AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
AbcdFunction | Abcd functional form for instantaneous volatility |
AbcdVol | Abcd-interpolated volatility structure |
AccountingEngine | Engine collecting cash flows along a market-model simulation |
Actual360 | Actual/360 day count convention |
Actual365Fixed | Actual/365 (Fixed) day count convention |
ActualActual | Actual/Actual day count |
AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
AdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
AffineModel | Affine model class |
AliMikhailHaqCopula | Ali-Mikhail-Haq copula |
AmericanCondition | American exercise condition |
AmericanExercise | American exercise |
AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
AmortizingCmsRateBond | Amortizing CMS-rate bond |
AmortizingFixedRateBond | Amortizing fixed-rate bond |
AmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored) |
AmortizingPayment | Amortizing payment |
AnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option |
AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
AnalyticCapFloorEngine | Analytic engine for cap/floor |
AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
AnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae |
AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
AnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option |
AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
AnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option |
AnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine |
AnalyticHaganPricer | CMS-coupon pricer |
AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
AnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine |
AnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option |
AnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options |
Argentina | Argentinian calendars |
ArmijoLineSearch | Armijo line search |
Array | 1-D array used in linear algebra |
ARSCurrency | Argentinian peso |
AssetOrNothingPayoff | Binary asset-or-nothing payoff |
AssetSwap | Bullet bond vs Libor swap |
AssetSwap::arguments | Arguments for asset swap calculation |
AssetSwap::results | Results from simple swap calculation |
AtomicDefault | Atomic (single contractual event) default events |
ATSCurrency | Austrian shilling |
AUCPI | AU CPI index (either quarterly or annual) |
AUDCurrency | Australian dollar |
AUDLibor | AUD LIBOR rate |
Australia | Australian calendar |
AustraliaRegion | Australia as geographical/economic region |
Average | Placeholder for enumerated averaging types |
AverageBMACoupon | Average BMA coupon |
AverageBMALeg | Helper class building a sequence of average BMA coupons |
BachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons |
BackwardFlat | Backward-flat interpolation factory and traits |
BackwardFlatInterpolation | Backward-flat interpolation between discrete points |
BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
Barrier | Placeholder for enumerated barrier types |
BarrierOption | Barrier option on a single asset |
BarrierOption::arguments | Arguments for barrier option calculation |
BarrierOption::engine | Barrier-option engine base class |
Basket | |
BasketOption | Basket option on a number of assets |
BasketOption::engine | Basket-option engine base class |
BatesEngine | Bates model engines based on Fourier transform |
BatesModel | Bates stochastic-volatility model |
BatesProcess | Square-root stochastic-volatility Bates process |
BDTCurrency | Bangladesh taka |
BEFCurrency | Belgian franc |
BermudanExercise | Bermudan exercise |
BernsteinPolynomial | Class of Bernstein polynomials |
BespokeCalendar | Bespoke calendar |
BFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm |
BGLCurrency | Bulgarian lev |
Bicubic | Bicubic-spline-interpolation factory |
BicubicSpline | Bicubic-spline interpolation between discrete points |
Bilinear | Bilinear-interpolation factory |
BilinearInterpolation | bilinear interpolation between discrete points |
BinomialConvertibleEngine< T > | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
BinomialDistribution | Binomial probability distribution function |
BinomialProbabilityOfAtLeastNEvents | Probability of at least N events |
BinomialTree< T > | Binomial tree base class |
BinomialVanillaEngine< T > | Pricing engine for vanilla options using binomial trees |
Bisection | Bisection 1-D solver |
BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
BlackCalculator | Black 1976 calculator class |
BlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine |
BlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine |
BlackCapFloorEngine | Black-formula cap/floor engine |
BlackCdsOptionEngine | Black-formula CDS-option engine |
BlackConstantVol | Constant Black volatility, no time-strike dependence |
BlackDeltaCalculator | Black delta calculator class |
BlackIborCouponPricer | Black-formula pricer for capped/floored Ibor coupons |
BlackKarasinski | Standard Black-Karasinski model class |
BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
BlackProcess | Black (1976) stochastic process |
BlackScholesCalculator | Black-Scholes 1973 calculator class |
BlackScholesLattice< T > | Simple binomial lattice approximating the Black-Scholes model |
BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
BlackScholesProcess | Black-Scholes (1973) stochastic process |
BlackSwaptionEngine | Black-formula swaption engine |
BlackVarianceCurve | Black volatility curve modelled as variance curve |
BlackVarianceSurface | Black volatility surface modelled as variance surface |
BlackVarianceTermStructure | Black variance term structure |
BlackVolatilityTermStructure | Black-volatility term structure |
BlackVolSurface | Black volatility (smile) surface |
BlackVolTermStructure | Black-volatility term structure |
BlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons |
BMAIndex | Bond Market Association index |
BMASwap | Swap paying Libor against BMA coupons |
BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
Bond | Base bond class |
BondFunctions | Bond adapters of CashFlows functions |
BondHelper | Fixed-coupon bond helper |
BootstrapError< Curve > | Bootstrap error |
BootstrapHelper< TS > | Base helper class for bootstrapping |
BoundaryCondition< Operator > | Abstract boundary condition class for finite difference problems |
BoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
BoxMullerGaussianRng< RNG > | Gaussian random number generator |
Brazil | Brazilian calendar |
Brent | Brent 1-D solver |
BRLCurrency | Brazilian real |
BrownianBridge | Builds Wiener process paths using Gaussian variates |
BSMOperator | Black-Scholes-Merton differential operator |
BSpline | B-spline basis functions |
BTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond |
Business252 | Business/252 day count convention |
BYRCurrency | Belarussian ruble |
CADCurrency | Canadian dollar |
CADLibor | CAD LIBOR rate |
CADLiborON | Overnight CAD Libor index |
Calendar | calendar class |
Calendar::Impl | Abstract base class for calendar implementations |
Calendar::OrthodoxImpl | Partial calendar implementation |
Calendar::WesternImpl | Partial calendar implementation |
CalibratedModel | Calibrated model class |
CalibrationHelper | Liquid market instrument used during calibration |
Callability | instrument callability |
Callability::Price | Amount to be paid upon callability |
CallableBond | Callable bond base class |
CallableBond::engine | Base class for callable fixed rate bond engine |
CallableBond::results | Results for a callable bond calculation |
CallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence |
CallableBondVolatilityStructure | Callable-bond volatility structure |
CallableFixedRateBond | Callable/puttable fixed rate bond |
CallableZeroCouponBond | Callable/puttable zero coupon bond |
Canada | Canadian calendar |
Cap | Concrete cap class |
CapFloor | Base class for cap-like instruments |
CapFloor::arguments | Arguments for cap/floor calculation |
CapFloor::engine | Base class for cap/floor engines |
CapFloorTermVolatilityStructure | Cap/floor term-volatility structure |
CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
CapFloorTermVolSurface | Cap/floor smile volatility surface |
CapHelper | Calibration helper for ATM cap |
CapletVarianceCurve | |
CappedFlooredCoupon | Capped and/or floored floating-rate coupon |
CappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
CapPseudoDerivative | |
CashFlow | Base class for cash flows |
CashFlows | cashflow-analysis functions |
CashOrNothingPayoff | Binary cash-or-nothing payoff |
CCTEU | |
CDO | Collateralized debt obligation |
Cdor | CDOR rate |
CdsHelper | |
CdsOption | CDS option |
CdsOption::arguments | Arguments for CDS-option calculation |
CdsOption::engine | Base class for swaption engines |
CdsOption::results | Results from CDS-option calculation |
CeilingTruncation | Ceiling truncation |
CHFCurrency | Swiss franc |
CHFLibor | CHF LIBOR rate |
ChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class |
China | Chinese calendar |
Claim | Claim associated to a default event |
ClaytonCopula | Clayton copula |
ClaytonCopulaRng< RNG > | Clayton copula random-number generator |
CLGaussianRng< RNG > | Gaussian random number generator |
CliquetOption | Cliquet (Ratchet) option |
CliquetOption::arguments | Arguments for cliquet option calculation |
CliquetOption::engine | Cliquet engine base class |
Clone< T > | Cloning proxy to an underlying object |
ClosestRounding | Closest rounding |
CLPCurrency | Chilean peso |
CmsCoupon | CMS coupon class |
CmsCouponPricer | Base pricer for vanilla CMS coupons |
CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
CmsMarket | Set of CMS quotes |
CMSMMDriftCalculator | Drift computation for CMS market models |
CmsRateBond | CMS-rate bond |
CMSwapCurveState | Curve state for constant-maturity-swap market models |
CNYCurrency | Chinese yuan |
Collar | Concrete collar class |
Commodity | Commodity base class |
CommodityCurve | Commodity term structure |
CommodityIndex | Base class for commodity indexes |
CommodityPricingHelper | Commodity index helper |
CommoditySettings | Global repository for run-time library settings |
CommodityType | Commodity type |
Composite< T > | Composite pattern |
CompositeConstraint | Constraint enforcing both given sub-constraints |
CompositeInstrument | Composite instrument |
CompositeQuote< BinaryFunction > | Market element whose value depends on two other market element |
CompoundOption | Compound option on a single asset |
CompoundOption::engine | Compound-option engine base class |
ConjugateGradient | Multi-dimensional Conjugate Gradient class |
ConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence |
ConstantCPIVolatility | Constant surface, no K or T dependence |
ConstantEstimator | Constant-estimator volatility model |
ConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence |
ConstantParameter | Standard constant parameter |
ConstantRecoveryModel | |
ConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence |
ConstantYoYOptionletVolatility | Constant surface, no K or T dependence |
ConstrainedEvolver | Constrained market-model evolver |
Constraint | Base constraint class |
Constraint::Impl | Base class for constraint implementations |
ContinuousAveragingAsianOption | Continuous-averaging Asian option |
ContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option |
ContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class |
ContinuousFixedLookbackOption | Continuous-fixed lookback option |
ContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation |
ContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class |
ContinuousFloatingLookbackOption | Continuous-floating lookback option |
ContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation |
ContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class |
ConvergenceStatistics< T, U > | Statistics class with convergence table |
ConvertibleBond | Base class for convertible bonds |
ConvertibleFixedCouponBond | Convertible fixed-coupon bond |
ConvertibleFloatingRateBond | Convertible floating-rate bond |
ConvertibleZeroCouponBond | Convertible zero-coupon bond |
ConvexMonotone | Convex-monotone interpolation factory and traits |
ConvexMonotoneInterpolation< I1, I2 > | Convex monotone yield-curve interpolation method |
COPCurrency | Colombian peso |
CostFunction | Cost function abstract class for optimization problem |
CoterminalSwapCurveState | Curve state for coterminal-swap market models |
Coupon | coupon accruing over a fixed period |
CovarianceDecomposition | Covariance decomposition into correlation and variances |
CoxIngersollRoss | Cox-Ingersoll-Ross model class |
CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
CPIBond | |
CPICapFloor | CPI cap or floor |
CPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity) |
CPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index |
CPICoupon | Coupon paying the performance of a CPI (zero inflation) index |
CPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO |
CPILeg | Helper class building a sequence of capped/floored CPI coupons |
CPISwap | Zero-inflation-indexed swap, |
CPISwap::arguments | Arguments for swap calculation |
CPISwap::results | Results from swap calculation |
CPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
CrankNicolson< Operator > | Crank-Nicolson scheme for finite difference methods |
CreditDefaultSwap | Credit default swap |
Cubic | Cubic interpolation factory and traits |
CubicBSplinesFitting | CubicSpline B-splines fitting method |
CubicInterpolation | Cubic interpolation between discrete points |
CumulativeBinomialDistribution | Cumulative binomial distribution function |
CumulativeNormalDistribution | Cumulative normal distribution function |
CumulativePoissonDistribution | Cumulative Poisson distribution function |
CumulativeStudentDistribution | Cumulative Student t-distribution |
CuriouslyRecurringTemplate< Impl > | Support for the curiously recurring template pattern |
Currency | Currency specification |
Curve | Abstract curve class |
CurveState | Curve state for market-model simulations |
CYPCurrency | Cyprus pound |
CzechRepublic | Czech calendars |
CZKCurrency | Czech koruna |
DailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes |
DailyTenorEURLibor | Base class for the one day deposit BBA EUR LIBOR indexes |
DailyTenorGBPLibor | Base class for the one day deposit BBA GBP LIBOR indexes |
DailyTenorJPYLibor | Base class for the one day deposit BBA JPY LIBOR indexes |
DailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones |
DailyTenorUSDLibor | Base class for the one day deposit BBA USD LIBOR indexes |
Date | Concrete date class |
DatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
DateGeneration | Date-generation rule |
DateInterval | Date interval described by a number of a given time unit |
DayCounter | Day counter class |
DayCounter::Impl | Abstract base class for day counter implementations |
DefaultDensity | Default-density-curve traits |
DefaultDensityStructure | Default-density term structure |
DefaultEvent | Credit event on a bond of a certain seniority(ies)/currency |
DefaultProbabilityTermStructure | Default probability term structure |
DefaultProbKey | |
DefaultType | Atomic credit-event type |
DeltaVolQuote | Class for the quotation of delta vs vol |
DEMCurrency | Deutsche mark |
Denmark | Danish calendar |
DepositRateHelper | Rate helper for bootstrapping over deposit rates |
DerivedQuote< UnaryFunction > | Market quote whose value depends on another quote |
ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
DigitalCoupon | Digital-payoff coupon |
DigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
DirichletBC | Neumann boundary condition (i.e., constant value) |
Discount | Discount-curve traits |
DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
DiscreteAveragingAsianOption | Discrete-averaging Asian option |
DiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option |
DiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class |
DiscretizedAsset | Discretized asset class used by numerical methods |
DiscretizedDiscountBond | Useful discretized discount bond asset |
DiscretizedOption | Discretized option on a given asset |
Disposable< T > | Generic disposable object with move semantics |
Dividend | Predetermined cash flow |
DividendBarrierOption | Single-asset barrier option with discrete dividends |
DividendBarrierOption::arguments | Arguments for dividend barrier option calculation |
DividendBarrierOption::engine | Dividend-barrier-option engine base class |
DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
DividendVanillaOption::arguments | Arguments for dividend vanilla option calculation |
DividendVanillaOption::engine | Dividend-vanilla-option engine base class |
DKKCurrency | Danish krone |
DKKLibor | DKK LIBOR rate |
DMinus | matricial representation |
Domain | domain abstract lcass |
DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
DownRounding | Down-rounding |
DPlus | matricial representation |
DPlusDMinus | matricial representation |
DriftTermStructure | Drift term structure |
Duration | duration type |
DZero | matricial representation |
EarlyExercise | Early-exercise base class |
EarlyExercisePathPricer< PathType, TimeType, ValueType > | Base class for early exercise path pricers |
ECB | European Central Bank reserve maintenance dates |
EEKCurrency | Estonian kroon |
EndCriteria | Criteria to end optimization process: |
EndEulerDiscretization | Euler end-point discretization for stochastic processes |
EnergyBasisSwap | Energy basis swap |
EnergyCommodity | Energy commodity class |
EnergyFuture | Energy future |
EnergyVanillaSwap | Vanilla energy swap |
Eonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB |
EqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
EqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
EquityFXVolSurface | Equity/FX volatility (smile) surface |
Error | Base error class |
ErrorFunction | Error function |
ESPCurrency | Spanish peseta |
EUHICP | EU HICP index |
EUHICPXT | EU HICPXT index |
EulerDiscretization | Euler discretization for stochastic processes |
EURCurrency | European Euro |
EURegion | European Union as geographical/economic region |
Euribor | Euribor index |
Euribor10M | 10-months Euribor index |
Euribor11M | 11-months Euribor index |
Euribor1M | 1-month Euribor index |
Euribor1Y | 1-year Euribor index |
Euribor2M | 2-months Euribor index |
Euribor2W | 2-weeks Euribor index |
Euribor365 | Actual/365 Euribor index |
Euribor365_10M | 10-months Euribor365 index |
Euribor365_11M | 11-months Euribor365 index |
Euribor365_1M | 1-month Euribor365 index |
Euribor365_1Y | 1-year Euribor365 index |
Euribor365_2M | 2-months Euribor365 index |
Euribor365_2W | 2-weeks Euribor365 index |
Euribor365_3M | 3-months Euribor365 index |
Euribor365_3W | 3-weeks Euribor365 index |
Euribor365_4M | 4-months Euribor365 index |
Euribor365_5M | 5-months Euribor365 index |
Euribor365_6M | 6-months Euribor365 index |
Euribor365_7M | 7-months Euribor365 index |
Euribor365_8M | 8-months Euribor365 index |
Euribor365_9M | 9-months Euribor365 index |
Euribor365_SW | 1-week Euribor365 index |
Euribor3M | 3-months Euribor index |
Euribor3W | 3-weeks Euribor index |
Euribor4M | 4-months Euribor index |
Euribor5M | 5-months Euribor index |
Euribor6M | 6-months Euribor index |
Euribor7M | 7-months Euribor index |
Euribor8M | 8-months Euribor index |
Euribor9M | 9-months Euribor index |
EuriborSW | 1-week Euribor index |
EuriborSwapIfrFix | EuriborSwapIfrFix index base class |
EuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class |
EuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class |
EURLibor | Base class for all BBA EUR LIBOR indexes but the O/N |
EURLibor10M | 10-months EUR Libor index |
EURLibor11M | 11-months EUR Libor index |
EURLibor1M | 1-month EUR Libor index |
EURLibor1Y | 1-year EUR Libor index |
EURLibor2M | 2-months EUR Libor index |
EURLibor2W | 2-weeks EUR Libor index |
EURLibor3M | 3-months EUR Libor index |
EURLibor4M | 4-months EUR Libor index |
EURLibor5M | 5-months EUR Libor index |
EURLibor6M | 6-months EUR Libor index |
EURLibor7M | 7-months EUR Libor index |
EURLibor8M | 8-months EUR Libor index |
EURLibor9M | 9-months EUR Libor index |
EURLiborON | Overnight EUR Libor index |
EURLiborSW | 1-week EUR Libor index |
EurLiborSwapIfrFix | EurLiborSwapIfrFix index base class |
EurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class |
EurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class |
EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
EuropeanExercise | European exercise |
EuropeanOption | European option on a single asset |
Event | Base class for event |
EvolutionDescription | Market-model evolution description |
ExchangeRate | Exchange rate between two currencies |
ExchangeRateManager | Exchange-rate repository |
Exercise | Base exercise class |
ExplicitEuler< Operator > | Forward Euler scheme for finite difference methods |
ExponentialJump1dMesher | |
ExponentialSplinesFitting | Exponential-splines fitting method |
ExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
ExtendedBinomialTree< T > | Binomial tree base class |
ExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process |
ExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve |
ExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface |
ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter |
ExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
ExtendedEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
ExtendedEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
ExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
ExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach |
ExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class |
ExtendedTian | Tian tree: third moment matching, multiplicative approach |
ExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
ExtOUWithJumpsProcess | |
Extrapolator | Base class for classes possibly allowing extrapolation |
FaceValueAccrualClaim | Claim on the notional of a reference security, including accrual |
FaceValueClaim | Claim on a notional |
Factorial | Factorial numbers calculator |
FactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates |
FailureToPay | Failure to Pay atomic event type |
FalsePosition | False position 1-D solver |
FarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula |
FarlieGumbelMorgensternCopulaRng< RNG > | Farlie-Gumbel-Morgenstern copula random-number generator |
FastFourierTransform | FFT implementation |
FaureRsg | Faure low-discrepancy sequence generator |
Fd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine |
FDAmericanEngine< Scheme > | Finite-differences pricing engine for American one asset options |
FdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine |
FDBermudanEngine< Scheme > | Finite-differences Bermudan engine |
FdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine |
FdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine |
FDDividendAmericanEngine< Scheme > | Finite-differences pricing engine for dividend American options |
FDDividendEngineBase< Scheme > | Abstract base class for dividend engines |
FDDividendEngineMerton73< Scheme > | Finite-differences pricing engine for dividend options using escowed dividends model |
FDDividendEngineShiftScale< Scheme > | Finite-differences engine for dividend options using shifted dividends |
FDDividendEuropeanEngine< Scheme > | Finite-differences pricing engine for dividend European options |
FDDividendShoutEngine< Scheme > | Finite-differences shout engine with dividends |
FDEuropeanEngine< Scheme > | Pricing engine for European options using finite-differences |
FdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine |
FdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine |
FdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine |
FdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine |
FdmExtOUJumpOp | |
FdmKlugeExtOUOp | |
FDShoutEngine< Scheme > | Finite-differences pricing engine for shout vanilla options |
FDStepConditionEngine< Scheme > | Finite-differences pricing engine for American-style vanilla options |
FDVanillaEngine | Finite-differences pricing engine for BSM one asset options |
FFTEngine | Base class for FFT pricing engines for European vanilla options |
FFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process |
FFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process |
FIMCurrency | Finnish markka |
FiniteDifferenceModel< Evolver > | Generic finite difference model |
FiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives |
Finland | Finnish calendar |
FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
FittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve |
FixedDividend | Predetermined cash flow |
FixedRateBond | Fixed-rate bond |
FixedRateBondForward | Forward contract on a fixed-rate bond |
FixedRateCoupon | Coupon paying a fixed interest rate |
FixedRateLeg | Helper class building a sequence of fixed rate coupons |
FlatForward | Flat interest-rate curve |
FlatHazardRate | Flat hazard-rate curve |
FloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
FloatingRateCoupon | Base floating-rate coupon class |
FloatingRateCouponPricer | Generic pricer for floating-rate coupons |
FloatingTypePayoff | Payoff based on a floating strike |
Floor | Concrete floor class |
FloorTruncation | Floor truncation |
Forward | Abstract base forward class |
ForwardFlat | Forward-flat interpolation factory and traits |
ForwardFlatInterpolation | Forward-flat interpolation between discrete points |
ForwardMeasureProcess | Forward-measure stochastic process |
ForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
ForwardOptionArguments< ArgumentsType > | Arguments for forward (strike-resetting) option calculation |
ForwardPerformanceVanillaEngine< Engine > | Forward performance engine for vanilla options |
ForwardRate | Forward-curve traits |
ForwardRateStructure | Forward-rate term structure |
ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
ForwardSwapQuote | Quote for a forward starting swap |
ForwardTypePayoff | Class for forward type payoffs |
ForwardValueQuote | quote for the forward value of an index |
ForwardVanillaEngine< Engine > | Forward engine for vanilla options |
ForwardVanillaOption | Forward version of a vanilla option |
FractionalDividend | Predetermined cash flow |
FranceRegion | France as geographical/economic region |
FrankCopula | Frank copula |
FrankCopulaRng< RNG > | Frank copula random-number generator |
FraRateHelper | Rate helper for bootstrapping over FRA rates |
FRFCurrency | French franc |
FRHICP | FR HICP index |
FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
FuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices |
G2 | Two-additive-factor gaussian model class |
G2::FittingParameter | Analytical term-structure fitting parameter |
G2ForwardProcess | Forward G2 stochastic process |
G2Process | G2 stochastic process |
G2SwaptionEngine | Swaption priced by means of the Black formula |
GalambosCopula | Galambos copula |
GammaFunction | Gamma function class |
GapPayoff | Binary gap payoff |
Garch11 | GARCH volatility model |
GarmanKlassAbstract | Garman-Klass volatility model |
GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
GaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind) |
GaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind) |
GaussChebyshevIntegration | Gauss-Chebyshev integration |
GaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
GaussGegenbauerIntegration | Gauss-Gegenbauer integration |
GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
GaussHermiteIntegration | Generalized Gauss-Hermite integration |
GaussHermitePolynomial | Gauss-Hermite polynomial |
GaussHyperbolicIntegration | Gauss-Hyperbolic integration |
GaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
GaussianCopula | Gaussian copula |
GaussianKernel | Gaussian kernel function |
GaussianLHPCDOEngine< CDOEngine > | |
GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
GaussianRandomDefaultModel | |
GaussianRecursiveCdoEngine< CDOEngine > | Specialization for Gaussian copula, the integration still remains |
GaussJacobiIntegration | Gauss-Jacobi integration |
GaussJacobiPolynomial | Gauss-Jacobi polynomial |
GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
GaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
GaussLaguerrePolynomial | Gauss-Laguerre polynomial |
GaussLegendreIntegration | Gauss-Legendre integration |
GaussLegendrePolynomial | Gauss-Legendre polynomial |
GaussLobattoIntegral | Integral of a one-dimensional function |
GBPCurrency | British pound sterling |
GBPLibor | GBP LIBOR rate |
GBPLiborON | Overnight GBP Libor index |
GbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class |
GemanRoncoroniProcess | Geman-Roncoroni process class |
GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
GeneralizedHullWhite | Generalized Hull-White model class |
GeneralizedHullWhite::Dynamics | Short-rate dynamics in the generalized Hull-White model |
GeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class |
GeneralLinearLeastSquares | General linear least squares regression |
GeneralStatistics | Statistics tool |
GenericCPI | Generic CPI index |
GenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines |
GenericGaussianStatistics< Stat > | Statistics tool for gaussian-assumption risk measures |
GenericModelEngine< ModelType, ArgumentsType, ResultsType > | Base class for some pricing engine on a particular model |
GenericRegion | Generic geographical/economic region |
GenericRiskStatistics< S > | Empirical-distribution risk measures |
GenericSequenceStatistics< StatisticsType > | Statistics analysis of N-dimensional (sequence) data |
GeometricBrownianMotionProcess | Geometric brownian-motion process |
Germany | German calendars |
GJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset |
GJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process |
GRDCurrency | Greek drachma |
Greeks | Additional option results |
GumbelCopula | Gumbel copula |
HaganPricer | CMS-coupon pricer |
HaltonRsg | Halton low-discrepancy sequence generator |
Handle< T > | Shared handle to an observable |
HazardRate | Hazard-rate-curve traits |
HazardRateStructure | Hazard-rate term structure |
HestonModel | Heston model for the stochastic volatility of an asset |
HestonModelHelper | Calibration helper for Heston model |
HestonProcess | Square-root stochastic-volatility Heston process |
HimalayaOption | Himalaya option |
Histogram | Histogram class |
HistoricalForwardRatesAnalysisImpl< Traits, Interpolator > | Historical correlation class |
HistoricalRatesAnalysis | Historical rate analysis class |
HKDCurrency | Honk Kong dollar |
HomogeneousPoolCDOEngine< CDOEngine > | CDO engine, loss distribution convolution for finite homogeneous pool |
HongKong | Hong Kong calendars |
HUFCurrency | Hungarian forint |
HullWhite | Single-factor Hull-White (extended Vasicek) model class |
HullWhite::Dynamics | Short-rate dynamics in the Hull-White model |
HullWhite::FittingParameter | Analytical term-structure fitting parameter |
HullWhiteForwardProcess | Forward Hull-White stochastic process |
HullWhiteProcess | Hull-White stochastic process |
Hungary | Hungarian calendar |
HuslerReissCopula | Husler-Reiss copula |
HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
IborCoupon | Coupon paying a Libor-type index |
IborCouponPricer | Base pricer for capped/floored Ibor coupons |
IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
Iceland | Icelandic calendars |
IEPCurrency | Irish punt |
ILSCurrency | Israeli shekel |
IMM | Main cycle of the International Money Market (a.k.a. IMM) months |
ImplicitEuler< Operator > | Backward Euler scheme for finite difference methods |
ImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
ImpliedTermStructure | Implied term structure at a given date in the future |
ImpliedVolTermStructure | Implied vol term structure at a given date in the future |
IncrementalStatistics | Statistics tool based on incremental accumulation |
IndependentCopula | Independent copula |
Index | Purely virtual base class for indexes |
IndexedCashFlow | Cash flow dependent on an index ratio |
IndexManager | Global repository for past index fixings |
India | Indian calendars |
Indonesia | Indonesian calendars |
InflationCoupon | Base inflation-coupon class |
InflationCouponPricer | Base inflation-coupon pricer |
InflationIndex | Base class for inflation-rate indexes, |
InflationTermStructure | Interface for inflation term structures |
InhomogeneousPoolCDOEngine< CDOEngine > | CDO engine, loss disctribution bucketing for finite inhomogeneous pool |
INRCurrency | Indian rupee |
Instrument | Abstract instrument class |
IntegralCDOEngine | CDO base engine taking (possibly) small time steps |
IntegralEngine | Pricing engine for European vanilla options using integral approach |
IntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine |
InterestRate | Concrete interest rate class |
InterestRateIndex | Base class for interest rate indexes |
InterestRateVolSurface | Interest rate volatility (smile) surface |
InterpolatedCurve< Interpolator > | Helper class to build interpolated term structures |
InterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities |
InterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors |
InterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates |
InterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates |
InterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
InterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates |
InterpolatedYoYOptionletStripper< Interpolator1D > | |
InterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface |
InterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates |
InterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates |
InterpolatingCPICapFloorEngine | |
Interpolation | Base class for 1-D interpolations |
Interpolation2D | Base class for 2-D interpolations |
Interpolation2D::Impl | Abstract base class for 2-D interpolation implementations |
Interpolation2D::templateImpl< I1, I2, M > | Basic template implementation |
Interpolation::Impl | Abstract base class for interpolation implementations |
Interpolation::templateImpl< I1, I2 > | Basic template implementation |
IntervalPrice | Interval price |
InverseCumulativeNormal | Inverse cumulative normal distribution function |
InverseCumulativePoisson | Inverse cumulative Poisson distribution function |
InverseCumulativeRng< RNG, IC > | Inverse cumulative random number generator |
InverseCumulativeRsg< USG, IC > | Inverse cumulative random sequence generator |
InverseCumulativeStudent | Inverse cumulative Student t-distribution |
IQDCurrency | Iraqi dinar |
IRRCurrency | Iranian rial |
ISKCurrency | Icelandic krona |
Italy | Italian calendars |
IterativeBootstrap< Curve > | Universal piecewise-term-structure boostrapper |
ITLCurrency | Italian lira |
JamshidianSwaptionEngine | Jamshidian swaption engine |
Japan | Japanese calendar |
JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
Jibar | JIBAR rate |
JointCalendar | Joint calendar |
JPYCurrency | Japanese yen |
JPYLibor | JPY LIBOR rate |
JpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class |
JpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class |
JumpDiffusionEngine | Jump-diffusion engine for vanilla options |
JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
KernelFunction | |
KernelInterpolation | Kernel interpolation between discrete points |
KernelInterpolation2D | |
KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > | K-interpolated YoY optionlet volatility |
KirkEngine | Pricing engine for spread option on two futures |
KirkSpreadOptionEngine | Kirk approximation for European spread option on futures |
KlugeExtOUProcess | |
KnuthUniformRng | Uniform random number generator |
KRWCurrency | South-Korean won |
KWDCurrency | Kuwaiti dinar |
LastFixingQuote | Quote adapter for the last fixing available of a given Index |
Lattice | Lattice (tree, finite-differences) base class |
LatticeShortRateModelEngine< Arguments, Results > | Engine for a short-rate model specialized on a lattice |
LazyObject | Framework for calculation on demand and result caching |
LeastSquareFunction | Cost function for least-square problems |
LeastSquareProblem | Base class for least square problem |
LecuyerUniformRng | Uniform random number generator |
LeisenReimer | Leisen & Reimer tree: multiplicative approach |
LevenbergMarquardt | Levenberg-Marquardt optimization method |
LexicographicalView< RandomAccessIterator > | Lexicographical 2-D view of a contiguous set of data |
LfmCovarianceParameterization | Libor market model parameterization |
LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
LfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
Libor | Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones |
LiborForwardModel | Libor forward model |
LiborForwardModelProcess | Libor-forward-model process |
Linear | Linear-interpolation factory and traits |
LinearInterpolation | Linear interpolation between discrete points |
LineSearch | Base class for line search |
LmConstWrapperVolatilityModel | Caplet const volatility model |
LmCorrelationModel | libor forward correlation model |
LmExponentialCorrelationModel | Exponential correlation model |
LmExtLinearExponentialVolModel | Extended linear exponential volatility model |
LmLinearExponentialCorrelationModel | linear exponential correlation model |
LmLinearExponentialVolatilityModel | linear exponential volatility model |
LMMCurveState | Curve state for Libor market models |
LMMDriftCalculator | Drift computation for log-normal Libor market models |
LMMNormalDriftCalculator | Drift computation for normal Libor market models |
LmVolatilityModel | Caplet volatility model |
LocalBootstrap< Curve > | Localised-term-structure bootstrapper for most curve types |
LocalConstantVol | Constant local volatility, no time-strike dependence |
LocalVolCurve | Local volatility curve derived from a Black curve |
LocalVolSurface | Local volatility surface derived from a Black vol surface |
LocalVolTermStructure | |
LogCubic | Log-cubic interpolation factory and traits |
LogCubicInterpolation | log-cubic interpolation between discrete points |
LogLinear | Log-linear interpolation factory and traits |
LogLinearInterpolation | log-linear interpolation between discrete points |
LogNormalCmSwapRatePc | Predictor-Corrector |
LogNormalCotSwapRatePc | Predictor-Corrector |
LogNormalFwdRateBalland | Iterative Predictor-Corrector |
LogNormalFwdRateEuler | Euler |
LogNormalFwdRateEulerConstrained | Euler stepping |
LogNormalFwdRateiBalland | Iterative Predictor-Corrector |
LogNormalFwdRateIpc | Iterative Predictor-Corrector |
LogNormalFwdRatePc | Predictor-Corrector |
LongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options |
LongstaffSchwartzPathPricer< PathType > | Longstaff-Schwarz path pricer for early exercise options |
LossDist | Probability formulas and algorithms |
LossDistBinomial | Binomial loss distribution |
LossDistBucketing | Loss distribution with Hull-White bucketing |
LossDistHomogeneous | Loss Distribution for Homogeneous Pool |
LossDistMonteCarlo | Loss distribution with Monte Carlo simulation |
LTLCurrency | Lithuanian litas |
LUFCurrency | Luxembourg franc |
LVLCurrency | Latvian lat |
MakeCapFloor | Helper class |
MakeCms | Helper class for instantiating CMS |
MakeMCAmericanBasketEngine< RNG > | Monte Carlo American basket-option engine factory |
MakeMCAmericanEngine< RNG, S > | Monte Carlo American engine factory |
MakeMCAmericanPathEngine< RNG > | Monte Carlo American basket-option engine factory |
MakeMCBarrierEngine< RNG, S > | Monte Carlo barrier-option engine factory |
MakeMCDigitalEngine< RNG, S > | Monte Carlo digital engine factory |
MakeMCEuropeanBasketEngine< RNG, S > | Monte Carlo basket-option engine factory |
MakeMCEuropeanEngine< RNG, S > | Monte Carlo European engine factory |
MakeMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH European engine factory |
MakeMCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston European engine factory |
MakeMCEverestEngine< RNG, S > | Monte Carlo Everest-option engine factory |
MakeMCHestonHullWhiteEngine< RNG, S > | Monte Carlo Heston/Hull-White engine factory |
MakeMCHimalayaEngine< RNG, S > | Monte Carlo Himalaya-option engine factory |
MakeMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White cap-floor engine factory |
MakeMCPagodaEngine< RNG, S > | Monte Carlo pagoda-option engine factory |
MakeMCPathBasketEngine< RNG, S > | Monte Carlo Path Basket engine factory |
MakeMCPerformanceEngine< RNG, S > | Monte Carlo performance-option engine factory |
MakeMCVarianceSwapEngine< RNG, S > | Monte Carlo variance-swap engine factory |
MakeOIS | Helper class |
MakeSchedule | Helper class |
MakeSwaption | Helper class |
MakeVanillaSwap | Helper class |
MakeYoYInflationCapFloor | Helper class |
MargrabeOption | Margrabe option on two assets |
MargrabeOption::arguments | Extra arguments for Margrabe option |
MargrabeOption::engine | Margrabe option engine base class |
MargrabeOption::results | Extra results for Margrabe option |
MarketModel | Base class for market models |
MarketModelCashRebate | |
MarketModelComposite | Composition of two or more market-model products |
MarketModelEvolver | Market-model evolver |
MarketModelFactory | Base class for market-model factories |
MarketModelMultiProduct | Market-model product |
MarketModelPathwiseCashRebate | |
MarketModelPathwiseCoterminalSwaptionsDeflated | |
MarketModelPathwiseCoterminalSwaptionsNumericalDeflated | |
MarketModelPathwiseDiscounter | |
MarketModelPathwiseInverseFloater | |
MarketModelPathwiseMultiCaplet | Market-model pathwise caplet |
MarketModelPathwiseMultiDeflatedCap | |
MarketModelPathwiseMultiProduct | Market-model pathwise product |
MarketModelPathwiseSwap | |
MarketModelVolProcess | |
MarshallOlkinCopula | Marshall-Olkin copula |
Matrix | Matrix used in linear algebra |
MaxCopula | Max copula |
MCAmericanBasketEngine< RNG > | Least-square Monte Carlo engine |
MCAmericanEngine< RNG, S > | American Monte Carlo engine |
MCAmericanPathEngine< RNG > | Least-square Monte Carlo engine |
MCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation |
MCDigitalEngine< RNG, S > | Pricing engine for digital options using Monte Carlo simulation |
MCDiscreteArithmeticAPEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average price Asian |
MCDiscreteArithmeticASEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average-strike Asian |
MCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation |
MCDiscreteGeometricAPEngine< RNG, S > | Monte Carlo pricing engine for discrete geometric average price Asian |
MCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation |
MCEuropeanEngine< RNG, S > | European option pricing engine using Monte Carlo simulation |
MCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH-model engine for European options |
MCEuropeanHestonEngine< RNG, S > | Monte Carlo Heston-model engine for European options |
MCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors |
MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
MCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
MCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation |
MCPathBasketEngine< RNG, S > | Pricing engine for path dependent basket options using |
MCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation |
McSimulation< MC, RNG, S > | Base class for Monte Carlo engines |
MCVanillaEngine< MC, RNG, S, Inst > | Pricing engine for vanilla options using Monte Carlo simulation |
MCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation, |
MersenneTwisterUniformRng | Uniform random number generator |
Merton76Process | Merton-76 jump-diffusion process |
Mexico | Mexican calendars |
MidPointCDOEngine | CDO base engine taking schedule steps |
MinCopula | Min copula |
MixedLinearCubic | Mixed linear/cubic interpolation factory and traits |
MixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points |
MixedScheme< Operator > | Mixed (explicit/implicit) scheme for finite difference methods |
ModifiedCraigSneydScheme | Modified Craig-Sneyd scheme |
Money | Amount of cash |
MonteCarloCDOEngine1 | CDO engine, Monte Carlo for the exptected tranche loss distribution |
MonteCarloCDOEngine2 | CDO engine, Monte Carlo for the sample payoff |
MonteCarloModel< MC, RNG, S > | General-purpose Monte Carlo model for path samples |
MoreGreeks | More additional option results |
MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
MTLCurrency | Maltese lira |
MultiAssetOption | Base class for options on multiple assets |
MultiAssetOption::results | Results from multi-asset option calculation |
MultiCubicSpline< i > | N-dimensional cubic spline interpolation between discrete points |
MultiPath | Correlated multiple asset paths |
MultiPathGenerator< GSG > | Generates a multipath from a random number generator |
MultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc) |
MultiProductComposite | Composition of one or more market-model products |
MultiProductMultiStep | Multiple-step market-model product |
MultiProductOneStep | Single-step market-model product |
MultiProductPathwiseWrapper | |
MultiStepSwaption | |
MultiVariate< RNG > | Default Monte Carlo traits for multi-variate models |
MXNCurrency | Mexican peso |
NelsonSiegelFitting | Nelson-Siegel fitting method |
NeumannBC | Neumann boundary condition (i.e., constant derivative) |
Newton | Newton 1-D solver |
NewtonSafe | Safe Newton 1-D solver |
NewZealand | New Zealand calendar |
NLGCurrency | Dutch guilder |
NoConstraint | No constraint |
NOKCurrency | Norwegian krone |
NonLinearLeastSquare | Non-linear least-square method |
NormalDistribution | Normal distribution function |
NormalFwdRatePc | Predictor-Corrector |
NorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt |
Norway | Norwegian calendar |
NPRCurrency | Nepal rupee |
NthToDefault | N-th to default swap |
Null< Array > | Specialization of null template for this class |
Null< Date > | Specialization of Null template for the Date class |
NullCalendar | Calendar for reproducing theoretical calculations |
NullCondition< array_type > | null step condition |
NullParameter | Parameter which is always zero |
NullPayoff | Dummy payoff class |
NumericHaganPricer | CMS-coupon pricer |
NZDCurrency | New Zealand dollar |
NZDLibor | NZD LIBOR rate |
Observable | Object that notifies its changes to a set of observers |
ObservableValue< T > | observable and assignable proxy to concrete value |
Observer | Object that gets notified when a given observable changes |
OISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
OneAssetOption | Base class for options on a single asset |
OneAssetOption::results | Results from single-asset option calculation |
OneDayCounter | 1/1 day count convention |
OneFactorAffineModel | Single-factor affine base class |
OneFactorCopula | Abstract base class for one-factor copula models |
OneFactorGaussianCopula | One-factor Gaussian Copula |
OneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula |
OneFactorModel | Single-factor short-rate model abstract class |
OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics |
OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable |
OneFactorStudentCopula | One-factor Double Student t-Copula |
OneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula |
OperatorFactory | Black-Scholes-Merton differential operator |
OptimizationMethod | Abstract class for constrained optimization method |
Option | Base option class |
Option::arguments | Basic option arguments |
OptionletStripper | |
OptionletStripper1 | |
OptionletStripper2 | |
OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
OrthogonalizedBumpFinder | |
OrthogonalProjections | |
OvernightIndexedCoupon | Overnight coupon |
OvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate |
OvernightIndexedSwapIndex | Base class for overnight indexed swap indexes |
OvernightLeg | Helper class building a sequence of overnight coupons |
PagodaOption | Roofed Asian option on a number of assets |
PagodaOption::engine | Pagoda-option engine base class |
Parameter | Base class for model arguments |
Parameter::Impl | Base class for model parameter implementation |
Path | Single-factor random walk |
PathGenerator< GSG > | Generates random paths using a sequence generator |
PathMultiAssetOption | Base class for path-dependent options on multiple assets |
PathMultiAssetOption::arguments | Arguments for multi-asset option calculation |
PathMultiAssetOption::results | Results from multi-asset option calculation |
PathPayoff | Abstract base class for path-dependent option payoffs |
PathPricer< PathType, ValueType > | Base class for path pricers |
PathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas |
PathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
PathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
Payoff | Abstract base class for option payoffs |
PEHCurrency | Peruvian sol |
PEICurrency | Peruvian inti |
PENCurrency | Peruvian nuevo sol |
PercentageStrikePayoff | Payoff with strike expressed as percentage |
Period | |
PerturbativeBarrierOptionEngine | Perturbative barrier-option engine |
PiecewiseConstantParameter | Piecewise-constant parameter |
PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > | Piecewise default-probability term structure |
PiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model |
PiecewiseYieldCurve< Traits, Interpolator, Bootstrap > | Piecewise yield term structure |
PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure |
PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure |
PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure |
PiecewiseZeroSpreadedTermStructure | Term structure with an added vector of spreads on the zero-yield rate |
PKRCurrency | Pakistani rupee |
PlackettCopula | Plackett copula |
PlainVanillaPayoff | Plain-vanilla payoff |
PLNCurrency | Polish zloty |
PoissonDistribution | Poisson distribution function |
Poland | Polish calendar |
Polynomial | Polynomial2D-spline-interpolation factory |
Polynomial2DSpline | Polynomial2D-spline interpolation between discrete points |
PositiveConstraint | Constraint imposing positivity to all arguments |
PricingEngine | Interface for pricing engines |
PricingPeriod | Time pricingperiod described by a number of a given time unit |
PrimeNumbers | Prime numbers calculator |
ProbabilityOfAtLeastNEvents | Probability of at least N events |
ProbabilityOfNEvents | Probability of N events |
Problem | Constrained optimization problem |
ProjectedCostFunction | Parameterized cost function |
Protection | Information on a default-protection contract |
ProxyIbor | IborIndex calculated as proxy of some other IborIndex |
PTECurrency | Portuguese escudo |
Quantity | Amount of a commodity |
QuantoBarrierOption | Quanto version of a barrier option |
QuantoEngine< Instr, Engine > | Quanto engine |
QuantoForwardVanillaOption | Quanto version of a forward vanilla option |
QuantoOptionResults< ResultsType > | Results from quanto option calculation |
QuantoTermStructure | Quanto term structure |
QuantoVanillaOption | Quanto version of a vanilla option |
Quote | Purely virtual base class for market observables |
RandomDefaultModel | Base class for random default models |
RandomizedLDS< LDS, PRS > | Randomized (random shift) low-discrepancy sequence |
RandomSequenceGenerator< RNG > | Random sequence generator based on a pseudo-random number generator |
RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
Ranlux3UniformRng | Uniform random number generator |
RatchetMaxPayoff | RatchetMax payoff (double option) |
RatchetMinPayoff | RatchetMin payoff (double option) |
RatchetPayoff | Ratchet payoff (single option) |
RecoveryRateModel | |
RecoveryRateQuote | Stores a recovery rate market quote and the associated seniority |
RecursiveCdoEngine< CDOEngine, copulaT > | |
Redemption | Bond redemption |
Region | Region class, used for inflation applicability |
RelativeDateBootstrapHelper< TS > | Bootstrap helper with date schedule relative to global evaluation date |
RelinkableHandle< T > | Relinkable handle to an observable |
RendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter |
RendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter |
ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
Replication | Digital option replication strategy |
Restructuring | Restructuring type |
Ridder | Ridder 1-D solver |
RiskyAssetSwap | Risky asset-swap instrument |
RiskyAssetSwapOption | Option on risky asset swap |
RiskyBond | |
RiskyFixedBond | |
RiskyFloatingBond | |
ROLCurrency | Romanian leu |
RONCurrency | Romanian new leu |
Rounding | Basic rounding class |
Russia | Russian calendar |
SABR | SABR interpolation factory and traits |
SABRInterpolation | SABR smile interpolation between discrete volatility points |
SabrVolSurface | SABR volatility (smile) surface |
SalvagingAlgorithm | Algorithm used for matricial pseudo square root |
Sample< T > | Weighted sample |
SampledCurve | This class contains a sampled curve |
SARCurrency | Saudi riyal |
SaudiArabia | Saudi Arabian calendar |
Schedule | Payment schedule |
Seasonality | A transformation of an existing inflation swap rate |
Secant | Secant 1-D solver |
SeedGenerator | Random seed generator |
SegmentIntegral | Integral of a one-dimensional function |
SEKCurrency | Swedish krona |
SEKLibor | SEK LIBOR rate |
Settings | Global repository for run-time library settings |
Settlement | settlement information |
SGDCurrency | Singapore dollar |
ShortRateModel | Abstract short-rate model class |
ShoutCondition | Shout option condition |
SimpleCashFlow | Predetermined cash flow |
SimpleChooserOption | Simple chooser option |
SimpleChooserOption::arguments | Extra arguments for single chooser option |
SimpleChooserOption::engine | Simple chooser option engine base class |
SimpleDayCounter | Simple day counter for reproducing theoretical calculations |
SimpleLocalEstimator | Local-estimator volatility model |
SimplePolynomialFitting | Simple polynomial fitting method |
SimpleQuote | Market element returning a stored value |
Simplex | Multi-dimensional simplex class |
SimpsonIntegral | Integral of a one-dimensional function |
Singapore | Singapore calendars |
SingleProductComposite | Composition of one or more market-model products |
Singleton< T > | Basic support for the singleton pattern |
SingleVariate< RNG > | Default Monte Carlo traits for single-variate models |
SITCurrency | Slovenian tolar |
SKKCurrency | Slovak koruna |
Slovakia | Slovak calendars |
SmileSection | Interest rate volatility smile section |
SMMDriftCalculator | Drift computation for coterminal swap market models |
SobolBrownianGenerator | Sobol Brownian generator for market-model simulations |
SobolRsg | Sobol low-discrepancy sequence generator |
SoftCallability | callability leaving to the holder the possibility to convert |
Solver1D< Impl > | Base class for 1-D solvers |
Sonia | Sonia (Sterling Overnight Index Average) rate |
SouthAfrica | South-African calendar |
SouthKorea | South Korean calendars |
SparseILUPreconditioner | |
SphereCylinderOptimizer | |
SpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper |
SpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates |
SpreadOption | Spread option on two assets |
SpreadOption::engine | Spread option engine base class |
SquareRootAndersen | |
SquareRootProcess | Square-root process class |
StatsHolder | Helper class for precomputed distributions |
SteepestDescent | Multi-dimensional steepest-descent class |
step_iterator< Iterator > | Iterator advancing in constant steps |
StepCondition< array_type > | Condition to be applied at every time step |
StepConditionSet< array_type > | Parallel evolver for multiple arrays |
StickyMaxPayoff | StickyMax payoff (double option) |
StickyMinPayoff | StickyMin payoff (double option) |
StickyPayoff | Sticky payoff (single option) |
StochasticProcess | Multi-dimensional stochastic process class |
StochasticProcess1D | 1-dimensional stochastic process |
StochasticProcess1D::discretization | Discretization of a 1-D stochastic process |
StochasticProcess::discretization | Discretization of a stochastic process over a given time interval |
StochasticProcessArray | Array of correlated 1-D stochastic processes |
Stock | Simple stock class |
StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
StrippedOptionlet | |
StrippedOptionletAdapter | |
StrippedOptionletBase | |
StudentDistribution | Student t-distribution |
StulzEngine | Pricing engine for 2D European Baskets |
SuperFundPayoff | Binary supershare and superfund payoffs |
SuperSharePayoff | Binary supershare payoff |
Surface | Surface abstract class |
SurvivalProbability | Survival-Probability-curve traits |
SurvivalProbabilityStructure | Hazard-rate term structure |
SVD | Singular value decomposition |
SVDDFwdRatePc | |
SvenssonFitting | Svensson Fitting method |
Swap | Interest rate swap |
SwapIndex | Base class for swap-rate indexes |
SwapRateHelper | Rate helper for bootstrapping over swap rates |
Swaption | Swaption class |
Swaption::arguments | Arguments for swaption calculation |
Swaption::engine | Base class for swaption engines |
SwaptionHelper | Calibration helper for ATM swaption |
SwaptionVolatilityCube | Swaption-volatility cube |
SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
SwaptionVolatilityStructure | Swaption-volatility structure |
Sweden | Swedish calendar |
SwingExercise | Swing exercise |
Switzerland | Swiss calendar |
SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
SyntheticCDO | Synthetic Collateralized Debt Obligation |
SyntheticCDO::engine | CDO base engine |
TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
Taiwan | Taiwanese calendars |
TARGET | TARGET calendar |
TermStructure | Basic term-structure functionality |
TermStructureConsistentModel | Term-structure consistent model class |
TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
THBCurrency | Thai baht |
Thirty360 | 30/360 day count convention |
Tian | Tian tree: third moment matching, multiplicative approach |
Tibor | JPY TIBOR index |
TimeBasket | Distribution over a number of dates |
TimeGrid | Time grid class |
TimeSeries< T, Container > | Container for historical data |
TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
TransformedGrid | Transformed grid |
TrapezoidIntegral< IntegrationPolicy > | Integral of a one-dimensional function |
TRBDF2< Operator > | TR-BDF2 scheme for finite difference methods |
Tree< T > | Tree approximating a single-factor diffusion |
TreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds |
TreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds |
TreeCapFloorEngine | Numerical lattice engine for cap/floors |
TreeLattice< Impl > | Tree-based lattice-method base class |
TreeLattice1D< Impl > | One-dimensional tree-based lattice |
TreeLattice2D< Impl, T > | Two-dimensional tree-based lattice |
TreeSwaptionEngine | Numerical lattice engine for swaptions |
TreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
TridiagonalOperator | Base implementation for tridiagonal operator |
TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic |
Trigeorgis | Trigeorgis (additive equal jumps) binomial tree |
TrinomialTree | Recombining trinomial tree class |
TRLCurrency | Turkish lira |
TRLibor | TRY LIBOR rate |
TRYCurrency | New Turkish lira |
TsiveriotisFernandesLattice< T > | Binomial lattice approximating the Tsiveriotis-Fernandes model |
TTDCurrency | Trinidad & Tobago dollar |
Turkey | Turkish calendar |
TWDCurrency | Taiwan dollar |
TwoFactorModel | Abstract base-class for two-factor models |
TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables |
TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
TypePayoff | Intermediate class for put/call payoffs |
Ukraine | Ukrainian calendars |
UKRegion | United Kingdom as geographical/economic region |
UKRPI | UK Retail Price Inflation Index |
UnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
UnitedKingdom | United Kingdom calendars |
UnitedStates | United States calendars |
UnitOfMeasure | Unit of measure specification |
UnitOfMeasureConversionManager | Repository of conversion factors between units of measure |
UpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper |
UpperBoundEngine | Market-model engine for upper-bound estimation |
UpRounding | Up-rounding |
USCPI | US CPI index |
USDCurrency | U.S. dollar |
USDLibor | USD LIBOR rate |
USDLiborON | Overnight USD Libor index |
UsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class |
UsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class |
USRegion | USA as geographical/economic region |
VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
VanillaStorageOption | Base option class |
VanillaSwap | Plain-vanilla swap: fix vs floating leg |
VanillaSwap::arguments | Arguments for simple swap calculation |
VanillaSwap::results | Results from simple swap calculation |
VanillaSwingOption | Base option class |
VarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach |
VarianceGammaModel | Variance Gamma model |
VarianceGammaProcess | Variance gamma process |
VarianceOption | Variance option |
VarianceOption::arguments | Arguments for forward fair-variance calculation |
VarianceOption::engine | Base class for variance-option engines |
VarianceOption::results | Results from variance-option calculation |
VarianceSwap | Variance swap |
VarianceSwap::arguments | Arguments for forward fair-variance calculation |
VarianceSwap::engine | Base class for variance-swap engines |
VarianceSwap::results | Results from variance-swap calculation |
Vasicek | Vasicek model class |
Vasicek::Dynamics | Short-rate dynamics in the Vasicek model |
VEBCurrency | Venezuelan bolivar |
VegaBumpCollection | |
VegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests |
Visitor< T > | Visitor for a specific class |
VolatilityTermStructure | Volatility term structure |
WeekendsOnly | Weekends-only calendar |
WriterExtensibleOption | Writer-extensible option |
WriterExtensibleOption::arguments | Additional arguments for writer-extensible option |
WriterExtensibleOption::engine | Base engine |
YearOnYearInflationSwap | Year-on-year inflation-indexed swap |
YearOnYearInflationSwap::arguments | Arguments for YoY swap calculation |
YearOnYearInflationSwap::results | Results from YoY swap calculation |
YearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper |
YieldTermStructure | Interest-rate term structure |
YoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure |
YoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
YoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
YoYInflationCap | Concrete YoY Inflation cap class |
YoYInflationCapFloor | Base class for yoy inflation cap-like instruments |
YoYInflationCapFloor::arguments | Arguments for YoY Inflation cap/floor calculation |
YoYInflationCapFloor::engine | Base class for cap/floor engines |
YoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
YoYInflationCollar | Concrete YoY Inflation collar class |
YoYInflationCoupon | Coupon paying a YoY-inflation type index |
YoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
YoYInflationFloor | Concrete YoY Inflation floor class |
YoYInflationIndex | Base class for year-on-year inflation indices |
yoyInflationLeg | |
YoYInflationTermStructure | Base class for year-on-year inflation term structures |
YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
YoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
YoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap |
YoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper |
YoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces |
YoYOptionletVolatilitySurface | |
YYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio) |
YYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio) |
YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) |
YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP) |
YYEUHICPXT | Genuine year-on-year EU HICPXT |
YYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio) |
YYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio) |
YYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio) |
YYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio) |
YYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) |
YYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI) |
YYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI) |
YYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI) |
ZARCurrency | South-African rand |
ZeroCondition< array_type > | Zero exercise condition |
ZeroCouponBond | Zero-coupon bond |
ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
ZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper |
ZeroInflationIndex | Base class for zero inflation indices |
ZeroInflationTermStructure | Interface for zero inflation term structures |
ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
ZeroYield | Zero-curve traits |
ZeroYieldStructure | Zero-yield term structure |
Zibor | CHF ZIBOR rate |
ZigguratRng | Ziggurat random-number generator |