QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

QuantLib Class List Here are the classes, structs, unions and interfaces with brief descriptions: Actual360 Actual/360 day count convention Actual365 Actual/365 day count convention ActualActual Actual/Actual day count AcyclicVisitor Degenerate base class for the Acyclic Visitor pattern AdditiveEQPBinomialTree Additive equal probabilities binomial tree AffineModel Affine model class AffineTermStructure Term-structure implied by an affine model AmericanCondition American exercise condition AmericanExercise American exercise AmericanPayoffAtExpiry AmericanPayoffAtHit AnalyticalCapFloor Analytical pricer for cap/floor AnalyticBarrierEngine Pricing engine for barrier options using analytical formulae AnalyticDigitalAmericanEngine AnalyticDiscreteAveragingAsianEngine Pricing engine for European discrete geometric average Asian option AnalyticEuropeanEngine Pricing engine for European vanilla options using analytical formulae Arguments Base class for generic argument groups ArmijoLineSearch Armijo line search Array 1-D array used in linear algebra ArrayFormatter Formats arrays for output AssertionFailedError Specialized error AssetOrNothingPayoff Binary asset-or-nothing payoff AUDLibor AUD Libor index, also known as SIBOR Average Placeholder for enumerated averaging types BaroneAdesiWhaleyApproximationEngine Barrier Placeholder for enumerated barrier types BarrierEngine Barrier engine base class BarrierOption Barrier option on a single asset BarrierOption::arguments Arguments for barrier option calculation BasketEngine Basket option engine base class BasketOption Basket option on a number of assets BasketOption::arguments Arguments for basket option calculation BermudanExercise Bermudan exercise BicubicSpline BicubicSpline::Impl Bicubic spline implementation BilinearInterpolation Bilinear interpolation between discrete points BilinearInterpolation::Impl Bilinear interpolation implementation BinomialDistribution Binomial probability distribution function BinomialTree Binomial tree base class BinomialVanillaEngine Pricing engine for vanilla options using binomial trees Bisection Bisection 1-D solver BivariateCumulativeNormalDistribution Cumulative bivariate normal distribution function BjerksundStenslandApproximationEngine BlackCapFloor Cap/floor priced by means of the Black formula BlackConstantVol Constant Black volatility, no time-strike dependence BlackKarasinski Standard Black-Karasinski model class BlackKarasinski::Dynamics Short-rate dynamics in the Black-Karasinski model BlackModel Black-model for vanilla interest-rate derivatives BlackScholesLattice Simple binomial lattice approximating the Black-Scholes model BlackScholesProcess Black-Scholes diffusion process class BlackSwaption Swaption priced by means of the Black formula BlackVarianceCurve Black volatility curve modelled as variance curve BlackVarianceSurface Black volatility surface modelled as variance surface BlackVarianceTermStructure Black variance term structure BlackVolatilityTermStructure Black-volatility term structure BlackVolTermStructure Black-volatility term structure BoundaryCondition Abstract boundary condition class for finite difference problems BoundaryConstraint Constraint imposing all arguments to be in [low,high] BoxMullerGaussianRng Gaussian random number generator BPSBasketCalculator BPSCalculator Basis point sensitivity (BPS) calculator Brent Brent 1-D solver Bridge The Bridge pattern made explicit BrownianBridge Builds Wiener process paths using Gaussian variates BSMOperator Black-Scholes-Merton differential operator Budapest Budapest calendar CADLibor CAD Libor index, also known as CDOR Calendar calendar class Calendar::WesternImpl Partial calendar implementation CalendarImpl Abstract base class for calendar implementations CalibrationHelper Liquid market instrument used during calibration CalibrationSet Set of calibration instruments Cap Concrete cap class CapFlatVolatilityStructure Cap/floor flat volatility structure CapFlatVolatilityVector Cap/floor at-the-money flat volatility vector CapFloor Base class for cap-like instruments CapFloor::arguments Arguments for cap/floor calculation CapFloor::results Results from cap/floor calculation CapletForwardVolatilityStructure Caplet/floorlet forward volatility structure CashFlow Base class for cash flows CashOrNothingPayoff Binary cash-or-nothing payoff CHFLibor CHF Libor index, also known as ZIBOR CLGaussianRng Gaussian random number generator CliquetEngine Cliquet engine base class CliquetOption::arguments Arguments for cliquet option calculation CliquetOptionPricer Cliquet (Ratchet) option Collar Concrete collar class combining_iterator Iterator mapping a function to a set of underlying sequences Composite Composite pattern CompositeConstraint Constraint enforcing both given sub-constraints CompositeQuote Market element whose value depends on two other market element ConjugateGradient Multi-dimensional Conjugate Gradient class ConstantParameter Standard constant parameter Constraint Base constraint class ConstraintImpl Base class for constraint implementations ContinuousGeometricAPO Continuous geometric average-price option (European exercise) Copenhagen Copenhagen calendar CostFunction Cost function abstract class for optimization problem coupling_iterator Iterator mapping a function to a pair of underlying sequences Coupon coupon accruing over a fixed period CoxIngersollRoss Cox-Ingersoll-Ross model class CoxIngersollRoss::Dynamics Dynamics of the short-rate under the Cox-Ingersoll-Ross model CoxRossRubinstein Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree CrankNicolson Crank-Nicolson scheme for finite difference methods Cubic Cubic-spline interpolation traits CubicSpline Cubic spline interpolation between discrete points CumulativeBinomialDistribution Cumulative binomial distribution function CumulativeNormalDistribution Cumulative normal distribution function CumulativePoissonDistribution Cumulative Poisson distribution function CuriouslyRecurringTemplate Support for the curiously recurring template pattern CurrencyFormatter Formats currencies for output Date Concrete date class DateFormatter Formats dates for output DayCounter Day counter class DayCounterImpl Abstract base class for day counter implementations DepositRateHelper Deposit rate DerivedQuote Market element whose value depends on another market element DiffusionProcess Diffusion process class DirichletBC Neumann boundary condition (i.e., constant value) DiscountCurve Term structure based on loglinear interpolation of discount factors DiscountStructure Discount factor term structure DiscrepancyStatistics Statistic tool for sequences with discrepancy calculation DiscreteAveragingAsianEngine Discrete averaging asian engine base class DiscreteAveragingAsianOption Asian option DiscreteAveragingAsianOption::arguments Extra arguments for single asset asian option calculation DiscreteGeometricAPO Discrete geometric average-price Asian option (European style) DiscreteGeometricASO Discrete geometric average-strike Asian option (European style) DiscretizedAsset Discretized asset class used by numerical methods DiscretizedDiscountBond Useful discretized discount bond asset DiscretizedOption Discretized option on another asset Disposable Generic disposable object with move semantics DMinus matricial representation DoubleFormatter Formats doubles for output DPlus matricial representation DPlusDMinus matricial representation DriftTermStructure Drift term structure DZero matricial representation EarlyExercise Early-exercise base class EndCriteria Criteria to end optimization process EqualJumpsBinomialTree Base class for equal jumps binomial tree EqualProbabilitiesBinomialTree Base class for equal probabilities binomial tree Error Base error class ErrorFunction Error function Euribor Euribor index EuroFormatter Formats amounts in Euro for output EuropeanExercise European exercise EuropeanOption Black-Scholes-Merton European option Exercise Base exercise class ExplicitEuler Forward Euler scheme for finite difference methods ExtendedCoxIngersollRoss Extended Cox-Ingersoll-Ross model class ExtendedCoxIngersollRoss::Dynamics Short-rate dynamics in the extended Cox-Ingersoll-Ross model ExtendedCoxIngersollRoss::FittingParameter Analytical term-structure fitting parameter ExtendedDiscountCurve Term structure based on loglinear interpolation of discount factors Factorial Factorial numbers calculator FalsePosition False position 1-D solver FdAmericanOption American option FdBermudanOption Bermudan option FdBsmOption Black-Scholes-Merton option priced numerically FdDividendAmericanOption American option with discrete dividends FdDividendEuropeanOption European option with dividends FdDividendShoutOption Shout option with dividends FdEuropean Example of European option calculated using finite differences FdStepConditionOption option executing additional code at each time step filtering_iterator Iterator filtering undesired data FiniteDifferenceModel Generic finite difference model FixedRateCoupon Coupon paying a fixed interest rate FloatingRateCoupon Coupon at par on a term structure Floor Concrete floor class ForwardEngine Forward engine base class ForwardOptionArguments Arguments for forward (strike-resetting) option calculation ForwardPerformanceEngine Forward performance engine ForwardRateStructure Forward rate term structure ForwardSpreadedTermStructure Term structure with added spread on the instantaneous forward rate ForwardVanillaOption Forward version of a vanilla option Frankfurt Frankfurt calendar FraRateHelper Forward rate agreement FuturesRateHelper Interest-rate futures G2 Two-additive-factor gaussian model class G2::FittingParameter Analytical term-structure fitting parameter GammaFunction Gamma function class GapPayoff Binary gap payoff GaussianStatistics Statistics tool for gaussian-assumption risk measures GBPLibor GBP Libor index GeneralStatistics Statistics tool GenericEngine Template base class for option pricing engines GenericModelEngine Base class for some pricing engine on a particular model GenericRiskStatistics Empirical-distribution risk measures Greeks Additional option results HaltonRsg Halton low-discrepancy sequence generator Handle Reference-counted pointer Helsinki Helsinki calendar History Container for historical data History::const_iterator Random access iterator on history entries History::Entry Single datum in history HullWhite Single-factor Hull-White (extended Vasicek) model class HullWhite::Dynamics Short-rate dynamics in the Hull-White model HullWhite::FittingParameter Analytical term-structure fitting parameter ICGaussianRng Inverse cumulative Gaussian random number generator ICGaussianRsg Inverse cumulative Gaussian random sequence generator IllegalArgumentError Specialized error IllegalResultError Specialized error ImplicitEuler Backward Euler scheme for finite difference methods ImpliedTermStructure Implied term structure at a given date in the future ImpliedVolTermStructure Implied vol term structure at a given date in the future InArrearIndexedCoupon In-arrear indexed coupon class IncrementalStatistics Statistics tool based on incremental accumulation Index Purely virtual base class for indexes IndexedCoupon Base indexed coupon class IndexError Specialized error Instrument Abstract instrument class IntegerFormatter Formats integers for output IntegralEngine Interpolation Base class for 1-D interpolations Interpolation2D Base class for 2-D interpolations Interpolation2D::templateImpl Basic template implementation Interpolation2DImpl Abstract base class for 2-D interpolation implementations Interpolation::templateImpl Basic template implementation InterpolationImpl Abstract base class for interpolation implementations InverseCumulativeNormal Inverse cumulative normal distribution function JamshidianSwaption Jamshidian swaption pricer JarrowRudd Jarrow-Rudd (multiplicative) equal probabilities binomial tree Johannesburg Johannesburg calendar JointCalendar Joint calendar JPYLibor JPY Libor index, also known as TIBOR KnuthUniformRng Uniform random number generator KronrodIntegral Integral of a 1-dimensional function using the Gauss-Kronrod method Lattice Lattice-method base class Lattice2D Two-dimensional lattice LatticeShortRateModelEngine Engine for a short-rate model specialized on a lattice LazyObject Framework for calculation on demand and result caching LeastSquareFunction Cost function for least-square problems LeastSquareProblem Base class for least square problem LecuyerUniformRng Uniform random number generator LeisenReimer Leisen & Reimer tree: multiplicative approach LexicographicalView Lexicographical 2-D view of a contiguous set of data Linear Linear interpolation traits LinearInterpolation Linear interpolation between discrete points LineSearch Base class for line search Link Relinkable access to a Handle LocalConstantVol Constant local volatility, no time-strike dependence LocalVolCurve Local volatility curve derived from a Black curve LocalVolSurface Local volatility surface derived from a Black vol surface LocalVolTermStructure Local-volatility term structure LogLinear Log-linear interpolation traits LogLinearInterpolation London London calendar lowest_category_iterator Most generic of two given iterator categories MakeSchedule Helper class Matrix Matrix used in linear algebra MCAmericanBasketEngine Least-square Monte Carlo engine MCBarrierEngine Pricing engine for barrier options using Monte Carlo McBasket Simple example of multi-factor Monte Carlo pricer MCBasketEngine MC Pricing engine for European Baskets McCliquetOption Simple example of Monte Carlo pricer MCDigitalEngine Pricing engine for digital options using Monte Carlo simulation McDiscreteArithmeticAPO Example of Monte Carlo pricer using a control variate McDiscreteArithmeticASO Example of Monte Carlo pricer using a control variate MCEuropeanEngine European option pricing engine using Monte Carlo simulation McEverest Everest-type option pricer McHimalaya Himalayan-type option pricer McMaxBasket Simple example of multi-factor Monte Carlo pricer McPagoda Roofed Asian option McPerformanceOption Performance option computed using Monte Carlo simulation McPricer Base class for Monte Carlo pricers McSimulation Base class for Monte Carlo engines MCVanillaEngine Pricing engine for vanilla option using Monte Carlo simulation MersenneTwisterUniformRng Uniform random number generator Milan Milan calendar MixedScheme Mixed (explicit/implicit) scheme for finite difference methods MonotonicCubicSpline Cubic spline with monotonicity constraint MonteCarloModel General purpose Monte Carlo model for path samples MoreGreeks More additional option results MoroInverseCumulativeNormal Moro Inverse cumulative normal distribution class MultiAssetOption Base class for options on multiple assets MultiAssetOption::arguments Arguments for multi-asset option calculation MultiAssetOption::results Results from multi-asset option calculation MultiPath Multiple random walk MultiPathGenerator Generates a multipath from a random number generator MultiPathGenerator_old Generates a multipath from a random number generator NaturalCubicSpline Cubic spline with null second derivative at end points NaturalMonotonicCubicSpline Natural cubic spline with monotonicity constraint NeumannBC Neumann boundary condition (i.e., constant derivative) Newton Newton 1-D solver NewtonSafe Safe Newton 1-D solver NewYork New York calendar NoConstraint No constraint NonLinearLeastSquare Non-linear least-square method NormalDistribution Normal distribution function Null Template class providing a null value for a given type NullCalendar Calendar for reproducing theoretical calculations NullParameter Parameter which is always zero NumericalMethod Numerical method (tree, finite-differences) base class Observable Object that notifies its changes to a set of observables Observer Object that gets notified when a given observable changes OneAssetOption Base class for options on a single asset OneAssetOption::arguments Arguments for single-asset option calculation OneAssetOption::results Results from single-asset option calculation OneAssetStrikedOption Base class for options on a single asset with striked payoff OneFactorAffineModel Single-factor affine base class OneFactorModel Single-factor short-rate model abstract class OneFactorModel::ShortRateDynamics Base class describing the short-rate dynamics OneFactorModel::ShortRateTree Recombining trinomial tree discretizing the state variable OneFactorOperator Interest-rate single factor model differential operator OptimizationMethod Abstract class for constrained optimization method Option Base option class Option::arguments OptionTypeFormatter Formats option type for output OrnsteinUhlenbeckProcess Ornstein-Uhlenbeck process class Oslo Oslo calendar OutOfMemoryError Specialized error Parameter Base class for model arguments ParameterImpl Base class for model parameter implementation ParCoupon coupon at par on a term structure Path PathGenerator Generates random paths using a sequence generator PathGenerator_old Generates random paths from a random number generator PathPricer Base class for path pricers PathPricer_old Base class for path pricers Payoff Base class for option payoffs PercentageStrikePayoff Payoff with strike expressed as percentage PerformanceOption Performance option Period Time period described by a number of a given time unit PiecewiseConstantParameter Piecewise-constant parameter PiecewiseFlatForward Piecewise flat forward term structure PlainVanillaPayoff Plain-vanilla payoff PoissonDistribution Normal distribution function PositiveConstraint Constraint imposing positivity to all arguments PostconditionNotSatisfiedError Specialized error PreconditionNotSatisfiedError Specialized error PricingEngine Interface for pricing engines PrimeNumbers Prime numbers calculator Problem Constrained optimization problem processing_iterator Iterator mapping a unary function to an underlying sequence QuantoEngine Quanto engine base class QuantoForwardVanillaOption Quanto version of a forward vanilla option QuantoOptionArguments Arguments for quanto option calculation QuantoOptionResults Results from quanto option calculation QuantoTermStructure Quanto term structure QuantoVanillaOption Quanto version of a vanilla option Quote Purely virtual base class for market observables RandomArrayGenerator Generates random arrays using a random number generator RandomSequenceGenerator Random sequence generator based on a pseudo-random number generator RateFormatter Formats rates for output RateHelper Base class for rate helpers RelinkableHandle Globally accessible relinkable pointer Results Base class for generic result groups Ridder Ridder 1-D solver SalvagingAlgorithm Algorithm used for matricial pseudo square root Sample Weighted sample Schedule Payment schedule Secant Secant 1-D solver SegmentIntegral Integral of a one-dimensional function SequenceStatistics Statistics analysis of N-dimensional (sequence) data Short Short indexed coupon ShortFloatingRateCoupon Short coupon at par on a term structure ShortRateModel Abstract short-rate model class ShoutCondition Shout option condition SimpleCashFlow Predetermined cash flow SimpleDayCounter Simple day counter for reproducing theoretical calculations SimpleQuote Market element returning a stored value SimpleSwap Simple fixed-rate vs Libor swap SimpleSwap::arguments Arguments for simple swap calculation SimpleSwap::results Results from simple swap calculation Simplex Multi-dimensional simplex class SimpsonIntegral Integral of a one-dimensional function SingleAssetOption Black-Scholes-Merton option SobolRsg Sobol low-discrepancy sequence generator Solver1D Base class for 1-D solvers SquareRootProcess Square-root process class StatsHolder Helper class for precomputed distributions SteepestDescent Multi-dimensional steepest-descent class StepCondition Condition to be applied at every time step stepping_iterator Iterator advancing in constant steps StochasticProcess Base stochastic process class Stock Simple stock class Stockholm Stockholm calendar StrikedTypePayoff Intermediate class for payoffs based on a fixed strike StringFormatter Formats strings as lower- or uppercase StulzEngine Pricing engine for 2D European Baskets SuperSharePayoff Binary supershare payoff SVD Singular value decomposition Swap Interest rate swap SwapRateHelper Swap rate Swaption Swaption class Swaption::arguments Arguments for swaption calculation Swaption::results Results from swaption calculation SwaptionVolatilityMatrix At-the-money swaption-volatility matrix SwaptionVolatilityStructure Swaption-volatility structure Sydney Sydney calendar (New South Wales, Australia) SymmetricSchurDecomposition Symmetric threshold Jacobi algorithm TARGET TARGET calendar TermStructure Interest-rate term structure TermStructureConsistentModel Term-structure consistent model class TermStructureFittingParameter Deterministic time-dependent parameter used for yield-curve fitting Thirty360 30/360 day count convention Tian Tian tree: third moment matching, multiplicative approach TimeBasket Distribution over a number of dates TimeGrid Time grid class Tokyo Tokyo calendar Toronto Toronto calendar TrapezoidIntegral Integral of a one-dimensional function Tree Tree approximating a single-factor diffusion TreeCapFloor Cap/floor priced on a lattice TreeSwaption Swaption priced on a lattice TridiagonalOperator Base implementation for tridiagonal operator TridiagonalOperator::TimeSetter Encapsulation of time-setting logic Trigeorgis Trigeorgis (additive equal jumps) binomial tree TrinomialBranching Branching scheme for a trinomial node TrinomialTree Recombining trinomial tree class TwoFactorModel Abstract base-class for two-factor models TwoFactorModel::ShortRateDynamics Class describing the dynamics of the two state variables TwoFactorModel::ShortRateTree Recombining two-dimensional tree discretizing the state variable TypePayoff Intermediate class for call/put/straddle payoffs UpFrontIndexedCoupon up front indexed coupon class USDLibor USD Libor index Value Pricing results VanillaEngine Vanilla option engine base class VanillaOption Vanilla option (no discrete dividends, no barriers) on a single asset Vasicek Vasicek model class Vasicek::Dynamics Short-rate dynamics in the Vasicek model Visitor Visitor for a specific class Warsaw Warsaw calendar Wellington Wellington calendar Xibor Base class for libor indexes XiborManager Global repository for libor histories ZARLibor ZAR Libor index, also known as JIBAR ZeroCurve Term structure based on linear interpolation of zero yields ZeroSpreadedTermStructure Term structure with an added spread on the zero yield rate ZeroYieldStructure Zero yield term structure Zurich Zurich calendar

---

QuantLib.org

Hosted by

Documentation generated by