Reference manual - version qle_version
| ►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_ | |
| NCrossAssetModelTypes | |
| NDateUtilities | |
| ►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 | |
| NZeroInflation | |
| 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 |