Reference manual - version qle_version
Files | |
| file | normalsabr.hpp |
| normal SABR model implied volatility approximation | |
| file | aposurface.hpp |
| Average future price option surface derived from future option surface. | |
| file | averagefuturepricehelper.hpp |
| Price helper for average of future settlement prices over a period. | |
| file | averageoffpeakpowerhelper.hpp |
| Price helper for average of off-peak electricity prices over a period. | |
| file | averageoisratehelper.hpp |
| Rate helpers to facilitate usage of AverageOIS in bootstrapping. | |
| file | averagespotpricehelper.hpp |
| Price helper for average of spot price over a period. | |
| file | basistwoswaphelper.hpp |
| Libor basis swap helper as two swaps. | |
| file | blackdeltautilities.hpp |
| utilities to calculate strikes from deltas and atm strikes on smiles | |
| file | blackinvertedvoltermstructure.hpp |
| Black volatility surface that inverts an existing surface. | |
| file | blackmonotonevarvoltermstructure.hpp |
| Black volatility surface that monotonises the variance in an existing surface. | |
| file | blacktriangulationatmvol.hpp |
| Black volatility surface that implies an ATM vol based on triangulation. | |
| file | blackvariancecurve3.hpp |
| Black volatility curve modeled as variance curve. | |
| file | blackvariancesurfacemoneyness.hpp |
| Black volatility surface based on forward moneyness. | |
| file | blackvolconstantspread.hpp |
| surface that combines an ATM curve and vol spreads from a surface | |
| file | blackvolsurfacedelta.hpp |
| Black volatility surface based on delta. | |
| file | blackvolsurfaceproxy.hpp |
| Wrapper class for a BlackVolTermStructure when using proxy vols. | |
| file | blackvolsurfacewithatm.hpp |
| Wrapper class for a BlackVolTermStructure that easily exposes ATM vols. | |
| file | brlcdiratehelper.hpp |
| Rate helper based on standard BRL CDI swap. | |
| file | capfloorhelper.hpp |
| Helper for bootstrapping optionlet volatilities from cap floor volatilities. | |
| file | capfloortermvolcurve.hpp |
| Cap floor at-the-money term volatility curve. | |
| file | commodityaveragebasispricecurve.hpp |
| A commodity price curve created from an averaged base curve and a collection of basis quotes. | |
| file | commoditybasispricecurve.hpp |
| A commodity price curve created from a base price curve and a collection of basis quotes. | |
| file | commoditybasispricecurvewrapper.hpp |
| A commodity price curve created from a generic price curve and a basis curve. | |
| file | commoditybasispricetermstructure.hpp |
| An interface for a commodity price curve created from a base price curve and a collection of basis quotes. | |
| file | crossccybasismtmresetswaphelper.hpp |
| Cross currency basis swap helper with MTM reset. | |
| file | crossccybasisswaphelper.hpp |
| Cross currency basis swap helper. | |
| file | crossccybasismtmresetswaphelper.hpp |
| Cross currency basis swap helper with MTM reset. | |
| file | crossccyfixfloatswaphelper.hpp |
| Cross currency fixed vs. float swap helper. | |
| file | datedstrippedoptionlet.hpp |
| Stripped optionlet surface with fixed reference date. | |
| file | datedstrippedoptionletadapter.hpp |
| StrippedOptionlet Adapter. | |
| file | datedstrippedoptionletbase.hpp |
| abstract class for optionlet surface with fixed reference date | |
| file | oibasisswaphelper.hpp |
| Overnight Indexed vs Overnight Indexed Basis Swap rate helpers. | |
| file | dynamicblackvoltermstructure.hpp |
| dynamic black volatility term structure | |
| file | dynamiccpivolatilitystructure.hpp |
| dynamic zero inflation volatility structure | |
| file | dynamicoptionletvolatilitystructure.hpp |
| dynamic optionlet volatility structure | |
| file | dynamicstype.hpp |
| dynamics type definitions | |
| file | dynamicswaptionvolmatrix.hpp |
| dynamic swaption volatility matrix | |
| file | dynamicyoyoptionletvolatilitystructure.hpp |
| dynamic yoy inflation optionlet volatility structure | |
| file | eqcommoptionsurfacestripper.hpp |
| Imply equity or commodity volatility surface from put/call price surfaces. | |
| file | equityforwardcurvestripper.hpp |
| Imply equity forwards from option put/call parity. | |
| file | futurepricehelper.hpp |
| Future price helper. | |
| file | fxblackvolsurface.hpp |
| FX Black volatility surface that incorporates an FxSmile. | |
| file | fxsmilesection.hpp |
| FX smile section assuming a strike/volatility space. | |
| file | fxvannavolgasmilesection.hpp |
| FX smile section assuming a strike/volatility space using vanna volga method. | |
| file | generatordefaulttermstructure.hpp |
| Default curve implied from a single generator matrix. | |
| file | hazardspreadeddefaulttermstructure.hpp |
| adds a constant hazard rate spread to a default term structure | |
| file | immfraratehelper.hpp |
| IMM FRA rate helper. | |
| file | piecewisezeroinflationcurve.hpp |
| Piecewise interpolated zero inflation term structure. | |
| file | interpolateddiscountcurve.hpp |
| interpolated discount term structure | |
| file | interpolateddiscountcurve2.hpp |
| interpolated discount term structure | |
| file | interpolatedyoycapfloortermpricesurface.hpp |
| Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTermPriceSurface to allow choice of termstructure directly from YoY swap quotes or from atm swap quotes stripped from cap/floor price surface. | |
| file | multisectiondefaultcurve.hpp |
| default curve with an instantaneous hazard rate given by a vector of underlying curves in specific date ranges | |
| file | oibasisswaphelper.hpp |
| Overnight Indexed vs Overnight Indexed Basis Swap rate helpers. | |
| file | oiccbasisswaphelper.hpp |
| Overnight Indexed Cross Currency Basis Swap helpers. | |
| file | oiscapfloorhelper.hpp |
| Helper for bootstrapping optionlet volatilties from ois cap floor volatilities. | |
| file | oisratehelper.hpp |
| Overnight Indexed Swap (aka OIS) rate helpers. | |
| file | optionletstripper1.hpp |
| Optionlet (caplet/floorlet) volatility strippers. | |
| file | optionletstripper2.hpp |
| ATM optionlet (caplet/floorlet) volatility stripper. | |
| file | optionletstripperwithatm.hpp |
| Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities. | |
| file | piecewisepricecurve.hpp |
| Piecewise interpolated price term structure. | |
| file | proxyoptionletvolatility.hpp |
| moneyness-adjusted optionlet vol for normal vols | |
| file | proxyswaptionvolatility.hpp |
| moneyness-adjusted swaption vol for normal vols | |
| file | spreadedblackvolatilitycurve.hpp |
| Spreaded Black volatility curve. | |
| file | spreadedblackvolatilitysurfacemoneyness.hpp |
| Spreaded Black volatility surface based on moneyness. | |
| file | spreadedoptionletvolatility2.hpp |
| Optionlet volatility with overlayed bilinearly interpolated spread surface. | |
| file | spreadeddiscountcurve.hpp |
| spreaded discount term structure | |
| file | spreadedinflationcurve.hpp |
| spreaded inflation term structure | |
| file | spreadedoptionletvolatility.hpp |
| Adds floor to QuantLib::SpreadedOptionletVolatility. | |
| file | spreadedoptionletvolatility2.hpp |
| Optionlet volatility with overlayed bilinearly interpolated spread surface. | |
| file | spreadedsmilesection.hpp |
| Adds floor to QuantLib::SmileSection. | |
| file | spreadedsmilesection2.hpp |
| smile section with linear interpolated vol spreads | |
| file | spreadedsurvivalprobabilitytermstructure.hpp |
| spreaded default term structure | |
| file | spreadedswaptionvolatility.hpp |
| swaption cube defined via atm vol spreads over another cube | |
| file | spreadedoptionletvolatility2.hpp |
| Optionlet volatility with overlayed bilinearly interpolated spread surface. | |
| file | staticallycorrectedyieldtermstructure.hpp |
| Statically corrected yield term structure. | |
| file | strippedoptionletadapter.hpp |
| Convert a StrippedOptionletBase in to an OptionletVolatilityStructure. | |
| file | strippedoptionletadapter2.hpp |
| StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation) | |
| file | strippedyoyinflationoptionletvol.hpp |
| Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat extrapolation) | |
| file | subperiodsswaphelper.hpp |
| Single currency sub periods swap helper. | |
| file | survivalprobabilitycurve.hpp |
| interpolated survival probability term structure | |
| file | swaptionvolatilityconverter.hpp |
| Convert swaption volatilities from one type to another. | |
| file | swaptionvolconstantspread.hpp |
| swaption cube that combines an ATM matrix and vol spreads from a cube | |
| file | swaptionvolcube2.hpp |
| Swaption volatility cube, fit-later-interpolate-early approach. | |
| file | swaptionvolcubewithatm.hpp |
| Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols. | |
| file | tenorbasisswaphelper.hpp |
| Single currency tenor basis swap helper. | |
| file | yoyinflationcurveobservermoving.hpp |
| Observable inflation term structure with floating reference date based on the interpolation of zero rate quotes. | |
| file | yoyinflationcurveobserverstatic.hpp |
| Observable inflation term structure with fixed reference date based on the interpolation of yoy rate quotes. | |
| file | yoyinflationoptionletvolstripper.hpp |
| YoY Inflation Optionlet (caplet/floorlet) volatility strippers. | |
| file | zeroinflationcurveobserverstatic.hpp |
| Observable inflation term structure based on the interpolation of zero rate quotes. | |
Classes | |
| class | AverageFuturePriceHelper |
| class | AverageOffPeakPowerHelper |
| class | AverageSpotPriceHelper |
| class | BlackTriangulationATMVolTermStructure |
| Black volatility surface that implies an ATM vol based on triangulation. More... | |
| class | BlackVarianceCurve3 |
| Black volatility curve modeled as variance curve. More... | |
| class | BlackVarianceSurfaceMoneyness |
| Abstract Black volatility surface based on moneyness (moneyness defined in subclasses) More... | |
| class | BlackVarianceSurfaceMoneynessSpot |
| class | BlackVarianceSurfaceMoneynessForward |
| class | BlackVarianceSurfaceSparse |
| class | BlackVarianceSurfaceStdDevs |
| class | BlackVolatilitySurfaceDelta |
| class | BlackVolatilitySurfaceProxy |
| Wrapper class for a BlackVolTermStructure that allows us to proxy one equity vol surface off another. More... | |
| class | BlackVolatilityWithATM |
| Wrapper class for a BlackVolTermStructure that easily exposes ATM vols. More... | |
| class | BRLCdiRateHelper |
| class | DatedBRLCdiRateHelper |
| class | CapFloorHelper |
| class | CommodityAverageBasisPriceCurve< Interpolator > |
| Commodity average basis price curve. More... | |
| class | CommodityBasisPriceCurve< Interpolator > |
| Commodity basis price curve. More... | |
| class | CorrelationTermStructure |
| Correlation term structure. More... | |
| class | CrossCcyBasisMtMResetSwapHelper |
| Cross Ccy Basis MtM Reset Swap Rate Helper. More... | |
| class | CrossCcyFixFloatMtMResetSwapHelper |
| Cross Ccy Fix Float MtM Reset Swap Rate Helper. More... | |
| class | CrossCcyFixFloatSwapHelper |
| Cross currency fix vs. float swap helper. More... | |
| class | CrossCurrencyPriceTermStructure |
| Cross currency price term structure. More... | |
| class | DatedStrippedOptionlet |
| Stripped Optionlet Surface. More... | |
| class | DoubleOIBSHelper |
| Rate helper for bootstrapping over Overnight Indexed Basis Swap Spreads. More... | |
| class | DynamicCPIVolatilitySurface |
| Converts a CPIVolatilityStructure with fixed reference date into a floating reference date term structure. More... | |
| class | DynamicSwaptionVolatilityMatrix |
| Takes a SwaptionVolatilityMatrix with fixed reference date and turns it into a floating reference date term. More... | |
| class | DynamicYoYOptionletVolatilitySurface |
| Converts YoYOptionletVolatilitySurface with fixed reference date into a floating reference date term structure. More... | |
| class | FuturePriceHelper |
| class | FxBlackVolatilitySurface |
| Fx Black volatility surface. More... | |
| class | FxBlackVannaVolgaVolatilitySurface |
| Fx Black vanna volga volatility surface. More... | |
| class | FxSmileSection |
| class | VannaVolgaSmileSection |
| class | GeneratorDefaultProbabilityTermStructure |
| Default probability term structure implied from a transition matrix. More... | |
| class | HazardSpreadedDefaultTermStructure |
| Hazard Spreaded Default Term Structure. More... | |
| class | ImmFraRateHelper |
| class | InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D > |
| Interpolated YoY Inflation Cap floor term price surface. More... | |
| class | OIBSHelper |
| Rate helper for bootstrapping over Overnight Indexed Basis Swap Spreads. More... | |
| class | OISRateHelper |
| Rate helper for bootstrapping using Overnight Indexed Swaps. More... | |
| class | DatedOISRateHelper |
| Rate helper for bootstrapping using Overnight Indexed Swaps. More... | |
| class | InterpolatedOptionletCurve< Interpolator > |
| class | OptionletStripper1 |
| class | OptionletStripper2 |
| class | OptionletStripperWithAtm< TimeInterpolator, SmileInterpolator > |
| class | OptionPriceSurface |
| class | PiecewisePriceCurve< Interpolator, Bootstrap > |
| Piecewise price term structure. More... | |
| class | InterpolatedPriceCurve< Interpolator > |
| Interpolated price curve. More... | |
| class | PriceTermStructure |
| Price term structure. More... | |
| class | StaticallyCorrectedYieldTermStructure |
| Statically Corrected Yield Term Structure. More... | |
| class | StrippedOptionletAdapter< TimeInterpolator, SmileInterpolator > |
| class | StrippedOptionletAdapter2 |
| class | StrippedYoYInflationOptionletVol |
| class | SubPeriodsSwapHelper |
| Rate helper for bootstrapping using Sub Periods Swaps. More... | |
| class | SurvivalProbabilityCurve< Interpolator > |
| DefaultProbabilityTermStructure based on interpolation of survival probability quotes. More... | |
| class | SwapConventions |
| class | SwaptionVolatilityConverter |
| Class that converts a supplied SwaptionVolatilityStructure to one of another type with possibly different shifts. More... | |
| class | SwaptionVolatilityConstantSpread |
| Swaption cube that combines an ATM matrix and vol spreads from a cube. More... | |
| class | SwaptionVolCubeWithATM |
| Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols. More... | |
| class | TenorBasisSwapHelper |
| Rate helper for bootstrapping using Libor tenor basis swaps. More... | |
| class | YoYInflationOptionletVolStripper |
| class | ZeroInflationCurveObserverMoving< Interpolator > |
| Inflation term structure based on the interpolation of zero rates, with floating reference date. More... | |
| class | ZeroInflationCurveObserverStatic< Interpolator > |
| Inflation term structure based on the interpolation of zero rates. More... | |
Typedefs | |
| typedef InterpolatedOptionletCurve< QuantLib::Linear > | OptionletCurve |
Enumerations | |
| enum | Stickyness { StickyStrike , StickyLogMoneyness , StickyAbsoluteMoneyness } |
| Stickiness. | |
| enum | ReactionToTimeDecay { ConstantVariance , ForwardForwardVariance } |
| Reaction to Time Decay. | |
| enum | YieldCurveRollDown { ConstantDiscounts , ForwardForward } |
| Yield Curve Roll Down. | |
Grouping of all term structure related classes, functions and files
| typedef InterpolatedOptionletCurve<QuantLib::Linear> OptionletCurve |
Term structure based on linear interpolation of optionlet volatilities