QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
instruments Directory Reference

Directories

directory  bonds
 

Files

file  asianoption.hpp
 Asian option on a single asset.
 
file  assetswap.hpp
 Bullet bond vs Libor swap.
 
file  averagetype.hpp
 Averaging algorithm enumeration.
 
file  barrieroption.hpp
 Barrier option on a single asset.
 
file  barriertype.hpp
 Barrier type.
 
file  basketoption.hpp
 Basket option on a number of assets.
 
file  bmaswap.hpp
 swap paying Libor against BMA coupons
 
file  bond.hpp
 concrete bond class
 
file  callabilityschedule.hpp
 Schedule of put/call dates.
 
file  capfloor.hpp
 cap and floor class
 
file  claim.hpp
 Classes for default-event claims.
 
file  cliquetoption.hpp
 Cliquet option.
 
file  compositeinstrument.hpp
 Composite instrument class.
 
file  cpicapfloor.hpp
 zero-inflation-indexed-ratio-with-base option
 
file  cpiswap.hpp
 zero-inflation-indexed-ratio-with-base swap
 
file  creditdefaultswap.hpp
 Credit default swap.
 
file  dividendbarrieroption.hpp
 Barrier option on a single asset with discrete dividends.
 
file  dividendschedule.hpp
 Schedule of dividend dates.
 
file  dividendvanillaoption.hpp
 Vanilla option on a single asset with discrete dividends.
 
file  europeanoption.hpp
 European option on a single asset.
 
file  fixedratebondforward.hpp
 forward contract on a fixed-rate bond
 
file  floatfloatswap.hpp
 swap exchanging capped floored Libor or CMS coupons with quite general specification. If no payment convention is given, the respective leg schedule convention is used. The interest rate indices should be linked to valid forwarding and in case of swap indices discounting curves
 
file  floatfloatswaption.hpp
 floatfloatswaption class
 
file  forward.hpp
 Base forward class.
 
file  forwardrateagreement.hpp
 forward rate agreement
 
file  forwardvanillaoption.hpp
 Forward version of a vanilla option.
 
file  futures.hpp
 Futures.
 
file  impliedvolatility.hpp
 Utilities for implied-volatility calculation.
 
file  inflationcapfloor.hpp
 
file  lookbackoption.hpp
 Lookback option on a single asset.
 
file  makecapfloor.hpp
 Helper class to instantiate standard market cap/floor.
 
file  makecms.hpp
 Helper class to instantiate standard market CMS.
 
file  makeois.hpp
 Helper class to instantiate overnight indexed swaps.
 
file  makeswaption.hpp
 Helper class to instantiate standard market swaption.
 
file  makevanillaswap.hpp
 Helper class to instantiate standard market swaps.
 
file  makeyoyinflationcapfloor.hpp
 
file  multiassetoption.hpp
 Option on multiple assets.
 
file  nonstandardswap.hpp
 vanilla swap but possibly with period dependent nominal and strike
 
file  nonstandardswaption.hpp
 nonstandard swap option class
 
file  oneassetoption.hpp
 Option on a single asset.
 
file  overnightindexedswap.hpp
 Overnight index swap paying compounded overnight vs. fixed.
 
file  payoffs.hpp
 Payoffs for various options.
 
file  quantobarrieroption.hpp
 Quanto version of a barrier option.
 
file  quantoforwardvanillaoption.hpp
 Quanto version of a forward vanilla option.
 
file  quantovanillaoption.hpp
 Quanto version of a vanilla option.
 
file  stickyratchet.hpp
 Payoffs for double nested options of sticky or ratchet type.
 
file  stock.hpp
 concrete stock class
 
file  swap.hpp
 Interest rate swap.
 
file  swaption.hpp
 Swaption class.
 
file  vanillaoption.hpp
 Vanilla option on a single asset.
 
file  vanillastorageoption.hpp
 vanilla storage option class
 
file  vanillaswap.hpp
 Simple fixed-rate vs Libor swap.
 
file  vanillaswingoption.hpp
 vanilla swing option class
 
file  varianceswap.hpp
 Variance swap.
 
file  yearonyearinflationswap.hpp
 Year-on-year inflation-indexed swap.
 
file  zerocouponinflationswap.hpp
 Zero-coupon inflation-indexed swap.