►Nqle | |
►Ntest | |
CTopLevelFixture | Top level fixture |
►NQuantExt | |
►NCommodityAveragePriceOptionMomementMatching | |
CMomentMatchingResults | |
►NCrossAssetAnalytics | |
CHz | |
Caz | |
Czetaz | |
Csx | |
Cvx | |
CHy | INF H component. May relate to real rate portion of JY model or z component of DK model |
Cay | INF alpha component. May relate to real rate portion of JY model or z component of DK model |
Czetay | INF zeta component. May relate to real rate portion of JY model or z component of DK model |
Csy | JY INF index sigma component |
Cvy | JY INF index variance component |
CHl | |
Cal | |
Czetal | |
Css | |
Cvs | |
Ccoms | |
Crzz | |
Crzx | |
Crxx | |
Cryy | |
Crzy | |
Crxy | |
Crll | |
Crzl | |
Crxl | |
Cryl | |
Crss | |
Crzs | |
Crxs | |
Crys | |
Crls | |
Crcc | |
CHTtz | |
Crzcrs | |
Crxcrs | |
Crccrs | |
CP2_ | |
CP3_ | |
CP4_ | |
CP5_ | |
CLC1_ | |
CLC2_ | |
CLC3_ | |
CLC4_ | |
►Ndetail | |
CImpliedBondSpreadHelper | Helper class for implied vanilla bond spread calculation |
CLogInterpolationImpl | |
CRegressionImpl | Regression impl |
CNadarayaWatsonImpl | Nadaraya Watson impl |
CQuadraticInterpolationImpl | |
CNormalSABRWrapper | |
CNormalSABRSpecs | |
CSimpleDeltaInterpolatedSmile | |
CCloseEnoughComparator | |
►Ntag | |
Ccurve | |
Csurface | |
CComputationGraph | |
CExternalRandomVariable | |
CAmendedCalendar | Amended calendar |
CAustria | |
CBelgium | |
CCME | |
CCyprus | Cyprus Calendar |
CFrance | |
CGreece | Greece Calendar |
CICE | |
CIreland | Ireland Calendars |
CIslamicWeekendsOnly | Islamic Weekends-only calendar |
CIsrael | Israel calendar |
CLargeJointCalendar | Large Joint calendar |
CLuxembourg | |
CMauritius | Mauritius calendar |
CNetherlands | |
CPeru | |
CPhilippines | |
CRussiaModified | Russian calendars |
CSpain | |
CSwitzerland | Swiss calendar |
CUnitedArabEmirates | Islamic Weekends-only calendar |
CWmr | |
CAverageONIndexedCoupon | Average overnight coupon |
CCappedFlooredAverageONIndexedCoupon | Capped floored overnight indexed coupon |
CCapFlooredAverageONIndexedCouponPricer | Capped floored averaged indexed coupon pricer base class |
CAverageONLeg | Helper class building a sequence of overnight coupons |
CAverageONIndexedCouponPricer | Pricer for average overnight indexed coupons |
CBlackAverageBMACouponPricer | |
CBlackOvernightIndexedCouponPricer | Black compounded overnight coupon pricer |
CBlackAverageONIndexedCouponPricer | Black averaged overnight coupon pricer |
CBondTRSCashFlow | Bond trs cashflow |
CBondTRSLeg | Helper class building a sequence of bond trs cashflows |
CBRLCdiCouponPricer | BRL CDI coupon pricer |
CCappedFlooredAverageBMACoupon | |
CCapFlooredAverageBMACouponPricer | Capped floored averaged indexed coupon pricer base class |
CCashFlows | cashflow-analysis functions in addition to those in QuantLib |
CCashflowRow | Class representing the row of a cashflow table |
CCashflowTable | Class representing the contents of a cashflow table |
CCmbCoupon | CMB coupon class |
CCmbCouponPricer | Base pricer for vanilla CMB coupons |
CCmbLeg | Helper class building a sequence of capped/floored cmb coupons |
CCommodityCashFlow | |
CCommodityIndexedAverageCashFlow | |
CCommodityIndexedAverageLeg | Helper class building a sequence of commodity indexed average cashflows |
CCommodityIndexedCashFlow | Cash flow dependent on a single commodity spot price or futures settlement price on a given pricing date |
CCommodityIndexedLeg | Helper class building a sequence of commodity indexed cashflows |
CCPICoupon | |
CCappedFlooredCPICashFlow | Capped or floored CPI cashflow |
CCappedFlooredCPICoupon | Capped or floored CPI coupon |
CCPILeg | Helper class building a sequence of capped/floored CPI coupons |
CInflationCashFlowPricer | Base class for CPI CashFLow and Coupon pricers |
CBlackCPICashFlowPricer | Black CPI CashFlow Pricer |
CBachelierCPICashFlowPricer | Bachelier CPI CashFlow Pricer |
CCappedFlooredCPICouponPricer | |
CBlackCPICouponPricer | |
CBachelierCPICouponPricer | |
CDurationAdjustedCmsCoupon | |
CDurationAdjustedCmsLeg | |
CDurationAdjustedCmsCouponTsrPricer | |
CEquityCoupon | Equity coupon |
CEquityLeg | Helper class building a sequence of equity coupons |
►CEquityCouponPricer | Pricer for equity coupons |
CAdditionalResultCache | |
CEquityMarginCoupon | Equity coupon |
CEquityMarginLeg | Helper class building a sequence of equity margin coupons |
CEquityMarginCouponPricer | Pricer for equity margin coupons |
CFixedRateFXLinkedNotionalCoupon | |
CFloatingAnnuityCoupon | Floating annuity coupon |
CFloatingAnnuityNominal | |
CFloatingRateFXLinkedNotionalCoupon | |
CFXLinked | Base class for FX Linked cashflows |
CAverageFXLinked | |
CFXLinkedCashFlow | FX Linked cash-flow |
CAverageFXLinkedCashFlow | Average FX Linked cash-flow |
CIborFraCoupon | Coupon paying a Forward rate aggreement payoff with and ibor-type index underlying |
CIndexedCoupon | Indexed coupon |
CIndexWrappedCashFlow | Indexed cashflow |
CIndexedCouponLeg | Indexed coupon leg |
CJyYoYInflationCouponPricer | JY pricer for YoY inflation coupons |
CCmsSpreadCouponPricer2 | Base pricer for vanilla CMS spread coupons with a correlation surface |
CLognormalCmsSpreadPricer | CMS spread - coupon pricer |
CNonStandardCappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
CNonStandardYoYInflationLeg | |
CNonStandardYoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
CNonStandardBlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons |
CNonStandardUnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
CNonStandardBachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons |
CNonStandardYoYInflationCoupon | Coupon paying a YoY-inflation type index |
COvernightIndexedCoupon | Overnight coupon |
COvernightIndexedCouponPricer | OvernightIndexedCoupon pricer |
CCappedFlooredOvernightIndexedCoupon | Capped floored overnight indexed coupon |
CCappedFlooredOvernightIndexedCouponPricer | Capped floored overnight indexed coupon pricer base class |
COvernightLeg | Helper class building a sequence of overnight coupons |
CBlackIborQuantoCouponPricer | |
CScaledCashFlow | Scalable cashflow |
CScaledCoupon | Scalable coupon |
CStrippedCappedFlooredCPICoupon | |
CStrippedCappedFlooredCPICashFlow | Stripped capped or floored CPI cashflow |
CStrippedCappedFlooredCPICouponLeg | |
CStrippedCappedFlooredYoYInflationCoupon | |
CStrippedCappedFlooredYoYInflationCouponLeg | |
CSubPeriodsCoupon1 | Sub-periods coupon |
CSubPeriodsLeg1 | Helper class building a sequence of sub-period coupons |
CSubPeriodsCouponPricer1 | Pricer for sub-period coupons |
CTRSCashFlow | Bond trs cashflow |
CTRSLeg | Helper class building a sequence of trs cashflows |
CYoYInflationCoupon | |
CCappedFlooredYoYInflationCoupon | |
CyoyInflationLeg | |
CZeroFixedCoupon | |
CConfigurableCurrency | Configurable currency class |
CCurrencyComparator | |
CXAUCurrency | Troy ounce of Gold |
CXAGCurrency | Troy ounce of Silver |
CXPTCurrency | Troy ounce of Platinum |
CXPDCurrency | Troy ounce of Palladium |
CBEHICP | Belgium HICP index |
CBMAIndexWrapper | |
CBondIndex | Bond Index |
CBondFuturesIndex | Bond Futures Index |
CConstantMaturityBondIndex | Constant Maturity Bond Index |
CCACPI | Canadian CPI index |
CCommodityBasisFutureIndex | Commodity Basis Future Index |
CCommodityIndex | Commodity Index |
CCommoditySpotIndex | |
CCommodityFuturesIndex | |
CCompoEquityIndex | |
CCompositeIndex | |
CDECPI | German CPI index |
CDividend | |
CDividendManager | Global repository for past dividends |
CDKCPI | DK CPI index |
CEqFxIndexBase | Equity Index |
CEquityIndex2 | Equity Index |
CESCPI | Spain CPI index |
CFallbackIborIndex | |
CFallbackOvernightIndex | |
CFRCPI | French CPI index |
CFxRateQuote | |
CFxSpotQuote | |
CFxIndex | FX Index |
CGenericIborIndex | Generic Ibor Index |
CGenericIndex | Generic Index |
CUSDAmbor | USD-AMBOR index |
CUSDAmeribor | AMERIBOR overnight rate |
CBOEBaseRateIndex | Bank of England Base Rate index |
CBRLCdi | BRL-CDI index |
CCHFSaron | CHF SARON rate |
CCHFTois | CHF TOIS rate |
CCLPCamara | |
CCNHHibor | CNH-HIBOR index |
CCNHShibor | CNH-SHIBOR index |
CCNYRepoFix | CNY-CNREPOFIX=CFXS-Reuters index |
CCOPIbr | COP-IBR index |
CCORRA | CORRA rate |
CCORRATerm | |
CCZKPribor | CZK-PRIBOR index |
CDEMLibor | DEM-LIBOR index |
CDKKCibor | DKK-CIBOR index |
CDKKCita | DKK CITA |
CDKKOis | DKK OIS |
CHKDHibor | HKD-HIBOR index |
CHKDHonia | HKD-HONIA index |
CHUFBubor | HUF-BUBOR index |
CIDRIdrfix | IDR-IDRFIX index |
CIDRJibor | IDR-JIBOR index |
CILSTelbor | ILS-TELBOR index |
CINRMiborOis | INR-MIBOROIS index |
CINRMifor | INR-MIFOR index |
CJPYEYTIBOR | JPY Euroyen TIBOR index |
CKRWCd | KRW-CD index |
CKRWKoribor | KRW-KORIBOR index |
CMXNTiie | MXN-TIIE index |
CMYRKlibor | MYR-KLIBOR index |
CNOKNibor | NOK-NIBOR index |
CNowa | |
CNZDBKBM | NZD-BKBM index |
CPHPPhiref | PHP-PHIREF index |
CPLNPolonia | PLN-POLONIA index |
CPrimeIndex | USD-Prime index |
CRUBKeyRate | RUB-KEYRATE index |
CSAibor | SAR-SAIBOR index |
CSEKSior | SEK SIOR |
CSEKStibor | SEK-STIBOR index |
CSEKStina | SEK STINA |
CSGDSibor | SGD-SIBOR index |
CSGDSor | SGD-SOR index |
CSKKBribor | SKK-BRIBOR index |
CSofrTerm | Sofr term index, see https://www.cmegroup.com/market-data/cme-group-benchmark-administration/term-sofr.html# |
CSoniaTerm | Sonia term index, see https://www.bankofengland.co.uk/-/media/boe/files/markets/benchmarks/rfr/rfrwg-term-sonia-reference-rate-summary.pdf# |
CSora | SGD SORA rate |
CTermRateIndex | |
CTHBBibor | THB-BIBOR index/ |
CTHBThor | THB-THOR index |
CTonar | JPY TONAR rate |
CTonarTerm | |
CTWDTaibor | TWD-TAIBOR index |
CIborIndexWithFixingOverride | Wrapper for ibor index wit individiual trade level fixings |
COvernightIndexWithFixingOverride | |
CInflationIndexObserver | Inflation Index observer |
CZeroInflationIndexWrapper | Wrapper that changes the interpolation of an underlying ZC inflation index |
CYoYInflationIndexWrapper | Wrapper that creates a yoy from a zc index |
COffPeakPowerIndex | Off peak power index |
CSwedenRegion | Sweden as geographical/economic region |
CDenmarkRegion | Denmark as geographical/economic region |
CCanadaRegion | Canada as geographical/economic region |
CSpainRegion | Spain as geographical/economic region |
CGermanyRegion | Germany as geographical/economic region |
CBelgiumRegion | Belgium as geographical/economic region |
CSECPI | SE CPI index |
►CAscot | Ascot |
Carguments | |
Cengine | |
CAverageOIS | Average overnight index swap |
CCash | |
CBondBasket | Bond Basket |
►CBondOption | Bond option class |
Carguments | |
Cengine | |
Cresults | |
►CBondRepo | Bond repo instrument |
Carguments | |
►CBondTRS | Bond TRS class |
Carguments | |
CBRLCdiSwap | Standard BRL CDI swap |
CCashFlowResults | |
►CCashSettledEuropeanOption | |
Carguments | |
Cengine | Engine |
CTranche | Collateralized Bond Obligation, Cash Flow CBO |
►CCBO | |
Carguments | |
Cengine | CBO base engine |
Cresults | |
►CCdsOption | CDS option |
Carguments | Arguments for CDS-option calculation |
Cengine | Base class for swaption engines |
Cresults | |
►CCliquetOption | |
Carguments | |
Cengine | Cliquet engine base class |
►CCommodityAveragePriceOption | Commodity Average Price Option |
Carguments | Arguments for commodity APO calculation |
Cengine | Base class for APO engines |
►CCommodityForward | |
Carguments | |
Cengine | |
►CCommoditySpreadOption | Commodity Spread Option |
Carguments | Arguments for commodity spread option calculation |
Cengine | Base class for commodity spread option engines |
CSoftCallability | callability leaving to the holder the possibility to convert |
►CConvertibleBond | Convertible bond |
►Coption | |
Carguments | |
Cengine | |
►CConvertibleBond2 | |
Carguments | |
CCallabilityData | |
CConversionData | |
CConversionRatioData | |
CConversionResetData | |
CDividendProtectionData | |
Cengine | |
CExchangeableData | |
►CMakeWholeData | |
CCrIncreaseData | |
CMandatoryConversionData | |
Cresults | |
►CCreditLinkedSwap | |
Carguments | |
►CCrossCcyBasisMtMResetSwap | Cross currency basis MtM resettable swap |
Carguments | |
Cresults | |
►CCrossCcyBasisSwap | Cross currency basis swap |
Carguments | |
Cresults | |
►CCrossCcyFixFloatMtMResetSwap | Cross currency fix float MtM resettable swap |
Carguments | |
Cresults | |
►CCrossCcyFixFloatSwap | |
Carguments | |
Cresults | |
►CCrossCcySwap | Cross currency swap |
Carguments | |
Cengine | |
Cresults | |
►CCurrencySwap | Currency Interest Rate Swap |
Carguments | |
Cengine | |
Cresults | |
CVanillaCrossCurrencySwap | Vanilla cross currency interest rate swap |
CCrossCurrencySwap | Cross currency swap |
►CDeposit | Deposit Instrument |
Carguments | |
Cengine | |
Cresults | |
CDoubleOvernightIndexedBasisSwap | Double Overnight indexed basis swap: compounded overnight rate vs compounded overnight rate |
►CEquityForward | |
Carguments | |
Cengine | |
►CFixedBMASwap | Swap paying a fixed rate against BMA coupons |
Cengine | |
Cresults | |
CMakeFixedBMASwap | |
►CForwardBond | Forward Bond class |
Carguments | |
Cengine | |
Cresults | |
CForwardBondTypePayoff | Class for forward type payoffs |
►CFxForward | FX Forward |
Carguments | |
Cengine | |
Cresults | |
►CGenericSwaption | Swaption class with QuantLib::Swap underlying |
Carguments | Arguments for swaption calculation |
Cengine | Base class for swaption engines |
Cresults | Results from CDS-option calculation |
►CIndexCdsOption | Index CDS option instrument |
Carguments | Arguments for index CDS option calculation |
Cengine | Base class for index CDS option engines |
Cresults | Results from index CDS option calculation |
►CIndexCreditDefaultSwap | |
Carguments | |
Cengine | |
Cresults | |
CMakeAverageOIS | Helper class |
CMakeCreditDefaultSwap | Helper class |
CMakeOISCapFloor | |
CMultiCcyCompositeInstrument | Composite instrument |
►CMultiLegOption | |
Carguments | |
Cengine | |
Cresults | |
CNullInstrument | |
COvernightIndexedBasisSwap | Overnight indexed basis swap: floating vs compounded overnight rate |
►COvernightIndexedCrossCcyBasisSwap | Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2 |
Carguments | |
Cengine | |
Cresults | |
►CPayment | Payment Instrument |
Carguments | |
Cengine | |
Cresults | |
CRebatedExercise | Rebated exercise with exercise dates != notification dates and arbitrary period |
►CRiskParticipationAgreement | |
Carguments | |
Cengine | |
Cresults | |
►CRiskParticipationAgreementTLock | |
Carguments | |
Cengine | |
Cresults | |
CSubPeriodsSwap | Single currency sub periods swap |
CMakeSubPeriodsSwap | |
►CSyntheticCDO | Synthetic Collateralized Debt Obligation |
Carguments | |
Cengine | CDO base engine |
Cresults | |
►CTenorBasisSwap | Single currency tenor basis swap |
Cengine | |
Cresults | |
►CVanillaForwardOption | Vanilla Forward option on a single asset |
Carguments | Arguments for Vanilla Forward Option calculation |
Cengine | Base class for swaption engines |
►CVarianceSwap2 | Variance swap |
Carguments | Arguments for forward fair-variance calculation |
Cengine | Base class for variance-swap engines |
Cresults | Results from variance-swap calculation |
CCloseEnoughComparator | |
COptionInterpolatorBase | Option surface interpolator base |
COptionInterpolator2d | |
CBasicCpuFramework | |
CBucketedDistribution | Represents a bucketed probability distibution |
CComputeEnvironment | |
CComputeFramework | |
►CComputeContext | |
CDebugInfo | |
CComputeFrameworkRegistry | |
CConstantInterpolation | Constant interpolation |
CConstant | Constant-interpolation factory and traits |
CCovarianceSalvage | |
CNoCovarianceSalvage | Implementation that does not change the input matrix |
CSpectralCovarianceSalvage | Implementation that uses the spectral method |
CDifferentialEvolution_MT | |
CDistributionpair | Distributionpair is a helper class for DiscretDistribution |
CDiscreteDistribution | Discrete Distribution |
CMDD | Modify Distrete Distribution |
CFlatExtrapolation | Flat extrapolation given a base interpolation |
CLinearFlat | Linear-interpolation and flat extrapolation factory and traits |
CLogLinearFlat | Linear-interpolation and flat extrapolation factory and traits |
CHermiteFlat | Hermite interpolation and flat extrapolation factory and traits |
CCubicFlat | Cubic interpolation and flat extrapolation factory and traits |
CBilinearFlat | BiLinear-interpolation and flat extrapolation factory |
CBicubicFlat | BiCubicSpline-interpolation and flat extrapolation factory |
CLogQuadraticInterpolation | log-quadratic interpolation between discrete points |
CLogQuadratic | Log-quadratic interpolation factory and traits |
COptimizationMethod_MT | Abstract class for constrained optimization method |
CNadarayaWatson | Nadaraya Watson regression |
COpenClFramework | |
CProblem_MT | Constrained optimization problem |
CQuadraticInterpolation | Quadratic interpolation between discrete points |
CQuadratic | Quadratic-interpolation factory and traits |
CRandomVariableStats | |
CFilter | |
CRandomVariable | |
Crandomvariable_output_size | |
Crandomvariable_output_pattern | |
CRandomVariableOpCode | |
CRandomVariableLsmBasisSystem | |
CStabilisedGLLS | Numerically stabilised general linear least squares |
CFdmBlackScholesMesher | |
CFdmBlackScholesOp | |
CFdmDefaultableEquityJumpDiffusionFokkerPlanckOp | |
CFdmDefaultableEquityJumpDiffusionOp | |
CFdmQuantoHelper | |
CMultiPathGeneratorBase | Multi Path Generator Base |
CMultiPathGeneratorMersenneTwister | Instantiation of MultiPathGenerator with standard PseudoRandom traits |
CMultiPathGeneratorMersenneTwisterAntithetic | |
CMultiPathGeneratorSobol | Instantiation of MultiPathGenerator with standard LowDiscrepancy traits |
CMultiPathGeneratorSobolBrownianBridge | Instantiation using SobolBrownianGenerator from models/marketmodels/browniangenerators |
CMultiPathVariateGeneratorBase | |
CMultiPathVariateGeneratorMersenneTwister | |
CMultiPathVariateGeneratorMersenneTwisterAntithetic | |
CMultiPathVariateGeneratorSobol | |
CMultiPathVariateGeneratorSobolBrownianBridge | |
CPathGeneratorFactory | Base class for path generator factories |
CMultiPathGeneratorFactory | Standard implementation for path generator factory |
CProjectedBufferedMultiPathGenerator | |
CProjectedBufferedMultiPathGeneratorFactory | |
CProjectedVariateMultiPathGenerator | |
CProjectedVariatePathGeneratorFactory | |
CAnnuityMapping | |
CAnnuityMappingBuilder | |
CBasket | |
CBlackScholesModelWrapper | |
CCarrMadanMarginalProbability | |
CCarrMadanMarginalProbabilitySafeStrikes | |
CCarrMadanSurface | |
CCdsOptionHelper | CDS option helper |
CCirppConstantWithFellerParametrization | CIR++ Constant Parametrization |
CCirppConstantParametrization | CIR++ Constant Parametrization |
CCirppImpliedDefaultTermStructure | |
CCirppParametrization | CIR++ Parametrization |
CCmsCapHelper | |
CCommodityModel | |
CCommoditySchwartzModel | |
CCommoditySchwartzParametrization | COM Schwartz parametrization |
CConstantLossLatentmodel | |
CConstantLossModel | |
CCpiCapFloorHelper | CPI cap floor helper |
CCrCirpp | Cox-Ingersoll-Ross ++ credit model class |
►CCrossAssetModel | Cross Asset Model |
Ccache_hasher | |
Ccache_key | |
CCrossAssetModelImpliedEqVolTermStructure | Cross Asset Model Implied EQ Term Structure |
CCrossAssetModelImpliedFxVolTermStructure | Cross Asset Model Implied FX Term Structure |
CCrStateParametrization | Credit State Parametrization |
CDefaultableEquityJumpDiffusionModelBuilder | |
CDefaultableEquityJumpDiffusionModel | |
CDefaultLossModel | |
CDefaultLatentModel | Default event Latent Model |
CDkImpliedYoYInflationTermStructure | |
CDkImpliedZeroInflationTermStructure | |
CEqBsConstantParametrization | EQ Black Scholes parametrization |
CEqBsParametrization | EQ Black Scholes parametrizations |
CEqBsPiecewiseConstantParametrization | EQ Black Scholes constant parametrization |
CExtendedConstantLossLatentModel | |
CExtendedConstantLossModel | |
CFutureOptionHelper | Future Option Helper |
CFxBsConstantParametrization | FX Black Scholes parametrization |
CFxBsModel | |
CFxBsParametrization | FX Black Scholes parametrizations |
CFxBsPiecewiseConstantParametrization | FX Black Scholes constant parametrization |
CFxEqOptionHelper | FxEq Option Helper |
CFxModel | |
CGaussian1dCrossAssetAdaptor | Gaussian 1d Cross Asset adaptor |
CGaussianLHPLossModel | |
CHomogeneousPoolLossModel | Default loss distribution convolution for finite homogeneous pool |
CBucketing | |
CHullWhiteBucketing | |
CHwConstantParametrization | HW nF Parametrization with m driving Brownian motions and constant reversion, vol |
CHwModel | |
CHwParametrization | HW nF Parametrization with m driving Brownian motions |
CInfDkVectorised | |
CInfJyParameterization | |
CInhomogeneousPoolLossModel | Default loss distribution convolution for finite non homogeneous pool |
CLgm1fConstantParametrization | LGM 1F Constant Parametrization |
CLgm1fParametrization | LGM 1F Parametrization |
CLgm1fPiecewiseConstantHullWhiteAdaptor | LGM 1f Piecewise Constant Hull White Adaptor |
CLgm1fPiecewiseConstantParametrization | LGM 1F Piecewise Constant Parametrization |
CLgm1fPiecewiseLinearParametrization | Lgm 1f Piecewise Linear Parametrization |
CIrModel | |
CJyImpliedYoYInflationTermStructure | |
CJyImpliedZeroInflationTermStructure | |
CLinearGaussMarkovModel | Linear Gauss Morkov Model |
CSwaptionData | |
CLgmCalibrationData | |
CLgmCalibrationInfo | |
CLgmConvolutionSolver2 | Numerical convolution solver for the LGM model |
CLgmImpliedDefaultTermStructure | Lgm Implied Default Term Structure |
CLgmImpliedYieldTermStructure | Lgm Implied Yield Term Structure |
CLgmImpliedYtsFwdFwdCorrected | Lgm Implied Yts Fwd Corrected |
CLgmImpliedYtsSpotCorrected | Lgm Implied Yts Spot Corrected |
CLgmVectorised | |
CLinearAnnuityMapping | |
CLinearAnnuityMappingBuilder | |
►CLinkableCalibratedModel | Calibrated model class with linkable parameters |
CPrivateConstraint | Linkable Calibrated Model |
CMarketObserver | Observer class for Model Builders |
CModelBuilder | |
CModelImpliedPriceTermStructure | COM Implied Price Term Structure |
CModelImpliedYieldTermStructure | IR Implied Yield Term Structure |
CModelImpliedYtsFwdFwdCorrected | Model Implied Yts Fwd Corrected |
CModelImpliedYtsSpotCorrected | Lgm Implied Yts Spot Corrected |
CNormalSABRInterpolation | SABR smile interpolation between discrete volatility points |
CNormalSABR | SABR interpolation factory and traits |
CNormalSabrSmileSection | |
CParametrization | Parametrization |
CPiecewiseConstantHelper1 | Piecewise Constant Helper 1 |
CPiecewiseConstantHelper11 | Piecewise Constant Helper 11 |
CPiecewiseConstantHelper2 | Piecewise Constant Helper2 |
CPiecewiseConstantHelper3 | Piecewise Constant Helper 3 |
CPoolLossModel | |
CLossModelConditionalDist | |
CPseudoParameter | Parameter that accesses CalibratedModel |
CRepresentativeFxOptionMatcher | |
CRepresentativeSwaptionMatcher | |
CYoYCapFloorHelper | |
CYoYInflationModelTermStructure | |
CYoYSwapHelper | |
CZeroInflationModelTermStructure | |
CAccrualBondRepoEngine | Accrual Bond Repo Engine |
CAmcCalculator | |
CAnalyticBarrierEngine | Wrapper engine for the QuantLib engine to take settlement delay into account |
CAnalyticCashSettledEuropeanEngine | Pricing engine for cash settled European vanilla options using analytical formulae |
CAnalyticCcLgmFxOptionEngine | Analytic cc lgm fx option engine |
CAnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
CAnalyticDigitalAmericanKOEngine | Analytic pricing engine for American Knock-out options with digital payoff |
CAnalyticDkCpiCapFloorEngine | Analytic dk cpi cap floor engine |
CAnalyticDoubleBarrierBinaryEngine | Analytic pricing engine for double barrier binary options |
CAnalyticDoubleBarrierEngine | Wrapper engine for the QuantLib engine to take settlement delay into account |
CAnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
CAnalyticEuropeanForwardEngine | Pricing engine for European vanilla forward options using analytical formulae |
CAnalyticJyCpiCapFloorEngine | |
CAnalyticJyYoYCapFloorEngine | |
CAnalyticLgmCdsOptionEngine | |
CAnalyticLgmSwaptionEngine | Analytic LGM swaption engine for european exercise |
CAnalyticXAssetLgmEquityOptionEngine | Analytic cross-asset lgm equity option engine |
CBaroneAdesiWhaleyApproximationEngine | |
CBinomialConvertibleEngine | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
CBlackBondOptionEngine | Black-formula bond option engine |
CBlackCdsOptionEngine | |
CBlackIndexCdsOptionEngine | |
CStats | Helper class for the MonteCarloCBOEngine |
CMonteCarloCBOEngine | CBO engine, Monte Carlo for the sample payoff |
CCommodityAveragePriceOptionBaseEngine | |
CCommodityAveragePriceOptionAnalyticalEngine | |
CCommodityAveragePriceOptionMonteCarloEngine | |
CCommoditySchwartzFutureOptionEngine | Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model |
CCommoditySpreadOptionAnalyticalEngine | |
CCommoditySwaptionBaseEngine | Commodity Swaption Engine base class |
CCommoditySwaptionEngine | Commodity Swaption Analytical Engine |
CCommoditySwaptionMonteCarloEngine | Commodity Swaption Monte Carlo Engine |
CCPIBachelierCapFloorEngine | |
CCPICapFloorEngine | Basse Class for Black / Bachelier CPI cap floor pricing engines |
CCPIBlackCapFloorEngine | |
CInterpolatingCPICapFloorEngine | |
CCrossCcySwapEngine | Cross currency swap engine |
CDepositEngine | |
CDiscountingBondRepoEngine | Discounting Bond Repo Engine |
CDiscountingBondTRSEngine | Discounting Bond TRS Engine |
CDiscountingCommodityForwardEngine | Discounting commodity forward engine |
CDiscountingCreditLinkedSwapEngine | |
CDiscountingCurrencySwapEngine | Discounting CurrencySwap Engine |
CDiscountingEquityForwardEngine | Discounting Equity Forward Engine |
CDiscountingForwardBondEngine | Discounting Forward Bond Engine |
CDiscountingFxForwardEngine | Discounting FX Forward Engine |
►CDiscountingRiskyBondEngine | Discounting Risky Bond Engine |
CBondNPVCalculationResults | |
CDiscountingRiskyBondEngineMultiState | |
CDiscountingSwapEngineMultiCurve | Discounting Swap Engine - Multi Curve |
CDiscretizedConvertible | |
►CFdConvertibleBondEvents | |
CCallData | |
CConversionData | |
CConversionResetData | |
CDividendPassThroughData | |
CMandatoryConversionData | |
CFdDefaultableEquityJumpDiffusionConvertibleBondEngine | |
CIndexCdsOptionBaseEngine | |
CIndexCdsTrancheEngine | |
CYoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
CYoYInflationBlackCapFloorEngine | Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CYoYInflationUnitDisplacedBlackCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CYoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
CIntrinsicAscotEngine | Intrinsic engine for Ascots |
CLgmConvolutionSolver | Numerical convolution solver for the LGM model |
CMcCamCurrencySwapEngine | |
CMcCamFxForwardEngine | |
CMcCamFxOptionEngine | |
CMcLgmSwapEngine | |
CMcLgmSwaptionEngine | |
CMcLgmNonstandardSwaptionEngine | |
CMcEngineStats | |
CMcMultiLegBaseEngine | |
CMultiLegBaseAmcCalculator | |
CMcMultiLegOptionEngine | |
CMidPointCDOEngine | CDO base engine taking schedule steps |
CMidPointCdsEngineMultiState | |
CMidPointIndexCdsEngine | |
CNumericalIntegrationIndexCdsOptionEngine | |
CNumericLgmMultiLegOptionEngineBase | |
CNumericLgmMultiLegOptionEngine | |
CNumericLgmSwaptionEngine | |
CNumericLgmNonstandardSwaptionEngine | |
COvernightIndexedCrossCcyBasisSwapEngine | |
CPaymentDiscountingEngine | Payment discounting engine |
CTsiveriotisFernandesLattice | Binomial lattice approximating the Tsiveriotis-Fernandes model |
►CGeneralisedReplicatingVarianceSwapEngine | |
CVarSwapSettings | |
CVolatilityFromVarianceSwapEngine | |
►CCommoditySchwartzStateProcess | COM Schwartz model one-factor state process |
CExactDiscretization | |
CCrCirppStateProcess | CIR++ Model State Process |
►CCrossAssetStateProcess | Cross Asset Model State Process |
CExactDiscretization | |
CIrHwStateProcess | Ir HW State Process |
CIrLgm1fStateProcess | Ir Lgm 1f State Process |
CBaseCorrelationQuote | Market element whose value depends on two other market element |
CCompositeVectorQuote | |
CExceptionQuote | A dummy quote class that throws an exception when value is called |
CLogQuote | Class for storing logs of quotes for log-linear interpolation |
CAdjustedDefaultCurve | |
CApoFutureSurface | Average future price option (APO) surface derived from a future option surface |
CAtmAdjustedSmileSection | |
CAverageFuturePriceHelper | |
CAverageOffPeakPowerHelper | |
CAverageOISRateHelper | Average OIS Rate Helper |
CAverageSpotPriceHelper | |
CBasisTwoSwapHelper | Basis Two Swap Helper |
CBlackInvertedVolTermStructure | Black volatility surface that inverts an existing surface |
CBlackMonotoneVarVolTermStructure | Black volatility surface that monotonises the variance in an existing surface |
CBlackTriangulationATMVolTermStructure | Black volatility surface that implies an ATM vol based on triangulation |
CBlackVarianceCurve3 | Black volatility curve modeled as variance curve |
CBlackVarianceSurfaceMoneyness | Abstract Black volatility surface based on moneyness (moneyness defined in subclasses) |
CBlackVarianceSurfaceMoneynessSpot | |
CBlackVarianceSurfaceMoneynessForward | |
CBlackVarianceSurfaceSparse | |
CBlackVarianceSurfaceStdDevs | |
CBlackVolatilityConstantSpread | Cube that combines an ATM matrix and vol spreads from a cube |
CBlackVolatilitySurfaceAbsolute | |
CBlackVolatilitySurfaceBFRR | |
CInterpolatedSmileSection | |
CConstantSmileSection | |
CBlackVolatilitySurfaceDelta | |
CBlackVolatilitySurfaceProxy | Wrapper class for a BlackVolTermStructure that allows us to proxy one equity vol surface off another |
CBlackVolatilityWithATM | Wrapper class for a BlackVolTermStructure that easily exposes ATM vols |
CBondYieldShiftedCurveTermStructure | |
CBRLCdiRateHelper | |
CDatedBRLCdiRateHelper | |
CCapFloorHelper | |
CCapFloorTermVolCurve | |
CInterpolatedCapFloorTermVolCurve | Interpolated cap floor term volatility curve |
CCapFloorTermVolSurface | Cap/floor term-volatility surface |
CCapFloorTermVolSurfaceExact | Cap/floor smile volatility surface |
CCapFloorTermVolSurfaceSparse | Cap/floor smile volatility surface sparse |
CCommodityAverageBasisPriceCurve | Commodity average basis price curve |
CCommodityBasisPriceCurve | Commodity basis price curve |
CCommodityBasisPriceCurveWrapper | |
CCommodityBasisPriceTermStructure | |
CCorrelationTermStructure | Correlation term structure |
CNegativeCorrelationTermStructure | Wrapper class that inverts the correlation |
CCorrelationValue | Wrapper class that extracts a value at a given time from the term structure |
CBaseCorrelationTermStructure | |
CInterpolatedBaseCorrelationTermStructure | |
CSpreadedBaseCorrelationCurve | Spreaded Base Correlation Curve |
►CCreditCurve | |
CRefData | |
CCreditVolCurve | |
CInterpolatingCreditVolCurve | |
CProxyCreditVolCurve | |
CSpreadedCreditVolCurve | |
CCreditVolCurveWrapper | |
CBlackVolFromCreditVolWrapper | |
CCrossCcyBasisMtMResetSwapHelper | Cross Ccy Basis MtM Reset Swap Rate Helper |
CCrossCcyBasisSwapHelper | Cross Ccy Basis Swap Rate Helper |
CCrossCcyFixFloatMtMResetSwapHelper | Cross Ccy Fix Float MtM Reset Swap Rate Helper |
CCrossCcyFixFloatSwapHelper | Cross currency fix vs. float swap helper |
CCrossCurrencyPriceTermStructure | Cross currency price term structure |
CDatedStrippedOptionlet | Stripped Optionlet Surface |
CDatedStrippedOptionletAdapter | Adapter class for turning a DatedStrippedOptionletBase object into an OptionletVolatilityStructure |
CDatedStrippedOptionletBase | Stripped Optionlet base class interface |
CDiscountRatioModifiedCurve | |
CDoubleOIBSHelper | Rate helper for bootstrapping over Overnight Indexed Basis Swap Spreads |
CDynamicBlackVolTermStructure | Takes a BlackVolTermStructure with fixed reference date and turns it into a floating reference date term structure |
CDynamicCPIVolatilitySurface | Converts a CPIVolatilityStructure with fixed reference date into a floating reference date term structure |
CDynamicOptionletVolatilityStructure | Converts OptionletVolatilityStructure with fixed reference date into a floating reference date term structure |
CDynamicSwaptionVolatilityMatrix | Takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term |
CDynamicYoYOptionletVolatilitySurface | Converts YoYOptionletVolatilitySurface with fixed reference date into a floating reference date term structure |
CSolver1DOptions | |
COptionSurfaceStripper | Abstract base class for the option stripper |
CEquityOptionSurfaceStripper | |
CCommodityOptionSurfaceStripper | |
CEquityForwardCurveStripper | |
CFlatCorrelation | Flat correlation structure |
CFuturePriceHelper | |
CFxBlackVolatilitySurface | Fx Black volatility surface |
CFxBlackVannaVolgaVolatilitySurface | Fx Black vanna volga volatility surface |
CFxSmileSection | |
CVannaVolgaSmileSection | |
CGeneratorDefaultProbabilityTermStructure | Default probability term structure implied from a transition matrix |
CHazardSpreadedDefaultTermStructure | Hazard Spreaded Default Term Structure |
CIborFallbackCurve | |
CImmFraRateHelper | |
CImpliedDefaultTermStructure | |
CConstantCPIVolatility | |
CCPIPriceVolatilitySurfaceDefaultValues | |
CCPIPriceVolatilitySurface | Stripped zero inflation volatility structure |
CCPIVolatilitySurface | |
►CZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
CBootstrapFirstDateInitializer | |
CPiecewiseZeroInflationCurve | Piecewise zero-inflation term structure |
CInterpolatedCorrelationCurve | CorrelationTermStructure based on interpolation of correlations |
CInterpolatedCPIVolatilitySurface | Interpolated zero inflation volatility structure |
CInterpolatedDiscountCurve | InterpolatedDiscountCurve based on loglinear interpolation of DiscountFactors |
CInterpolatedDiscountCurve2 | InterpolatedDiscountCurve2 as in QuantLib, but with floating discount quotes and floating reference date |
CInterpolatedHazardRateCurve | DefaultProbabilityTermStructure based on interpolation of hazard rates |
CInterpolatedSurvivalProbabilityCurve | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
CInterpolatedYoYCapFloorTermPriceSurface | Interpolated YoY Inflation Cap floor term price surface |
CIterativeBootstrap | |
CKInterpolatedYoYOptionletVolatilitySurface | K-interpolated YoY optionlet volatility |
CMultiSectionDefaultCurve | Multi section default ts |
COIBSHelper | Rate helper for bootstrapping over Overnight Indexed Basis Swap Spreads |
COICCBSHelper | Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads |
COISCapFloorHelper | |
COISRateHelper | Rate helper for bootstrapping using Overnight Indexed Swaps |
CDatedOISRateHelper | Rate helper for bootstrapping using Overnight Indexed Swaps |
CInterpolatedOptionletCurve | |
COptionletStripper | |
COptionletStripper1 | |
COptionletStripper2 | |
COptionletStripperWithAtm | |
COptionPriceSurface | |
COvernightFallbackCurve | |
CPiecewiseAtmOptionletCurve | |
COptionletTraits | Traits class that is needed for Bootstrap classes to work |
CPiecewiseOptionletCurve | |
CPiecewiseOptionletStripper | |
CPriceTraits | Traits class that is needed for Bootstrap classes to work |
CPiecewisePriceCurve | Piecewise price term structure |
CInterpolatedPriceCurve | Interpolated price curve |
CPriceTermStructure | Price term structure |
CDerivedPriceQuote | Helper class so that the spot price can be pulled from the price curve each time the spot price is requested |
CPriceTermStructureAdapter | Adapter class for turning a PriceTermStructure in to a YieldTermStructure |
►CSurvivalProbability | Survival probability curve traits |
Ccurve | |
CProxyOptionletVolatility | |
CProxySwaptionVolatility | |
CSpreadedBlackVolatilityCurve | Spreaded Black volatility curve modeled as variance curve |
CSpreadedBlackVolatilitySurfaceMoneyness | Abstract Spreaded Black volatility surface based on moneyness (moneyness defined in subclasses) |
CSpreadedBlackVolatilitySurfaceMoneynessSpot | Spreaded Black volatility surface based on spot moneyness |
CSpreadedBlackVolatilitySurfaceMoneynessForward | Black volatility surface based on forward moneyness |
CSpreadedBlackVolatilitySurfaceLogMoneynessSpot | Spreaded Black volatility surface based on spot log moneyness |
CSpreadedBlackVolatilitySurfaceLogMoneynessForward | Black volatility surface based on forward log moneyness |
CSpreadedBlackVolatilitySurfaceStdDevs | Black volatility surface based on std devs (standardised log moneyness) |
CSpreadedBlackVolatilitySurfaceMoneynessSpotAbsolute | Spreaded Black volatility surface based on absolute spot moneyness |
CSpreadedBlackVolatilitySurfaceMoneynessForwardAbsolute | Spreaded Black volatility surface based on absolute forward moneyness |
CSpreadedCorrelationCurve | Spreaded Correlation Curve |
CSpreadedCPIVolatilitySurface | |
CSpreadedDiscountCurve | |
CSpreadedZeroInflationCurve | |
CSpreadedYoYInflationCurve | |
CSpreadedOptionletVolatility | |
CSpreadedOptionletVolatility2 | |
CSpreadedPriceTermStructure | Spreaded Price term structure |
CSpreadedSmileSection | |
CSpreadedSmileSection2 | |
CSpreadedSurvivalProbabilityTermStructure | Spreaded Default Term Structure, the spread is given in terms of loglinearly interpolated survival probabilities |
CSpreadedSwaptionVolatility | |
CSpreadedYoYVolatilitySurface | |
CStaticallyCorrectedYieldTermStructure | Statically Corrected Yield Term Structure |
CStrippedCPIVolSurfaceDefaultValues | |
CStrippedCPIVolatilitySurface | Stripped zero inflation volatility structure |
CStrippedOptionletAdapter | |
CStrippedOptionletAdapter2 | |
CStrippedYoYInflationOptionletVol | |
CSubPeriodsSwapHelper | Rate helper for bootstrapping using Sub Periods Swaps |
CSurvivalProbabilityCurve | DefaultProbabilityTermStructure based on interpolation of survival probability quotes |
CSwapConventions | |
CSwaptionVolatilityConverter | Class that converts a supplied SwaptionVolatilityStructure to one of another type with possibly different shifts |
CConstantSpreadSmileSection | |
CSwaptionVolatilityConstantSpread | Swaption cube that combines an ATM matrix and vol spreads from a cube |
CSwaptionVolCube2 | |
CSwaptionVolCubeWithATM | Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols |
CTenorBasisSwapHelper | Rate helper for bootstrapping using Libor tenor basis swaps |
CTermInterpolatedDefaultCurve | |
CWeightedYieldTermStructure | Weighted yield term structure |
CYieldPlusDefaultYieldTermStructure | Yield plus default yield term structure |
CYoYInflationCurveObserverMoving | Inflation term structure based on the interpolation of zero rates |
CYoYInflationCurveObserverStatic | Inflation term structure based on the interpolation of zero rates |
CYoYInflationOptionletVolStripper | |
CZeroInflationCurveObserverMoving | Inflation term structure based on the interpolation of zero rates, with floating reference date |
CZeroInflationCurveObserverStatic | Inflation term structure based on the interpolation of zero rates |
CFutureExpiryCalculator | Base class for classes that perform date calculations for future contracts |
CYearCounter | Year counter for when we want a whole number year fraction |
CSavedObservableSettings | |
CCapFloorVolatilityEUR | |
CSwaptionVolatilityEUR | |
CSwaptionConventionsEUR | |
CYieldCurveEUR | |
►NQuantLib | |
CColombia | |
CMalaysia | |
CBlackCalibrationHelper | |
CBlackScholesLattice | |
CBlackVarianceTermStructure | |
CBlackVolTermStructure | |
CCalibrationHelper | |
CCallability | |
CCashFlow | |
CCmsCouponPricer | |
CCmsSpreadCouponPricer | |
CConstraint | |
CCoupon | |
CDiscretizedAsset | |
CFdm1dMesher | |
CFdmLinearOpComposite | |
CFixedRateCoupon | |
CFloatingRateCoupon | |
CFloatingRateCouponPricer | |
CGaussian1dModel | |
CHazardRateStructure | |
CIborIndex | |
CIndex | |
CInflationCoupon | |
CInstrument | |
CInterestRateIndex | |
CLatentModel | |
CLibor | |
CMidPointCdsEngineBase | |
CObservable | |
CObserver | |
COneAssetOption | |
COptimizationMethod | |
COption | |
CParameter | |
CPayoff | |
CPriceHelper | |
CRelativeDateRateHelper | |
CStochasticProcess | |
CStochasticProcess1D | |
CStrippedOptionletBase | |
CSurvivalProbabilityStructure | |
CSwap | |
CSwaptionVolatilityCube | |
CSwaptionVolatilityDiscrete | |
CSwaptionVolatilityStructure | |
CTermStructure | |
CYoYCapFloorTermPriceSurface | |
CYoYInflationIndex | |
CYoYInflationTermStructure | |
CYoYOptionletVolatilitySurface | |
CZeroInflationTermStructure | |