Reference manual - version qle_version
| qle | |
| ad | |
| backwardderivatives.hpp | Backward derivatives computation |
| computationgraph.hpp | Computation graph |
| external_randomvariable_ops.hpp | Ops for external randomvariables |
| forwardderivatives.hpp | Forward derivatives computation |
| forwardevaluation.hpp | Forward evaluation |
| ssaform.hpp | Convert cg to ssa form |
| calendars | |
| amendedcalendar.hpp | Amended calendar |
| austria.hpp | Austrian calendar |
| belgium.hpp | Belgian calendar |
| cme.hpp | CME Group exchange calendars |
| colombia.hpp | Colombian calendar |
| cyprus.hpp | Cyprus Calendar |
| france.hpp | French calendar |
| greece.hpp | Greece Calendars |
| ice.hpp | Intercontinental Exchange calendars |
| ireland.hpp | Ireland Calendar |
| islamicweekendsonly.hpp | Islamic weekends-only calendar |
| israel.hpp | Israel calendar extension to cover TELBOR publication days |
| luxembourg.hpp | Luxembourgish calendar |
| malaysia.hpp | Malaysian calendar |
| netherlands.hpp | Dutch calendar |
| peru.hpp | Peru calendar |
| philippines.hpp | Philippine calendar |
| russia.hpp | Russian calendar, modified QuantLib Russia to extend MOEX before 2012 |
| spain.hpp | Spanish calendar |
| switzerland.hpp | Swiss calendar |
| wmr.hpp | WMR calendar - Thomson Reuters WM/Reuters Spot |
| cashflows | |
| averageonindexedcoupon.hpp | Coupon paying the weighted average of the daily overnight rate |
| averageonindexedcouponpricer.hpp | Pricer for average overnight indexed coupons |
| blackaveragebmacouponpricer.hpp | Black average bma coupon pricer for capped / floored BMA coupons |
| blackovernightindexedcouponpricer.hpp | Black coupon pricer for capped / floored ON indexed coupons |
| bondtrscashflow.hpp | Cashflow paying the total return of a bond |
| brlcdicouponpricer.hpp | Coupon pricer for a BRL CDI coupon |
| cappedflooredaveragebmacoupon.hpp | Coupon paying a capped / floored average bma rate |
| cashflows.hpp | Additional cash-flow analysis functions |
| cashflowtable.hpp | Cashflow table to store cashflow calculation results |
| cmbcoupon.hpp | Constant Maturity Bond yield coupon |
| commoditycashflow.hpp | Some data and logic shared among commodity cashflows |
| commodityindexedaveragecashflow.hpp | Cash flow dependent on the average commodity spot price or future's settlement price over a period. If settled in a foreign currency (domestic: currency on which the underlying curve is traded, foreing: settlement currency) the FX is applied day by day. This approach cannot be appied to averaged underlying curves |
| commodityindexedcashflow.hpp | Cash flow dependent on a single commodity spot price or future's settlement price |
| couponpricer.hpp | Utility functions for setting coupon pricers on legs |
| cpicoupon.hpp | CPI leg builder extending QuantLib's to handle caps and floors |
| cpicouponpricer.hpp | CPI cash flow and coupon pricers that handle caps/floors using a CpiCapFloorEngine |
| durationadjustedcmscoupon.hpp | Cms coupon scaled by a duration number |
| durationadjustedcmscoupontsrpricer.hpp | Tsr coupon pricer for duration adjusted cms coupon |
| equitycashflow.hpp | Casflow paying an equity price |
| equitycoupon.hpp | Coupon paying the return on an equity |
| equitycouponpricer.hpp | Pricer for equity coupons |
| equitymargincoupon.hpp | Coupon paying the return on an equity |
| equitymargincouponpricer.hpp | Pricer for equity margin coupons |
| fixedratefxlinkednotionalcoupon.hpp | Coupon paying a fixed rate but with an FX linked notional |
| floatingannuitycoupon.hpp | Coupon paying a Libor-type index |
| floatingannuitynominal.hpp | Nominal flow associated with a floating annuity coupon |
| floatingratefxlinkednotionalcoupon.hpp | Coupon paying a Libor-type index but with an FX linked notional |
| formulabasedcoupon.hpp | Formula based coupon |
| fxlinkedcashflow.hpp | An FX linked cashflow |
| iborfracoupon.hpp | Coupon representing an forward rate agreement |
| indexedcoupon.hpp | Coupon with an indexed notional |
| interpolatediborcoupon.hpp | Coupon paying an interpolated ibor fixing |
| interpolatediborcouponpricer.hpp | Black pricer for interpolated ibor coupon |
| jyyoyinflationcouponpricer.hpp | Jarrow Yildrim (JY) pricer for capped or floored year on year (YoY) inflation coupons |
| lognormalcmsspreadpricer.hpp | Cms spread coupon pricer as in Brigo, Mercurio, 13.6.2, with extensions for shifted lognormal and normal dynamics as described in http://ssrn.com/abstract=2686998 |
| mcgaussianformulabasedcouponpricer.hpp | Formula based coupon pricer |
| nettedcommoditycashflow.hpp | Cash flow that nets multiple commodity floating leg cashflows for a given payment period |
| nonstandardinflationcouponpricer.hpp | Pricer for the generalized (nonstandard) yoy coupon the payoff of the coupon is: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with arbitrary s < t. In the regular coupon the period between s and t is hardcoded to one year. This pricer ignores any convexity adjustments in the YoY coupon |
| nonstandardyoyinflationcoupon.hpp | Capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset |
| overnightindexedcoupon.hpp | Coupon paying the compounded daily overnight rate, copy of QL class, added includeSpread flag |
| quantocouponpricer.hpp | Quanto-adjusted coupon |
| scaledcoupon.hpp | Coupon / Cashflow paying scaled amounts |
| strippedcapflooredcpicoupon.hpp | Strips the embedded option from cap floored cpi coupons |
| strippedcapflooredyoyinflationcoupon.hpp | Strips the embedded option from cap floored yoy inflation coupons |
| subperiodscoupon.hpp | Coupon with a number of sub-periods |
| subperiodscouponpricer.hpp | Pricer for sub-period coupons |
| trscashflow.hpp | Cashflow paying the total return of an asset |
| typedcashflow.hpp | Simple cashflow with a type |
| zerofixedcoupon.hpp | Nominal flow associated with a floating annuity coupon |
| currencies | |
| africa.hpp | Extend QuantLib African currencies |
| america.hpp | Extend QuantLib American currencies |
| asia.hpp | Extend QuantLib Asian currencies |
| configurablecurrency.hpp | Configurable currency |
| currencycomparator.hpp | Compare currencies by currency code |
| europe.hpp | Extend QuantLib European currencies |
| metals.hpp | Extend QuantLib currencies for precious metal codes |
| indexes | |
| ibor | |
| ambor.hpp | USD-AMBOR index for 30D and 90D terms |
| ameribor.hpp | AMERIBOR overnight index, https://ameribor.net |
| boebaserate.hpp | Bank of England base rate index, https://www.bankrate.com/uk/mortgages/bank-of-england-base-rate/ |
| brlcdi.hpp | BRL-CDI index |
| chfsaron.hpp | Swiss Average Rate Overnight (SARON) |
| chftois.hpp | Swiss Franc T/N rate on Reuters page CHFTOIS |
| clpcamara.hpp | CLP-CAMARA index |
| cnhhibor.hpp | CNH-HIBOR index |
| cnhshibor.hpp | CNH-SHIBOR index |
| cnyrepofix.hpp | CNY-CNREPOFIX=CFXS-Reuters index |
| copibr.hpp | COP-IBR index |
| corra.hpp | Canadian Overnight Repo Rate Average (CORRA) index class |
| czkpribor.hpp | CZK-PRIBOR index |
| demlibor.hpp | DEM-LIBOR index |
| dkkcibor.hpp | DKK-CIBOR index |
| dkkcita.hpp | DKK T/N rate |
| dkkois.hpp | DKK T/N rate |
| hkdhibor.hpp | HKD-HIBOR index |
| hkdhonia.hpp | HKD-HONIA index |
| hufbubor.hpp | HUF-BUBOR index |
| idridrfix.hpp | IDR-IDRFIX index |
| idrjibor.hpp | IDR-JIBOR index |
| ilstelbor.hpp | ILS-TELBOR index |
| inrmiborois.hpp | INR-MIBOROIS index |
| inrmifor.hpp | INR-MIFOR index |
| jpyeytibor.hpp | JPY Euroyen TIBOR index |
| krwcd.hpp | KRW-CD index |
| krwkoribor.hpp | KRW-KORIBOR index |
| mxntiie.hpp | MXN-TIIE index |
| myrklibor.hpp | MYR-KLIBOR index |
| noknibor.hpp | NOK-NIBOR index |
| nowa.hpp | Norwegian Overnight Weighted Average (NOWA) index class |
| nzdbkbm.hpp | NZD-BKBM index |
| phpphiref.hpp | PHP-PHIREF index |
| plnpolonia.hpp | PLN-POLONIA index |
| primeindex.hpp | USD-Prime index |
| rubkeyrate.hpp | RUB-KEYRATE index |
| saibor.hpp | SAR-SAIBOR index |
| seksior.hpp | SEK T/N rate |
| sekstibor.hpp | SEK-STIBOR index |
| sekstina.hpp | SEK T/N rate |
| sgdsibor.hpp | SGD-SIBOR index |
| sgdsor.hpp | SGD-SOR index |
| skkbribor.hpp | SKK-BRIBOR index |
| sofr.hpp | SOFR-TERM index |
| sonia.hpp | SONIA index |
| sora.hpp | Singapore Overnight Average Rate (sora) |
| termrateindex.hpp | Ibor index class to represent term rates like SOFR-1M, 3M, 6M, 12M |
| thbbibor.hpp | THB-BIBOR index |
| thor.hpp | THB-THOR index |
| tonar.hpp | Tokyo Overnight Average Rate (TONAR) |
| behicp.hpp | Belgium HICP index |
| bmaindexwrapper.hpp | Wrapper class for bmaindex, for the purpose of providing iborindex inheritance |
| bondindex.hpp | Bond index class representing historical and forward bond prices |
| cacpi.hpp | CAD CPI index |
| commoditybasisfutureindex.hpp | Commodity basis future index class for holding price histories and forwarding |
| commodityindex.hpp | Commodity index class for holding commodity spot and futures price histories and forwarding |
| compoequityindex.hpp | Equity index converting the original equity currency to another currency |
| compositeindex.hpp | Index representing a weighted sum of underlying indices |
| decpi.hpp | German CPI inflation index |
| dividendmanager.hpp | Dividend manager |
| dkcpi.hpp | DKK CPI index |
| eqfxindexbase.hpp | A common base class for the FX and Equity Indices. Provides a forecast fixing method for time so the indices can be used in termstructures that use time lookup |
| equityindex.hpp | Equity index class for holding equity fixing histories and forwarding |
| escpi.hpp | Spain CPI index |
| fallbackiborindex.hpp | Wrapper class for ibor index managing the fallback rules |
| fallbackovernightindex.hpp | Wrapper class for overnight index managing the fallback rules |
| formulabasedindex.hpp | Formula based index |
| frcpi.hpp | French CPI inflation index |
| fxindex.hpp | FX index class |
| genericiborindex.hpp | Generic Ibor Index |
| genericindex.hpp | Generic index class for storing price histories |
| iborindexfixingoverride.hpp | Ibor index wrapper with fixings |
| inflationindexobserver.hpp | Inflation index observer class |
| inflationindexwrapper.hpp | Wrapper classes for inflation yoy and interpolation |
| interpolatediborindex.hpp | Interpolated Ibor Index |
| offpeakpowerindex.hpp | Commodity future index for off peak power prices |
| region.hpp | Region, i.e. geographical area, specification |
| secpi.hpp | SEK CPI index |
| instruments | |
| ascot.hpp | Ascot class |
| averageois.hpp | Swap of arithmetic average overnight index against fixed |
| balanceguaranteedswap.hpp | Balance Guaranteed Swap instrument |
| bondbasket.hpp | Basket of defaultable bonds |
| bondfuture.hpp | Bond Future |
| bondoption.hpp | Bond option class |
| bondrepo.hpp | Bond repo instrument |
| brlcdiswap.hpp | Standard BRL CDI swap |
| callablebond.hpp | |
| cashflowresults.hpp | Class holding cashflow-related results |
| cashposition.hpp | Cash position instrument |
| cashsettledeuropeanoption.hpp | Cash settled european vanilla option |
| cbo.hpp | Collateralized bond obligation instrument |
| cdsoption.hpp | CDS option, removed requirements (rec must knock out, no upfront amount), that should be taken care of in pricing engines |
| cliquetoption.hpp | Cliquet option |
| commodityapo.hpp | Swaption class |
| commodityforward.hpp | Instrument representing a commodity forward contract |
| commodityspreadoption.hpp | Option class |
| convertiblebond.hpp | Convertible bond class |
| convertiblebond2.hpp | |
| creditlinkedswap.hpp | Credit linked swap instrument |
| crossccybasismtmresetswap.hpp | Cross currency basis swap instrument with MTM reset |
| crossccybasisswap.hpp | Cross currency basis swap instrument |
| crossccyfixfloatmtmresetswap.hpp | Cross currency fix float swap instrument with MTM reset |
| crossccyfixfloatswap.hpp | Cross currency fixed vs float swap instrument |
| crossccyswap.hpp | Swap instrument with legs involving two currencies |
| currencyswap.hpp | Interest rate swap with extended interface |
| deposit.hpp | Deposit instrument |
| equityforward.hpp | Equityforward instrument |
| fixedbmaswap.hpp | Fixed vs averaged bma swap |
| flexiswap.hpp | Flexi-Swap instrument with global notional bounds |
| forwardbond.hpp | Forward bond class |
| fxforward.hpp | Defaultable fxforward instrument |
| genericswaption.hpp | Swaption class |
| impliedbondspread.hpp | Utilities for implied bond credit spread calculation |
| indexcdsoption.hpp | Index CDS option instrument |
| indexcreditdefaultswap.hpp | Index Credit default swap |
| makeaverageois.hpp | Helper class to instantiate standard average ON indexed swaps |
| makecds.hpp | Helper class to instantiate standard market cds |
| makeoiscapfloor.hpp | Helper class to instantiate standard market OIS cap / floors |
| multiccycompositeinstrument.hpp | Bond option class |
| multilegoption.hpp | Multi leg option instrument |
| nullinstrument.hpp | A null instrument that always returns an NPV of 0 |
| oiccbasisswap.hpp | Cross currency overnight index swap paying compounded overnight vs. float |
| pairwisevarianceswap.hpp | Pirwise Variance swap |
| payment.hpp | Payment instrument |
| rebatedexercise.hpp | More flexible version of ql class |
| riskparticipationagreement.hpp | RPA instrument |
| riskparticipationagreement_tlock.hpp | RPA instrument for tlock underlyings |
| subperiodsswap.hpp | Single currency sub periods swap instrument |
| syntheticcdo.hpp | Synthetic Collateralized Debt Obligation and pricing engines |
| tenorbasisswap.hpp | Single currency tenor basis swap instrument |
| vanillaforwardoption.hpp | Vanilla forward option on a single asset |
| varianceswap.hpp | Variance swap |
| math | |
| basiccpuenvironment.hpp | Basic compute env implementation using the cpu |
| blockmatrixinverse.hpp | Inverse of a matrix using a block formula |
| bucketeddistribution.hpp | Deals with a bucketed distribution |
| compiledformula.hpp | Compiled formula |
| computeenvironment.hpp | Interface to compute envs |
| constantinterpolation.hpp | Flat interpolation decorator |
| covariancesalvage.hpp | Methods to make a symmetric matrix positive semidefinite |
| cudaenvironment.hpp | Cuda compute env implementation |
| deltagammavar.hpp | Functions to compute delta or delta-gamma VaR numbers |
| differentialevolution_mt.hpp | Multithreaded version of QL class |
| discretedistribution.hpp | Discretized probability density and cumulative probability |
| distributioncount.hpp | Histogramm utility |
| fillemptymatrix.hpp | Functions to fill a "not-completely-populated" matrix |
| flatextrapolation.hpp | Flat interpolation decorator |
| gpucodegenerator.hpp | Gpu code generator utilities |
| kendallrankcorrelation.hpp | Kendall's rank correlation coefficient computation |
| logquadraticinterpolation.hpp | Log-quadratic interpolation between discrete points |
| matrixfunctions.hpp | Matrix functions |
| method_mt.hpp | Abstract multithreaded optimization method class |
| nadarayawatson.hpp | Nadaraya-Watson regression |
| openclenvironment.hpp | Opencl compute env implementation |
| problem_mt.hpp | Abstract optimization problem class (for multithreaded optimization methods) |
| quadraticinterpolation.hpp | Quadratic interpolation between discrete points |
| randomvariable_ops.hpp | Ops for type randomvariable |
| randomvariablelsmbasissystem.hpp | Ql utility class for random variables |
| stabilisedglls.hpp | Numerically stabilised general linear least squares |
| stoplightbounds.hpp | Compute stop light bounds for overlapping and correlated PL |
| trace.hpp | Trace of a quadratic matrix |
| methods | |
| brownianbridgepathinterpolator.hpp | Brownian bridge path interpolator |
| cclgmfxoptionvegaparconverter.hpp | Calculates implied vol / sigma conversion matrices |
| fdmblackscholesmesher.hpp | Extended version of the QuantLib class, see the documentation for details |
| fdmblackscholesop.hpp | Extended version of the QuantLib class, see the documentation for details |
| fdmdefaultableequityjumpdiffusionfokkerplanckop.hpp | |
| fdmdefaultableequityjumpdiffusionop.hpp | |
| fdmlgmop.hpp | Finite difference operator LGM model |
| fdmquantohelper.hpp | Extended version of the QuantLib class, see the documentation for details |
| irdeltaparconverter.hpp | Calculates ir par conversion matrices |
| lgmswaptionvegaparconverter.hpp | Calculates implied vol / alpha conversion matrices |
| multipathgeneratorbase.hpp | Base class for multi path generators |
| multipathvariategenerator.hpp | Multi path generators returning the generating N(0,1) variates, this is very much in parallel to the MultiPathGeneratorBase interface and derived classes, including the make function |
| pathgeneratorfactory.hpp | Base class and standard implementation for path generator factories |
| projectedbufferedmultipathgenerator.hpp | Multi path generator projecting paths from a buffered state processr |
| projectedbufferedmultipathgeneratorfactory.hpp | Path generator factory that builds a projected path generator |
| projectedvariatemultipathgenerator.hpp | Multi path generator projecting variates from another variate generator |
| projectedvariatepathgeneratorfactory.hpp | Path generator factory that builds a projected path generator |
| models | |
| annuitymapping.hpp | Base class for annuity mapping functions used in TSR models |
| basket.hpp | Basket of issuers and related notionals |
| blackscholesmodelwrapper.hpp | Wrapper around a vector of BS processes |
| carrmadanarbitragecheck.hpp | Arbitrage checks based on Carr, Madan, A note on sufficient conditions for no arbitrage (2005) |
| cdsoptionhelper.hpp | Cds option calibration helper |
| cirppconstantfellerparametrization.hpp | Constant CIR ++ parametrization |
| cirppconstantparametrization.hpp | Constant CIR ++ parametrization |
| cirppimplieddefaulttermstructure.hpp | Default probability structure implied by a CIRPP model |
| cirppparametrization.hpp | CIR ++ parametrisation |
| cmscaphelper.hpp | Cms Option helper class |
| commoditymodel.hpp | Commodity model base class |
| commodityschwartzconstantparametrization.hpp | Schwartz commodity model constant parametrization |
| commodityschwartzmodel.hpp | Schwartz (1997) one-factor model of the commodity price termstructure |
| commodityschwartzparametrization.hpp | Schwartz commodity model parametrization |
| commodityschwartzpiecewiseconstantparametrization.hpp | Schwartz commodity model parametrization |
| cpicapfloorhelper.hpp | CPI Cap Floor calibration helper |
| crcirpp.hpp | CIR++ credit model class |
| crlgm1fparametrization.hpp | Credit Linear Gaussian Markov 1 factor parametrization |
| crossassetanalytics.hpp | Analytics for the cross asset model |
| crossassetanalyticsbase.hpp | Basic functions for analytics in the cross asset model |
| crossassetmodel.hpp | Cross asset model |
| crossassetmodelimpliedeqvoltermstructure.hpp | Dynamic black volatility term structure |
| crossassetmodelimpliedfxvoltermstructure.hpp | Dynamic black volatility term structure |
| crossassetmodelimpliedswaptionvoltermstructure.hpp | Dynamic Swpation volatility term structure |
| crstateparametrization.hpp | Credit state parametrization |
| defaultableequityjumpdiffusionmodel.hpp | |
| dkimpliedyoyinflationtermstructure.hpp | Year on year inflation term structure implied by a Dodgson Kainth (DK) model |
| dkimpliedzeroinflationtermstructure.hpp | Zero inflation term structure implied by a Dodgson Kainth (DK) model |
| eqbsconstantparametrization.hpp | Constant equity model parametrization |
| eqbsparametrization.hpp | EQ Black Scholes parametrization |
| eqbspiecewiseconstantparametrization.hpp | Piecewise constant model parametrization |
| exactbachelierimpliedvolatility.hpp | Implied bachelier volatility based on Jaeckel, Implied Normal Volatility, 2017 |
| futureoptionhelper.hpp | Calibration helper for Black-Scholes options |
| fxbsconstantparametrization.hpp | Constant FX model parametrization |
| fxbsmodel.hpp | Fx black scholes model |
| fxbsparametrization.hpp | FX Black Scholes parametrization |
| fxbspiecewiseconstantparametrization.hpp | Piecewise constant model parametrization |
| fxeqoptionhelper.hpp | Calibration helper for Black-Scholes options |
| fxmodel.hpp | Fx model base class |
| gaussian1dcrossassetadaptor.hpp | Adaptor class that extracts one irlgm1f component |
| hullwhitebucketing.hpp | Probability bucketing as in Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Appdx. B |
| hwconstantparametrization.hpp | Hull White n factor parametrization with constant reversion and vol |
| hwmodel.hpp | Hull white n Factor model class |
| hwparametrization.hpp | Hull White n factor parametrization |
| infdkparametrization.hpp | Inflation Dodgson Kainth parametrization |
| infjyparameterization.hpp | Jarrow Yildrim inflation parameterization |
| irlgm1fconstantparametrization.hpp | Constant model parametrization |
| irlgm1fparametrization.hpp | Interest Rate Linear Gaussian Markov 1 factor parametrization |
| irlgm1fpiecewiseconstanthullwhiteadaptor.hpp | Adaptor to emulate piecewise constant Hull White parameters |
| irlgm1fpiecewiseconstantparametrization.hpp | Piecewise constant model parametrization |
| irlgm1fpiecewiselinearparametrization.hpp | Piecewise linear model parametrization |
| irmodel.hpp | Ir model base class |
| irmodelcalibrationinfo.hpp | Info data on how a lgm or hw model was calibrated |
| jyimpliedyoyinflationtermstructure.hpp | Year on year inflation term structure implied by a Jarrow Yildrim (JY) model |
| jyimpliedzeroinflationtermstructure.hpp | Zero inflation term structure implied by a Jarrow Yildrim (JY) model |
| kienitzlawsonswaynesabrpdedensity.hpp | Adaption of VBA code by Jörg Kienitz, 2017, to create a SABR density with PDE methods |
| lgm.hpp | Lgm model class |
| lgmbackwardsolver.hpp | Interface for LGM1F backward solver |
| lgmconvolutionsolver2.hpp | Numeric convolution solver for the LGM model using RandoMVariable |
| lgmfdsolver.hpp | Numeric fd solver for LGM model |
| lgmimplieddefaulttermstructure.hpp | Default probability structure implied by a LGM model |
| lgmimpliedyieldtermstructure.hpp | Yield term structure implied by a LGM model |
| lgmvectorised.hpp | Vectorised lgm model calculations |
| linearannuitymapping.hpp | Linear annuity mapping function f(S) = a*S+b |
| linkablecalibratedmodel.hpp | Calibrated model class with linkable parameters |
| marketobserver.hpp | Helper class for model builders that observes market ts |
| modelbuilder.hpp | Model builder base class |
| modelimpliedpricetermstructure.hpp | Price term structure implied by a COM model |
| modelimpliedyieldtermstructure.hpp | Yield term structure implied by an IR model |
| normalsabr.hpp | Normal SABR model implied volatility approximation |
| normalsabrinterpolation.hpp | Normal SABR interpolation interpolation between discrete points |
| normalsabrsmilesection.hpp | Normal sabr smile section class |
| parametrization.hpp | Base class for model parametrizations |
| piecewiseconstanthelper.hpp | Helper classes for piecewise constant parametrizations |
| projectedcrossassetmodel.hpp | Cross asset model projection utils |
| pseudoparameter.hpp | Parameter giving access to calibration machinery |
| representativefxoption.hpp | Representative fx option matcher |
| representativeswaption.hpp | Representative swaption matcher |
| transitionmatrix.hpp | Utility functions for transition matrices and generators |
| yoycapfloorhelper.hpp | Year on year inflation cap floor calibration helper |
| yoyinflationmodeltermstructure.hpp | Year-on-year inflation term structure implied by a cross asset model |
| yoyswaphelper.hpp | Year on year inflation swap calibration helper |
| zeroinflationmodeltermstructure.hpp | Zero inflation term structure implied by a cross asset model |
| pricingengines | |
| amccalculator.hpp | Interface for amc calculator |
| analyticbarrierengine.hpp | Analytic barrier option engines |
| analyticcashsettledeuropeanengine.hpp | Pricing engine for cash settled European vanilla options |
| analyticcclgmfxoptionengine.hpp | Analytic cc lgm fx option engine |
| analyticdigitalamericanengine.hpp | Wrapper of QuantLib analytic digital American option engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair |
| analyticdkcpicapfloorengine.hpp | Analytic dk cpi cap floor engine |
| analyticdoublebarrierbinaryengine.hpp | Wrapper of QuantLib analytic double barrier binary engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair |
| analyticdoublebarrierengine.hpp | Analytic barrier option engines |
| analyticeuropeanengine.hpp | Wrapper of QuantLib analytic European engine to allow for flipping back some of the additional results in the case of FX instruments where the trade builder may have inverted the underlying pair |
| analyticeuropeanenginedeltagamma.hpp | Analytic European engine providing sensitivities |
| analyticeuropeanforwardengine.hpp | Analytic European Forward engine |
| analytichwswaptionengine.hpp | Analytic hw swaption engine |
| analyticjycpicapfloorengine.hpp | Analytic Jarrow Yildrim (JY) CPI cap floor engine |
| analyticjyyoycapfloorengine.hpp | Analytic Jarrow Yildrim (JY) year on year cap floor engine |
| analyticlgmcdsoptionengine.hpp | Analytic lgm cds option engine |
| analyticlgmswaptionengine.hpp | Analytic engine for european swaptions in the LGM model |
| analyticoutperformanceoptionengine.hpp | Analytic European engine for outperformance options |
| analyticxassetlgmeqoptionengine.hpp | Analytic cross-asset lgm eq option engine |
| baroneadesiwhaleyengine.hpp | Barone-Adesi and Whaley approximation engine |
| binomialconvertibleengine.hpp | Binomial engine for convertible bonds |
| blackbondoptionengine.hpp | Black bond option engine |
| blackcdsoptionengine.hpp | Black credit default swap option engine |
| blackindexcdsoptionengine.hpp | Black index credit default swap option engine |
| blackmultilegoptionengine.hpp | Simple Black European swaption engine |
| blackswaptionenginedeltagamma.hpp | Swaption engine providing analytical deltas for vanilla swaps |
| cashpositionengine.hpp | Cash position discounting engine |
| cboengine.hpp | Collateralized bond obligation pricing engine |
| cbomcengine.hpp | Monte Carlo pricing engine for the cashflow CDO instrument |
| commodityapoengine.hpp | Commodity average price option engine |
| commodityschwartzfutureoptionengine.hpp | Commodity future options priced in the Schwartz model |
| commodityspreadoptionengine.hpp | Commodity spread option engine |
| commodityswaptionengine.hpp | Commodity swaption engine |
| cpibacheliercapfloorengine.hpp | CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as normal vols |
| cpiblackcapfloorengine.hpp | CPI cap/floor engine using the Black pricing formula and interpreting the volatility data as lognormal vols |
| cpicapfloorengines.hpp | Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing |
| crossccyswapengine.hpp | Cross currency swap engine |
| depositengine.hpp | Deposit engine |
| discountingbondfutureengine.hpp | Engine to value a Bond Future |
| discountingbondtrsengine.hpp | Engine to value a Bond TRS |
| discountingcommodityforwardengine.hpp | Engine to value a commodity forward contract |
| discountingcreditlinkedswapengine.hpp | Credit linked swap pricing engine |
| discountingcurrencyswapengine.hpp | Discounting currency swap engine |
| discountingcurrencyswapenginedeltagamma.hpp | Discounting currency swap engine providing analytical deltas and gammas for vanilla swaps |
| discountingequityforwardengine.hpp | Engine to value an Equity Forward contract |
| discountingforwardbondengine.hpp | Engine to value a Forward Bond contract |
| discountingfxforwardengine.hpp | Engine to value an FX Forward off two yield curves |
| discountingfxforwardenginedeltagamma.hpp | Engine to value an FX Forward off two yield curves |
| discountingriskybondengine.hpp | Risky Bond Engine |
| discountingriskybondenginemultistate.hpp | Risky Bond Engine |
| discountingswapenginedeltagamma.hpp | Swap engine providing analytical deltas and gammas for vanilla swaps |
| discretizedconvertible.hpp | Discretized convertible |
| fdblackscholesvanillaengine.hpp | Wrapper of QuantLib engine to allow cashflow results |
| fdcallablebondevents.hpp | |
| fdconvertiblebondevents.hpp | |
| fddefaultableequityjumpdiffusionconvertiblebondengine.hpp | |
| indexcdsoptionbaseengine.hpp | Base class for index cds option pricing engines |
| indexcdstrancheengine.hpp | Index CDS tranche pricing engine |
| inflationcapfloorengines.hpp | Inflation cap/floor engines from QuantLib, with optional external discount curve |
| intrinsicascotengine.hpp | Intrinsic engine for Ascots |
| lgmconvolutionsolver.hpp | Numeric convolution solver for the LGM model |
| mccamcurrencyswapengine.hpp | MC CAM engine for currency swaps |
| mccamequityforwardengine.hpp | MC CAM engine for Equity forward instrument |
| mccamfxforwardengine.hpp | MC CAM engine for FX Forward instrument |
| mccamfxoptionengine.hpp | MC CAM engine for FX Option instrument |
| mclgmbondengine.hpp | MC LGM bond engines |
| mclgmfwdbondengine.hpp | MC LGM forward bond engines |
| mclgmswapengine.hpp | MC LGM swap engines |
| mclgmswaptionengine.hpp | MC LGM swaption engines |
| mcmultilegbaseengine.hpp | Base MC engine for multileg (option) instruments |
| mcmultilegoptionengine.hpp | MC engine for multi leg option instrument |
| midpointcdsenginemultistate.hpp | Risky Bond Engine |
| midpointindexcdsengine.hpp | Mid-point engine for credit default swaps |
| nullamccalculator.hpp | Amc calculator that returns zero results |
| numericalintegrationindexcdsoptionengine.hpp | Numerical integration index credit default swap option engine |
| numericlgmbgsflexiswapengine.hpp | Numeric engine for balance guaranteed swaps using a flexi swap proxy in the LGM model |
| numericlgmflexiswapengine.hpp | Numeric engine for flexi swaps in the LGM model |
| oiccbasisswapengine.hpp | Cross Currency Overnight Indexed Basis Swap Engine |
| pairwisevarianceswapengine.hpp | Pairwise variance swap engine |
| paymentdiscountingengine.hpp | Single payment discounting engine |
| tflattice.hpp | Binomial Tsiveriotis-Fernandes tree model |
| varianceswapgeneralreplicationengine.hpp | Variance swap engine |
| volatilityfromvarianceswapengine.hpp | Volatility swap engine |
| processes | |
| commodityschwartzstateprocess.hpp | COM state process for the one-factor Schwartz model |
| crcirppstateprocess.hpp | CIR++ model state process |
| crossassetstateprocess.hpp | Crossasset model state process |
| irhwstateprocess.hpp | Ir hw model state process |
| irlgm1fstateprocess.hpp | Ir LGM 1f model state process |
| python_integration | |
| pythonfunctions.hpp | Interface to external python functions |
| quotes | |
| basecorrelationquote.hpp | Wrapper around base correlation term structure for given detachment point |
| compositevectorquote.hpp | Applies a function of a vector of quotes |
| exceptionquote.hpp | Throws exception when called |
| logquote.hpp | Stores log of quote for log-linear interpolation |
| termstructures | |
| credit | |
| basecorrelationstructure.hpp | Abstract base correlation structure and an 2d-interpolated base correlation structure |
| inflation | |
| constantcpivolatility.hpp | Constant CPI Volatility Surface |
| cpivolatilitystructure.hpp | Interpolated correlation term structure |
| adjusteddefaultcurve.hpp | Default curve with SP(t) = exp(-int_0^t m * h(s) ds), with a multiplier m and source curve defining h(s) |
| aposurface.hpp | Average future price option surface derived from future option surface |
| averagefuturepricehelper.hpp | Price helper for average of future settlement prices over a period |
| averageoffpeakpowerhelper.hpp | Price helper for average of off-peak electricity prices over a period |
| averageoisratehelper.hpp | Rate helpers to facilitate usage of AverageOIS in bootstrapping |
| averagespotpricehelper.hpp | Price helper for average of spot price over a period |
| basistwoswaphelper.hpp | Libor basis swap helper as two swaps |
| blackdeltautilities.hpp | Utilities to calculate strikes from deltas and atm strikes on smiles |
| blackinvertedvoltermstructure.hpp | Black volatility surface that inverts an existing surface |
| blackmonotonevarvoltermstructure.hpp | Black volatility surface that monotonises the variance in an existing surface |
| blacktriangulationatmvol.hpp | Black volatility surface that implies an ATM vol based on triangulation |
| blackvariancecurve3.hpp | Black volatility curve modeled as variance curve |
| blackvariancesurfacemoneyness.hpp | Black volatility surface based on forward moneyness |
| blackvariancesurfacesparse.hpp | Black volatility surface modeled as variance surface |
| blackvariancesurfacestddevs.hpp | Black volatility surface modeled as variance surface |
| blackvolconstantspread.hpp | Surface that combines an ATM curve and vol spreads from a surface |
| blackvolsurfaceabsolute.hpp | Black volatility surface based on absolute quotes |
| blackvolsurfacebfrr.hpp | Black volatility surface based on bf/rr quotes |
| blackvolsurfacedelta.hpp | Black volatility surface based on delta |
| blackvolsurfaceproxy.hpp | Wrapper class for a BlackVolTermStructure when using proxy vols |
| blackvolsurfacewithatm.hpp | Wrapper class for a BlackVolTermStructure that easily exposes ATM vols |
| bondyieldshiftedcurvetermstructure.hpp | Term structure provided yield curve shifted by bond spread |
| brlcdiratehelper.hpp | Rate helper based on standard BRL CDI swap |
| capfloorhelper.hpp | Helper for bootstrapping optionlet volatilities from cap floor volatilities |
| capfloortermvolcurve.hpp | Cap floor at-the-money term volatility curve |
| capfloortermvolsurface.hpp | Cap/floor smile volatility surface |
| commodityaveragebasispricecurve.hpp | A commodity price curve created from an averaged base curve and a collection of basis quotes |
| commoditybasispricecurve.hpp | A commodity price curve created from a base price curve and a collection of basis quotes |
| commoditybasispricecurvewrapper.hpp | A commodity price curve created from a generic price curve and a basis curve |
| commoditybasispricetermstructure.hpp | An interface for a commodity price curve created from a base price curve and a collection of basis quotes |
| correlationtermstructure.hpp | Term structure of correlations |
| creditcurve.hpp | Wrapper for default curves, adding (index) reference data |
| creditvolcurve.hpp | Credit vol curve |
| crossccybasismtmresetswaphelper.hpp | Cross currency basis swap helper with MTM reset |
| crossccybasisswaphelper.hpp | Cross currency basis swap helper |
| crossccyfixfloatswaphelper.hpp | Cross currency fixed vs. float swap helper |
| crosscurrencypricetermstructure.hpp | Price term structure in a given currency derived from a price term structure in another currency |
| datedstrippedoptionlet.hpp | Stripped optionlet surface with fixed reference date |
| datedstrippedoptionletadapter.hpp | StrippedOptionlet Adapter |
| datedstrippedoptionletbase.hpp | Abstract class for optionlet surface with fixed reference date |
| discountratiomodifiedcurve.hpp | Discount curve modified by the ratio of two other discount curves |
| dynamicblackvoltermstructure.hpp | Dynamic black volatility term structure |
| dynamiccpivolatilitystructure.hpp | Dynamic zero inflation volatility structure |
| dynamicoptionletvolatilitystructure.hpp | Dynamic optionlet volatility structure |
| dynamicstype.hpp | Dynamics type definitions |
| dynamicswaptionvolmatrix.hpp | Dynamic swaption volatility matrix |
| dynamicyoyoptionletvolatilitystructure.hpp | Dynamic yoy inflation optionlet volatility structure |
| effectivebonddiscountcurve.hpp | |
| eqcommoptionsurfacestripper.hpp | Imply equity or commodity volatility surface from put/call price surfaces |
| equityannounceddividendcurve.hpp | Holds future announced dividends |
| equityforwardcurvestripper.hpp | Imply equity forwards from option put/call parity |
| flatcorrelation.hpp | Term structure of flat correlations |
| flatforwarddividendcurve.hpp | Term structure for a forward dividend curve. If extrapolation is set we extrapolate with the forecast curve |
| futurepricehelper.hpp | Future price helper |
| fxblackvolsurface.hpp | FX Black volatility surface that incorporates an FxSmile |
| fxsmilesection.hpp | FX smile section assuming a strike/volatility space |
| fxvannavolgasmilesection.hpp | FX smile section assuming a strike/volatility space using vanna volga method |
| fxvoltimeweighting.hpp | Helper class to compute weights for fx vol time interpolation |
| generatordefaulttermstructure.hpp | Default curve implied from a single generator matrix |
| hazardspreadeddefaulttermstructure.hpp | Adds a constant hazard rate spread to a default term structure |
| iborfallbackcurve.hpp | Projection curve for ibor fallback indices |
| immfraratehelper.hpp | IMM FRA rate helper |
| implieddefaulttermstructure.hpp | Implied default term structure |
| interpolatedcorrelationcurve.hpp | Interpolated correlation term structure |
| interpolatedcpivolatilitysurface.hpp | Zero inflation volatility structure interpolated on a expiry/strike matrix of quotes |
| interpolateddiscountcurve.hpp | Interpolated discount term structure |
| interpolateddiscountcurve2.hpp | Interpolated discount term structure |
| interpolatedhazardratecurve.hpp | Interpolated hazard-rate term structure (with the option to disable the negative rates check) |
| interpolatedsurvivalprobabilitycurve.hpp | Interpolated survival-probability term structure (with the option to disable the check for negative hazard rates) |
| 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 |
| iterativebootstrap.hpp | Straight copy of ql/termstructures/iterativebootstrap.hpp with minor changes |
| kinterpolatedyoyoptionletvolatilitysurface.hpp | Fixed version of ql class (see patch 1,2,3 in the comments below) |
| multisectiondefaultcurve.hpp | Default curve with an instantaneous hazard rate given by a vector of underlying curves in specific date ranges |
| oiccbasisswaphelper.hpp | Overnight Indexed Cross Currency Basis Swap helpers |
| oiscapfloorhelper.hpp | Helper for bootstrapping optionlet volatilties from ois cap floor volatilities |
| oisratehelper.hpp | Overnight Indexed Swap (aka OIS) rate helpers |
| optionletcurve.hpp | Interpolated one-dimensional curve of optionlet volatilities |
| optionletstripper.hpp | Optionlet (caplet/floorlet) volatility stripper |
| optionletstripper1.hpp | Optionlet (caplet/floorlet) volatility strippers |
| optionletstripper2.hpp | ATM optionlet (caplet/floorlet) volatility stripper |
| optionletstripperwithatm.hpp | Optionlet stripper that amends existing stripped optionlets to incorporate ATM cap floor volatilities |
| optionpricesurface.hpp | Surface to store option prices |
| parametricvolatility.hpp | Cross-asset, generic volatility structure |
| piecewiseatmoptionletcurve.hpp | Create optionlet volatility structure from at-the-money cap floor term volatility curve |
| piecewiseoptionletcurve.hpp | One-dimensional curve of bootstrapped optionlet volatilities |
| piecewiseoptionletstripper.hpp | Strip optionlet volatility surface from cap floor volatility term surface |
| piecewisepricecurve.hpp | Piecewise interpolated price term structure |
| pillaronlyyieldcurve.hpp | Yield curves that interpolate only on actual pillar dates, excluding synthetic t=0 |
| pricecurve.hpp | Interpolated price curve |
| pricetermstructure.hpp | Term structure of prices |
| pricetermstructureadapter.hpp | PriceTermStructure adapter |
| probabilitytraits.hpp | Default probability bootstrap traits for QuantExt |
| proxyoptionletvolatility.hpp | Moneyness-adjusted optionlet vol for normal vols |
| proxyswaptionvolatility.hpp | Moneyness-adjusted swaption vol for normal vols |
| sabrparametricvolatility.hpp | Sabr volatility structure |
| sabrstrippedoptionletadapter.hpp | Convert a StrippedOptionletBase in to an OptionletVolatilityStructure using a SABR model |
| spreadedblackvolatilitycurve.hpp | Spreaded Black volatility curve |
| spreadedblackvolatilitysurfacemoneyness.hpp | Spreaded Black volatility surface based on moneyness |
| spreadedcorrelationcurve.hpp | Spreaded correlation curve |
| spreadeddiscountcurve.hpp | Spreaded discount term structure |
| spreadedinflationcurve.hpp | Spreaded inflation term structure |
| spreadedoptionletvolatility.hpp | Adds floor to QuantLib::SpreadedOptionletVolatility |
| spreadedoptionletvolatility2.hpp | Optionlet volatility with overlayed bilinearly interpolated spread surface |
| spreadedpricetermstructure.hpp | Spreaded Term structure of prices |
| spreadedsmilesection.hpp | Adds floor to QuantLib::SmileSection |
| spreadedsmilesection2.hpp | Smile section with linear interpolated vol spreads |
| spreadedsurvivalprobabilitytermstructure.hpp | Spreaded default term structure |
| spreadedswaptionvolatility.hpp | Swaption cube defined via atm vol spreads over another cube |
| staticallycorrectedyieldtermstructure.hpp | Statically corrected yield term structure |
| strippedcpivolatilitystructure.hpp | Zero inflation volatility structure implied from a cpi cap/floor price surface |
| strippedoptionletadapter.hpp | Convert a StrippedOptionletBase in to an OptionletVolatilityStructure |
| strippedoptionletadapter2.hpp | StrippedOptionlet Adapter (with a deeper update method, linear interpolation and optional flat extrapolation) |
| strippedyoyinflationoptionletvol.hpp | Stripped YoYInfaltion Optionlet Vol Adapter (with a deeper update method, linear interpolation and optional flat extrapolation) |
| subperiodsswaphelper.hpp | Single currency sub periods swap helper |
| survivalprobabilitycurve.hpp | Interpolated survival probability term structure |
| swaptionsabrcube.hpp | SABR Swaption volatility cube |
| swaptionvolatilityconverter.hpp | Convert swaption volatilities from one type to another |
| swaptionvolconstantspread.hpp | Swaption cube that combines an ATM matrix and vol spreads from a cube |
| swaptionvolcube2.hpp | Swaption volatility cube, fit-later-interpolate-early approach |
| swaptionvolcubewithatm.hpp | Wrapper class for a SwaptionVolatilityCube that easily and efficiently exposes ATM vols |
| tenorbasisswaphelper.hpp | Single currency tenor basis swap helper |
| terminterpolateddefaultcurve.hpp | Default curve interpolating between two term curves |
| weightedyieldtermstructure.hpp | Yield term structure given as a weighted average of yield term structures |
| yieldplusdefaultyieldtermstructure.hpp | Yield term structure given as a yield ts plus weighted sum of default term structures |
| yoyinflationcurveobservermoving.hpp | Observable inflation term structure with floating reference date based on the interpolation of zero rate quotes |
| yoyinflationcurveobserverstatic.hpp | Observable inflation term structure with fixed reference date based on the interpolation of yoy rate quotes |
| zeroinflationcurveobservermoving.hpp | Observable inflation term structure based on the interpolation of zero rate quotes, but with floating reference date |
| zeroinflationcurveobserverstatic.hpp | Observable inflation term structure based on the interpolation of zero rate quotes |
| time | |
| dateutilities.hpp | Helper functions for date operations |
| futureexpirycalculator.hpp | Base class for classes that perform date calculations for future contracts |
| yearcounter.hpp | Day counter that returns the nearest integer yearfraction |
| utilities | |
| barrier.hpp | Barrier related utilities |
| cashflows.hpp | Some cashflow related utilities |
| commodity.hpp | Some commodity related utilities |
| inflation.hpp | Some inflation related utilities |
| ratehelpers.hpp | Rate helper related utilities |
| scenarioinformation.hpp | Global repository for scenario information |
| time.hpp | Time related utilities |
| version.hpp | Version |
| test | |
| capfloormarketdata.hpp | Structs containing capfloor market data that can be used in tests |
| swaptionmarketdata.hpp | Structs containing swaption market data that can be used in tests |
| toplevelfixture.hpp | Fixture that can be used at top level |
| utilities.hpp | Helper macros and methods for tests |
| yieldcurvemarketdata.hpp | Structs containing yield curve market data that can be used in tests |