScheme |
| Legendre-Tanh-Sinh (l,m,n)-eps Scheme. More... | |
| class | QdFpTanhSinhIterationScheme |
| tanh-sinh (m,n)-eps Scheme More... | |
| class | QdFpAmericanEngine |
| High performance/precision American engine based on fixed point iteration for the exercise boundary. More... | |
| class | QdPlusAmericanEngine |
| American engine based on the QD+ approximation to the exercise boundary. More... | |
| class | BatesProcess |
| Square-root stochastic-volatility Bates process. More... | |
| class | GeneralizedBlackScholesProcess |
| Generalized Black-Scholes stochastic process. More... | |
| class | BlackScholesProcess |
| Black-Scholes (1973) stochastic process. More... | |
| class | BlackScholesMertonProcess |
| Merton (1973) extension to the Black-Scholes stochastic process. More... | |
| class | BlackProcess |
| Black (1976) stochastic process. More... | |
| class | GarmanKohlagenProcess |
| Garman-Kohlhagen (1983) stochastic process. More... | |
| class | CoxIngersollRossProcess |
| CoxIngersollRoss process class. More... | |
| class | EndEulerDiscretization |
| Euler end-point discretization for stochastic processes. More... | |
| class | EulerDiscretization |
| Euler discretization for stochastic processes. More... | |
| class | ForwardMeasureProcess |
| forward-measure stochastic process More... | |
| class | ForwardMeasureProcess1D |
| forward-measure 1-D stochastic process More... | |
| class | G2Process |
| G2 stochastic process More... | |
| class | G2ForwardProcess |
| Forward G2 stochastic process More... | |
| class | GeometricBrownianMotionProcess |
| Geometric brownian-motion process. More... | |
| class | GJRGARCHProcess |
| Stochastic-volatility GJR-GARCH(1,1) process. More... | |
| class | GsrProcess |
| GSR stochastic process. More... | |
| class | HestonProcess |
| Square-root stochastic-volatility Heston process. More... | |
| class | HullWhiteProcess |
| Hull-White stochastic process. More... | |
| class | HullWhiteForwardProcess |
| Forward Hull-White stochastic process More... | |
| class | HybridHestonHullWhiteProcess |
| Hybrid Heston Hull-White stochastic process. More... | |
| class | Merton76Process |
| Merton-76 jump-diffusion process. More... | |
| class | MfStateProcess |
| Markov functional state process class. More... | |
| class | OrnsteinUhlenbeckProcess |
| Ornstein-Uhlenbeck process class. More... | |
| class | SquareRootProcess |
| Square-root process class. More... | |
| class | StochasticProcessArray |
| Array of correlated 1-D stochastic processes More... | |
| class | Quote |
| purely virtual base class for market observables More... | |
| class | CompositeQuote |
| market element whose value depends on two other market element More... | |
| class | DeltaVolQuote |
| Class for the quotation of delta vs vol. More... | |
| class | DerivedQuote |
| market quote whose value depends on another quote More... | |
| class | EurodollarFuturesImpliedStdDevQuote |
| quote for the Eurodollar-future implied standard deviation More... | |
| class | ForwardSwapQuote |
| Quote for a forward starting swap. More... | |
| class | ForwardValueQuote |
| quote for the forward value of an index More... | |
| class | FuturesConvAdjustmentQuote |
| quote for the futures-convexity adjustment of an index More... | |
| class | ImpliedStdDevQuote |
| quote for the implied standard deviation of an underlying More... | |
| class | LastFixingQuote |
| Quote adapter for the last fixing available of a given Index. More... | |
| class | SimpleQuote |
| market element returning a stored value More... | |
| class | RebatedExercise |
| Rebated exercise. More... | |
| class | Settings |
| global repository for run-time library settings More... | |
| class | StochasticProcess |
| multi-dimensional stochastic process class. More... | |
| class | StochasticProcess1D |
| 1-dimensional stochastic process More... | |
| class | TermStructure |
| Basic term-structure functionality. More... | |
| class | BootstrapError |
| class | BootstrapHelper |
| Base helper class for bootstrapping. More... | |
| class | RelativeDateBootstrapHelper |
| Bootstrap helper with date schedule relative to global evaluation date. More... | |
| class | DefaultDensityStructure |
| Default-density term structure. More... | |
| class | CdsHelper |
| Base class for CDS helpers. More... | |
| class | SpreadCdsHelper |
| Spread-quoted CDS hazard rate bootstrap helper. More... | |
| class | UpfrontCdsHelper |
| Upfront-quoted CDS hazard rate bootstrap helper. More... | |
| class | FlatHazardRate |
| Flat hazard-rate curve. More... | |
| class | HazardRateStructure |
| Hazard-rate term structure. More... | |
| class | InterpolatedDefaultDensityCurve |
| DefaultProbabilityTermStructure based on interpolation of default densities. More... | |
| class | InterpolatedHazardRateCurve |
| DefaultProbabilityTermStructure based on interpolation of hazard rates. More... | |
| class | InterpolatedSurvivalProbabilityCurve |
| DefaultProbabilityTermStructure based on interpolation of survival probabilities. More... | |
| class | PiecewiseDefaultCurve |
| Piecewise default-probability term structure. More... | |
| struct | SurvivalProbability |
| Survival-Probability-curve traits. More... | |
| struct | HazardRate |
| Hazard-rate-curve traits. More... | |
| struct | DefaultDensity |
| Default-density-curve traits. More... | |
| class | SurvivalProbabilityStructure |
| Hazard-rate term structure. More... | |
| class | DefaultProbabilityTermStructure |
| Default probability term structure. More... | |
| class | GlobalBootstrap |
| class | ZeroCouponInflationSwapHelper |
| Zero-coupon inflation-swap bootstrap helper. More... | |
| class | YearOnYearInflationSwapHelper |
| Year-on-year inflation-swap bootstrap helper. More... | |
| class | ZeroInflationTraits |
| Bootstrap traits to use for PiecewiseZeroInflationCurve. More... | |
| class | YoYInflationTraits |
| Bootstrap traits to use for PiecewiseZeroInflationCurve. More... | |
| class | InterpolatedYoYInflationCurve |
| Inflation term structure based on interpolated year-on-year rates. More... | |
| class | InterpolatedZeroInflationCurve |
| Inflation term structure based on the interpolation of zero rates. More... | |
| class | PiecewiseYoYInflationCurve |
| Piecewise year-on-year inflation term structure. More... | |
| class | PiecewiseZeroInflationCurve |
| Piecewise zero-inflation term structure. More... | |
| class | Seasonality |
| A transformation of an existing inflation swap rate. More... | |
| class | MultiplicativePriceSeasonality |
| Multiplicative seasonality in the price index (CPI/RPI/HICP/etc). More... | |
| class | InflationTermStructure |
| Interface for inflation term structures. More... | |
| class | ZeroInflationTermStructure |
| Interface for zero inflation term structures. More... | |
| class | YoYInflationTermStructure |
| Base class for year-on-year inflation term structures. More... | |
| class | InterpolatedCurve |
| Helper class to build interpolated term structures. More... | |
| class | IterativeBootstrap |
| Universal piecewise-term-structure boostrapper. More... | |
| class | PenaltyFunction |
| class | LocalBootstrap |
| Localised-term-structure bootstrapper for most curve types. More... | |
| class | MultiCurve |
| class | AbcdFunction |
| Abcd functional form for instantaneous volatility More... | |
| class | CapFloorTermVolatilityStructure |
| Cap/floor term-volatility structure. More... | |
| class | CapFloorTermVolCurve |
| Cap/floor at-the-money term-volatility vector. More... | |
| class | CapFloorTermVolSurface |
| Cap/floor smile volatility surface. More... | |
| class | ConstantCapFloorTermVolatility |
| Constant caplet volatility, no time-strike dependence. More... | |
| class | AndreasenHugeVolatilityInterpl |
| Calibration of a local volatility surface to a sparse grid of options. More... | |
| class | BlackConstantVol |
| Constant Black volatility, no time-strike dependence. More... | |
| class | BlackVarianceCurve |
| Black volatility curve modelled as variance curve. More... | |
| class | BlackVarianceSurface |
| Black volatility surface modelled as variance surface. More... | |
| class | BlackVolTermStructure |
| Black-volatility term structure. More... | |
| class | BlackVolatilityTermStructure |
| Black-volatility term structure. More... | |
| class | BlackVarianceTermStructure |
| Black variance term structure. More... | |
| class | ImpliedVolTermStructure |
| Implied vol term structure at a given date in the future. More... | |
| class | LocalConstantVol |
| Constant local volatility, no time-strike dependence. More... | |
| class | LocalVolCurve |
| Local volatility curve derived from a Black curve. More... | |
| class | LocalVolSurface |
| Local volatility surface derived from a Black vol surface. More... | |
| class | LocalVolTermStructure |
| class | Gaussian1dSmileSection |
| class | ConstantCPIVolatility |
| Constant surface, no K or T dependence. More... | |
| class | CPIVolatilitySurface |
| zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures More... | |
| class | YoYOptionletVolatilitySurface |
| class | ConstantYoYOptionletVolatility |
| Constant surface, no K or T dependence. More... | |
| class | ConstantOptionletVolatility |
| Constant caplet volatility, no time-strike dependence. More... | |
| class | OptionletStripper |
| class | OptionletStripper1 |
| class | OptionletStripper2 |
| class | OptionletVolatilityStructure |
| Optionlet (caplet/floorlet) volatility structure. More... | |
| class | StrippedOptionlet |
| class | StrippedOptionletAdapter |
| class | StrippedOptionletBase |
| class | SmileSection |
| interest rate volatility smile section More... | |
| class | SmileSectionUtils |
| class | CmsMarket |
| set of CMS quotes More... | |
| class | InterpolatedSwaptionVolatilityCube |
| Interpolated Swaption Volatility Cube. More... | |
| class | XabrSwaptionVolatilityCube |
| XABR Swaption Volatility Cube. More... | |
| struct | SwaptionVolCubeSabrModel |
| Swaption Volatility Cube SABR. More... | |
| class | ConstantSwaptionVolatility |
| Constant swaption volatility, no time-strike dependence. More... | |
| class | SwaptionVolatilityCube |
| swaption-volatility cube More... | |
| class | SwaptionVolatilityMatrix |
| At-the-money swaption-volatility matrix. More... | |
| class | SwaptionVolatilityStructure |
| Swaption-volatility structure More... | |
| class | VolatilityTermStructure |
| Volatility term structure. More... | |
| class | BondHelper |
| Bond helper for curve bootstrap. More... | |
| class | FixedRateBondHelper |
| Fixed-coupon bond helper for curve bootstrap. More... | |
| class | CPIBondHelper |
| CPI bond helper for curve bootstrap. More... | |
| struct | Discount |
| Discount-curve traits. More... | |
| struct | ZeroYield |
| Zero-curve traits. More... | |
| struct | ForwardRate |
| Forward-curve traits. More... | |
| struct | SimpleZeroYield |
| Simple Zero-curve traits. More... | |
| class | InterpolatedDiscountCurve |
| YieldTermStructure based on interpolation of discount factors. More... | |
| class | FittedBondDiscountCurve |
| Discount curve fitted to a set of fixed-coupon bonds. More... | |
| class | FlatForward |
| Flat interest-rate curve. More... | |
| class | InterpolatedForwardCurve |
| YieldTermStructure based on interpolation of forward rates. More... | |
| class | ForwardSpreadedTermStructure |
| Term structure with added spread on the instantaneous forward rate. More... | |
| class | ForwardRateStructure |
| Forward-rate term structure More... | |
| class | ImpliedTermStructure |
| Implied term structure at a given date in the future. More... | |
| class | InterpolatedSimpleZeroCurve |
| YieldTermStructure based on interpolation of zero rates. More... | |
| class | ExponentialSplinesFitting |
| Exponential-splines fitting method. More... | |
| class | NelsonSiegelFitting |
| Nelson-Siegel fitting method. More... | |
| class | SvenssonFitting |
| Svensson Fitting method. More... | |
| class | CubicBSplinesFitting |
| CubicSpline B-splines fitting method. More... | |
| class | NaturalCubicFitting |
| Natural cubic spline fitting method. More... | |
| class | SimplePolynomialFitting |
| Simple polynomial fitting method. More... | |
| class | SpreadFittingMethod |
| Spread fitting method helper. More... | |
| class | OISRateHelper |
| Rate helper for bootstrapping over Overnight Indexed Swap rates. More... | |
| class | DatedOISRateHelper |
| class | OvernightIndexFutureRateHelper |
| RateHelper for bootstrapping over overnight compounding futures. More... | |
| class | SofrFutureRateHelper |
| RateHelper for bootstrapping over CME SOFR futures. More... | |
| class | InterpolatedPiecewiseForwardSpreadedTermStructure |
| Term structure with an added vector of spreads on the instantaneous forward rate. More... | |
| class | PiecewiseSpreadYieldCurve |
| Piecewise spread yield term structure. More... | |
| class | PiecewiseYieldCurve |
| Piecewise yield term structure. More... | |
| class | InterpolatedPiecewiseZeroSpreadedTermStructure |
| Yield curve with an added vector of spreads on the zero-yield rate. More... | |
| class | QuantoTermStructure |
| Quanto term structure. More... | |
| class | FuturesRateHelper |
| Rate helper for bootstrapping over IborIndex futures prices. More... | |
| class | DepositRateHelper |
| Rate helper for bootstrapping over deposit rates. More... | |
| class | FraRateHelper |
| Rate helper for bootstrapping over FRA rates. More... | |
| class | SwapRateHelper |
| Rate helper for bootstrapping over swap rates. More... | |
| class | BMASwapRateHelper |
| Rate helper for bootstrapping over BMA swap rates. More... | |
| class | FxSwapRateHelper |
| Rate helper for bootstrapping over Fx Swap rates. More... | |
| class | InterpolatedSpreadDiscountCurve |
| class | UltimateForwardTermStructure |
| Ultimate forward term structure. More... | |
| class | InterpolatedZeroCurve |
| YieldTermStructure based on interpolation of zero rates. More... | |
| class | ZeroSpreadedTermStructure |
| Term structure with an added spread on the zero yield rate. More... | |
| class | ZeroYieldStructure |
| Zero-yield term structure. More... | |
| class | YieldTermStructure |
| Interest-rate term structure. More... | |
| struct | ASX |
| Main cycle of the Australian Securities Exchange (a.k.a. ASX) months. More... | |
| class | Calendar |
| calendar class More... | |
| class | Argentina |
| Argentinian calendars. More... | |
| class | Australia |
| Australian calendar. More... | |
| class | Austria |
| Austrian calendars. More... | |
| class | BespokeCalendar |
| Bespoke calendar. More... | |
| class | Botswana |
| Botswana calendar. More... | |
| class | Brazil |
| Brazilian calendar. More... | |
| class | Canada |
| Canadian calendar. More... | |
| class | Chile |
| Chilean calendars. More... | |
| class | China |
| Chinese calendar. More... | |
| class | CzechRepublic |
| Czech calendars. More... | |
| class | Denmark |
| Danish calendar. More... | |
| class | Finland |
| Finnish calendar. More... | |
| class | France |
| French calendars. More... | |
| class | Germany |
| German calendars. More... | |
| class | HongKong |
| Hong Kong calendars. More... | |
| class | Hungary |
| Hungarian calendar. More... | |
| class | Iceland |
| Icelandic calendars. More... | |
| class | India |
| Indian calendars. More... | |
| class | Indonesia |
| Indonesian calendars More... | |
| class | Israel |
| Israel calendar. More... | |
| class | Italy |
| Italian calendars. More... | |
| class | Japan |
| Japanese calendar. More... | |
| class | JointCalendar |
| Joint calendar. More... | |
| class | Mexico |
| Mexican calendars More... | |
| class | NewZealand |
| New Zealand calendar. More... | |
| class | Norway |
| Norwegian calendar. More... | |
| class | NullCalendar |
| Calendar for reproducing theoretical calculations. More... | |
| class | Poland |
| Polish calendar. More... | |
| class | Romania |
| Romanian calendars. More... | |
| class | Russia |
| Russian calendars. More... | |
| class | SaudiArabia |
| Saudi Arabian calendar. More... | |
| class | Singapore |
| Singapore calendars More... | |
| class | Slovakia |
| Slovak calendars. More... | |
| class | SouthAfrica |
| South-African calendar. More... | |
| class | SouthKorea |
| South Korean calendars. More... | |
| class | Sweden |
| Swedish calendar. More... | |
| class | Switzerland |
| Swiss calendar. More... | |
| class | Taiwan |
| Taiwanese calendars. More... | |
| class | TARGET |
| TARGET calendar More... | |
| class | Thailand |
| Thailand calendars More... | |
| class | Turkey |
| Turkish calendar. More... | |
| class | Ukraine |
| Ukrainian calendars. More... | |
| class | UnitedKingdom |
| United Kingdom calendars. More... | |
| class | UnitedStates |
| United States calendars. More... | |
| class | WeekendsOnly |
| Weekends-only calendar. More... | |
| class | Date |
| Concrete date class. More... | |
| struct | DateGeneration |
| Date-generation rule. More... | |
| class | DayCounter |
| day counter class More... | |
| class | Actual360 |
| Actual/360 day count convention. More... | |
| class | Actual364 |
| Actual/364 day count convention. More... | |
| class | Actual36525 |
| Actual/365.25 day count convention. More... | |
| class | Actual365Fixed |
| Actual/365 (Fixed) day count convention. More... | |
| class | Actual366 |
| Actual/366 day count convention. More... | |
| class | ActualActual |
| Actual/Actual day count. More... | |
| class | Business252 |
| Business/252 day count convention. More... | |
| class | OneDayCounter |
| 1/1 day count convention More... | |
| class | SimpleDayCounter |
| Simple day counter for reproducing theoretical calculations. More... | |
| class | Thirty360 |
| 30/360 day count convention More... | |
| class | Thirty365 |
| 30/365 day count convention More... | |
| struct | ECB |
| European Central Bank reserve maintenance dates. More... | |
| struct | IMM |
| Main cycle of the International Money Market (a.k.a. IMM) months. More... | |
| class | Period |
| class | Schedule |
| Payment schedule. More... | |
| class | MakeSchedule |
| helper class More... | |
| class | TimeGrid |
| time grid class More... | |
| class | TimeSeries |
| Container for historical data. More... | |
| class | Clone |
| cloning proxy to an underlying object More... | |
| class | Null |
| template class providing a null value for a given type. More... | |
| class | ObservableValue |
| observable and assignable proxy to concrete value More... | |
| class | step_iterator |
| Iterator advancing in constant steps. More... | |
Typedefs | |
| typedef std::vector< ext::shared_ptr< CashFlow > > | Leg |
| Sequence of cash-flows. | |
| typedef MultipleResetsCoupon | SubPeriodsCoupon |
| typedef MultipleResetsPricer | SubPeriodsPricer |
| typedef AveragingMultipleResetsPricer | AveragingRatePricer |
| typedef CompoundingMultipleResetsPricer | CompoundingRatePricer |
| typedef TenorOptionletVTS::CorrelationStructure | TenorOptionletVTSCorrelationStructure |
| typedef std::map< std::string, ext::any > | SecondaryCosts |
| typedef std::map< std::string, Money > | SecondaryCostAmounts |
| typedef std::vector< PricingError > | PricingErrors |
| typedef std::map< Date, ext::shared_ptr< CommodityCashFlow > > | CommodityCashFlows |
| typedef std::map< Date, EnergyDailyPosition > | EnergyDailyPositions |
| typedef std::map< Date, ExchangeContract > | ExchangeContracts |
| typedef std::vector< ext::shared_ptr< PricingPeriod > > | PricingPeriods |
| typedef BaseCorrelationLossModel< GaussianLHPLossModel, BilinearInterpolation > | GaussianLHPFlatBCLM |
| typedef BinomialLossModel< GaussianConstantLossLM > | GaussianBinomialLossModel |
| typedef BinomialLossModel< TConstantLossLM > | TBinomialLossModel |
| typedef ConstantLossLatentmodel< GaussianCopulaPolicy > | GaussianConstantLossLM |
| typedef ConstantLossLatentmodel< TCopulaPolicy > | TConstantLossLM |
| typedef DefaultLatentModel< GaussianCopulaPolicy > | GaussianDefProbLM |
| typedef DefaultLatentModel< TCopulaPolicy > | TDefProbLM |
| typedef HomogeneousPoolLossModel< GaussianCopulaPolicy > | HomogGaussPoolLossModel |
| typedef HomogeneousPoolLossModel< TCopulaPolicy > | HomogTPoolLossModel |
| typedef InhomogeneousPoolLossModel< GaussianCopulaPolicy > | IHGaussPoolLossModel |
| typedef InhomogeneousPoolLossModel< TCopulaPolicy > | IHStudentPoolLossModel |
| typedef std::set< ext::shared_ptr< DefaultEvent >, earlier_than< ext::shared_ptr< DefaultEvent > > > | DefaultEventSet |
| typedef RandomDefaultLM< GaussianCopulaPolicy > | GaussianRandomDefaultLM |
| typedef RandomDefaultLM< TCopulaPolicy > | TRandomDefaultLM |
| typedef RandomLossLM< GaussianCopulaPolicy > | GaussianRandomLossLM |
| typedef RandomLossLM< TCopulaPolicy > | TRandomLossLM |
| typedef RecursiveLossModel< GaussianCopulaPolicy > | RecursiveGaussLossModel |
| typedef SpotRecoveryLatentModel< GaussianCopulaPolicy > | GaussianSpotLossLM |
| typedef SpotRecoveryLatentModel< TCopulaPolicy > | TSpotLossLM |
| typedef HybridSimulatedAnnealing< SamplerGaussian, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingTrivial > | GaussianSimulatedAnnealing |
| typedef HybridSimulatedAnnealing< SamplerLogNormal, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingTrivial > | LogNormalSimulatedAnnealing |
| typedef HybridSimulatedAnnealing< SamplerMirrorGaussian, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingTrivial > | MirrorGaussianSimulatedAnnealing |
| typedef HybridSimulatedAnnealing< SamplerGaussian, ProbabilityBoltzmannDownhill, TemperatureExponential, ReannealingFiniteDifferences > | GaussianSimulatedReAnnealing |
| typedef HybridSimulatedAnnealing< SamplerVeryFastAnnealing, ProbabilityBoltzmannDownhill, TemperatureVeryFastAnnealing, ReannealingTrivial > | VeryFastSimulatedAnnealing |
| typedef HybridSimulatedAnnealing< SamplerVeryFastAnnealing, ProbabilityBoltzmannDownhill, TemperatureVeryFastAnnealing, ReannealingFiniteDifferences > | VeryFastSimulatedReAnnealing |
| typedef XabrSwaptionVolatilityCube< SwaptionVolCubeNoArbSabrModel > | NoArbSabrSwaptionVolatilityCube |
| no-arbitrage SABR volatility cube for swaptions | |
| typedef Tonar | Tona |
| typedef std::vector< ext::shared_ptr< Callability > > | CallabilitySchedule |
| typedef std::vector< ext::shared_ptr< Dividend > > | DividendSchedule |
| typedef BivariateCumulativeNormalDistributionWe04DP | BivariateCumulativeNormalDistribution |
| default bivariate implementation | |
| typedef NormalDistribution | GaussianDistribution |
| typedef InverseCumulativeNormal | InvCumulativeNormalDistribution |
| typedef detail::GaussianQuadratureIntegrator< GaussLegendreIntegration > | GaussLegendreIntegrator |
| typedef detail::GaussianQuadratureIntegrator< GaussChebyshevIntegration > | GaussChebyshevIntegrator |
| typedef detail::GaussianQuadratureIntegrator< GaussChebyshev2ndIntegration > | GaussChebyshev2ndIntegrator |
| typedef detail::SplineGrid | SplineGrid |
| typedef boost::numeric::ublas::compressed_matrix< Real > | SparseMatrix |
| typedef boost::numeric::ublas::matrix_reference< SparseMatrix > | SparseMatrixReference |
| typedef Ranlux64UniformRng< 223, 24 > | Ranlux3UniformRng |
| typedef Ranlux64UniformRng< 389, 24 > | Ranlux4UniformRng |
| typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativeNormal > | PseudoRandom |
| default traits for pseudo-random number generation | |
| typedef GenericPseudoRandom< MersenneTwisterUniformRng, InverseCumulativePoisson > | PoissonPseudoRandom |
| traits for Poisson-distributed pseudo-random number generation | |
| typedef GenericLowDiscrepancy< SobolRsg, InverseCumulativeNormal > | LowDiscrepancy |
| default traits for low-discrepancy sequence generation | |
| typedef GenericGaussianStatistics< GeneralStatistics > | GaussianStatistics |
| default gaussian statistic tool | |
| typedef GenericRiskStatistics< GaussianStatistics > | RiskStatistics |
| default risk measures tool | |
| typedef GenericSequenceStatistics< Statistics > | SequenceStatistics |
| default multi-dimensional statistics tool | |
| typedef GenericSequenceStatistics< IncrementalStatistics > | SequenceStatisticsInc |
| typedef RiskStatistics | Statistics |
| default statistics tool | |
| typedef OperatorTraits< FdmLinearOp >::bc_set | FdmBoundaryConditionSet |
| typedef BootstrapHelper< DefaultProbabilityTermStructure > | DefaultProbabilityHelper |
| alias for default-probability bootstrap helpers | |
| typedef RelativeDateBootstrapHelper< DefaultProbabilityTermStructure > | RelativeDateDefaultProbabilityHelper |
| typedef InterpolatedYoYInflationCurve< Linear > | YoYInflationCurve |
| typedef InterpolatedZeroInflationCurve< Linear > | ZeroInflationCurve |
| typedef XabrSwaptionVolatilityCube< SwaptionVolCubeSabrModel > | SabrSwaptionVolatilityCube |
| SABR volatility cube for swaptions. | |
| typedef InterpolatedDiscountCurve< LogLinear > | DiscountCurve |
| Term structure based on log-linear interpolation of discount factors. | |
| typedef InterpolatedForwardCurve< BackwardFlat > | ForwardCurve |
| Term structure based on flat interpolation of forward rates. | |
| typedef InterpolatedPiecewiseZeroSpreadedTermStructure< Linear > | PiecewiseZeroSpreadedTermStructure |
| Piecewise zero-spreaded yield curve based on linear interpolation of zero rates. | |
| typedef BootstrapHelper< YieldTermStructure > | RateHelper |
| typedef RelativeDateBootstrapHelper< YieldTermStructure > | RelativeDateRateHelper |
| typedef InterpolatedSpreadDiscountCurve< LogLinear > | SpreadDiscountCurve |
| Spread yield curve based on log-linear interpolation of discount factors. | |
| typedef InterpolatedZeroCurve< Linear > | ZeroCurve |
| Term structure based on linear interpolation of zero yields. | |
| typedef Integer | Day |
| Day number. | |
| typedef Integer | Year |
| Year number. | |
| typedef QL_INTEGER | Integer |
| integer number | |
| typedef QL_BIG_INTEGER | BigInteger |
| large integer number | |
| typedef unsigned QL_INTEGER | Natural |
| positive integer | |
| typedef unsigned QL_BIG_INTEGER | BigNatural |
| large positive integer | |
| typedef QL_REAL | Real |
| real number | |
| typedef Real | Decimal |
| decimal number | |
| typedef std::size_t | Size |
| size of a container | |
| typedef Real | Time |
| continuous quantity with 1-year units | |
| typedef Real | DiscountFactor |
| discount factor between dates | |
| typedef Real | Rate |
| interest rates | |
| typedef Real | Spread |
| spreads on interest rates | |
| typedef Real | Volatility |
| volatility | |
| typedef Real | Probability |
| probability | |
Enumerations | |
| enum | Compounding { Simple = 0 , Compounded = 1 , Continuous = 2 , SimpleThenCompounded , CompoundedThenSimple } |
| Interest rate coumpounding rule. More... | |
| enum | Seniority { SecDom = 0 , SnrFor , SubLT2 , JrSubT2 , PrefT1 , NoSeniority , SeniorSec = SecDom , SeniorUnSec = SnrFor , SubTier1 = PrefT1 , SubUpperTier2 = JrSubT2 , SubLoweTier2 = SubLT2 } |
| Seniority of a bond. More... | |
| enum | PriceType { Bid , Ask , Last , Close , Mid , MidEquivalent , MidSafe } |
| Price types. More... | |
| enum | VolatilityType { ShiftedLognormal , Normal } |
| enum | BusinessDayConvention { Following , ModifiedFollowing , Preceding , ModifiedPreceding , Unadjusted , HalfMonthModifiedFollowing , Nearest } |
| Business Day conventions. More... | |
| enum | JointCalendarRule { JoinHolidays , JoinBusinessDays } |
| rules for joining calendars More... | |
| enum | Month { January = 1 , February = 2 , March = 3 , April = 4 , May = 5 , June = 6 , July = 7 , August = 8 , September = 9 , October = 10 , November = 11 , December = 12 , Jan = 1 , Feb = 2 , Mar = 3 , Apr = 4 , Jun = 6 , Jul = 7 , Aug = 8 , Sep = 9 , Oct = 10 , Nov = 11 , Dec = 12 } |
| Month names. | |
| enum | Frequency { NoFrequency = -1 , Once = 0 , Annual = 1 , Semiannual = 2 , EveryFourthMonth = 3 , Quarterly = 4 , Bimonthly = 6 , Monthly = 12 , EveryFourthWeek = 13 , Biweekly = 26 , Weekly = 52 , Daily = 365 , OtherFrequency = 999 } |
| Frequency of events. More... | |
| enum | TimeUnit { Days , Weeks , Months , Years , Hours , Minutes , Seconds , Milliseconds , Microseconds } |
| Units used to describe time periods. | |
| enum | Weekday { Sunday = 1 , Monday = 2 , Tuesday = 3 , Wednesday = 4 , Thursday = 5 , Friday = 6 , Saturday = 7 , Sun = 1 , Mon = 2 , Tue = 3 , Wed = 4 , Thu = 5 , Fri = 6 , Sat = 7 } |
Functions | |
| template<typename InterestRateIndexType, typename FloatingCouponType, typename CappedFlooredCouponType> | |
| Leg | FloatingLeg (const Schedule &schedule, const std::vector< Real > &nominals, const ext::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero, Integer paymentLag=0, Calendar paymentCalendar=Calendar(), Period exCouponPeriod=Period(), Calendar exCouponCalendar=Calendar(), BusinessDayConvention exCouponAdjustment=Unadjusted, bool exCouponEndOfMonth=false) |
| template<typename InterestRateIndexType, typename FloatingCouponType, typename DigitalCouponType> | |
| Leg | FloatingDigitalLeg (const Schedule &schedule, const std::vector< Real > &nominals, const ext::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const ext::shared_ptr< DigitalReplication > &replication, bool nakedOption=false) |
| std::ostream & | operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type) |
| void | setCouponPricer (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &) |
| void | setCouponPricers (const Leg &leg, const std::vector< ext::shared_ptr< FloatingRateCouponPricer > > &) |
| void | setCouponPricers (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &, const ext::shared_ptr< FloatingRateCouponPricer > &) |
| void | setCouponPricers (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &, const ext::shared_ptr< FloatingRateCouponPricer > &, const ext::shared_ptr< FloatingRateCouponPricer > &) |
| void | setCouponPricers (const Leg &leg, const ext::shared_ptr< FloatingRateCouponPricer > &, const ext::shared_ptr< FloatingRateCouponPricer > &, const ext::shared_ptr< FloatingRateCouponPricer > &, const ext::shared_ptr< FloatingRateCouponPricer > &) |
| std::vector< ext::shared_ptr< Dividend > > | DividendVector (const std::vector< Date > ÷ndDates, const std::vector< Real > ÷nds) |
| helper function building a sequence of fixed dividends | |
| void | setCouponPricer (const Leg &leg, const ext::shared_ptr< EquityCashFlowPricer > &) |
| void | setCouponPricer (const Leg &leg, const ext::shared_ptr< InflationCouponPricer > &) |
| std::ostream & | operator<< (std::ostream &out, const Compounding &compounding) |
| bool | operator== (const Currency &c1, const Currency &c2) |
| bool | operator!= (const Currency &c1, const Currency &c2) |
| std::ostream & | operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) |
| std::ostream & | operator<< (std::ostream &out, const PricingError &error) |
| std::ostream & | operator<< (std::ostream &out, const PricingErrors &errors) |
| bool | operator== (const CommodityCurve &c1, const CommodityCurve &c2) |
| bool | operator== (const CommodityIndex &i1, const CommodityIndex &i2) |
| bool | operator== (const CommodityType &c1, const CommodityType &c2) |
| bool | operator!= (const CommodityType &c1, const CommodityType &c2) |
| std::ostream & | operator<< (std::ostream &out, const CommodityUnitCost &unitCost) |
| bool | operator== (const PaymentTerm &c1, const PaymentTerm &c2) |
| bool | operator!= (const PaymentTerm &c1, const PaymentTerm &c2) |
| Quantity | operator+ (const Quantity &m1, const Quantity &m2) |
| Quantity | operator- (const Quantity &m1, const Quantity &m2) |
| Quantity | operator* (const Quantity &m, Real x) |
| Quantity | operator* (Real x, const Quantity &m) |
| Quantity | operator/ (const Quantity &m, Real x) |
| bool | operator!= (const Quantity &m1, const Quantity &m2) |
| bool | operator> (const Quantity &m1, const Quantity &m2) |
| bool | operator>= (const Quantity &m1, const Quantity &m2) |
| bool | operator== (const UnitOfMeasure &c1, const UnitOfMeasure &c2) |
| bool | operator!= (const UnitOfMeasure &c1, const UnitOfMeasure &c2) |
| bool | operator== (const DefaultEvent &lhs, const DefaultEvent &rhs) |
| bool | operator!= (const DefaultEvent &lhs, const DefaultEvent &rhs) |
| bool | operator== (const DefaultProbKey &lhs, const DefaultProbKey &rhs) |
| bool | operator== (const DefaultType &lhs, const DefaultType &rhs) |
| bool | operator< (const Loss &l1, const Loss &l2) |
| bool | operator> (const Loss &l1, const Loss &l2) |
| bool | operator== (const Loss &l1, const Loss &l2) |
| bool | operator!= (const Loss &l1, const Loss &l2) |
| std::map< Seniority, Real > | makeIsdaConvMap () |
| Helper function for conventional recoveries. Returns the ISDA. | |
| void | laplaceInterpolation (Matrix &A, const std::vector< Real > &x={}, const std::vector< Real > &y={}, Real relTol=1E-6, Size maxIterMultiplier=10) |
| Matrix | moorePenroseInverse (const Matrix &A, const Real tol=Null< Real >()) |
| template<> | |
| std::vector< Real > | GaussianQuadMultidimIntegrator::integrate< std::vector< Real > > (const std::function< std::vector< Real >(const std::vector< Real > &v1)> &f) const |
| std::ostream & | operator<< (std::ostream &out, IrregularSettlement::Type type) |
| Array | CenteredGrid (Real center, Real dx, Size steps) |
| Array | BoundedGrid (Real xMin, Real xMax, Size steps) |
| Array | BoundedLogGrid (Real xMin, Real xMax, Size steps) |
| bool | operator== (const Region &r1, const Region &r2) |
| bool | operator!= (const Region &r1, const Region &r2) |
| std::ostream & | operator<< (std::ostream &out, Average::Type type) |
| std::ostream & | operator<< (std::ostream &out, Barrier::Type type) |
| Schedule | sinkingSchedule (const Date &startDate, const Period &bondLength, const Frequency &frequency, const Calendar &paymentCalendar) |
| returns a schedule for French amortization | |
| std::vector< Real > | sinkingNotionals (const Period &bondLength, const Frequency &frequency, Rate couponRate, Real initialNotional) |
| returns a sequence of notionals for French amortization | |
| std::ostream & | operator<< (std::ostream &, CapFloor::Type) |
| Date | cdsMaturity (const Date &tradeDate, const Period &tenor, DateGeneration::Rule rule) |
| std::ostream & | operator<< (std::ostream &out, DoubleBarrier::Type type) |
| std::ostream & | operator<< (std::ostream &, YoYInflationCapFloor::Type) |
| std::ostream & | operator<< (std::ostream &out, PerpetualFutures::PayoffType type) |
| std::ostream & | operator<< (std::ostream &out, PerpetualFutures::FundingType type) |
| void | simplifyNotificationGraph (Instrument &instrument, const Leg &leg, bool unregisterCoupons=false) |
| Utility function to optimize the observability graph of an instrument. | |
| void | simplifyNotificationGraph (Swap &swap, bool unregisterCoupons=false) |
| Utility function to opimize the observability graph of a swap. | |
| void | simplifyNotificationGraph (Bond &bond, bool unregisterCoupons=false) |
| Utility function to opimize the observability graph of a bond. | |
| std::ostream & | operator<< (std::ostream &out, Swap::Type t) |
| std::ostream & | operator<< (std::ostream &out, Settlement::Type type) |
| std::ostream & | operator<< (std::ostream &out, Settlement::Method method) |
| Real | DotProduct (const Array &v1, const Array &v2) |
| Real | Norm2 (const Array &v) |
| Array | operator+ (const Array &v) |
| Array | operator+ (Array &&v) |
| Array | operator- (const Array &v) |
| Array | operator- (Array &&v) |
| Array | operator+ (const Array &v1, const Array &v2) |
| Array | operator+ (const Array &v1, Array &&v2) |
| Array | operator+ (Array &&v1, const Array &v2) |
| Array | operator+ (Array &&v1, Array &&v2) |
| Array | operator+ (const Array &v1, Real a) |
| Array | operator+ (Array &&v1, Real a) |
| Array | operator+ (Real a, const Array &v2) |
| Array | operator+ (Real a, Array &&v2) |
| Array | operator- (const Array &v1, const Array &v2) |
| Array | operator- (const Array &v1, Array &&v2) |
| Array | operator- (Array &&v1, const Array &v2) |
| Array | operator- (Array &&v1, Array &&v2) |
| Array | operator- (const Array &v1, Real a) |
| Array | operator- (Array &&v1, Real a) |
| Array | operator- (Real a, const Array &v2) |
| Array | operator- (Real a, Array &&v2) |
| Array | operator* (const Array &v1, const Array &v2) |
| Array | operator* (const Array &v1, Array &&v2) |
| Array | operator* (Array &&v1, const Array &v2) |
| Array | operator* (Array &&v1, Array &&v2) |
| Array | operator* (const Array &v1, Real a) |
| Array | operator* (Array &&v1, Real a) |
| Array | operator* (Real a, const Array &v2) |
| Array | operator* (Real a, Array &&v2) |
| Array | operator/ (const Array &v1, const Array &v2) |
| Array | operator/ (const Array &v1, Array &&v2) |
| Array | operator/ (Array &&v1, const Array &v2) |
| Array | operator/ (Array &&v1, Array &&v2) |
| Array | operator/ (const Array &v1, Real a) |
| Array | operator/ (Array &&v1, Real a) |
| Array | operator/ (Real a, const Array &v2) |
| Array | operator/ (Real a, Array &&v2) |
| Array | Abs (const Array &v) |
| Array | Abs (Array &&v) |
| Array | Sqrt (const Array &v) |
| Array | Sqrt (Array &&v) |
| Array | Log (const Array &v) |
| Array | Log (Array &&v) |
| Array | Exp (const Array &v) |
| Array | Exp (Array &&v) |
| Array | Pow (const Array &v, Real alpha) |
| Array | Pow (Array &&v, Real alpha) |
| void | swap (Array &v, Array &w) noexcept |
| std::ostream & | operator<< (std::ostream &out, const Array &a) |
| template<typename ForwardIterator, typename OutputIterator> | |
| void | convolutions (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
| Convolutions of the input sequence. | |
| template<typename ForwardIterator, typename OutputIterator> | |
| void | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
| Unbiased auto-covariances. | |
| template<typename ForwardIterator, typename OutputIterator> | |
| Real | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
| Unbiased auto-covariances. | |
| template<typename ForwardIterator, typename OutputIterator> | |
| void | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
| Unbiased auto-correlations. | |
| template<typename ForwardIterator, typename OutputIterator> | |
| Real | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
| Unbiased auto-correlations. | |
| Real | betaFunction (Real z, Real w) |
| Real | betaContinuedFraction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100) |
| Real | incompleteBetaFunction (Real a, Real b, Real x, Real accuracy=1e-16, Integer maxIteration=100) |
| Incomplete Beta function. | |
| bool | close (Real x, Real y) |
| bool | close (Real x, Real y, Size n) |
| bool | close_enough (Real x, Real y) |
| bool | close_enough (Real x, Real y, Size n) |
| Real | binomialCoefficientLn (BigNatural n, BigNatural k) |
| Real | binomialCoefficient (BigNatural n, BigNatural k) |
| Real | PeizerPrattMethod2Inversion (Real z, BigNatural n) |
| std::complex< Real > | expm1 (const std::complex< Real > &z) |
| std::complex< Real > | log1p (const std::complex< Real > &z) |
| template<class T> | |
| T | squared (T x) |
| Real | incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
| Incomplete Gamma function. | |
| Real | incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
| Real | incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) |
| Matrix | operator+ (const Matrix &m1, const Matrix &m2) |
| Matrix | operator+ (const Matrix &m1, Matrix &&m2) |
| Matrix | operator+ (Matrix &&m1, const Matrix &m2) |
| Matrix | operator+ (Matrix &&m1, Matrix &&m2) |
| Matrix | operator- (const Matrix &m1) |
| Matrix | operator- (Matrix &&m1) |
| Matrix | operator- (const Matrix &m1, const Matrix &m2) |
| Matrix | operator- (const Matrix &m1, Matrix &&m2) |
| Matrix | operator- (Matrix &&m1, const Matrix &m2) |
| Matrix | operator- (Matrix &&m1, Matrix &&m2) |
| Matrix | operator* (const Matrix &m, Real x) |
| Matrix | operator* (Matrix &&m, Real x) |
| Matrix | operator* (Real x, const Matrix &m) |
| Matrix | operator* (Real x, Matrix &&m) |
| Matrix | operator/ (const Matrix &m, Real x) |
| Matrix | operator/ (Matrix &&m, Real x) |
| Array | operator* (const Array &v, const Matrix &m) |
| Array | operator* (const Matrix &m, const Array &v) |
| Matrix | operator* (const Matrix &m1, const Matrix &m2) |
| Matrix | transpose (const Matrix &m) |
| Matrix | outerProduct (const Array &v1, const Array &v2) |
| template<class Iterator1, class Iterator2> | |
| Matrix | outerProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end) |
| void | swap (Matrix &m1, Matrix &m2) noexcept |
| std::ostream & | operator<< (std::ostream &out, const Matrix &m) |
| Array | CholeskySolveFor (const Matrix &L, const Array &b) |
| Matrix | Expm (const Matrix &M, Real t=1.0, Real tol=QL_EPSILON) |
| matrix exponential based on the ordinary differential equations method | |
| std::vector< Real > | factorReduction (Matrix mtrx, Size maxIters=25) |
| template<class DataIterator> | |
| Matrix | getCovariance (DataIterator stdDevBegin, DataIterator stdDevEnd, const Matrix &corr, Real tolerance=1.0e-12) |
| Calculation of covariance from correlation and standard deviations. | |
| std::vector< Size > | qrDecomposition (const Matrix &A, Matrix &q, Matrix &r, bool pivot=true) |
| QR decompoisition. | |
| Array | qrSolve (const Matrix &a, const Array &b, bool pivot=true, const Array &d=Array()) |
| QR Solve. | |
| Array | prod (const SparseMatrix &A, const Array &x) |
| Matrix | triangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank) |
| Returns the Triangular Angles Parametrized correlation matrix. | |
| Matrix | lmmTriangularAnglesParametrization (const Array &angles, Size matrixSize, Size rank) |
| Matrix | triangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank) |
| Matrix | lmmTriangularAnglesParametrizationUnconstrained (const Array &x, Size matrixSize, Size rank) |
| Matrix | triangularAnglesParametrizationRankThree (Real alpha, Real t0, Real epsilon, Size nbRows) |
| Returns the rank reduced Triangular Angles Parametrized correlation matrix. | |
| Matrix | triangularAnglesParametrizationRankThreeVectorial (const Array ¶meters, Size nbRows) |
| Real | modifiedBesselFunction_i (Real nu, Real x) |
| Real | modifiedBesselFunction_k (Real nu, Real x) |
| Real | modifiedBesselFunction_i_exponentiallyWeighted (Real nu, Real x) |
| Real | modifiedBesselFunction_k_exponentiallyWeighted (Real nu, Real x) |
| std::complex< Real > | modifiedBesselFunction_i (Real nu, const std::complex< Real > &z) |
| std::complex< Real > | modifiedBesselFunction_k (Real nu, const std::complex< Real > &z) |
| std::complex< Real > | modifiedBesselFunction_i_exponentiallyWeighted (Real nu, const std::complex< Real > &z) |
| std::complex< Real > | modifiedBesselFunction_k_exponentiallyWeighted (Real nu, const std::complex< Real > &z) |
| std::ostream & | operator<< (std::ostream &out, EndCriteria::Type ecType) |
| std::vector< Real > | sphereCylinderOptimizerClosest (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Natural maxIterations, Real tolerance, Real finalWeight=1.0) |
| void | swap (TridiagonalOperator &, TridiagonalOperator &) noexcept |
| TridiagonalOperator | operator+ (const TridiagonalOperator &D) |
| TridiagonalOperator | operator- (const TridiagonalOperator &D) |
| TridiagonalOperator | operator+ (const TridiagonalOperator &D1, const TridiagonalOperator &D2) |
| TridiagonalOperator | operator- (const TridiagonalOperator &D1, const TridiagonalOperator &D2) |
| TridiagonalOperator | operator* (Real a, const TridiagonalOperator &D) |
| TridiagonalOperator | operator* (const TridiagonalOperator &D, Real a) |
| TridiagonalOperator | operator/ (const TridiagonalOperator &D, Real a) |
| Real | genericLongstaffSchwartzRegression (std::vector< std::vector< NodeData > > &simulationData, std::vector< std::vector< Real > > &basisCoefficients) |
| returns the biased estimate obtained while regressing | |
| Real | genericEarlyExerciseOptimization (std::vector< std::vector< NodeData > > &simulationData, const ParametricExercise &exercise, std::vector< std::vector< Real > > ¶meters, const EndCriteria &endCriteria, OptimizationMethod &method) |
| returns the biased estimate obtained while optimizing | |
| void | collectNodeData (MarketModelEvolver &evolver, MarketModelMultiProduct &product, MarketModelNodeDataProvider &dataProvider, MarketModelExerciseValue &rebate, MarketModelExerciseValue &control, Size numberOfPaths, std::vector< std::vector< NodeData > > &collectedData) |
| Matrix | exponentialCorrelations (const std::vector< Time > &rateTimes, Real longTermCorr=0.5, Real beta=0.2, Real gamma=1.0, Time t=0.0) |
| void | forwardsFromDiscountRatios (Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &fwds) |
| void | coterminalFromDiscountRatios (Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities) |
| void | constantMaturityFromDiscountRatios (Size spanningForwards, Size firstValidIndex, const std::vector< DiscountFactor > &ds, const std::vector< Time > &taus, std::vector< Rate > &cotSwapRates, std::vector< Real > &cotSwapAnnuities) |
| void | checkCompatibility (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
| bool | isInTerminalMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
| bool | isInMoneyMarketPlusMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires, Size offset=1) |
| bool | isInMoneyMarketMeasure (const EvolutionDescription &evolution, const std::vector< Size > &numeraires) |
| std::vector< Size > | terminalMeasure (const EvolutionDescription &evolution) |
| Terminal measure: the last bond is used as numeraire. | |
| std::vector< Size > | moneyMarketPlusMeasure (const EvolutionDescription &, Size offset=1) |
| std::vector< Size > | moneyMarketMeasure (const EvolutionDescription &) |
| template<class Traits, class Interpolator> | |
| void | historicalForwardRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, std::vector< Date > &failedDates, std::vector< std::string > &failedDatesErrorMessage, std::vector< Period > &fixingPeriods, const Date &startDate, const Date &endDate, const Period &step, const ext::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< ext::shared_ptr< IborIndex > > &iborIndexes, const std::vector< ext::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real yieldCurveAccuracy=1.0e-12, const Interpolator &i=Interpolator()) |
| void | historicalRatesAnalysis (SequenceStatistics &statistics, std::vector< Date > &skippedDates, std::vector< std::string > &skippedDatesErrorMessage, const Date &startDate, const Date &endDate, const Period &step, const std::vector< ext::shared_ptr< InterestRateIndex > > &indexes) |
| std::vector< Volatility > | rateVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2) |
| std::vector< Spread > | rateInstVolDifferences (const MarketModel &marketModel1, const MarketModel &marketModel2, Size index) |
| std::vector< Real > | coterminalSwapPseudoRoots (const PiecewiseConstantCorrelation &, const std::vector< ext::shared_ptr< PiecewiseConstantVariance > > &, const std::vector< Time > &) |
| Integer | capletSwaptionPeriodicCalibration (const EvolutionDescription &evolution, const ext::shared_ptr< PiecewiseConstantCorrelation > &corr, VolatilityInterpolationSpecifier &displacedSwapVariances, const std::vector< Volatility > &capletVols, const ext::shared_ptr< CurveState > &cs, Spread displacement, Real caplet0Swaption1Priority, Size numberOfFactors, Size period, Size max1dIterations, Real tolerance1d, Size maxUnperiodicIterations, Real toleranceUnperiodic, Size maxPeriodIterations, Real periodTolerance, Real &deformationSize, Real &totalSwaptionError, std::vector< Matrix > &swapCovariancePseudoRoots, std::vector< Real > &finalScales, Size &iterationsDone, Real &errorImprovement, Matrix &modelSwaptionVolsMatrix) |
| void | mergeTimes (const std::vector< std::vector< Time > > ×, std::vector< Time > &mergedTimes, std::vector< std::valarray< bool > > &isPresent) |
| std::valarray< bool > | isInSubset (const std::vector< Time > &set, const std::vector< Time > &subset) |
| void | checkIncreasingTimes (const std::vector< Time > ×) |
| check for strictly increasing times, first time greater than zero | |
| void | checkIncreasingTimesAndCalculateTaus (const std::vector< Time > ×, std::vector< Time > &taus) |
| std::ostream & | operator<< (std::ostream &out, const MarkovFunctional::ModelOutputs &m) |
| Money | operator+ (const Money &m1, const Money &m2) |
| Money | operator- (const Money &m1, const Money &m2) |
| Money | operator* (const Money &m, Decimal x) |
| Money | operator* (Decimal x, const Money &m) |
| Money | operator/ (const Money &m, Decimal x) |
| bool | operator!= (const Money &m1, const Money &m2) |
| bool | operator> (const Money &m1, const Money &m2) |
| bool | operator>= (const Money &m1, const Money &m2) |
| Money | operator* (Decimal value, const Currency &c) |
| Money | operator* (const Currency &c, Decimal value) |
| std::ostream & | operator<< (std::ostream &out, Option::Type type) |
| Real | midEquivalent (Real bid, Real ask, Real last, Real close) |
| Real | midSafe (Real bid, Real ask) |
| Real | blackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormula (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaForwardDerivative (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaForwardDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevApproximation (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevApproximation (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevChambers (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real blackAtmPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevChambers (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real blackAtmPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevApproximationRS (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDevApproximationRS (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaImpliedStdDev (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100) |
| Real | blackFormulaImpliedStdDev (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real accuracy=1.0e-6, Natural maxIterations=100) |
| Real | blackFormulaImpliedStdDevLiRS (Option::Type optionType, Real strike, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real omega=1.0, Real accuracy=1.0e-6, Natural maxIterations=100) |
| Real | blackFormulaImpliedStdDevLiRS (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real blackPrice, Real discount=1.0, Real displacement=0.0, Real guess=Null< Real >(), Real omega=1.0, Real accuracy=1.0e-6, Natural maxIterations=100) |
| Real | blackFormulaCashItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0) |
| Real | blackFormulaCashItmProbability (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0) |
| Real | blackFormulaAssetItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0) |
| Real | blackFormulaAssetItmProbability (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0) |
| Real | blackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaVolDerivative (Real strike, Real forward, Real stdDev, Real expiry, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaStdDevDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | blackFormulaStdDevSecondDerivative (Rate strike, Rate forward, Real stdDev, Real discount, Real displacement) |
| Real | blackFormulaStdDevSecondDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0) |
| Real | bachelierBlackFormula (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0) |
| Real | bachelierBlackFormula (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) |
| Real | bachelierBlackFormulaForwardDerivative (Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0) |
| Real | bachelierBlackFormulaForwardDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) |
| Real | bachelierBlackFormulaImpliedVolChoi (Option::Type optionType, Real strike, Real forward, Real tte, Real bachelierPrice, Real discount=1.0) |
| Real | bachelierBlackFormulaImpliedVol (Option::Type optionType, Real strike, Real forward, Real tte, Real bachelierPrice, Real discount=1.0) |
| Real | bachelierBlackFormulaStdDevDerivative (Real strike, Real forward, Real stdDev, Real discount=1.0) |
| Real | bachelierBlackFormulaStdDevDerivative (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) |
| Real | bachelierBlackFormulaAssetItmProbability (Option::Type optionType, Real strike, Real forward, Real stdDev) |
| Real | bachelierBlackFormulaAssetItmProbability (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev) |
| Real | blackScholesTheta (const ext::shared_ptr< GeneralizedBlackScholesProcess > &, Real value, Real delta, Real gamma) |
| default theta calculation for Black-Scholes options | |
| Real | defaultThetaPerDay (Real theta) |
| default theta-per-day calculation | |
| Handle< Quote > | handleFromVariant (const std::variant< Real, Handle< Quote > > &value) |
| template<class BinaryFunction> | |
| CompositeQuote< BinaryFunction > | makeCompositeQuote (const Handle< Quote > &element1, const Handle< Quote > &element2, const BinaryFunction &f) |
| creator method | |
| template<class UnaryFunction> | |
| DerivedQuote< UnaryFunction > | makeDerivedQuote (const Handle< Quote > &element, const UnaryFunction &f) |
| creator method | |
| RelinkableHandle< Quote > | makeQuoteHandle (Real value) |
| std::ostream & | operator<< (std::ostream &out, Pillar::Choice type) |
| std::pair< Date, Date > | inflationPeriod (const Date &, Frequency) |
| utility function giving the inflation period for a given date | |
| Time | inflationYearFraction (Frequency, bool indexIsInterpolated, const DayCounter &, const Date &, const Date &) |
| Real | abcdBlackVolatility (Time u, Real a, Real b, Real c, Real d) |
| Real | unsafeSabrLogNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
| Real | unsafeShiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) |
| Real | unsafeSabrNormalVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
| Real | unsafeSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) |
| Real | sabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) |
| Real | shiftedSabrVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho, Real shift, VolatilityType volatilityType=VolatilityType::ShiftedLognormal) |
| Real | sabrFlochKennedyVolatility (Rate strike, Rate forward, Time expiryTime, Real alpha, Real beta, Real nu, Real rho) |
| void | validateSabrParameters (Real alpha, Real beta, Real nu, Real rho) |
| std::array< Real, 4 > | sabrGuess (Real k_m, Volatility vol_m, Real k_0, Volatility vol_0, Real k_p, Volatility vol_p, Rate forward, Time expiryTime, Real beta, Real shift, VolatilityType volatilityType) |
| Initial guess for SABR calibration. | |
| std::ostream & | operator<< (std::ostream &out, const VolatilityType &t) |
| bool | operator== (const Calendar &c1, const Calendar &c2) |
| bool | operator!= (const Calendar &c1, const Calendar &c2) |
| std::ostream & | operator<< (std::ostream &out, const Calendar &c) |
| Date::serial_type | operator- (const Date &d1, const Date &d2) |
| Time | daysBetween (const Date &d1, const Date &d2) |
| bool | operator== (const Date &d1, const Date &d2) |
| bool | operator!= (const Date &d1, const Date &d2) |
| bool | operator< (const Date &d1, const Date &d2) |
| bool | operator<= (const Date &d1, const Date &d2) |
| bool | operator> (const Date &d1, const Date &d2) |
| bool | operator>= (const Date &d1, const Date &d2) |
| bool | operator== (const DayCounter &d1, const DayCounter &d2) |
| bool | operator!= (const DayCounter &d1, const DayCounter &d2) |
| std::ostream & | operator<< (std::ostream &out, const DayCounter &d) |
| Date | yearFractionToDate (const DayCounter &dayCounter, const Date &referenceDate, Time t) |
| template<typename T> | |
| Period | operator* (T n, TimeUnit units) |
| template<typename T> | |
| Period | operator* (TimeUnit units, T n) |
| Period | operator- (const Period &p) |
| Period | operator* (Integer n, const Period &p) |
| Period | operator* (const Period &p, Integer n) |
| bool | operator== (const Period &p1, const Period &p2) |
| bool | operator!= (const Period &p1, const Period &p2) |
| bool | operator> (const Period &p1, const Period &p2) |
| bool | operator<= (const Period &p1, const Period &p2) |
| bool | operator>= (const Period &p1, const Period &p2) |
| Date | previousTwentieth (const Date &d, DateGeneration::Rule rule) |
| template<class T> | |
| void | swap (Clone< T > &t, Clone< T > &u) noexcept |
| std::size_t | compiledBoostVersion () |
| std::ostream & | operator<< (std::ostream &, Replication::Type) |
| bool | operator== (const Currency &, const Currency &) |
| bool | operator!= (const Currency &, const Currency &) |
| std::ostream & | operator<< (std::ostream &, const Currency &) |
| bool | operator== (const CommodityType &, const CommodityType &) |
| bool | operator!= (const CommodityType &, const CommodityType &) |
| std::ostream & | operator<< (std::ostream &, const CommodityType &) |
| bool | operator== (const PaymentTerm &, const PaymentTerm &) |
| bool | operator!= (const PaymentTerm &, const PaymentTerm &) |
| std::ostream & | operator<< (std::ostream &, const PaymentTerm &) |
| Quantity | operator+ (const Quantity &, const Quantity &) |
| Quantity | operator- (const Quantity &, const Quantity &) |
| Quantity | operator* (const Quantity &, Real) |
| Quantity | operator* (Real, const Quantity &) |
| Quantity | operator/ (const Quantity &, Real) |
| Real | operator/ (const Quantity &, const Quantity &) |
| bool | operator== (const Quantity &, const Quantity &) |
| bool | operator!= (const Quantity &, const Quantity &) |
| bool | operator< (const Quantity &, const Quantity &) |
| bool | operator<= (const Quantity &, const Quantity &) |
| bool | operator> (const Quantity &, const Quantity &) |
| bool | operator>= (const Quantity &, const Quantity &) |
| bool | close (const Quantity &, const Quantity &, Size n=42) |
| bool | close_enough (const Quantity &, const Quantity &, Size n=42) |
| bool | operator== (const UnitOfMeasure &, const UnitOfMeasure &) |
| bool | operator!= (const UnitOfMeasure &, const UnitOfMeasure &) |
| std::ostream & | operator<< (std::ostream &, const UnitOfMeasure &) |
| bool | operator== (const Region &, const Region &) |
| bool | operator!= (const Region &, const Region &) |
| std::ostream & | operator<< (std::ostream &, Futures::Type) |
| std::ostream & | operator<< (std::ostream &, const InterestRate &) |
| Real | DotProduct (const Array &, const Array &) |
| Real | Norm2 (const Array &) |
| Array | operator+ (const Array &v) |
| Array | operator+ (Array &&v) |
| Array | operator- (const Array &v) |
| Array | operator- (Array &&v) |
| Array | operator+ (const Array &, const Array &) |
| Array | operator+ (const Array &, Array &&) |
| Array | operator+ (Array &&, const Array &) |
| Array | operator+ (Array &&, Array &&) |
| Array | operator+ (const Array &, Real) |
| Array | operator+ (Array &&, Real) |
| Array | operator+ (Real, const Array &) |
| Array | operator+ (Real, Array &&) |
| Array | operator- (const Array &, const Array &) |
| Array | operator- (const Array &, Array &&) |
| Array | operator- (Array &&, const Array &) |
| Array | operator- (Array &&, Array &&) |
| Array | operator- (const Array &, Real) |
| Array | operator- (Real, const Array &) |
| Array | operator- (Array &&, Real) |
| Array | operator- (Real, Array &&) |
| Array | operator* (const Array &, const Array &) |
| Array | operator* (const Array &, Array &&) |
| Array | operator* (Array &&, const Array &) |
| Array | operator* (Array &&, Array &&) |
| Array | operator* (const Array &, Real) |
| Array | operator* (Real, const Array &) |
| Array | operator* (Array &&, Real) |
| Array | operator* (Real, Array &&) |
| Array | operator/ (const Array &, const Array &) |
| Array | operator/ (const Array &, Array &&) |
| Array | operator/ (Array &&, const Array &) |
| Array | operator/ (Array &&, Array &&) |
| Array | operator/ (const Array &, Real) |
| Array | operator/ (Real, const Array &) |
| Array | operator/ (Array &&, Real) |
| Array | operator/ (Real, Array &&) |
| Array | Abs (const Array &) |
| Array | Abs (Array &&) |
| Array | Sqrt (const Array &) |
| Array | Sqrt (Array &&) |
| Array | Log (const Array &) |
| Array | Log (Array &&) |
| Array | Exp (const Array &) |
| Array | Exp (Array &&) |
| Array | Pow (const Array &, Real) |
| Array | Pow (Array &&, Real) |
| void | swap (Array &, Array &) noexcept |
| std::ostream & | operator<< (std::ostream &, const Array &) |
| Matrix | operator+ (const Matrix &, const Matrix &) |
| Matrix | operator+ (const Matrix &, Matrix &&) |
| Matrix | operator+ (Matrix &&, const Matrix &) |
| Matrix | operator+ (Matrix &&, Matrix &&) |
| Matrix | operator- (const Matrix &) |
| Matrix | operator- (Matrix &&) |
| Matrix | operator- (const Matrix &, const Matrix &) |
| Matrix | operator- (const Matrix &, Matrix &&) |
| Matrix | operator- (Matrix &&, const Matrix &) |
| Matrix | operator- (Matrix &&, Matrix &&) |
| Matrix | operator* (const Matrix &, Real) |
| Matrix | operator* (Matrix &&, Real) |
| Matrix | operator* (Real, const Matrix &) |
| Matrix | operator* (Real, Matrix &&) |
| Matrix | operator/ (const Matrix &, Real) |
| Matrix | operator/ (Matrix &&, Real) |
| Array | operator* (const Array &, const Matrix &) |
| Array | operator* (const Matrix &, const Array &) |
| Matrix | operator* (const Matrix &, const Matrix &) |
| Matrix | transpose (const Matrix &) |
| Matrix | outerProduct (const Array &v1, const Array &v2) |
| template<class Iterator1, class Iterator2> | |
| Matrix | outerProduct (Iterator1 v1begin, Iterator1 v1end, Iterator2 v2begin, Iterator2 v2end) |
| void | swap (Matrix &, Matrix &) noexcept |
| std::ostream & | operator<< (std::ostream &, const Matrix &) |
| Matrix | inverse (const Matrix &m) |
| Real | determinant (const Matrix &m) |
| Matrix | CholeskyDecomposition (const Matrix &m, bool flexible=false) |
| Matrix | pseudoSqrt (const Matrix &, SalvagingAlgorithm::Type=SalvagingAlgorithm::None) |
| Returns the pseudo square root of a real symmetric matrix. | |
| Matrix | rankReducedSqrt (const Matrix &, Size maxRank, Real componentRetainedPercentage, SalvagingAlgorithm::Type) |
| Returns the rank-reduced pseudo square root of a real symmetric matrix. | |
| Money | operator+ (const Money &, const Money &) |
| Money | operator- (const Money &, const Money &) |
| Money | operator* (const Money &, Decimal) |
| Money | operator* (Decimal, const Money &) |
| Money | operator/ (const Money &, Decimal) |
| Decimal | operator/ (const Money &, const Money &) |
| bool | operator== (const Money &, const Money &) |
| bool | operator!= (const Money &, const Money &) |
| bool | operator< (const Money &, const Money &) |
| bool | operator<= (const Money &, const Money &) |
| bool | operator> (const Money &, const Money &) |
| bool | operator>= (const Money &, const Money &) |
| bool | close (const Money &, const Money &, Size n=42) |
| bool | close_enough (const Money &, const Money &, Size n=42) |
| Money | operator* (Decimal, const Currency &) |
| Money | operator* (const Currency &, Decimal) |
| std::ostream & | operator<< (std::ostream &, const Money &) |
| std::ostream & | operator<< (std::ostream &, Option::Type) |
| std::ostream & | operator<< (std::ostream &, Position::Type) |
| bool | operator== (const Calendar &, const Calendar &) |
| bool | operator!= (const Calendar &, const Calendar &) |
| std::ostream & | operator<< (std::ostream &, const Calendar &) |
| Date::serial_type | operator- (const Date &, const Date &) |
| Difference in days between dates. | |
| Time | daysBetween (const Date &, const Date &) |
| Difference in days (including fraction of days) between dates. | |
| bool | operator== (const Date &, const Date &) |
| bool | operator!= (const Date &, const Date &) |
| bool | operator< (const Date &, const Date &) |
| bool | operator<= (const Date &, const Date &) |
| bool | operator> (const Date &, const Date &) |
| bool | operator>= (const Date &, const Date &) |
| std::size_t | hash_value (const Date &d) |
| std::ostream & | operator<< (std::ostream &, const Date &) |
| std::ostream & | operator<< (std::ostream &, DateGeneration::Rule) |
| bool | operator== (const DayCounter &, const DayCounter &) |
| bool | operator!= (const DayCounter &, const DayCounter &) |
| std::ostream & | operator<< (std::ostream &, const DayCounter &) |
| Real | years (const Period &) |
| Real | months (const Period &) |
| Real | weeks (const Period &) |
| Real | days (const Period &) |
| template<typename T> | |
| Period | operator* (T n, TimeUnit units) |
| template<typename T> | |
| Period | operator* (TimeUnit units, T n) |
| Period | operator- (const Period &) |
| Period | operator* (Integer n, const Period &) |
| Period | operator* (const Period &, Integer n) |
| Period | operator/ (const Period &, Integer n) |
| Period | operator+ (const Period &, const Period &) |
| Period | operator- (const Period &, const Period &) |
| bool | operator< (const Period &, const Period &) |
| bool | operator== (const Period &, const Period &) |
| bool | operator!= (const Period &, const Period &) |
| bool | operator> (const Period &, const Period &) |
| bool | operator<= (const Period &, const Period &) |
| bool | operator>= (const Period &, const Period &) |
| std::ostream & | operator<< (std::ostream &, const Period &) |
| template<class T> | |
| void | swap (Clone< T > &, Clone< T > &) noexcept |
| template<class Iterator> | |
| step_iterator< Iterator > | make_step_iterator (Iterator it, Size step) |
| helper function to create step iterators | |
abstract base class implementation specifies how to decide volatility structure for additional synthetic rates which are interleaved
Classes for computing derivative of the map taking rates one step to the next with respect to a change in the pseudo-root. We do it both numerically and analytically to provide an easy test of the analytic method. This is useful for pathwise vegas.
Evolution is log Euler.
One is tested against the other in MarketModelTest::testPathwiseVegas
In order to compute market vegas, we need a class that gives the derivative of a swaption implied vol against changes in pseudo-root elements. This is that class.
This is tested in the pathwise vegas routine in MarketModels.cpp
When bumping vols, bumping every pseudo-root element individually seems excessive so we need to couple some together.
| typedef MultipleResetsCoupon SubPeriodsCoupon |
| typedef MultipleResetsPricer SubPeriodsPricer |
| typedef AveragingMultipleResetsPricer AveragingRatePricer |
| typedef CompoundingMultipleResetsPricer CompoundingRatePricer |
| typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativeNormal> PseudoRandom |
default traits for pseudo-random number generation
| typedef GenericPseudoRandom<MersenneTwisterUniformRng, InverseCumulativePoisson> PoissonPseudoRandom |
traits for Poisson-distributed pseudo-random number generation
default risk measures tool
default multi-dimensional statistics tool
| typedef RiskStatistics Statistics |
default statistics tool
| enum Compounding |
| enum Seniority |
Seniority of a bond.
They are also ISDA tier/seniorities used for CDS conventional spreads.
| enum PriceType |
Price types.
| enum JointCalendarRule |
| void setCouponPricers | ( | const Leg & | leg, |
| const ext::shared_ptr< FloatingRateCouponPricer > & | , | ||
| const ext::shared_ptr< FloatingRateCouponPricer > & | ) |
set the first matching pricer (if any) to each coupon of the leg
| bool operator== | ( | const DefaultEvent & | lhs, |
| const DefaultEvent & | rhs ) |
Two credit events are the same independently of their settlement member data. This has the side effect of overwriting different settlements from the same credit event when, say, inserting in a map. But on the other hand one given event can only have one settlement. This means we can not have two restructuring events on a bond on the same date.
| bool operator== | ( | const DefaultType & | lhs, |
| const DefaultType & | rhs ) |
Equality is the criteria for indexing the curves. This depends only on the atomic types and not on idiosincracies of derived type as mentioned in the functional documentation (specific event characteristics are relevant to credit event matching but not to the probability meaning). operator== is also used to remove duplicates in some containers. This ensures we do not have two equal events (despite having different characteristics) in those containers. This makes sense, theres no logic in having two FailureToPay in a contract even if they have different characteristics.
| void laplaceInterpolation | ( | Matrix & | A, |
| const std::vector< Real > & | x = {}, | ||
| const std::vector< Real > & | y = {}, | ||
| Real | relTol = 1E-6, | ||
| Size | maxIterMultiplier = 10 ) |
Convenience function that Laplace-interpolates null values in a given matrix. If the x or y grid or both are not given, an equidistant grid is assumed.
| Date cdsMaturity | ( | const Date & | tradeDate, |
| const Period & | tenor, | ||
| DateGeneration::Rule | rule ) |
Return the CDS maturity date given the CDS trade date, tradeDate, the CDS tenor and a CDS rule.
A null date is returned when a rule of CDS2015 and a tenor length of zero fail to yield a valid CDS maturity date.
rule is not CDS2015, CDS or OldCDS.rule is OldCDS and a tenor of 0 months is provided. This restriction can be removed if 0M tenor was available before the CDS Big Bang 2009.tenor is not a multiple of 3 months. For the avoidance of doubt, a tenor of 0 months is supported. | void simplifyNotificationGraph | ( | Instrument & | instrument, |
| const Leg & | leg, | ||
| bool | unregisterCoupons = false ) |
Utility function to optimize the observability graph of an instrument.
This function unregisters the given instrument from the given cashflows and instead registers with the observables of the cashflows. This is safe to do if
If unregisterCoupons is set to true, all given cashflows are in addition unregistered from all their observables. This can be done
There are overloads of this function for specific instrument types like Swap, Bond.
| void convolutions | ( | ForwardIterator | begin, |
| ForwardIterator | end, | ||
| OutputIterator | out, | ||
| std::size_t | maxLag ) |
Convolutions of the input sequence.
Calculates x[0]*x[n]+x[1]*x[n+1]+x[2]*x[n+2]+... for n = 0,1,...,maxLag via FFT.
| void autocovariances | ( | ForwardIterator | begin, |
| ForwardIterator | end, | ||
| OutputIterator | out, | ||
| std::size_t | maxLag ) |
Unbiased auto-covariances.
Results are calculated via FFT.
| Real autocovariances | ( | ForwardIterator | begin, |
| ForwardIterator | end, | ||
| OutputIterator | out, | ||
| std::size_t | maxLag, | ||
| bool | reuse ) |
Unbiased auto-covariances.
Results are calculated via FFT.
This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.
| void autocorrelations | ( | ForwardIterator | begin, |
| ForwardIterator | end, | ||
| OutputIterator | out, | ||
| std::size_t | maxLag ) |
Unbiased auto-correlations.
Results are calculated via FFT. The first element of the output is the unbiased sample variance.
| Real autocorrelations | ( | ForwardIterator | begin, |
| ForwardIterator | end, | ||
| OutputIterator | out, | ||
| std::size_t | maxLag, | ||
| bool | reuse ) |
Unbiased auto-correlations.
Results are calculated via FFT. The first element of the output is the unbiased sample variance.
This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.
| Real incompleteBetaFunction | ( | Real | a, |
| Real | b, | ||
| Real | x, | ||
| Real | accuracy = 1e-16, | ||
| Integer | maxIteration = 100 ) |
Incomplete Beta function.
Incomplete Beta function
The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6
Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:
\[\mathrm{close}(x,y,n) \equiv |x-y| \leq \varepsilon |x| \wedge |x-y| \leq \varepsilon |y| \]
where \( \varepsilon \) is \( n \) times the machine accuracy; \( n \) equals 42 if not given.
Follows somewhat the advice of Knuth on checking for floating-point equality. The closeness relationship is:
\[\mathrm{close}(x,y,n) \equiv |x-y| \leq \varepsilon |x| \vee |x-y| \leq \varepsilon |y| \]
where \( \varepsilon \) is \( n \) times the machine accuracy; \( n \) equals 42 if not given.
| Real PeizerPrattMethod2Inversion | ( | Real | z, |
| BigNatural | n ) |
Given an odd integer n and a real number z it returns p such that: 1 - CumulativeBinomialDistribution((n-1)/2, n, p) = CumulativeNormalDistribution(z)
| Real incompleteGammaFunction | ( | Real | a, |
| Real | x, | ||
| Real | accuracy = 1.0e-13, | ||
| Integer | maxIteration = 100 ) |
Incomplete Gamma function.
Incomplete Gamma function
The implementation of the algorithm was inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 6
| Matrix Expm | ( | const Matrix & | M, |
| Real | t = 1.0, | ||
| Real | tol = QL_EPSILON ) |
matrix exponential based on the ordinary differential equations method
References:
C. Moler; C. Van Loan, 1978, Nineteen Dubious Ways to Compute the Exponential of a Matrix http://xa.yimg.com/kq/groups/22199541/1399635765/name/moler-nineteen.pdf returns the matrix exponential exp(t*M)
Iterative procedure to compute a correlation matrix reduction to a single factor dependence vector by minimizing the residuals.
It assumes that such a reduction is possible, notice that if the dependence can not be reduced to one factor the correlation factors might be above 1.
The matrix passed is destroyed.
See for instance: "Modern Factor Analysis", Harry H. Harman, University Of Chicago Press, 1976. Chapter 9 is relevant to this context.
| Matrix getCovariance | ( | DataIterator | stdDevBegin, |
| DataIterator | stdDevEnd, | ||
| const Matrix & | corr, | ||
| Real | tolerance = 1.0e-12 ) |
Calculation of covariance from correlation and standard deviations.
Combines the correlation matrix and the vector of standard deviations to return the covariance matrix.
Note that only the symmetric part of the correlation matrix is used. Also it is assumed that the diagonal member of the correlation matrix equals one.
QR decompoisition.
This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz)
This subroutine uses householder transformations with column pivoting (optional) to compute a qr factorization of the m by n matrix A. That is, qrfac determines an orthogonal matrix q, a permutation matrix p, and an upper trapezoidal matrix r with diagonal elements of nonincreasing magnitude, such that A*p = q*r.
Return value ipvt is an integer array of length n, which defines the permutation matrix p such that A*p = q*r. Column j of p is column ipvt(j) of the identity matrix.
See lmdiff.cpp for further details.
QR Solve.
This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz)
Given an m by n matrix A, an n by n diagonal matrix d, and an m-vector b, the problem is to determine an x which solves the system
A*x = b , d*x = 0 ,
in the least squares sense.
d is an input array of length n which must contain the diagonal elements of the matrix d.
See lmdiff.cpp for further details.
Returns the Triangular Angles Parametrized correlation matrix.
The matrix \( m \) is filled with values corresponding to angles given in the \( angles \) vector. See equation (24) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio
Returns the rank reduced Triangular Angles Parametrized correlation matrix.
The matrix \( m \) is filled with values corresponding to angles corresponding to the 3D spherical spiral parameterized by \( alpha \), \( t0 \), \( epsilon \) values. See equation (32) in "Parameterizing correlations: a geometric interpretation" by Francesco Rapisarda, Damiano Brigo, Fabio Mercurio
| Matrix exponentialCorrelations | ( | const std::vector< Time > & | rateTimes, |
| Real | longTermCorr = 0.5, | ||
| Real | beta = 0.2, | ||
| Real | gamma = 1.0, | ||
| Time | t = 0.0 ) |
Exponential correlation L = long term correlation beta = exponential decay of correlation between far away forward rates gamma = exponent for time to go t = time dependence
| void checkCompatibility | ( | const EvolutionDescription & | evolution, |
| const std::vector< Size > & | numeraires ) |
Check that there is one numeraire for each evolution time. Each numeraire must be an index amongst the rate times so it ranges from 0 to n. Each numeraire must not have expired before the end of the step.
| std::vector< Size > moneyMarketPlusMeasure | ( | const EvolutionDescription & | , |
| Size | offset = 1 ) |
Offsetted discretely compounded money market account measure: for each step the offset-th unexpired bond is used as numeraire. When offset=0 the result is the usual discretely compounded money market account measure
| std::vector< Size > moneyMarketMeasure | ( | const EvolutionDescription & | ) |
Discretely compounded money market account measure: for each step the first unexpired bond is used as numeraire.
| std::valarray< bool > isInSubset | ( | const std::vector< Time > & | set, |
| const std::vector< Time > & | subset ) |
Look for elements of a set in a subset. Returns a vector of booleans such that: element set[i] present/not present in subset.
return the MidEquivalent price, i.e. the mid if available, or a suitable substitute if the proper mid is not available
return the MidSafe price, i.e. the mid only if both bid and ask prices are available
| Real blackFormula | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 formula
| Real blackFormula | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 formula
| Real blackFormulaForwardDerivative | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 model forward derivative
| Real blackFormulaForwardDerivative | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 model forward derivative
| Real blackFormulaImpliedStdDevApproximation | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)
| Real blackFormulaImpliedStdDevApproximation | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated using Brenner and Subrahmanyan (1988) and Feinstein (1988) approximation for at-the-money forward option, with the extended moneyness approximation by Corrado and Miller (1996)
| Real blackFormulaImpliedStdDevChambers | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | blackAtmPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated following "An improved approach to computing implied volatility", Chambers, Nawalkha, The Financial Review, 2001, 89-100. The atm option price must be known to use this method.
| Real blackFormulaImpliedStdDevChambers | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | blackAtmPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated following "An improved approach to computing implied volatility", Chambers, Nawalkha, The Financial Review, 2001, 89-100. The atm option price must be known to use this method.
| Real blackFormulaImpliedStdDevApproximationRS | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Approximated Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity).
It is calculated using
"An Explicit Implicit Volatility Formula" R. Radoicic, D. Stefanica, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2908494
"Tighter Bounds for Implied Volatility", J. Gatheral, I. Matic, R. Radoicic, D. Stefanica https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2922742
| Real blackFormulaImpliedStdDev | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0, | ||
| Real | guess = Null< Real >(), | ||
| Real | accuracy = 1.0e-6, | ||
| Natural | maxIterations = 100 ) |
Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)
| Real blackFormulaImpliedStdDev | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0, | ||
| Real | guess = Null< Real >(), | ||
| Real | accuracy = 1.0e-6, | ||
| Natural | maxIterations = 100 ) |
Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)
| Real blackFormulaImpliedStdDevLiRS | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | blackPrice, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0, | ||
| Real | guess = Null< Real >(), | ||
| Real | omega = 1.0, | ||
| Real | accuracy = 1.0e-6, | ||
| Natural | maxIterations = 100 ) |
Black 1976 implied standard deviation, i.e. volatility*sqrt(timeToMaturity)
"An Adaptive Successive Over-relaxation Method for Computing the Black-Scholes Implied Volatility" M. Li, http://mpra.ub.uni-muenchen.de/6867/
Starting point of the iteration is calculated based on
"An Explicit Implicit Volatility Formula" R. Radoicic, D. Stefanica, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2908494
| Real blackFormulaCashItmProbability | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | stdDev, | ||
| Real | displacement = 0.0 ) |
Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.
| Real blackFormulaCashItmProbability | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | displacement = 0.0 ) |
Black 1976 probability of being in the money (in the bond martingale measure), i.e. N(d2). It is a risk-neutral probability, not the real world one.
| Real blackFormulaAssetItmProbability | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | stdDev, | ||
| Real | displacement = 0.0 ) |
Black 1976 probability of being in the money in the asset martingale measure, i.e. N(d1). It is a risk-neutral probability, not the real world one.
| Real blackFormulaAssetItmProbability | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | displacement = 0.0 ) |
Black 1976 probability of being in the money in the asset martingale measure, i.e. N(d1). It is a risk-neutral probability, not the real world one.
| Real blackFormulaStdDevDerivative | ( | Real | strike, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 formula for standard deviation derivative
| Real blackFormulaVolDerivative | ( | Real | strike, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | expiry, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 formula for derivative with respect to implied vol, this is basically the vega, but if you want 1% change multiply by 1%
| Real blackFormulaStdDevDerivative | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 formula for standard deviation derivative
| Real blackFormulaStdDevSecondDerivative | ( | Rate | strike, |
| Rate | forward, | ||
| Real | stdDev, | ||
| Real | discount, | ||
| Real | displacement ) |
Black 1976 formula for second derivative by standard deviation
| Real blackFormulaStdDevSecondDerivative | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0, | ||
| Real | displacement = 0.0 ) |
Black 1976 formula for second derivative by standard deviation
| Real bachelierBlackFormula | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0 ) |
Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.
| Real bachelierBlackFormula | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0 ) |
Black style formula when forward is normal rather than log-normal. This is essentially the model of Bachelier.
| Real bachelierBlackFormulaForwardDerivative | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0 ) |
Bachelier Black model forward derivative.
| Real bachelierBlackFormulaForwardDerivative | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0 ) |
Bachelier Black model forward derivative.
| Real bachelierBlackFormulaImpliedVolChoi | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | tte, | ||
| Real | bachelierPrice, | ||
| Real | discount = 1.0 ) |
Approximated Bachelier implied volatility
It is calculated using the analytic implied volatility approximation of J. Choi, K Kim and M. Kwak (2009), “Numerical Approximation of the Implied Volatility Under Arithmetic Brownian Motion”, Applied Math. Finance, 16(3), pp. 261-268.
| Real bachelierBlackFormulaImpliedVol | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | tte, | ||
| Real | bachelierPrice, | ||
| Real | discount = 1.0 ) |
Exact Bachelier implied volatility
It is calculated using the analytic implied volatility formula of Jaeckel (2017), "Implied Normal Volatility"
| Real bachelierBlackFormulaStdDevDerivative | ( | Real | strike, |
| Real | forward, | ||
| Real | stdDev, | ||
| Real | discount = 1.0 ) |
Bachelier formula for standard deviation derivative
| Real bachelierBlackFormulaAssetItmProbability | ( | Option::Type | optionType, |
| Real | strike, | ||
| Real | forward, | ||
| Real | stdDev ) |
Bachelier formula for probability of being in the money in the asset martingale measure, i.e. N(d). It is a risk-neutral probability, not the real world one.
| Real bachelierBlackFormulaAssetItmProbability | ( | const ext::shared_ptr< PlainVanillaPayoff > & | payoff, |
| Real | forward, | ||
| Real | stdDev ) |
Bachelier formula for of being in the money in the asset martingale measure, i.e. N(d). It is a risk-neutral probability, not the real world one.
| Time inflationYearFraction | ( | Frequency | , |
| bool | indexIsInterpolated, | ||
| const DayCounter & | , | ||
| const Date & | , | ||
| const Date & | ) |
utility function giving the time between two dates depending on index frequency and interpolation, and a day counter
| std::array< Real, 4 > sabrGuess | ( | Real | k_m, |
| Volatility | vol_m, | ||
| Real | k_0, | ||
| Volatility | vol_0, | ||
| Real | k_p, | ||
| Volatility | vol_p, | ||
| Rate | forward, | ||
| Time | expiryTime, | ||
| Real | beta, | ||
| Real | shift, | ||
| VolatilityType | volatilityType ) |
Initial guess for SABR calibration.
See Fabien Le Floc’h and Gary Kennedy, "Explicit SABR Calibration through Simple Expansions", available from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2467231.
The returned array contains the guesses for alpha, beta, nu and rho. The value for beta is the one passed in input.
The idea is to estimate atm volatility, skew and curvature using the three volatility points closest around the forward (k_0 and vol_0 would be the closest strike and its volatility, k_m and vol_m the previous point, k_p and vol_p the following one) and solve a system for the SABR parameters that match them.
| Date previousTwentieth | ( | const Date & | d, |
| DateGeneration::Rule | rule ) |
Helper function for returning the date on or before date d that is the 20th of the month and obeserves the given date generation rule if it is relevant.
| std::size_t compiledBoostVersion | ( | ) |