| CBoundaryCondition< FdmLinearOp > | |
| ▶CBoundaryCondition< TridiagonalOperator > | |
| CDirichletBC | Neumann boundary condition (i.e., constant value) |
| CNeumannBC | Neumann boundary condition (i.e., constant derivative) |
| CClone< ExerciseStrategy< QuantLib::CurveState > > | |
| CClone< MarketModelBasisSystem > | |
| CClone< MarketModelExerciseValue > | |
| CClone< MarketModelParametricExercise > | |
| CClone< QuantLib::FittedBondDiscountCurve::FittingMethod > | |
| CClone< QuantLib::MarketModelMultiProduct > | |
| CClone< QuantLib::MarketModelPathwiseMultiProduct > | |
| ▶CCuriouslyRecurringTemplate< AdditiveEQPBinomialTree > | |
| ▶CTree< AdditiveEQPBinomialTree > | |
| ▶CBinomialTree< AdditiveEQPBinomialTree > | |
| ▶CEqualProbabilitiesBinomialTree< AdditiveEQPBinomialTree > | |
| CAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
| ▶CCuriouslyRecurringTemplate< Bisection > | |
| ▶CSolver1D< Bisection > | |
| CBisection | Bisection 1-D solver |
| ▶CCuriouslyRecurringTemplate< BlackScholesLattice< T > > | |
| ▶CTreeLattice< BlackScholesLattice< T > > | |
| ▶CTreeLattice1D< BlackScholesLattice< T > > | |
| ▶CBlackScholesLattice< T > | Simple binomial lattice approximating the Black-Scholes model |
| CTsiveriotisFernandesLattice< T > | Binomial lattice approximating the Tsiveriotis-Fernandes model |
| ▶CCuriouslyRecurringTemplate< Brent > | |
| ▶CSolver1D< Brent > | |
| CBrent | Brent 1-D solver |
| ▶CCuriouslyRecurringTemplate< CoxRossRubinstein > | |
| ▶CTree< CoxRossRubinstein > | |
| ▶CBinomialTree< CoxRossRubinstein > | |
| ▶CEqualJumpsBinomialTree< CoxRossRubinstein > | |
| CCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
| ▶CCuriouslyRecurringTemplate< ExtendedAdditiveEQPBinomialTree > | |
| ▶CTree< ExtendedAdditiveEQPBinomialTree > | |
| ▶CExtendedBinomialTree< ExtendedAdditiveEQPBinomialTree > | |
| ▶CExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree > | |
| CExtendedAdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
| ▶CCuriouslyRecurringTemplate< ExtendedCoxRossRubinstein > | |
| ▶CTree< ExtendedCoxRossRubinstein > | |
| ▶CExtendedBinomialTree< ExtendedCoxRossRubinstein > | |
| ▶CExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein > | |
| CExtendedCoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
| ▶CCuriouslyRecurringTemplate< ExtendedJarrowRudd > | |
| ▶CTree< ExtendedJarrowRudd > | |
| ▶CExtendedBinomialTree< ExtendedJarrowRudd > | |
| ▶CExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd > | |
| CExtendedJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
| ▶CCuriouslyRecurringTemplate< ExtendedJoshi4 > | |
| ▶CTree< ExtendedJoshi4 > | |
| CExtendedBinomialTree< ExtendedJoshi4 > | |
| ▶CCuriouslyRecurringTemplate< ExtendedLeisenReimer > | |
| ▶CTree< ExtendedLeisenReimer > | |
| ▶CExtendedBinomialTree< ExtendedLeisenReimer > | |
| CExtendedLeisenReimer | Leisen & Reimer tree: multiplicative approach |
| ▶CCuriouslyRecurringTemplate< ExtendedTian > | |
| ▶CTree< ExtendedTian > | |
| ▶CExtendedBinomialTree< ExtendedTian > | |
| CExtendedTian | Tian tree: third moment matching, multiplicative approach |
| ▶CCuriouslyRecurringTemplate< ExtendedTrigeorgis > | |
| ▶CTree< ExtendedTrigeorgis > | |
| ▶CExtendedBinomialTree< ExtendedTrigeorgis > | |
| ▶CExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis > | |
| CExtendedTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
| ▶CCuriouslyRecurringTemplate< FalsePosition > | |
| ▶CSolver1D< FalsePosition > | |
| CFalsePosition | False position 1-D solver |
| ▶CCuriouslyRecurringTemplate< FiniteDifferenceNewtonSafe > | |
| ▶CSolver1D< FiniteDifferenceNewtonSafe > | |
| CFiniteDifferenceNewtonSafe | Safe Newton 1-D solver with finite difference derivatives |
| ▶CCuriouslyRecurringTemplate< JarrowRudd > | |
| ▶CTree< JarrowRudd > | |
| ▶CBinomialTree< JarrowRudd > | |
| ▶CEqualProbabilitiesBinomialTree< JarrowRudd > | |
| CJarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
| ▶CCuriouslyRecurringTemplate< Joshi4 > | |
| ▶CTree< Joshi4 > | |
| CBinomialTree< Joshi4 > | |
| ▶CCuriouslyRecurringTemplate< LeisenReimer > | |
| ▶CTree< LeisenReimer > | |
| ▶CBinomialTree< LeisenReimer > | |
| CLeisenReimer | Leisen & Reimer tree: multiplicative approach |
| ▶CCuriouslyRecurringTemplate< Newton > | |
| ▶CSolver1D< Newton > | |
| CNewton | Newton 1-D solver |
| ▶CCuriouslyRecurringTemplate< NewtonSafe > | |
| ▶CSolver1D< NewtonSafe > | |
| CNewtonSafe | Safe Newton 1-D solver |
| ▶CCuriouslyRecurringTemplate< OneFactorModel::ShortRateTree > | |
| ▶CTreeLattice< OneFactorModel::ShortRateTree > | |
| ▶CTreeLattice1D< OneFactorModel::ShortRateTree > | |
| COneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable |
| ▶CCuriouslyRecurringTemplate< Ridder > | |
| ▶CSolver1D< Ridder > | |
| CRidder | Ridder 1-D solver |
| ▶CCuriouslyRecurringTemplate< Secant > | |
| ▶CSolver1D< Secant > | |
| CSecant | Secant 1-D solver |
| ▶CCuriouslyRecurringTemplate< T > | |
| ▶CTree< T > | Tree approximating a single-factor diffusion |
| ▶CBinomialTree< T > | Binomial tree base class |
| CEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
| CEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
| ▶CExtendedBinomialTree< T > | Binomial tree base class |
| CExtendedEqualJumpsBinomialTree< T > | Base class for equal jumps binomial tree |
| CExtendedEqualProbabilitiesBinomialTree< T > | Base class for equal probabilities binomial tree |
| ▶CCuriouslyRecurringTemplate< Tian > | |
| ▶CTree< Tian > | |
| ▶CBinomialTree< Tian > | |
| CTian | Tian tree: third moment matching, multiplicative approach |
| ▶CCuriouslyRecurringTemplate< Trigeorgis > | |
| ▶CTree< Trigeorgis > | |
| ▶CBinomialTree< Trigeorgis > | |
| ▶CEqualJumpsBinomialTree< Trigeorgis > | |
| CTrigeorgis | Trigeorgis (additive equal jumps) binomial tree |
| ▶CCuriouslyRecurringTemplate< TrinomialTree > | |
| ▶CTree< TrinomialTree > | |
| CTrinomialTree | Recombining trinomial tree class |
| ▶CCuriouslyRecurringTemplate< TwoFactorModel::ShortRateTree > | |
| ▶CTreeLattice< TwoFactorModel::ShortRateTree > | |
| ▶CTreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree > | |
| CTwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
| CEarlyExercisePathPricer< MultiPath > | |
| CEarlyExercisePathPricer< Path > | |
| CForwardOptionArguments< VanillaOption::arguments > | |
| CHandle< AffineModel > | |
| CHandle< BatesModel > | |
| CHandle< FdmQuantoHelper > | |
| CHandle< G2 > | |
| CHandle< Gaussian1dModel > | |
| CHandle< GJRGARCHModel > | |
| CHandle< HestonModel > | |
| CHandle< HullWhite > | |
| CHandle< LiborForwardModel > | |
| CHandle< ModelType > | |
| CHandle< OneFactorAffineModel > | |
| CHandle< PiecewiseTimeDependentHestonModel > | |
| CHandle< QuantLib::AbcdAtmVolCurve > | |
| CHandle< QuantLib::BaseCorrelationTermStructure< Corr2DInt_T > > | |
| ▶CHandle< QuantLib::Basket > | |
| CRelinkableHandle< QuantLib::Basket > | |
| CHandle< QuantLib::BatesProcess > | |
| CHandle< QuantLib::BlackAtmVolCurve > | |
| CHandle< QuantLib::BlackVarianceCurve > | |
| CHandle< QuantLib::BlackVolTermStructure > | |
| CHandle< QuantLib::CallableBondVolatilityStructure > | |
| CHandle< QuantLib::CapFloorTermVolCurve > | |
| CHandle< QuantLib::CPICapFloorTermPriceSurface > | |
| CHandle< QuantLib::CPIVolatilitySurface > | |
| ▶CHandle< QuantLib::DefaultProbabilityTermStructure > | |
| CRelinkableHandle< QuantLib::DefaultProbabilityTermStructure > | |
| CHandle< QuantLib::DeltaVolQuote > | |
| CHandle< QuantLib::ExtendedOrnsteinUhlenbeckProcess > | |
| CHandle< QuantLib::ExtOUWithJumpsProcess > | |
| CHandle< QuantLib::G2 > | |
| CHandle< QuantLib::GeneralizedBlackScholesProcess > | |
| CHandle< QuantLib::HestonModel > | |
| CHandle< QuantLib::HestonProcess > | |
| CHandle< QuantLib::HullWhite > | |
| CHandle< QuantLib::HullWhiteProcess > | |
| CHandle< QuantLib::InterestRateVolSurface > | |
| CHandle< QuantLib::KlugeExtOUProcess > | |
| ▶CHandle< QuantLib::LocalVolTermStructure > | |
| CRelinkableHandle< QuantLib::LocalVolTermStructure > | |
| CHandle< QuantLib::OneFactorCopula > | |
| CHandle< QuantLib::OptionletVolatilityStructure > | |
| CHandle< QuantLib::PricingEngine > | |
| ▶CHandle< QuantLib::Quote > | |
| CRelinkableHandle< QuantLib::Quote > | |
| CHandle< QuantLib::RecoveryRateQuote > | |
| CHandle< QuantLib::SwaptionVolatilityStructure > | |
| ▶CHandle< QuantLib::YieldTermStructure > | |
| CRelinkableHandle< QuantLib::YieldTermStructure > | |
| CHandle< QuantLib::YoYInflationTermStructure > | |
| CHandle< QuantLib::YoYOptionletVolatilitySurface > | |
| CHandle< QuantLib::ZeroInflationIndex > | |
| CHandle< QuantLib::ZeroInflationTermStructure > | |
| CHandle< ShortRateModel > | |
| CHandle< YieldTermStructure > | |
| ▶CInterpolatedCurve< Interpolator1D > | |
| CInterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface |
| CInverseCumulativeRsg< QuantLib::SobolRsg, QuantLib::InverseCumulativeNormal > | |
| ▶CMcSimulation< MultiVariate, RNG, S > | |
| ▶CMCVanillaEngine< MultiVariate, RNG, S > | |
| CMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH-model engine for European options |
| CMCEuropeanHestonEngine< RNG, S, P > | Monte Carlo Heston-model engine for European options |
| CMCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation |
| CMCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation |
| CMCPathBasketEngine< RNG, S > | Pricing engine for path dependent basket options using |
| ▶CMcSimulation< MultiVariate, RNG, Statistics > | |
| ▶CMCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > | |
| CMCAmericanBasketEngine< RNG > | Least-square Monte Carlo engine |
| ▶CMCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG > | |
| CMCAmericanPathEngine< RNG > | Least-square Monte Carlo engine |
| ▶CMcSimulation< SingleVariate, RNG, S > | |
| ▶CMCLongstaffSchwartzEngine< VanillaOption::engine, SingleVariate, RNG, S, RNG_Calibration > | |
| CMCAmericanEngine< RNG, S, RNG_Calibration > | American Monte Carlo engine |
| ▶CMCVanillaEngine< SingleVariate, RNG, S > | |
| CMCDigitalEngine< RNG, S > | Pricing engine for digital options using Monte Carlo simulation |
| CMCEuropeanEngine< RNG, S > | European option pricing engine using Monte Carlo simulation |
| CMCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation |
| ▶CMCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation |
| CMCDiscreteArithmeticAPEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average price Asian |
| CMCDiscreteArithmeticASEngine< RNG, S > | Monte Carlo pricing engine for discrete arithmetic average-strike Asian |
| CMCDiscreteGeometricAPEngine< RNG, S > | Monte Carlo pricing engine for discrete geometric average price Asian |
| CMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors |
| CMCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation |
| CMCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation, |
| CObservableValue< Date > | |
| CObservableValue< TimeSeries< Real > > | |
| ▶CPathPricer< MultiPath > | |
| CLongstaffSchwartzMultiPathPricer | Longstaff-Schwarz path pricer for early exercise options |
| CPathPricer< Path > | |
| ▶CPathPricer< PathType > | |
| CLongstaffSchwartzPathPricer< PathType > | Longstaff-Schwarz path pricer for early exercise options |
| CAbcd | Abcd interpolation factory and traits |
| ▶CAbcdMathFunction | Abcd functional form |
| CAbcdFunction | Abcd functional form for instantaneous volatility |
| CAccountingEngine | Engine collecting cash flows along a market-model simulation |
| CAcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
| CAffineHazardRate | |
| CAliMikhailHaqCopula | Ali-Mikhail-Haq copula |
| CAmericanCondition | American exercise condition |
| CAmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
| CAmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
| ▶CAnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
| CAnalyticDigitalAmericanKOEngine | Analytic pricing engine for American Knock-out options with digital payoff |
| CAnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
| CAnalyticTwoAssetCorrelationEngine | Analytic two-asset correlation option engine |
| CAonia | Aonia index |
| CArray | 1-D array used in linear algebra |
| CAssetSwap::arguments | Arguments for asset swap calculation |
| CAssetSwap::results | Results from simple swap calculation |
| CASX | Main cycle of the Australian Securities Exchange (a.k.a. ASX) months |
| CAtomicDefault | Atomic (single contractual event) default events |
| CAverage | Placeholder for enumerated averaging types |
| CAverageBMALeg | Helper class building a sequence of average BMA coupons |
| CBackwardFlat | Backward-flat interpolation factory and traits |
| CBaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
| CBarrier | Placeholder for enumerated barrier types |
| ▶CBarrierOption::arguments | Arguments for barrier option calculation |
| CDividendBarrierOption::arguments | Arguments for dividend barrier option calculation |
| CBernsteinPolynomial | Class of Bernstein polynomials |
| CBFGS | Broyden-Fletcher-Goldfarb-Shanno algorithm |
| CBicubic | Bicubic-spline-interpolation factory |
| CBilinear | Bilinear-interpolation factory |
| CBinomialConvertibleEngine< T > | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
| CBinomialDistribution | Binomial probability distribution function |
| CBinomialProbabilityOfAtLeastNEvents | Probability of at least N events |
| CBinomialVanillaEngine< T > | Pricing engine for vanilla options using binomial trees |
| CBivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
| CBivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
| CBivariateCumulativeStudentDistribution | Cumulative Student t-distribution |
| CBjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
| ▶CBlackCalculator | Black 1976 calculator class |
| CBlackScholesCalculator | Black-Scholes 1973 calculator class |
| CBlackDeltaCalculator | Black delta calculator class |
| CBondFunctions | Bond adapters of CashFlows functions |
| CBootstrapError< Curve > | Bootstrap error |
| CBoundaryCondition< Operator > | Abstract boundary condition class for finite difference problems |
| CBoxMullerGaussianRng< RNG > | Gaussian random number generator |
| CBrownianBridge | Builds Wiener process paths using Gaussian variates |
| CBSpline | B-spline basis functions |
| ▶CCalendar | calendar class |
| CArgentina | Argentinian calendars |
| CAustralia | Australian calendar |
| CBespokeCalendar | Bespoke calendar |
| CBotswana | Botswana calendar |
| CBrazil | Brazilian calendar |
| CCanada | Canadian calendar |
| CChina | Chinese calendar |
| CCzechRepublic | Czech calendars |
| CDenmark | Danish calendar |
| CFinland | Finnish calendar |
| CGermany | German calendars |
| CHongKong | Hong Kong calendars |
| CHungary | Hungarian calendar |
| CIceland | Icelandic calendars |
| CIndia | Indian calendars |
| CIndonesia | Indonesian calendars |
| CIsrael | Israel calendar |
| CItaly | Italian calendars |
| CJapan | Japanese calendar |
| CJointCalendar | Joint calendar |
| CMexico | Mexican calendars |
| CNewZealand | New Zealand calendar |
| CNorway | Norwegian calendar |
| CNullCalendar | Calendar for reproducing theoretical calculations |
| CPoland | Polish calendar |
| CRomania | Romanian calendars |
| CRussia | Russian calendars |
| CSaudiArabia | Saudi Arabian calendar |
| CSingapore | Singapore calendars |
| CSlovakia | Slovak calendars |
| CSouthAfrica | South-African calendar |
| CSouthKorea | South Korean calendars |
| CSweden | Swedish calendar |
| CSwitzerland | Swiss calendar |
| CTaiwan | Taiwanese calendars |
| CTARGET | TARGET calendar |
| CTurkey | Turkish calendar |
| CUkraine | Ukrainian calendars |
| CUnitedKingdom | United Kingdom calendars |
| CUnitedStates | United States calendars |
| CWeekendsOnly | Weekends-only calendar |
| ▶CCalendar::Impl | Abstract base class for calendar implementations |
| CCalendar::OrthodoxImpl | Partial calendar implementation |
| CCalendar::WesternImpl | Partial calendar implementation |
| CCallability::Price | Amount to be paid upon callability |
| CCallableBond::results | Results for a callable bond calculation |
| CCapFloor::arguments | Arguments for cap/floor calculation |
| CCapPseudoDerivative | |
| CCashFlows | cashflow-analysis functions |
| CCatBond::results | Results for a cat bond calculation |
| CCdsOption::results | Results from CDS-option calculation |
| CClaytonCopula | Clayton copula |
| CClaytonCopulaRng< RNG > | Clayton copula random-number generator |
| CCLGaussianRng< RNG > | Gaussian random number generator |
| CClone< T > | Cloning proxy to an underlying object |
| CCmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
| CCMSMMDriftCalculator | Drift computation for CMS market models |
| CCmsSpreadLeg | Helper class building a sequence of capped/floored cms-spread-rate coupons |
| CCommodityPricingHelper | Commodity index helper |
| CCommodityType | Commodity type |
| CComposite< T > | Composite pattern |
| CConjugateGradient | Multi-dimensional Conjugate Gradient class |
| CConstantEstimator | Constant-estimator volatility model |
| ▶CConstraint | Base constraint class |
| CBoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
| CCompositeConstraint | Constraint enforcing both given sub-constraints |
| CNoConstraint | No constraint |
| CNonhomogeneousBoundaryConstraint | Constraint imposing i-th argument to be in [low_i,high_i] for all i |
| CPositiveConstraint | Constraint imposing positivity to all arguments |
| CConstraint::Impl | Base class for constraint implementations |
| CContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option |
| ▶CContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation |
| CContinuousPartialFixedLookbackOption::arguments | Arguments for continuous partial fixed lookback option calculation |
| ▶CContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation |
| CContinuousPartialFloatingLookbackOption::arguments | Arguments for continuous partial floating lookback option calculation |
| CConvergenceStatistics< T, U > | Statistics class with convergence table |
| CConvexMonotone | Convex-monotone interpolation factory and traits |
| ▶CCostFunction | Cost function abstract class for optimization problem |
| CLeastSquareFunction | Cost function for least-square problems |
| CProjectedCostFunction | Parameterized cost function |
| CCounterpartyAdjSwapEngine | |
| CCovarianceDecomposition | Covariance decomposition into correlation and variances |
| CCPILeg | Helper class building a sequence of capped/floored CPI coupons |
| CCPISwap::arguments | Arguments for swap calculation |
| CCPISwap::results | Results from swap calculation |
| CCreditRiskPlus | |
| CCubic | Cubic interpolation factory and traits |
| CCumulativeBehrensFisher | Cumulative (generalized) BehrensFisher distribution |
| CCumulativeBinomialDistribution | Cumulative binomial distribution function |
| CCumulativeNormalDistribution | Cumulative normal distribution function |
| CCumulativePoissonDistribution | Cumulative Poisson distribution function |
| CCumulativeStudentDistribution | Cumulative Student t-distribution |
| ▶CCuriouslyRecurringTemplate< Impl > | Support for the curiously recurring template pattern |
| CSolver1D< Impl > | Base class for 1-D solvers |
| ▶CTreeLattice< Impl > | Tree-based lattice-method base class |
| CTreeLattice1D< Impl > | One-dimensional tree-based lattice |
| CTreeLattice2D< Impl, T > | Two-dimensional tree-based lattice |
| ▶CCurrency | Currency specification |
| CARSCurrency | Argentinian peso |
| CATSCurrency | Austrian shilling |
| CAUDCurrency | Australian dollar |
| CBCHCurrency | Bitcoin Cash |
| CBDTCurrency | Bangladesh taka |
| CBEFCurrency | Belgian franc |
| CBGLCurrency | Bulgarian lev |
| CBRLCurrency | Brazilian real |
| CBTCCurrency | Bitcoin |
| CBYRCurrency | Belarussian ruble |
| CCADCurrency | Canadian dollar |
| CCHFCurrency | Swiss franc |
| CCLPCurrency | Chilean peso |
| CCNYCurrency | Chinese yuan |
| CCOPCurrency | Colombian peso |
| CCYPCurrency | Cyprus pound |
| CCZKCurrency | Czech koruna |
| CDASHCurrency | Dash coin |
| CDEMCurrency | Deutsche mark |
| CDKKCurrency | Danish krone |
| CEEKCurrency | Estonian kroon |
| CESPCurrency | Spanish peseta |
| CETCCurrency | Ethereum Classic |
| CETHCurrency | Ethereum |
| CEURCurrency | European Euro |
| CFIMCurrency | Finnish markka |
| CFRFCurrency | French franc |
| CGBPCurrency | British pound sterling |
| CGRDCurrency | Greek drachma |
| CHKDCurrency | Hong Kong dollar |
| CHUFCurrency | Hungarian forint |
| CIDRCurrency | Indonesian Rupiah |
| CIEPCurrency | Irish punt |
| CILSCurrency | Israeli shekel |
| CINRCurrency | Indian rupee |
| CIQDCurrency | Iraqi dinar |
| CIRRCurrency | Iranian rial |
| CISKCurrency | Icelandic krona |
| CITLCurrency | Italian lira |
| CJPYCurrency | Japanese yen |
| CKRWCurrency | South-Korean won |
| CKWDCurrency | Kuwaiti dinar |
| CLTCCurrency | Litecoin |
| CLTLCurrency | Lithuanian litas |
| CLUFCurrency | Luxembourg franc |
| CLVLCurrency | Latvian lat |
| CMTLCurrency | Maltese lira |
| CMXNCurrency | Mexican peso |
| CMYRCurrency | Malaysian Ringgit |
| CNLGCurrency | Dutch guilder |
| CNOKCurrency | Norwegian krone |
| CNPRCurrency | Nepal rupee |
| CNZDCurrency | New Zealand dollar |
| CPEHCurrency | Peruvian sol |
| CPEICurrency | Peruvian inti |
| CPENCurrency | Peruvian nuevo sol |
| CPKRCurrency | Pakistani rupee |
| CPLNCurrency | Polish zloty |
| CPTECurrency | Portuguese escudo |
| CROLCurrency | Romanian leu |
| CRONCurrency | Romanian new leu |
| CRUBCurrency | Russian ruble |
| CSARCurrency | Saudi riyal |
| CSEKCurrency | Swedish krona |
| CSGDCurrency | Singapore dollar |
| CSITCurrency | Slovenian tolar |
| CSKKCurrency | Slovak koruna |
| CTHBCurrency | Thai baht |
| CTRLCurrency | Turkish lira |
| CTRYCurrency | New Turkish lira |
| CTTDCurrency | Trinidad & Tobago dollar |
| CTWDCurrency | Taiwan dollar |
| CUAHCurrency | Ukrainian hryvnia |
| CUSDCurrency | U.S. dollar |
| CVEBCurrency | Venezuelan bolivar |
| CVNDCurrency | Vietnamese Dong |
| CXRPCurrency | Ripple |
| CZARCurrency | South-African rand |
| CZECCurrency | Zcash |
| CCurve | Abstract curve class |
| ▶CCurveState | Curve state for market-model simulations |
| CCMSwapCurveState | Curve state for constant-maturity-swap market models |
| CCoterminalSwapCurveState | Curve state for coterminal-swap market models |
| CLMMCurveState | Curve state for Libor market models |
| CDate | Concrete date class |
| CDateGeneration | Date-generation rule |
| ▶CDateInterval | Date interval described by a number of a given time unit |
| CPricingPeriod | Time pricingperiod described by a number of a given time unit |
| ▶CDayCounter | Day counter class |
| CActual360 | Actual/360 day count convention |
| CActual365Fixed | Actual/365 (Fixed) day count convention |
| CActual365NoLeap | Actual/365 (No Leap) day count convention |
| CActualActual | Actual/Actual day count |
| CBusiness252 | Business/252 day count convention |
| COneDayCounter | 1/1 day count convention |
| CSimpleDayCounter | Simple day counter for reproducing theoretical calculations |
| CThirty360 | 30/360 day count convention |
| CDayCounter::Impl | Abstract base class for day counter implementations |
| CDefaultDensity | Default-density-curve traits |
| ▶CDefaultProbKey | |
| CNorthAmericaCorpDefaultKey | ISDA standard default contractual key for corporate US debt |
| ▶CDefaultType | Atomic credit-event type |
| CFailureToPay | Failure to Pay atomic event type |
| CImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
| CRoot | Utility for the numerical time solver |
| CDigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
| CDigitalCmsSpreadLeg | Helper class building a sequence of digital ibor-rate coupons |
| CDigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
| CDiscount | Discount-curve traits |
| CDiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option |
| CDiscreteTrapezoidIntegral | |
| ▶CDiscretizedAsset | Discretized asset class used by numerical methods |
| CDiscretizedDermanKaniDoubleBarrierOption | Derman-Kani-Ergener-Bardhan discretized option helper class |
| CDiscretizedDiscountBond | Useful discretized discount bond asset |
| CDiscretizedDoubleBarrierOption | Standard discretized option helper class |
| CDiscretizedOption | Discretized option on a given asset |
| CDisposable< T > | Generic disposable object with move semantics |
| CDividendVanillaOption::arguments | Arguments for dividend vanilla option calculation |
| CDoubleBarrier | Placeholder for enumerated barrier types |
| CDoubleBarrierOption::arguments | Arguments for double barrier option calculation |
| CDuration | duration type |
| Cearlier_than< T > | Compare two objects by date |
| CEarlyExercisePathPricer< PathType, TimeType, ValueType > | Base class for early exercise path pricers |
| CECB | European Central Bank reserve maintenance dates |
| CEndCriteria | Criteria to end optimization process: |
| CEnergyBasisSwap | Energy basis swap |
| CEnergyVanillaSwap | Vanilla energy swap |
| CEonia | Eonia (Euro Overnight Index Average) rate fixed by the ECB |
| CErrorFunction | Error function |
| CEvolutionDescription | Market-model evolution description |
| CExchangeRate | Exchange rate between two currencies |
| ▶CExercise | Base exercise class |
| ▶CEarlyExercise | Early-exercise base class |
| CAmericanExercise | American exercise |
| ▶CBermudanExercise | Bermudan exercise |
| CSwingExercise | Swing exercise |
| CEuropeanExercise | European exercise |
| CRebatedExercise | Rebated exercise |
| CExponentialJump1dMesher | |
| ▶CExtrapolator | Base class for classes possibly allowing extrapolation |
| ▶CInterpolation | Base class for 1-D interpolations |
| CAbcdInterpolation | Abcd interpolation between discrete points |
| CBackwardFlatInterpolation | Backward-flat interpolation between discrete points |
| CConvexMonotoneInterpolation< I1, I2 > | Convex monotone yield-curve interpolation method |
| CCubicInterpolation | Cubic interpolation between discrete points |
| CForwardFlatInterpolation | Forward-flat interpolation between discrete points |
| CKernelInterpolation | Kernel interpolation between discrete points |
| CLinearInterpolation | Linear interpolation between discrete points |
| CLogCubicInterpolation | log-cubic interpolation between discrete points |
| CLogLinearInterpolation | log-linear interpolation between discrete points |
| CLogMixedLinearCubicInterpolation | log-mixedlinearcubic interpolation between discrete points |
| CMixedLinearCubicInterpolation | Mixed linear/cubic interpolation between discrete points |
| CNoArbSabrInterpolation | No arbitrage sabr smile interpolation between discrete volatility points |
| CSABRInterpolation | SABR smile interpolation between discrete volatility points |
| CSviInterpolation | Svi smile interpolation between discrete volatility points |
| CVannaVolgaInterpolation | Vanna Volga interpolation between discrete points |
| CZabrInterpolation< Evaluation > | Zabr smile interpolation between discrete volatility points |
| ▶CInterpolation2D | Base class for 2-D interpolations |
| CBicubicSpline | Bicubic-spline interpolation between discrete points |
| CBilinearInterpolation | bilinear interpolation between discrete points |
| CKernelInterpolation2D | |
| CPolynomial2DSpline | Polynomial2D-spline interpolation between discrete points |
| ▶CTermStructure | Basic term-structure functionality |
| ▶CCallableBondVolatilityStructure | Callable-bond volatility structure |
| CCallableBondConstantVolatility | Constant callable-bond volatility, no time-strike dependence |
| CCommodityCurve | Commodity term structure |
| ▶CCorrelationTermStructure | |
| CBaseCorrelationTermStructure< Interpolator2D_T > | |
| ▶CDefaultProbabilityTermStructure | Default probability term structure |
| ▶CDefaultDensityStructure | Default-density term structure |
| CInterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities |
| ▶CHazardRateStructure | Hazard-rate term structure |
| CFactorSpreadedHazardRateCurve | Default-probability structure with a multiplicative spread on hazard rates |
| CFlatHazardRate | Flat hazard-rate curve |
| CInterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates |
| ▶COneFactorAffineSurvivalStructure | |
| CInterpolatedAffineHazardRateCurve< Interpolator > | |
| CSpreadedHazardRateCurve | Default-probability structure with an additive spread on hazard rates |
| ▶CSurvivalProbabilityStructure | Hazard-rate term structure |
| CInterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
| ▶CInflationTermStructure | Interface for inflation term structures |
| CCPICapFloorTermPriceSurface | Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity) |
| CYoYCapFloorTermPriceSurface | Abstract base class, inheriting from InflationTermStructure |
| ▶CYoYInflationTermStructure | Base class for year-on-year inflation term structures |
| ▶CInterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates |
| CPiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure |
| ▶CZeroInflationTermStructure | Interface for zero inflation term structures |
| ▶CInterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates |
| CPiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure |
| ▶CVolatilityTermStructure | Volatility term structure |
| ▶CBlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
| CAbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
| ▶CBlackVolSurface | Black volatility (smile) surface |
| CEquityFXVolSurface | Equity/FX volatility (smile) surface |
| ▶CInterestRateVolSurface | Interest rate volatility (smile) surface |
| CSabrVolSurface | SABR volatility (smile) surface |
| ▶CBlackVolTermStructure | Black-volatility term structure |
| ▶CBlackVarianceTermStructure | Black variance term structure |
| CBlackVarianceCurve | Black volatility curve modelled as variance curve |
| CBlackVarianceSurface | Black volatility surface modelled as variance surface |
| CExtendedBlackVarianceCurve | Black volatility curve modelled as variance curve |
| CExtendedBlackVarianceSurface | Black volatility surface modelled as variance surface |
| CImpliedVolTermStructure | Implied vol term structure at a given date in the future |
| ▶CBlackVolatilityTermStructure | Black-volatility term structure |
| CBlackConstantVol | Constant Black volatility, no time-strike dependence |
| ▶CCapFloorTermVolatilityStructure | Cap/floor term-volatility structure |
| CCapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
| CCapFloorTermVolSurface | Cap/floor smile volatility surface |
| CConstantCapFloorTermVolatility | Constant caplet volatility, no time-strike dependence |
| ▶CCPIVolatilitySurface | Zero inflation (i.e. CPI/RPI/HICP/etc.) volatility structures |
| CConstantCPIVolatility | Constant surface, no K or T dependence |
| ▶CLocalVolTermStructure | |
| CLocalConstantVol | Constant local volatility, no time-strike dependence |
| CLocalVolCurve | Local volatility curve derived from a Black curve |
| CLocalVolSurface | Local volatility surface derived from a Black vol surface |
| ▶COptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
| CConstantOptionletVolatility | Constant caplet volatility, no time-strike dependence |
| CStrippedOptionletAdapter | |
| ▶CSwaptionVolatilityStructure | Swaption-volatility structure |
| CConstantSwaptionVolatility | Constant swaption volatility, no time-strike dependence |
| ▶CYoYOptionletVolatilitySurface | |
| ▶CInterpolatedYoYOptionletVolatilityCurve< Interpolator > | |
| CPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure |
| CConstantYoYOptionletVolatility | Constant surface, no K or T dependence |
| CInterpolatedYoYOptionletVolatilityCurve< Interpolator1D > | Interpolated flat smile surface |
| CKInterpolatedYoYOptionletVolatilitySurface< Interpolator1D > | K-interpolated YoY optionlet volatility |
| ▶CYieldTermStructure | Interest-rate term structure |
| CFittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
| CFlatForward | Flat interest-rate curve |
| ▶CForwardRateStructure | Forward-rate term structure |
| CForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
| CInterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates |
| CImpliedTermStructure | Implied term structure at a given date in the future |
| CInterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors |
| ▶CZeroYieldStructure | Zero-yield term structure |
| CDriftTermStructure | Drift term structure |
| CInterpolatedPiecewiseZeroSpreadedTermStructure< Interpolator > | Yield curve with an added vector of spreads on the zero-yield rate |
| CInterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates |
| CQuantoTermStructure | Quanto term structure |
| CZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
| CFactorial | Factorial numbers calculator |
| CFarlieGumbelMorgensternCopula | Farlie-Gumbel-Morgenstern copula |
| CFarlieGumbelMorgensternCopulaRng< RNG > | Farlie-Gumbel-Morgenstern copula random-number generator |
| CFastFourierTransform | FFT implementation |
| CFaureRsg | Faure low-discrepancy sequence generator |
| CFDAmericanEngine< Scheme > | Finite-differences pricing engine for American one asset options |
| CFDBermudanEngine< Scheme > | Finite-differences Bermudan engine |
| CFDDividendAmericanEngine< Scheme > | Finite-differences pricing engine for dividend American options |
| ▶CFDDividendEngineBase< Scheme > | Abstract base class for dividend engines |
| CFDDividendEngineMerton73< Scheme > | Finite-differences pricing engine for dividend options using escowed dividends model |
| CFDDividendEngineShiftScale< Scheme > | Finite-differences engine for dividend options using shifted dividends |
| CFDDividendEuropeanEngine< Scheme > | Finite-differences pricing engine for dividend European options |
| CFDDividendShoutEngine< Scheme > | Finite-differences shout engine with dividends |
| CFdmExtOUJumpOp | |
| CFdmKlugeExtOUOp | |
| CFDShoutEngine< Scheme > | Finite-differences pricing engine for shout vanilla options |
| ▶CFDVanillaEngine | Finite-differences pricing engine for BSM one asset options |
| CFDEuropeanEngine< Scheme > | Pricing engine for European options using finite-differences |
| CFDStepConditionEngine< Scheme > | Finite-differences pricing engine for American-style vanilla options |
| CFedFunds | Fed Funds rate fixed by the FED |
| ▶CFFTEngine | Base class for FFT pricing engines for European vanilla options |
| CFFTVanillaEngine | FFT Pricing engine vanilla options under a Black Scholes process |
| CFFTVarianceGammaEngine | FFT engine for vanilla options under a Variance Gamma process |
| CFilonIntegral | Integral of a one-dimensional function |
| CFiniteDifferenceModel< Evolver > | Generic finite difference model |
| ▶CFittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve |
| CCubicBSplinesFitting | CubicSpline B-splines fitting method |
| CExponentialSplinesFitting | Exponential-splines fitting method |
| CNelsonSiegelFitting | Nelson-Siegel fitting method |
| CSimplePolynomialFitting | Simple polynomial fitting method |
| CSpreadFittingMethod | Spread fitting method helper |
| CSvenssonFitting | Svensson Fitting method |
| CFixedRateLeg | Helper class building a sequence of fixed rate coupons |
| ▶CFloatFloatSwap::arguments | Arguments for float float swap calculation |
| CFloatFloatSwaption::arguments | Arguments for cms swaption calculation |
| CFloatFloatSwap::results | Results from float float swap calculation |
| CFloatingCatBond | Floating-rate cat bond (possibly capped and/or floored) |
| CForwardFlat | Forward-flat interpolation factory and traits |
| CForwardOptionArguments< ArgumentsType > | Arguments for forward (strike-resetting) option calculation |
| CForwardRate | Forward-curve traits |
| CFrankCopula | Frank copula |
| CFrankCopulaRng< RNG > | Frank copula random-number generator |
| CGalambosCopula | Galambos copula |
| CGammaFunction | Gamma function class |
| CGarch11 | GARCH volatility model |
| CGarmanKlassAbstract | Garman-Klass volatility model |
| CGaussianCopula | Gaussian copula |
| CGaussianCopulaPolicy | |
| ▶CGaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
| CGaussHermitePolynomial | Gauss-Hermite polynomial |
| CGaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
| ▶CGaussJacobiPolynomial | Gauss-Jacobi polynomial |
| CGaussChebyshev2ndPolynomial | Gauss-Chebyshev polynomial (second kind) |
| CGaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
| CGaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
| CGaussLegendrePolynomial | Gauss-Legendre polynomial |
| CGaussLaguerrePolynomial | Gauss-Laguerre polynomial |
| CGaussNonCentralChiSquaredPolynomial | Gauss polynomial for the non central chi squared distribution |
| CGaussianQuadMultidimIntegrator | Integrates a vector or scalar function of vector domain |
| ▶CGaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
| CGaussChebyshev2ndIntegration | Gauss-Chebyshev integration (second kind) |
| CGaussChebyshevIntegration | Gauss-Chebyshev integration |
| CGaussGegenbauerIntegration | Gauss-Gegenbauer integration |
| CGaussHermiteIntegration | Generalized Gauss-Hermite integration |
| CGaussHyperbolicIntegration | Gauss-Hyperbolic integration |
| CGaussJacobiIntegration | Gauss-Jacobi integration |
| CGaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
| CGaussLegendreIntegration | Gauss-Legendre integration |
| CGaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
| CGaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
| CGaussLobattoIntegral | Integral of a one-dimensional function |
| CGeneralizedHullWhite::Dynamics | Short-rate dynamics in the generalized Hull-White model |
| CGeneralLinearLeastSquares | General linear least squares regression |
| CGeneralStatistics | Statistics tool |
| CGenericGaussianStatistics< Stat > | Statistics tool for gaussian-assumption risk measures |
| CGenericRiskStatistics< S > | Empirical-distribution risk measures |
| ▶CGenericSequenceStatistics< StatisticsType > | Statistics analysis of N-dimensional (sequence) data |
| CDiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
| CGMRESResult | |
| ▶CGreeks | Additional option results |
| ▶CMultiAssetOption::results | Results from multi-asset option calculation |
| CMargrabeOption::results | Extra results for Margrabe option |
| COneAssetOption::results | Results from single-asset option calculation |
| CGumbelCopula | Gumbel copula |
| CHaltonRsg | Halton low-discrepancy sequence generator |
| ▶CHandle< T > | Shared handle to an observable |
| CRelinkableHandle< T > | Relinkable handle to an observable |
| CHazardRate | Hazard-rate-curve traits |
| ▶CHestonExpansion | |
| CFordeHestonExpansion | |
| CLPP2HestonExpansion | |
| CLPP3HestonExpansion | |
| CHestonRNDCalculator | Risk neutral terminal probability density for the Heston model |
| CHistogram | Histogram class |
| CHistoricalForwardRatesAnalysisImpl< Traits, Interpolator > | Historical correlation class |
| CHistoricalRatesAnalysis | Historical rate analysis class |
| CHuslerReissCopula | Husler-Reiss copula |
| CIborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
| CIMM | Main cycle of the International Money Market (a.k.a. IMM) months |
| CIncrementalStatistics | Statistics tool based on incremental accumulation |
| CIndependentCopula | Independent copula |
| CIntegralEngine | Pricing engine for European vanilla options using integral approach |
| CInterestRate | Concrete interest rate class |
| ▶CInterpolatedCurve< Interpolator > | Helper class to build interpolated term structures |
| CInterpolatedYoYOptionletVolatilityCurve< Interpolator > | |
| CInterpolatedAffineHazardRateCurve< Interpolator > | |
| CInterpolatedDefaultDensityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of default densities |
| CInterpolatedDiscountCurve< Interpolator > | YieldTermStructure based on interpolation of discount factors |
| CInterpolatedForwardCurve< Interpolator > | YieldTermStructure based on interpolation of forward rates |
| CInterpolatedHazardRateCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of hazard rates |
| CInterpolatedSurvivalProbabilityCurve< Interpolator > | DefaultProbabilityTermStructure based on interpolation of survival probabilities |
| CInterpolatedYoYInflationCurve< Interpolator > | Inflation term structure based on interpolated year-on-year rates |
| CInterpolatedZeroCurve< Interpolator > | YieldTermStructure based on interpolation of zero rates |
| CInterpolatedZeroInflationCurve< Interpolator > | Inflation term structure based on the interpolation of zero rates |
| CInterpolatingCPICapFloorEngine | |
| ▶CInterpolation2D::Impl | Abstract base class for 2-D interpolation implementations |
| CInterpolation2D::templateImpl< I1, I2, M > | Basic template implementation |
| ▶CInterpolation::Impl | Abstract base class for interpolation implementations |
| CInterpolation::templateImpl< I1, I2 > | Basic template implementation |
| CIntervalPrice | Interval price |
| CInverseCumulativeBehrensFisher | Inverse of the cumulative of the convolution of odd-T distributions |
| CInverseCumulativeNormal | Inverse cumulative normal distribution function |
| CInverseCumulativePoisson | Inverse cumulative Poisson distribution function |
| CInverseCumulativeRng< RNG, IC > | Inverse cumulative random number generator |
| CInverseCumulativeRsg< USG, IC > | Inverse cumulative random sequence generator |
| CInverseCumulativeStudent | Inverse cumulative Student t-distribution |
| CIrregularSettlement | settlement information |
| ▶CIrregularSwap::arguments | Arguments for irregular-swap calculation |
| CIrregularSwaption::arguments | Arguments for irregular-swaption calculation |
| CIrregularSwap::results | Results from irregular-swap calculation |
| CIsdaCdsEngine | |
| CIsotropicRandomWalk< Distribution, Engine > | Isotropic random walk |
| CIterativeBootstrap< Curve > | Universal piecewise-term-structure boostrapper |
| CJumpDiffusionEngine | Jump-diffusion engine for vanilla options |
| CJuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
| ▶CKernelFunction | |
| CGaussianKernel | Gaussian kernel function |
| CKnuthUniformRng | Uniform random number generator |
| CLatentModel< copulaPolicyImpl >::FactorSampler< USNG, bool > | |
| ▶CLattice | Lattice (tree, finite-differences) base class |
| CTreeLattice< Impl > | Tree-based lattice-method base class |
| CTreeLattice< BlackScholesLattice< T > > | |
| CTreeLattice< OneFactorModel::ShortRateTree > | |
| CTreeLattice< TwoFactorModel::ShortRateTree > | |
| CLeastSquareProblem | Base class for least square problem |
| CLecuyerUniformRng | Uniform random number generator |
| CLexicographicalView< RandomAccessIterator > | Lexicographical 2-D view of a contiguous set of data |
| ▶CLfmCovarianceParameterization | Libor market model parameterization |
| CLfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
| CLfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
| CLinear | Linear-interpolation factory and traits |
| ▶CLineSearch | Base class for line search |
| CArmijoLineSearch | Armijo line search |
| ▶CLmCorrelationModel | libor forward correlation model |
| CLmExponentialCorrelationModel | Exponential correlation model |
| CLmLinearExponentialCorrelationModel | linear exponential correlation model |
| CLMMDriftCalculator | Drift computation for log-normal Libor market models |
| CLMMNormalDriftCalculator | Drift computation for normal Libor market models |
| ▶CLmVolatilityModel | Caplet volatility model |
| CLmConstWrapperVolatilityModel | Caplet const volatility model |
| ▶CLmLinearExponentialVolatilityModel | linear exponential volatility model |
| CLmExtLinearExponentialVolModel | Extended linear exponential volatility model |
| CLocalBootstrap< Curve > | Localised-term-structure bootstrapper for most curve types |
| CLogCubic | Log-cubic interpolation factory and traits |
| CLogLinear | Log-linear interpolation factory and traits |
| CLogMixedLinearCubic | Log-cubic interpolation factory and traits |
| ▶CLossDist | Probability formulas and algorithms |
| CLossDistBinomial | Binomial loss distribution |
| CLossDistBucketing | Loss distribution with Hull-White bucketing |
| CLossDistHomogeneous | Loss Distribution for Homogeneous Pool |
| CLossDistMonteCarlo | Loss distribution with Monte Carlo simulation |
| CMaddockCumulativeNormal | Maddock's cumulative normal distribution class |
| CMaddockInverseCumulativeNormal | Maddock's Inverse cumulative normal distribution class |
| CMakeArithmeticAverageOIS | Helper class |
| CMakeCapFloor | Helper class |
| CMakeCms | Helper class for instantiating CMS |
| CMakeCreditDefaultSwap | Helper class |
| CMakeMCAmericanBasketEngine< RNG > | Monte Carlo American basket-option engine factory |
| CMakeMCAmericanEngine< RNG, S, RNG_Calibration > | Monte Carlo American engine factory |
| CMakeMCAmericanPathEngine< RNG > | Monte Carlo American basket-option engine factory |
| CMakeMCBarrierEngine< RNG, S > | Monte Carlo barrier-option engine factory |
| CMakeMCDigitalEngine< RNG, S > | Monte Carlo digital engine factory |
| CMakeMCEuropeanBasketEngine< RNG, S > | Monte Carlo basket-option engine factory |
| CMakeMCEuropeanEngine< RNG, S > | Monte Carlo European engine factory |
| CMakeMCEuropeanGJRGARCHEngine< RNG, S > | Monte Carlo GJR-GARCH European engine factory |
| CMakeMCEuropeanHestonEngine< RNG, S, P > | Monte Carlo Heston European engine factory |
| CMakeMCEverestEngine< RNG, S > | Monte Carlo Everest-option engine factory |
| CMakeMCHestonHullWhiteEngine< RNG, S > | Monte Carlo Heston/Hull-White engine factory |
| CMakeMCHimalayaEngine< RNG, S > | Monte Carlo Himalaya-option engine factory |
| CMakeMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White cap-floor engine factory |
| CMakeMCPagodaEngine< RNG, S > | Monte Carlo pagoda-option engine factory |
| CMakeMCPathBasketEngine< RNG, S > | Monte Carlo Path Basket engine factory |
| CMakeMCPerformanceEngine< RNG, S > | Monte Carlo performance-option engine factory |
| CMakeMCVarianceSwapEngine< RNG, S > | Monte Carlo variance-swap engine factory |
| CMakeOIS | Helper class |
| CMakeSchedule | Helper class |
| CMakeSwaption | Helper class |
| CMakeVanillaSwap | Helper class |
| CMakeYoYInflationCapFloor | Helper class |
| ▶CMarketModel | Base class for market models |
| CAbcdVol | Abcd-interpolated volatility structure |
| ▶CMarketModelEvolver | Market-model evolver |
| ▶CConstrainedEvolver | Constrained market-model evolver |
| CLogNormalFwdRateEulerConstrained | Euler stepping |
| CLogNormalCmSwapRatePc | Predictor-Corrector |
| CLogNormalCotSwapRatePc | Predictor-Corrector |
| CLogNormalFwdRateBalland | Iterative Predictor-Corrector |
| CLogNormalFwdRateEuler | Euler |
| CLogNormalFwdRateiBalland | Iterative Predictor-Corrector |
| CLogNormalFwdRateIpc | Iterative Predictor-Corrector |
| CLogNormalFwdRatePc | Predictor-Corrector |
| CNormalFwdRatePc | Predictor-Corrector |
| CSVDDFwdRatePc | |
| ▶CMarketModelMultiProduct | Market-model product |
| CMarketModelCashRebate | |
| ▶CMarketModelComposite | Composition of two or more market-model products |
| CMultiProductComposite | Composition of one or more market-model products |
| CSingleProductComposite | Composition of one or more market-model products |
| ▶CMultiProductMultiStep | Multiple-step market-model product |
| CMultiStepSwaption | |
| CMultiProductOneStep | Single-step market-model product |
| CMultiProductPathwiseWrapper | |
| CMarketModelPathwiseDiscounter | |
| ▶CMarketModelPathwiseMultiProduct | Market-model pathwise product |
| CMarketModelPathwiseCashRebate | |
| CMarketModelPathwiseCoterminalSwaptionsDeflated | |
| CMarketModelPathwiseCoterminalSwaptionsNumericalDeflated | |
| CMarketModelPathwiseInverseFloater | |
| CMarketModelPathwiseMultiCaplet | Market-model pathwise caplet |
| CMarketModelPathwiseMultiDeflatedCap | |
| CMarketModelPathwiseSwap | |
| ▶CMarketModelVolProcess | |
| CSquareRootAndersen | |
| CMarshallOlkinCopula | Marshall-Olkin copula |
| ▶CMatrix | Matrix used in linear algebra |
| CDisposable< QuantLib::Matrix > | |
| CMaxCopula | Max copula |
| ▶CMcSimulation< MC, RNG, S > | Base class for Monte Carlo engines |
| CMCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
| CMCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
| CMCVanillaEngine< MC, RNG, S, Inst > | Pricing engine for vanilla options using Monte Carlo simulation |
| ▶CMeanRevertingPricer | |
| ▶CHaganPricer | CMS-coupon pricer |
| CAnalyticHaganPricer | CMS-coupon pricer |
| CNumericHaganPricer | CMS-coupon pricer |
| CLinearTsrPricer | CMS-coupon pricer |
| CMersenneTwisterUniformRng | Uniform random number generator |
| CMinCopula | Min copula |
| CMixedLinearCubic | Mixed linear/cubic interpolation factory and traits |
| ▶CMixedScheme< Operator > | Mixed (explicit/implicit) scheme for finite difference methods |
| CCrankNicolson< Operator > | Crank-Nicolson scheme for finite difference methods |
| CExplicitEuler< Operator > | Forward Euler scheme for finite difference methods |
| CImplicitEuler< Operator > | Backward Euler scheme for finite difference methods |
| CModifiedCraigSneydScheme | Modified Craig-Sneyd scheme |
| CMoney | Amount of cash |
| CMonteCarloModel< MC, RNG, S > | General-purpose Monte Carlo model for path samples |
| ▶CMoreGreeks | More additional option results |
| COneAssetOption::results | Results from single-asset option calculation |
| CMoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
| CMTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
| CMultiCubicSpline< i > | N-dimensional cubic spline interpolation between discrete points |
| CMultidimIntegral | Integrates a vector or scalar function of vector domain |
| CMultiPath | Correlated multiple asset paths |
| CMultiPathGenerator< GSG > | Generates a multipath from a random number generator |
| CMultiVariate< RNG > | Default Monte Carlo traits for multi-variate models |
| CNoArbSabr | No arbtrage sabr interpolation factory and traits |
| CNonLinearLeastSquare | Non-linear least-square method |
| ▶CNonstandardSwap::arguments | Arguments for nonstandard swap calculation |
| CNonstandardSwaption::arguments | Arguments for nonstandard swaption calculation |
| CNonstandardSwap::results | Results from nonstandard swap calculation |
| CNormalDistribution | Normal distribution function |
| CNull< T > | Template class providing a null value for a given type |
| CNull< Array > | Specialization of null template for this class |
| CNull< Date > | Specialization of Null template for the Date class |
| CNumericalDifferentiation | Numerical Differentiation on arbitrarily spaced grids |
| CNzocr | Nzocr index |
| ▶CObservable | Object that notifies its changes to a set of observers |
| ▶CBootstrapHelper< YoYInflationTermStructure > | |
| CYearOnYearInflationSwapHelper | Year-on-year inflation-swap bootstrap helper |
| ▶CBootstrapHelper< YoYOptionletVolatilitySurface > | |
| CYoYOptionletHelper | Year-on-year inflation-volatility bootstrap helper |
| ▶CBootstrapHelper< ZeroInflationTermStructure > | |
| CZeroCouponInflationSwapHelper | Zero-coupon inflation-swap bootstrap helper |
| ▶CLatentModel< copulaPolicy > | |
| ▶CDefaultLatentModel< copulaPolicy > | Default event Latent Model |
| ▶CConstantLossLatentmodel< copulaPolicy > | |
| CConstantLossModel< copulaPolicy > | |
| CSpotRecoveryLatentModel< copulaPolicy > | Random spot recovery rate latent variable portfolio model |
| ▶CLatentModel< GaussianCopulaPolicy > | |
| CGaussianLHPLossModel | |
| ▶CAffineModel | Affine model class |
| CG2 | Two-additive-factor gaussian model class |
| CLiborForwardModel | Libor forward model |
| ▶COneFactorAffineModel | Single-factor affine base class |
| ▶CCoxIngersollRoss | Cox-Ingersoll-Ross model class |
| CExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
| CGeneralizedHullWhite | Generalized Hull-White model class |
| ▶CVasicek | Vasicek model class |
| CHullWhite | Single-factor Hull-White (extended Vasicek) model class |
| ▶CBootstrapHelper< TS > | Base helper class for bootstrapping |
| ▶CBondHelper | Bond helper for curve bootstrap |
| CCPIBondHelper | CPI bond helper for curve bootstrap |
| CFixedRateBondHelper | Fixed-coupon bond helper for curve bootstrap |
| CDatedOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
| CFuturesRateHelper | Rate helper for bootstrapping over IborIndex futures prices |
| ▶CRelativeDateBootstrapHelper< TS > | Bootstrap helper with date schedule relative to global evaluation date |
| CArithmeticOISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
| CBMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
| ▶CCdsHelper | |
| CSpreadCdsHelper | Spread-quoted CDS hazard rate bootstrap helper |
| CUpfrontCdsHelper | Upfront-quoted CDS hazard rate bootstrap helper |
| CDepositRateHelper | Rate helper for bootstrapping over deposit rates |
| CFraRateHelper | Rate helper for bootstrapping over FRA rates |
| CFxSwapRateHelper | Rate helper for bootstrapping over Fx Swap rates |
| COISRateHelper | Rate helper for bootstrapping over Overnight Indexed Swap rates |
| CSwapRateHelper | Rate helper for bootstrapping over swap rates |
| ▶CCalibratedModel | Calibrated model class |
| CGJRGARCHModel | GJR-GARCH model for the stochastic volatility of an asset |
| CGsr | One factor gsr model, formulation is in forward measure |
| ▶CHestonModel | Heston model for the stochastic volatility of an asset |
| CBatesModel | Bates stochastic-volatility model |
| CLiborForwardModel | Libor forward model |
| CMarkovFunctional | |
| CPiecewiseTimeDependentHestonModel | Piecewise time dependent Heston model |
| ▶CShortRateModel | Abstract short-rate model class |
| ▶COneFactorModel | Single-factor short-rate model abstract class |
| CBlackKarasinski | Standard Black-Karasinski model class |
| COneFactorAffineModel | Single-factor affine base class |
| ▶CTwoFactorModel | Abstract base-class for two-factor models |
| CG2 | Two-additive-factor gaussian model class |
| CVarianceGammaModel | Variance Gamma model |
| ▶CClaim | Claim associated to a default event |
| CFaceValueAccrualClaim | Claim on the notional of a reference security, including accrual |
| CFaceValueClaim | Claim on a notional |
| CCommodityIndex | Base class for commodity indexes |
| ▶CDefaultLossModel | |
| CBaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > | |
| CBinomialLossModel< LLM > | |
| CConstantLossModel< copulaPolicy > | |
| CGaussianLHPLossModel | |
| CHomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite homogeneous pool |
| CInhomogeneousPoolLossModel< copulaPolicy > | Default loss distribution convolution for finite non homogeneous pool |
| CRandomLM< derivedRandomLM, copulaPolicy, USNG > | |
| CRecursiveLossModel< copulaPolicy > | |
| CSaddlePointLossModel< CP > | Saddle point portfolio credit default loss model |
| ▶CRandomLM< RandomDefaultLM, copulaPolicy, USNG > | |
| CRandomDefaultLM< copulaPolicy, USNG > | |
| ▶CRandomLM< RandomLossLM, copulaPolicy, USNG > | |
| CRandomLossLM< copulaPolicy, USNG > | |
| ▶CEvent | Base class for event |
| ▶CCallability | instrument callability |
| CSoftCallability | callability leaving to the holder the possibility to convert |
| ▶CCashFlow | Base class for cash flows |
| ▶CCoupon | coupon accruing over a fixed period |
| CFixedRateCoupon | Coupon paying a fixed interest rate |
| ▶CFloatingRateCoupon | Base floating-rate coupon class |
| CAverageBMACoupon | Average BMA coupon |
| CCappedFlooredCoupon | Capped and/or floored floating-rate coupon |
| CCmsCoupon | CMS coupon class |
| CCmsSpreadCoupon | CMS spread coupon class |
| ▶CDigitalCoupon | Digital-payoff coupon |
| CDigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
| CDigitalCmsSpreadCoupon | Cms-spread-rate coupon with digital digital call/put option |
| CDigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
| CIborCoupon | Coupon paying a Libor-type index |
| COvernightIndexedCoupon | Overnight coupon |
| ▶CInflationCoupon | Base inflation-coupon class |
| CCPICoupon | Coupon paying the performance of a CPI (zero inflation) index |
| ▶CYoYInflationCoupon | Coupon paying a YoY-inflation type index |
| CCappedFlooredYoYInflationCoupon | Capped or floored inflation coupon |
| ▶CDividend | Predetermined cash flow |
| CFixedDividend | Predetermined cash flow |
| CFractionalDividend | Predetermined cash flow |
| ▶CIndexedCashFlow | Cash flow dependent on an index ratio |
| CCPICashFlow | Cash flow paying the performance of a CPI (zero inflation) index |
| ▶CSimpleCashFlow | Predetermined cash flow |
| CAmortizingPayment | Amortizing payment |
| CRedemption | Bond redemption |
| CDefaultEvent | Credit event on a bond of a certain seniority(ies)/currency |
| ▶CFloatingRateCouponPricer | Generic pricer for floating-rate coupons |
| CArithmeticAveragedOvernightIndexedCouponPricer | |
| ▶CCmsCouponPricer | Base pricer for vanilla CMS coupons |
| CHaganPricer | CMS-coupon pricer |
| CLinearTsrPricer | CMS-coupon pricer |
| ▶CCmsSpreadCouponPricer | Base pricer for vanilla CMS spread coupons |
| CLognormalCmsSpreadPricer | CMS spread - coupon pricer |
| ▶CIborCouponPricer | Base pricer for capped/floored Ibor coupons |
| CBlackIborCouponPricer | |
| ▶CIndex | Purely virtual base class for indexes |
| ▶CInflationIndex | Base class for inflation-rate indexes, |
| ▶CYoYInflationIndex | Base class for year-on-year inflation indices |
| CYYAUCPI | Genuine year-on-year AU CPI (i.e. not a ratio) |
| CYYAUCPIr | Fake year-on-year AUCPI (i.e. a ratio) |
| CYYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) |
| CYYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP) |
| CYYEUHICPXT | Genuine year-on-year EU HICPXT |
| CYYFRHICP | Genuine year-on-year FR HICP (i.e. not a ratio) |
| CYYFRHICPr | Fake year-on-year FR HICP (i.e. a ratio) |
| CYYGenericCPI | Genuine year-on-year Generic CPI (i.e. not a ratio) |
| CYYGenericCPIr | Fake year-on-year GenericCPI (i.e. a ratio) |
| CYYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) |
| CYYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI) |
| CYYUSCPI | Genuine year-on-year US CPI (i.e. not a ratio of US CPI) |
| CYYUSCPIr | Fake year-on-year US CPI (i.e. a ratio of US CPI) |
| CYYZACPI | Genuine year-on-year South African CPI (i.e. not a ratio of ZA CPI) |
| CYYZACPIr | Fake year-on-year South African CPI (i.e. a ratio of ZA CPI) |
| ▶CZeroInflationIndex | Base class for zero inflation indices |
| CAUCPI | AU CPI index (either quarterly or annual) |
| CEUHICP | EU HICP index |
| CEUHICPXT | EU HICPXT index |
| CFRHICP | FR HICP index |
| CGenericCPI | Generic CPI index |
| CUKRPI | UK Retail Price Inflation Index |
| CUSCPI | US CPI index |
| CZACPI | South African Comsumer Price Inflation Index |
| ▶CInterestRateIndex | Base class for interest rate indexes |
| CBMAIndex | Bond Market Association index |
| ▶CIborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
| ▶CBbsw | Bbsw index |
| CBbsw1M | 1-month Bbsw index |
| CBbsw2M | 2-months Bbsw index |
| CBbsw3M | 3-months Bbsw index |
| CBbsw4M | 4-months Bbsw index |
| CBbsw5M | 5-months Bbsw index |
| CBbsw6M | 6-months Bbsw index |
| ▶CBkbm | Bkbm index |
| CBkbm1M | 1-month Bkbm index |
| CBkbm2M | 2-months Bkbm index |
| CBkbm3M | 3-months Bkbm index |
| CBkbm4M | 4-months Bkbm index |
| CBkbm5M | 5-months Bkbm index |
| CBkbm6M | 6-months Bkbm index |
| CCdor | CDOR rate |
| ▶CDailyTenorEURLibor | Base class for the one day deposit ICE EUR LIBOR indexes |
| CEURLiborON | Overnight EUR Libor index |
| ▶CDailyTenorLibor | Base class for all O/N-S/N BBA LIBOR indexes but the EUR ones |
| CCADLiborON | Overnight CAD Libor index |
| CDailyTenorCHFLibor | Base class for the one day deposit BBA CHF LIBOR indexes |
| ▶CDailyTenorGBPLibor | Base class for the one day deposit ICE GBP LIBOR indexes |
| CGBPLiborON | Overnight GBP Libor index |
| CDailyTenorJPYLibor | Base class for the one day deposit ICE JPY LIBOR indexes |
| ▶CDailyTenorUSDLibor | Base class for the one day deposit ICE USD LIBOR indexes |
| CUSDLiborON | Overnight USD Libor index |
| ▶CEuribor | Euribor index |
| CEuribor10M | 10-months Euribor index |
| CEuribor11M | 11-months Euribor index |
| CEuribor1M | 1-month Euribor index |
| CEuribor1Y | 1-year Euribor index |
| CEuribor2M | 2-months Euribor index |
| CEuribor2W | 2-weeks Euribor index |
| CEuribor3M | 3-months Euribor index |
| CEuribor3W | 3-weeks Euribor index |
| CEuribor4M | 4-months Euribor index |
| CEuribor5M | 5-months Euribor index |
| CEuribor6M | 6-months Euribor index |
| CEuribor7M | 7-months Euribor index |
| CEuribor8M | 8-months Euribor index |
| CEuribor9M | 9-months Euribor index |
| CEuriborSW | 1-week Euribor index |
| ▶CEuribor365 | Actual/365 Euribor index |
| CEuribor365_10M | 10-months Euribor365 index |
| CEuribor365_11M | 11-months Euribor365 index |
| CEuribor365_1M | 1-month Euribor365 index |
| CEuribor365_1Y | 1-year Euribor365 index |
| CEuribor365_2M | 2-months Euribor365 index |
| CEuribor365_2W | 2-weeks Euribor365 index |
| CEuribor365_3M | 3-months Euribor365 index |
| CEuribor365_3W | 3-weeks Euribor365 index |
| CEuribor365_4M | 4-months Euribor365 index |
| CEuribor365_5M | 5-months Euribor365 index |
| CEuribor365_6M | 6-months Euribor365 index |
| CEuribor365_7M | 7-months Euribor365 index |
| CEuribor365_8M | 8-months Euribor365 index |
| CEuribor365_9M | 9-months Euribor365 index |
| CEuribor365_SW | 1-week Euribor365 index |
| ▶CEURLibor | Base class for all ICE EUR LIBOR indexes but the O/N |
| CEURLibor10M | 10-months EUR Libor index |
| CEURLibor11M | 11-months EUR Libor index |
| CEURLibor1M | 1-month EUR Libor index |
| CEURLibor1Y | 1-year EUR Libor index |
| CEURLibor2M | 2-months EUR Libor index |
| CEURLibor2W | 2-weeks EUR Libor index |
| CEURLibor3M | 3-months EUR Libor index |
| CEURLibor4M | 4-months EUR Libor index |
| CEURLibor5M | 5-months EUR Libor index |
| CEURLibor6M | 6-months EUR Libor index |
| CEURLibor7M | 7-months EUR Libor index |
| CEURLibor8M | 8-months EUR Libor index |
| CEURLibor9M | 9-months EUR Libor index |
| CEURLiborSW | 1-week EUR Libor index |
| CJibar | JIBAR rate |
| ▶CLibor | Base class for all ICE LIBOR indexes but the EUR, O/N, and S/N ones |
| CAUDLibor | AUD LIBOR rate |
| CCADLibor | CAD LIBOR rate |
| CCHFLibor | CHF LIBOR rate |
| CDKKLibor | DKK LIBOR rate |
| CGBPLibor | GBP LIBOR rate |
| CJPYLibor | JPY LIBOR rate |
| CNZDLibor | NZD LIBOR rate |
| CSEKLibor | SEK LIBOR rate |
| CUSDLibor | USD LIBOR rate |
| CProxyIbor | IborIndex calculated as proxy of some other IborIndex |
| CTibor | JPY TIBOR index |
| CTRLibor | TRY LIBOR rate |
| CZibor | CHF ZIBOR rate |
| ▶CSwapIndex | Base class for swap-rate indexes |
| CChfLiborSwapIsdaFix | ChfLiborSwapIsdaFix index base class |
| CEuriborSwapIfrFix | EuriborSwapIfrFix index base class |
| CEuriborSwapIsdaFixA | EuriborSwapIsdaFixA index base class |
| CEuriborSwapIsdaFixB | EuriborSwapIsdaFixB index base class |
| CEurLiborSwapIfrFix | EurLiborSwapIfrFix index base class |
| CEurLiborSwapIsdaFixA | EurLiborSwapIsdaFixA index base class |
| CEurLiborSwapIsdaFixB | EurLiborSwapIsdaFixB index base class |
| CGbpLiborSwapIsdaFix | GbpLiborSwapIsdaFix index base class |
| CJpyLiborSwapIsdaFixAm | JpyLiborSwapIsdaFixAm index base class |
| CJpyLiborSwapIsdaFixPm | JpyLiborSwapIsdaFixPm index base class |
| COvernightIndexedSwapIndex | Base class for overnight indexed swap indexes |
| CUsdLiborSwapIsdaFixAm | UsdLiborSwapIsdaFixAm index base class |
| CUsdLiborSwapIsdaFixPm | UsdLiborSwapIsdaFixPm index base class |
| CSwapSpreadIndex | Class for swap-rate spread indexes |
| ▶CInflationCouponPricer | Base inflation-coupon pricer |
| CCPICouponPricer | Base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO |
| ▶CYoYInflationCouponPricer | Base pricer for capped/floored YoY inflation coupons |
| CBachelierYoYInflationCouponPricer | Bachelier-formula pricer for capped/floored yoy inflation coupons |
| CBlackYoYInflationCouponPricer | Black-formula pricer for capped/floored yoy inflation coupons |
| CUnitDisplacedBlackYoYInflationCouponPricer | Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons |
| CLatentModel< copulaPolicyImpl > | Generic multifactor latent variable model |
| ▶CLazyObject | Framework for calculation on demand and result caching |
| CAbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
| CAndreasenHugeVolatilityInterpl | Calibration of a local volatility surface to a sparse grid of options |
| CBasket | |
| ▶CCalibrationHelper | Liquid market instrument used during calibration |
| CCapHelper | Calibration helper for ATM cap |
| CHestonModelHelper | Calibration helper for Heston model |
| CSwaptionHelper | Calibration helper for ATM swaption |
| CCapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
| CCapFloorTermVolSurface | Cap/floor smile volatility surface |
| CCmsMarket | Set of CMS quotes |
| CEurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
| CFittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
| CFlatForward | Flat interest-rate curve |
| CForwardSwapQuote | Quote for a forward starting swap |
| ▶CGaussian1dModel | |
| CGsr | One factor gsr model, formulation is in forward measure |
| CMarkovFunctional | |
| CHestonSLVMCModel | |
| CImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
| ▶CInstrument | Abstract instrument class |
| ▶CBond | Base bond class |
| CAmortizingCmsRateBond | Amortizing CMS-rate bond |
| CAmortizingFixedRateBond | Amortizing fixed-rate bond |
| CAmortizingFloatingRateBond | Amortizing floating-rate bond (possibly capped and/or floored) |
| ▶CCallableBond | Callable bond base class |
| ▶CCallableFixedRateBond | Callable/puttable fixed rate bond |
| CCallableZeroCouponBond | Callable/puttable zero coupon bond |
| CCmsRateBond | CMS-rate bond |
| ▶CConvertibleBond | Base class for convertible bonds |
| CConvertibleFixedCouponBond | Convertible fixed-coupon bond |
| CConvertibleFloatingRateBond | Convertible floating-rate bond |
| CConvertibleZeroCouponBond | Convertible zero-coupon bond |
| CCPIBond | |
| ▶CFixedRateBond | Fixed-rate bond |
| CBTP | Italian BTP (Buono Poliennali del Tesoro) fixed rate bond |
| ▶CFloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
| CCCTEU | |
| CZeroCouponBond | Zero-coupon bond |
| ▶CCapFloor | Base class for cap-like instruments |
| CCap | Concrete cap class |
| CCollar | Concrete collar class |
| CFloor | Concrete floor class |
| CCDO | Collateralized debt obligation |
| ▶CCommodity | Commodity base class |
| ▶CEnergyCommodity | Energy commodity class |
| CEnergyFuture | Energy future |
| CCompositeInstrument | Composite instrument |
| CCPICapFloor | CPI cap or floor |
| CCreditDefaultSwap | Credit default swap |
| ▶CForward | Abstract base forward class |
| CFixedRateBondForward | Forward contract on a fixed-rate bond |
| CNthToDefault | N-th to default swap |
| ▶COption | Base option class |
| CCdsOption | CDS option |
| CFloatFloatSwaption | Floatfloat swaption class |
| CIrregularSwaption | Irregular Swaption class |
| ▶CMultiAssetOption | Base class for options on multiple assets |
| CBasketOption | Basket option on a number of assets |
| CHimalayaOption | Himalaya option |
| CMargrabeOption | Margrabe option on two assets |
| CPagodaOption | Roofed Asian option on a number of assets |
| CSpreadOption | Spread option on two assets |
| CNonstandardSwaption | Nonstandard swaption class |
| ▶COneAssetOption | Base class for options on a single asset |
| ▶CBarrierOption | Barrier option on a single asset |
| CDividendBarrierOption | Single-asset barrier option with discrete dividends |
| CQuantoBarrierOption | Quanto version of a barrier option |
| CCliquetOption | Cliquet (Ratchet) option |
| CCompoundOption | Compound option on a single asset |
| CContinuousAveragingAsianOption | Continuous-averaging Asian option |
| ▶CContinuousFixedLookbackOption | Continuous-fixed lookback option |
| CContinuousPartialFixedLookbackOption | Continuous-partial-fixed lookback option |
| ▶CContinuousFloatingLookbackOption | Continuous-floating lookback option |
| CContinuousPartialFloatingLookbackOption | Continuous-partial-floating lookback option |
| CDiscreteAveragingAsianOption | Discrete-averaging Asian option |
| CDividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
| ▶CDoubleBarrierOption | Double Barrier option on a single asset |
| CQuantoDoubleBarrierOption | Quanto version of a double barrier option |
| ▶CForwardVanillaOption | Forward version of a vanilla option |
| CQuantoForwardVanillaOption | Quanto version of a forward vanilla option |
| CQuantoVanillaOption | Quanto version of a vanilla option |
| CSimpleChooserOption | Simple chooser option |
| ▶CVanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
| CEuropeanOption | European option on a single asset |
| CVanillaStorageOption | Base option class |
| CVanillaSwingOption | Base option class |
| CWriterExtensibleOption | Writer-extensible option |
| CSwaption | Swaption class |
| CTwoAssetBarrierOption | Barrier option on two assets |
| CPathMultiAssetOption | Base class for path-dependent options on multiple assets |
| CRiskyAssetSwap | Risky asset-swap instrument |
| CRiskyAssetSwapOption | Option on risky asset swap |
| ▶CRiskyBond | |
| CRiskyFixedBond | |
| CRiskyFloatingBond | |
| CStock | Simple stock class |
| ▶CSwap | Interest rate swap |
| CArithmeticAverageOIS | Arithemtic Average OIS: fix vs arithmetic average of overnight rate |
| CAssetSwap | Bullet bond vs Libor swap |
| CBMASwap | Swap paying Libor against BMA coupons |
| CCPISwap | Zero-inflation-indexed swap, |
| CFloatFloatSwap | Float float swap |
| CIrregularSwap | Irregular swap: fixed vs floating leg |
| CNonstandardSwap | Nonstandard swap |
| COvernightIndexedSwap | Overnight indexed swap: fix vs compounded overnight rate |
| CVanillaSwap | Plain-vanilla swap: fix vs floating leg |
| CYearOnYearInflationSwap | Year-on-year inflation-indexed swap |
| CZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
| CSyntheticCDO | Synthetic Collateralized Debt Obligation |
| CVarianceOption | Variance option |
| CVarianceSwap | Variance swap |
| ▶CYoYInflationCapFloor | Base class for yoy inflation cap-like instruments |
| CYoYInflationCap | Concrete YoY Inflation cap class |
| CYoYInflationCollar | Concrete YoY Inflation collar class |
| CYoYInflationFloor | Concrete YoY Inflation floor class |
| CMultiCurveSensitivities | Multi curve sensitivities |
| ▶COneFactorCopula | Abstract base class for one-factor copula models |
| COneFactorGaussianCopula | One-factor Gaussian Copula |
| COneFactorGaussianStudentCopula | One-factor Gaussian-Student t-Copula |
| COneFactorStudentCopula | One-factor Double Student t-Copula |
| COneFactorStudentGaussianCopula | One-factor Student t - Gaussian Copula |
| CPiecewiseDefaultCurve< Traits, Interpolator, Bootstrap > | Piecewise default-probability term structure |
| CPiecewiseYieldCurve< Traits, Interpolator, Bootstrap > | Piecewise yield term structure |
| CPiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation term structure |
| CPiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits > | Piecewise year-on-year inflation volatility term structure |
| CPiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > | Piecewise zero-inflation term structure |
| CRandomLM< derivedRandomLM, copulaPolicy, USNG > | |
| CStrippedOptionletAdapter | |
| ▶CStrippedOptionletBase | |
| ▶COptionletStripper | |
| COptionletStripper1 | |
| COptionletStripper2 | |
| CStrippedOptionlet | |
| CRandomLM< RandomDefaultLM, copulaPolicy, USNG > | |
| CRandomLM< RandomLossLM, copulaPolicy, USNG > | |
| CMarketModelFactory | Base class for market-model factories |
| ▶CPricingEngine | Interface for pricing engines |
| ▶CGenericEngine< Arguments, Results > | |
| ▶CGenericModelEngine< ShortRateModel, Arguments, Results > | |
| CLatticeShortRateModelEngine< Arguments, Results > | Engine for a short-rate model specialized on a lattice |
| ▶CGenericEngine< BarrierOption::arguments, BarrierOption::results > | |
| ▶CBarrierOption::engine | Barrier-option engine base class |
| CAnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
| CAnalyticBinaryBarrierEngine | Analytic pricing engine for American binary barriers options |
| CBinomialBarrierEngine< T, D > | Pricing engine for barrier options using binomial trees |
| CMCBarrierEngine< RNG, S > | Pricing engine for barrier options using Monte Carlo simulation |
| CPerturbativeBarrierOptionEngine | Perturbative barrier-option engine |
| ▶CGenericEngine< BasketOption::arguments, BasketOption::results > | |
| ▶CBasketOption::engine | Basket-option engine base class |
| CMCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG > | |
| CFd2dBlackScholesVanillaEngine | Two dimensional finite-differences Black Scholes vanilla option engine |
| CKirkEngine | Pricing engine for spread option on two futures |
| CMCEuropeanBasketEngine< RNG, S > | Pricing engine for European basket options using Monte Carlo simulation |
| CStulzEngine | Pricing engine for 2D European Baskets |
| CGenericEngine< Bond::arguments, Bond::results > | |
| ▶CGenericEngine< CallableBond::arguments, CallableBond::results > | |
| ▶CGenericModelEngine< ShortRateModel, CallableBond::arguments, CallableBond::results > | |
| ▶CLatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results > | |
| ▶CTreeCallableFixedRateBondEngine | Numerical lattice engine for callable fixed rate bonds |
| CTreeCallableZeroCouponBondEngine | Numerical lattice engine for callable zero coupon bonds |
| ▶CCallableBond::engine | Base class for callable fixed rate bond engine |
| ▶CBlackCallableFixedRateBondEngine | Black-formula callable fixed rate bond engine |
| CBlackCallableZeroCouponBondEngine | Black-formula callable zero coupon bond engine |
| ▶CGenericEngine< CapFloor::arguments, CapFloor::results > | |
| ▶CGenericModelEngine< AffineModel, CapFloor::arguments, CapFloor::results > | |
| CAnalyticCapFloorEngine | Analytic engine for cap/floor |
| ▶CGenericModelEngine< Gaussian1dModel, CapFloor::arguments, CapFloor::results > | |
| CGaussian1dCapFloorEngine | Gaussian1d cap/floor engine |
| ▶CGenericModelEngine< ShortRateModel, CapFloor::arguments, CapFloor::results > | |
| ▶CLatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results > | |
| CTreeCapFloorEngine | Numerical lattice engine for cap/floors |
| ▶CCapFloor::engine | Base class for cap/floor engines |
| CBachelierCapFloorEngine | Bachelier-Black-formula cap/floor engine |
| CBlackCapFloorEngine | Black-formula cap/floor engine |
| CMCHullWhiteCapFloorEngine< RNG, S > | Monte Carlo Hull-White engine for cap/floors |
| ▶CGenericEngine< CatBond::arguments, CatBond::results > | |
| CCatBond::engine | Base class for cat bond engine |
| ▶CGenericEngine< CdsOption::arguments, CdsOption::results > | |
| ▶CCdsOption::engine | Base class for swaption engines |
| CBlackCdsOptionEngine | Black-formula CDS-option engine |
| ▶CGenericEngine< CliquetOption::arguments, CliquetOption::results > | |
| ▶CCliquetOption::engine | Cliquet engine base class |
| CAnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
| CAnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
| CMCPerformanceEngine< RNG, S > | Pricing engine for performance options using Monte Carlo simulation |
| CGenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > | |
| ▶CGenericEngine< CompoundOption::arguments, CompoundOption::results > | |
| ▶CCompoundOption::engine | Compound-option engine base class |
| CAnalyticCompoundOptionEngine | Pricing engine for compound options using analytical formulae |
| ▶CGenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
| ▶CContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class |
| CAnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
| CContinuousArithmeticAsianVecerEngine | Vecer engine for continuous-avaeraging Asian options |
| ▶CGenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
| ▶CContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class |
| CAnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
| ▶CGenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > | |
| ▶CContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class |
| CAnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
| ▶CGenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > | |
| ▶CContinuousPartialFixedLookbackOption::engine | Continuous partial fixed lookback engine base class |
| CAnalyticContinuousPartialFixedLookbackEngine | Pricing engine for European continuous partial-time fixed-strike lookback options |
| ▶CGenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > | |
| ▶CContinuousPartialFloatingLookbackOption::engine | Continuous partial floating lookback engine base class |
| CAnalyticContinuousPartialFloatingLookbackEngine | Pricing engine for European continuous partial-time floating-strike lookback option |
| CGenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > | |
| CGenericEngine< CPICapFloor::arguments, CPICapFloor::results > | |
| CGenericEngine< CPISwap::arguments, CPISwap::results > | |
| CGenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > | |
| ▶CGenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| ▶CDiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class |
| CAnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
| CAnalyticDiscreteGeometricAverageStrikeAsianEngine | Pricing engine for European discrete geometric average-strike Asian option |
| CMCDiscreteAveragingAsianEngine< RNG, S > | Pricing engine for discrete average Asians using Monte Carlo simulation |
| ▶CGenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
| ▶CGenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results > | |
| CFdHestonBarrierEngine | Finite-Differences Heston Barrier Option engine |
| CFdHestonRebateEngine | Finite-Differences Heston Barrier Option rebate helper engine |
| ▶CDividendBarrierOption::engine | Dividend-barrier-option engine base class |
| CFdBlackScholesBarrierEngine | Finite-Differences Black Scholes barrier option engine |
| CFdBlackScholesRebateEngine | Finite-Differences Black Scholes barrier option rebate helper engine |
| CVannaVolgaBarrierEngine | Vanna Volga barrier option engine |
| ▶CGenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| ▶CGenericModelEngine< BatesModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| CFdBatesVanillaEngine | Partial Integro FiniteDifferences Bates Vanilla Option engine |
| ▶CGenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| CFdHestonHullWhiteVanillaEngine | Finite-Differences Heston Hull-White Vanilla Option engine |
| CFdHestonVanillaEngine | Finite-Differences Heston Vanilla Option engine |
| ▶CDividendVanillaOption::engine | Dividend-vanilla-option engine base class |
| CAnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
| ▶CGenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
| ▶CGenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
| CFdHestonDoubleBarrierEngine | Finite-Differences Heston Double Barrier Option engine |
| ▶CDoubleBarrierOption::engine | Double-Barrier-option engine base class |
| CAnalyticDoubleBarrierBinaryEngine | Analytic pricing engine for double barrier binary options |
| CAnalyticDoubleBarrierEngine | Pricing engine for double barrier european options using analytical formulae |
| CBinomialDoubleBarrierEngine< T, D > | Pricing engine for double barrier options using binomial trees |
| CWulinYongDoubleBarrierEngine | Pricing engine for barrier options using analytical formulae |
| CVannaVolgaDoubleBarrierEngine< DoubleBarrierEngine > | Vanna Volga double-barrier option engine |
| CGenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > | |
| CGenericEngine< EverestOption::arguments, EverestOption::results > | |
| CGenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > | |
| ▶CGenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > | |
| ▶CGenericModelEngine< Gaussian1dModel, FloatFloatSwaption::arguments, FloatFloatSwaption::results > | |
| CGaussian1dFloatFloatSwaptionEngine | One factor model float float swaption engine |
| CFloatFloatSwaption::engine | Base class for cms swaption engines |
| ▶CGenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
| ▶CForwardVanillaEngine< Engine > | Forward engine for vanilla options |
| CForwardPerformanceVanillaEngine< Engine > | Forward performance engine for vanilla options |
| CGenericEngine< HimalayaOption::arguments, HimalayaOption::results > | |
| CGenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > | |
| ▶CGenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
| CQuantoEngine< Instr, Engine > | Quanto engine |
| CGenericEngine< IrregularSwap::arguments, IrregularSwap::results > | |
| ▶CGenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > | |
| CHaganIrregularSwaptionEngine | Pricing engine for irregular swaptions |
| CIrregularSwaption::engine | Base class for irregular-swaption engines |
| ▶CGenericEngine< MargrabeOption::arguments, MargrabeOption::results > | |
| ▶CMargrabeOption::engine | Margrabe option engine base class |
| CAnalyticAmericanMargrabeEngine | Analytic engine for American Margrabe option |
| CAnalyticEuropeanMargrabeEngine | Analytic engine for European Margrabe option |
| CGenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > | |
| CGenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > | |
| ▶CGenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | |
| ▶CGenericModelEngine< Gaussian1dModel, NonstandardSwaption::arguments, NonstandardSwaption::results > | |
| CGaussian1dNonstandardSwaptionEngine | One factor model non standard swaption engine |
| CNonstandardSwaption::engine | Base class for nonstandard swaption engines |
| ▶CGenericEngine< NthToDefault::arguments, NthToDefault::results > | |
| CNthToDefault::engine | NTD base engine |
| CGenericEngine< OneAssetOption::arguments, OneAssetOption::results > | |
| ▶CGenericEngine< PagodaOption::arguments, PagodaOption::results > | |
| ▶CPagodaOption::engine | Pagoda-option engine base class |
| CMCPagodaEngine< RNG, S > | Pricing engine for pagoda options using Monte Carlo simulation |
| ▶CGenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > | |
| CPartialTimeBarrierOption::engine | Partial-Time-Barrier-Option engine base class |
| CGenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > | |
| ▶CGenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > | |
| ▶CSimpleChooserOption::engine | Simple chooser option engine base class |
| CAnalyticSimpleChooserEngine | Pricing engine for European Simple Chooser option |
| ▶CGenericEngine< SpreadOption::arguments, SpreadOption::results > | |
| ▶CSpreadOption::engine | Spread option engine base class |
| CKirkSpreadOptionEngine | Kirk approximation for European spread option on futures |
| CGenericEngine< Swap::arguments, Swap::results > | |
| ▶CGenericEngine< Swaption::arguments, Swaption::results > | |
| ▶CGenericModelEngine< G2, Swaption::arguments, Swaption::results > | |
| CG2SwaptionEngine | Swaption priced by means of the Black formula |
| ▶CGenericModelEngine< Gaussian1dModel, Swaption::arguments, Swaption::results > | |
| CGaussian1dJamshidianSwaptionEngine | Jamshidian swaption engine |
| CGaussian1dSwaptionEngine | One factor model swaption engine |
| CGenericModelEngine< HullWhite, Swaption::arguments, Swaption::results > | |
| ▶CGenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results > | |
| CLfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
| ▶CGenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results > | |
| CJamshidianSwaptionEngine | Jamshidian swaption engine |
| ▶CGenericModelEngine< ShortRateModel, Swaption::arguments, Swaption::results > | |
| ▶CLatticeShortRateModelEngine< Swaption::arguments, Swaption::results > | |
| CTreeSwaptionEngine | Numerical lattice engine for swaptions |
| ▶CSwaption::engine | Base class for swaption engines |
| ▶CBlackStyleSwaptionEngine< detail::BachelierSpec > | |
| CBachelierSwaptionEngine | Normal Bachelier-formula swaption engine |
| ▶CBlackStyleSwaptionEngine< detail::Black76Spec > | |
| CBlackSwaptionEngine | Shifted Lognormal Black-formula swaption engine |
| CBlackStyleSwaptionEngine< Spec > | |
| ▶CGenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
| ▶CSyntheticCDO::engine | CDO base engine |
| CMidPointCDOEngine | CDO base engine taking schedule steps |
| ▶CGenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
| ▶CTwoAssetBarrierOption::engine | Two-asset barrier-option engine base class |
| CAnalyticTwoAssetBarrierEngine | Analytic engine for barrier option on two assets |
| CGenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > | |
| ▶CGenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| ▶CGenericModelEngine< GJRGARCHModel, VanillaOption::arguments, VanillaOption::results > | |
| CAnalyticGJRGARCHEngine | GJR-GARCH(1,1) engine |
| ▶CGenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| ▶CAnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
| ▶CAnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
| CAnalyticH1HWEngine | Analytic Heston-Hull-White engine based on the H1-HW approximation |
| CBatesEngine | Bates model engines based on Fourier transform |
| CAnalyticPDFHestonEngine | Analytic engine for arbitrary European payoffs under the Heston model |
| CCOSHestonEngine | COS-method Heston engine based on efficient Fourier series expansions |
| CHestonExpansionEngine | Heston-model engine for European options based on analytic expansions |
| ▶CGenericModelEngine< HullWhite, VanillaOption::arguments, VanillaOption::results > | |
| CAnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
| ▶CGenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > | |
| CAnalyticPTDHestonEngine | Analytic piecewise constant time dependent Heston-model engine |
| CGenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > | |
| ▶CGenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
| ▶CGenericModelEngine< ShortRateModel, VanillaSwap::arguments, VanillaSwap::results > | |
| ▶CLatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results > | |
| CTreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
| CGenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > | |
| CGenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > | |
| ▶CGenericEngine< VarianceOption::arguments, VarianceOption::results > | |
| ▶CVarianceOption::engine | Base class for variance-option engines |
| CIntegralHestonVarianceOptionEngine | Integral Heston-model variance-option engine |
| ▶CGenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
| ▶CVarianceSwap::engine | Base class for variance-swap engines |
| CMCVarianceSwapEngine< RNG, S > | Variance-swap pricing engine using Monte Carlo simulation, |
| CReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
| ▶CGenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > | |
| ▶CWriterExtensibleOption::engine | Base engine |
| CAnalyticWriterExtensibleOptionEngine | Analytic engine for writer-extensible options |
| CGenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > | |
| ▶CGenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
| ▶CYoYInflationCapFloor::engine | Base class for cap/floor engines |
| ▶CYoYInflationCapFloorEngine | Base YoY inflation cap/floor engine |
| CYoYInflationBachelierCapFloorEngine | Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer) |
| 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) |
| CGenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > | |
| ▶CGenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines |
| CGenericModelEngine< ModelType, ArgumentsType, ResultsType > | Base class for some pricing engine on a particular model |
| CMCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
| CMCLongstaffSchwartzPathEngine< GenericEngine, MC, RNG, S > | Longstaff-Schwarz Monte Carlo engine for early exercise options |
| ▶CQuote | Purely virtual base class for market observables |
| CCompositeQuote< BinaryFunction > | Market element whose value depends on two other market element |
| CDeltaVolQuote | Class for the quotation of delta vs vol |
| CDerivedQuote< UnaryFunction > | Market quote whose value depends on another quote |
| CEurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
| CForwardSwapQuote | Quote for a forward starting swap |
| CForwardValueQuote | quote for the forward value of an index |
| CFuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
| CImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
| CLastFixingQuote | Quote adapter for the last fixing available of a given Index |
| CRecoveryRateQuote | Stores a recovery rate market quote and the associated seniority |
| CRendistatoEquivalentSwapLengthQuote | RendistatoCalculator equivalent swap lenth Quote adapter |
| CRendistatoEquivalentSwapSpreadQuote | RendistatoCalculator equivalent swap spread Quote adapter |
| CSimpleQuote | Market element returning a stored value |
| ▶CRandomDefaultModel | Base class for random default models |
| CGaussianRandomDefaultModel | |
| ▶CRecoveryRateModel | |
| CConstantRecoveryModel | |
| ▶CSmileSection | Interest rate volatility smile section |
| CGaussian1dSmileSection | |
| ▶CStochasticProcess | Multi-dimensional stochastic process class |
| CExtOUWithJumpsProcess | |
| ▶CForwardMeasureProcess | Forward-measure stochastic process |
| CG2ForwardProcess | Forward G2 stochastic process |
| CG2Process | G2 stochastic process |
| CGJRGARCHProcess | Stochastic-volatility GJR-GARCH(1,1) process |
| ▶CHestonProcess | Square-root stochastic-volatility Heston process |
| CBatesProcess | Square-root stochastic-volatility Bates process |
| CHybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
| CKlugeExtOUProcess | |
| CLiborForwardModelProcess | Libor-forward-model process |
| ▶CStochasticProcess1D | 1-dimensional stochastic process |
| CExtendedOrnsteinUhlenbeckProcess | Extended Ornstein-Uhlenbeck process class |
| ▶CForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
| CGsrProcess | GSR stochastic process |
| CHullWhiteForwardProcess | Forward Hull-White stochastic process |
| CGemanRoncoroniProcess | Geman-Roncoroni process class |
| ▶CGeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
| CBlackProcess | Black (1976) stochastic process |
| CBlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
| CBlackScholesProcess | Black-Scholes (1973) stochastic process |
| CExtendedBlackScholesMertonProcess | Experimental Black-Scholes-Merton stochastic process |
| CGarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
| CVegaStressedBlackScholesProcess | Black-Scholes process which supports local vega stress tests |
| CGeneralizedOrnsteinUhlenbeckProcess | Piecewise linear Ornstein-Uhlenbeck process class |
| CGeometricBrownianMotionProcess | Geometric brownian-motion process |
| CHullWhiteProcess | Hull-White stochastic process |
| CMerton76Process | Merton-76 jump-diffusion process |
| CMfStateProcess | Markov functional state process class |
| COrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
| CSquareRootProcess | Square-root process class |
| CVarianceGammaProcess | Variance gamma process |
| CStochasticProcessArray | Array of correlated 1-D stochastic processes |
| CTermStructure | Basic term-structure functionality |
| ▶CTermStructureConsistentModel | Term-structure consistent model class |
| CBlackKarasinski | Standard Black-Karasinski model class |
| CExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
| CG2 | Two-additive-factor gaussian model class |
| CGaussian1dModel | |
| CGeneralizedHullWhite | Generalized Hull-White model class |
| CHullWhite | Single-factor Hull-White (extended Vasicek) model class |
| CObservableValue< T > | observable and assignable proxy to concrete value |
| ▶CObserver | Object that gets notified when a given observable changes |
| CBootstrapHelper< YoYInflationTermStructure > | |
| CBootstrapHelper< YoYOptionletVolatilitySurface > | |
| CBootstrapHelper< ZeroInflationTermStructure > | |
| CGenericEngine< Arguments, Results > | |
| CGenericEngine< BarrierOption::arguments, BarrierOption::results > | |
| CGenericEngine< BasketOption::arguments, BasketOption::results > | |
| CGenericEngine< Bond::arguments, Bond::results > | |
| CGenericEngine< CallableBond::arguments, CallableBond::results > | |
| CGenericEngine< CapFloor::arguments, CapFloor::results > | |
| CGenericEngine< CatBond::arguments, CatBond::results > | |
| CGenericEngine< CdsOption::arguments, CdsOption::results > | |
| CGenericEngine< CliquetOption::arguments, CliquetOption::results > | |
| CGenericEngine< ComplexChooserOption::arguments, ComplexChooserOption::results > | |
| CGenericEngine< CompoundOption::arguments, CompoundOption::results > | |
| CGenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results > | |
| CGenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results > | |
| CGenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results > | |
| CGenericEngine< ContinuousPartialFixedLookbackOption::arguments, ContinuousPartialFixedLookbackOption::results > | |
| CGenericEngine< ContinuousPartialFloatingLookbackOption::arguments, ContinuousPartialFloatingLookbackOption::results > | |
| CGenericEngine< ConvertibleBond::option::arguments, ConvertibleBond::option::results > | |
| CGenericEngine< CPICapFloor::arguments, CPICapFloor::results > | |
| CGenericEngine< CPISwap::arguments, CPISwap::results > | |
| CGenericEngine< CreditDefaultSwap::arguments, CreditDefaultSwap::results > | |
| CGenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| CGenericEngine< DividendBarrierOption::arguments, DividendBarrierOption::results > | |
| CGenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| CGenericEngine< DoubleBarrierOption::arguments, DoubleBarrierOption::results > | |
| CGenericEngine< EnergyCommodity::arguments, EnergyCommodity::results > | |
| CGenericEngine< EverestOption::arguments, EverestOption::results > | |
| CGenericEngine< FloatFloatSwap::arguments, FloatFloatSwap::results > | |
| CGenericEngine< FloatFloatSwaption::arguments, FloatFloatSwaption::results > | |
| CGenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
| CGenericEngine< HimalayaOption::arguments, HimalayaOption::results > | |
| CGenericEngine< HolderExtensibleOption::arguments, HolderExtensibleOption::results > | |
| CGenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > > | |
| CGenericEngine< IrregularSwap::arguments, IrregularSwap::results > | |
| CGenericEngine< IrregularSwaption::arguments, IrregularSwaption::results > | |
| CGenericEngine< MargrabeOption::arguments, MargrabeOption::results > | |
| CGenericEngine< MultiAssetOption::arguments, MultiAssetOption::results > | |
| CGenericEngine< NonstandardSwap::arguments, NonstandardSwap::results > | |
| CGenericEngine< NonstandardSwaption::arguments, NonstandardSwaption::results > | |
| CGenericEngine< NthToDefault::arguments, NthToDefault::results > | |
| CGenericEngine< OneAssetOption::arguments, OneAssetOption::results > | |
| CGenericEngine< PagodaOption::arguments, PagodaOption::results > | |
| CGenericEngine< PartialTimeBarrierOption::arguments, PartialTimeBarrierOption::results > | |
| CGenericEngine< PathMultiAssetOption::arguments, PathMultiAssetOption::results > | |
| CGenericEngine< SimpleChooserOption::arguments, SimpleChooserOption::results > | |
| CGenericEngine< SpreadOption::arguments, SpreadOption::results > | |
| CGenericEngine< Swap::arguments, Swap::results > | |
| CGenericEngine< Swaption::arguments, Swaption::results > | |
| CGenericEngine< SyntheticCDO::arguments, SyntheticCDO::results > | |
| CGenericEngine< TwoAssetBarrierOption::arguments, TwoAssetBarrierOption::results > | |
| CGenericEngine< TwoAssetCorrelationOption::arguments, TwoAssetCorrelationOption::results > | |
| CGenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| CGenericEngine< VanillaStorageOption::arguments, VanillaStorageOption::results > | |
| CGenericEngine< VanillaSwap::arguments, VanillaSwap::results > | |
| CGenericEngine< VanillaSwingOption::arguments, VanillaSwingOption::results > | |
| CGenericEngine< VanillaVPPOption::arguments, VanillaVPPOption::results > | |
| CGenericEngine< VarianceOption::arguments, VarianceOption::results > | |
| CGenericEngine< VarianceSwap::arguments, VarianceSwap::results > | |
| CGenericEngine< WriterExtensibleOption::arguments, WriterExtensibleOption::results > | |
| CGenericEngine< YearOnYearInflationSwap::arguments, YearOnYearInflationSwap::results > | |
| CGenericEngine< YoYInflationCapFloor::arguments, YoYInflationCapFloor::results > | |
| CGenericEngine< ZeroCouponInflationSwap::arguments, ZeroCouponInflationSwap::results > | |
| CLatentModel< copulaPolicy > | |
| CLatentModel< GaussianCopulaPolicy > | |
| CBaseCorrelationLossModel< BaseModel_T, Corr2DInt_T > | |
| CBootstrapHelper< TS > | Base helper class for bootstrapping |
| CCalibratedModel | Calibrated model class |
| CClaim | Claim associated to a default event |
| CCommodityIndex | Base class for commodity indexes |
| CCompositeQuote< BinaryFunction > | Market element whose value depends on two other market element |
| CConstantRecoveryModel | |
| CDeltaVolQuote | Class for the quotation of delta vs vol |
| CDerivedQuote< UnaryFunction > | Market quote whose value depends on another quote |
| CFloatingRateCoupon | Base floating-rate coupon class |
| CFloatingRateCouponPricer | Generic pricer for floating-rate coupons |
| CForwardValueQuote | quote for the forward value of an index |
| CFuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
| CGenericEngine< ArgumentsType, ResultsType > | Template base class for option pricing engines |
| CIndexedCashFlow | Cash flow dependent on an index ratio |
| CInflationCoupon | Base inflation-coupon class |
| CInflationCouponPricer | Base inflation-coupon pricer |
| CInflationIndex | Base class for inflation-rate indexes, |
| CInterestRateIndex | Base class for interest rate indexes |
| CLastFixingQuote | Quote adapter for the last fixing available of a given Index |
| CLatentModel< copulaPolicyImpl > | Generic multifactor latent variable model |
| CLazyObject | Framework for calculation on demand and result caching |
| CRandomDefaultModel | Base class for random default models |
| CSmileSection | Interest rate volatility smile section |
| CStochasticProcess | Multi-dimensional stochastic process class |
| CTermStructure | Basic term-structure functionality |
| ▶COneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics |
| CBlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
| ▶CCoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
| CExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
| CHullWhite::Dynamics | Short-rate dynamics in the Hull-White model |
| CVasicek::Dynamics | Short-rate dynamics in the Vasicek model |
| COperatorFactory | Black-Scholes-Merton differential operator |
| ▶COptimizationMethod | Abstract class for constrained optimization method |
| CDifferentialEvolution | Differential Evolution configuration object |
| CHybridSimulatedAnnealing< Sampler, Probability, Temperature, Reannealing > | |
| CLevenbergMarquardt | Levenberg-Marquardt optimization method |
| CSimplex | Multi-dimensional simplex class |
| CSimulatedAnnealing< RNG > | |
| ▶COption::arguments | Basic option arguments |
| CCdsOption::arguments | Arguments for CDS-option calculation |
| CCliquetOption::arguments | Arguments for cliquet option calculation |
| CFloatFloatSwaption::arguments | Arguments for cms swaption calculation |
| CIrregularSwaption::arguments | Arguments for irregular-swaption calculation |
| CMargrabeOption::arguments | Extra arguments for Margrabe option |
| CNonstandardSwaption::arguments | Arguments for nonstandard swaption calculation |
| CSwaption::arguments | Arguments for swaption calculation |
| CTwoAssetBarrierOption::arguments | Arguments for two-asset barrier option calculation |
| CWriterExtensibleOption::arguments | Additional arguments for writer-extensible option |
| COrthogonalizedBumpFinder | |
| COrthogonalProjections | |
| COvernightLeg | Helper class building a sequence of overnight coupons |
| ▶CParameter | Base class for model arguments |
| CConstantParameter | Standard constant parameter \( a(t) = a \) |
| CNullParameter | Parameter which is always zero \( a(t) = 0 \) |
| CPiecewiseConstantParameter | Piecewise-constant parameter |
| ▶CTermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
| CExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CG2::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CGeneralizedHullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CHullWhite::FittingParameter | Analytical term-structure fitting parameter \( \varphi(t) \) |
| CParameter::Impl | Base class for model parameter implementation |
| CPartialTimeBarrierOption::arguments | Arguments for barrier option calculation |
| CPascalTriangle | Pascal triangle coefficients calculator |
| CPath | Single-factor random walk |
| CPathGenerator< GSG > | Generates random paths using a sequence generator |
| CPathMultiAssetOption::arguments | Arguments for multi-asset option calculation |
| CPathMultiAssetOption::results | Results from multi-asset option calculation |
| CPathPayoff | Abstract base class for path-dependent option payoffs |
| CPathPricer< PathType, ValueType > | Base class for path pricers |
| CPathwiseAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas |
| CPathwiseVegasAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
| CPathwiseVegasOuterAccountingEngine | Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas |
| ▶CPayoff | Abstract base class for option payoffs |
| ▶CDoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
| CRatchetMaxPayoff | RatchetMax payoff (double option) |
| CRatchetMinPayoff | RatchetMin payoff (double option) |
| CRatchetPayoff | Ratchet payoff (single option) |
| CStickyMaxPayoff | StickyMax payoff (double option) |
| CStickyMinPayoff | StickyMin payoff (double option) |
| CStickyPayoff | Sticky payoff (single option) |
| CForwardTypePayoff | Class for forward type payoffs |
| CNullPayoff | Dummy payoff class |
| ▶CTypePayoff | Intermediate class for put/call payoffs |
| CFloatingTypePayoff | Payoff based on a floating strike |
| ▶CStrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
| CAssetOrNothingPayoff | Binary asset-or-nothing payoff |
| CCashOrNothingPayoff | Binary cash-or-nothing payoff |
| CGapPayoff | Binary gap payoff |
| CPercentageStrikePayoff | Payoff with strike expressed as percentage |
| CPlainVanillaPayoff | Plain-vanilla payoff |
| CSuperFundPayoff | Binary supershare and superfund payoffs |
| CSuperSharePayoff | Binary supershare payoff |
| CPeriod | |
| CPlackettCopula | Plackett copula |
| CPoissonDistribution | Poisson distribution function |
| CPolarStudentTRng< URNG > | Student t random number generator |
| CPolynomial | Polynomial2D-spline-interpolation factory |
| CPolynomialFunction | Cubic functional form |
| CPrimeNumbers | Prime numbers calculator |
| CProbabilityAlwaysDownhill | Always Downhill Probability |
| CProbabilityBoltzmann | Boltzmann Probability |
| CProbabilityBoltzmannDownhill | Boltzmann Downhill Probability |
| CProbabilityOfAtLeastNEvents | Probability of at least N events |
| CProbabilityOfNEvents | Probability of N events |
| CProblem | Constrained optimization problem |
| CProtection | Information on a default-protection contract |
| CQuantity | Amount of a commodity |
| CQuantoOptionResults< ResultsType > | Results from quanto option calculation |
| CRandomizedLDS< LDS, PRS > | Randomized (random shift) low-discrepancy sequence |
| CRandomSequenceGenerator< RNG > | Random sequence generator based on a pseudo-random number generator |
| CRangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
| CRanlux3UniformRng | Uniform random number generator |
| CReannealingFiniteDifferences | Reannealing Finite Difference |
| CReannealingTrivial | Reannealing Trivial |
| ▶CRegion | Region class, used for inflation applicability |
| CAustraliaRegion | Australia as geographical/economic region |
| CCustomRegion | Custom geographical/economic region |
| CEURegion | European Union as geographical/economic region |
| CFranceRegion | France as geographical/economic region |
| CGenericRegion | Generic geographical/economic region |
| CUKRegion | United Kingdom as geographical/economic region |
| CUSRegion | USA as geographical/economic region |
| CZARegion | South Africa as geographical/economic region |
| CReplication | Digital option replication strategy |
| CRestructuring | Restructuring type |
| CRichardsonExtrapolation | Richardson Extrapolation |
| ▶CRounding | Basic rounding class |
| CCeilingTruncation | Ceiling truncation |
| CClosestRounding | Closest rounding |
| CDownRounding | Down-rounding |
| CFloorTruncation | Floor truncation |
| CUpRounding | Up-rounding |
| CSABR | SABR interpolation factory and traits |
| CSalvagingAlgorithm | Algorithm used for matricial pseudo square root |
| CSample< T > | Weighted sample |
| CSampledCurve | This class contains a sampled curve |
| CSamplerCauchy | Cauchy Sampler |
| CSamplerGaussian | Gaussian Sampler |
| CSamplerLogNormal | Lognormal Sampler |
| CSamplerMirrorGaussian | Gaussian Mirror Sampler |
| CSamplerRingGaussian | Gaussian Ring Sampler |
| CSamplerVeryFastAnnealing | Very Fast Annealing Sampler |
| CSchedule | Payment schedule |
| ▶CSeasonality | A transformation of an existing inflation swap rate |
| CMultiplicativePriceSeasonality | Multiplicative seasonality in the price index (CPI/RPI/HICP/etc) |
| CSegmentIntegral | Integral of a one-dimensional function |
| CSettlement | settlement information |
| CShoutCondition | Shout option condition |
| CsimEvent< simEventOwner > | |
| CSimpleChooserOption::arguments | Extra arguments for single chooser option |
| CSimpleLocalEstimator | Local-estimator volatility model |
| CSingleton< T > | Basic support for the singleton pattern |
| CSingleVariate< RNG > | Default Monte Carlo traits for single-variate models |
| CSmileSectionUtils | Smile-section utilities |
| CSMMDriftCalculator | Drift computation for coterminal swap market models |
| CSobolBrownianGenerator | Sobol Brownian generator for market-model simulations |
| CSobolRsg | Sobol low-discrepancy sequence generator |
| CSonia | Sonia (Sterling Overnight Index Average) rate |
| CSparseILUPreconditioner | |
| CSphereCylinderOptimizer | |
| CStatsHolder | Helper class for precomputed distributions |
| CSteepestDescent | Multi-dimensional steepest-descent class |
| Cstep_iterator< Iterator > | Iterator advancing in constant steps |
| ▶CStepCondition< array_type > | Condition to be applied at every time step |
| CNullCondition< array_type > | null step condition |
| CZeroCondition< array_type > | Zero exercise condition |
| CStepConditionSet< array_type > | Parallel evolver for multiple arrays |
| CStochasticCollocationInvCDF | Stochastic collocation inverse cumulative distribution function |
| ▶CStochasticProcess1D::discretization | Discretization of a 1-D stochastic process |
| CEndEulerDiscretization | Euler end-point discretization for stochastic processes |
| CEulerDiscretization | Euler discretization for stochastic processes |
| ▶CStochasticProcess::discretization | Discretization of a stochastic process over a given time interval |
| CEndEulerDiscretization | Euler end-point discretization for stochastic processes |
| CEulerDiscretization | Euler discretization for stochastic processes |
| CStudentDistribution | Student t-distribution |
| CSurvivalProbability | Survival-Probability-curve traits |
| CSVD | Singular value decomposition |
| CSvi | Svi interpolation factory and traits |
| CSwaptionVolatilityCube | Swaption-volatility cube |
| CSwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
| CSymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
| CTabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
| CTCopulaPolicy | Student-T Latent Model's copula policy |
| CTCopulaPolicy::initTraits | |
| CTemperatureBoltzmann | Temperature Boltzmann |
| CTemperatureCauchy | Temperature Cauchy |
| CTemperatureVeryFastAnnealing | Temperature Very Fast Annealing |
| CTimeGrid | Time grid class |
| CTimeSeries< T, Container > | Container for historical data |
| CTqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
| CTransformedGrid | Transformed grid |
| CTrapezoidIntegral< IntegrationPolicy > | Integral of a one-dimensional function |
| CTRBDF2< Operator > | TR-BDF2 scheme for finite difference methods |
| ▶CTridiagonalOperator | Base implementation for tridiagonal operator |
| CBSMOperator | Black-Scholes-Merton differential operator |
| CDMinus | \( D_{-} \) matricial representation |
| CDPlus | \( D_{+} \) matricial representation |
| CDPlusDMinus | \( D_{+}D_{-} \) matricial representation |
| CDZero | \( D_{0} \) matricial representation |
| CTridiagonalOperator::TimeSetter | Encapsulation of time-setting logic |
| CTwoDimensionalIntegral | Integral of a two-dimensional function |
| CTwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables |
| CUnitOfMeasure | Unit of measure specification |
| CUpperBoundEngine | Market-model engine for upper-bound estimation |
| ▶CVanillaSwap::arguments | Arguments for simple swap calculation |
| CSwaption::arguments | Arguments for swaption calculation |
| CVanillaSwap::results | Results from simple swap calculation |
| CVannaVolga | VannaVolga-interpolation factory and traits |
| CVarianceGammaEngine | Variance Gamma Pricing engine for European vanilla options using integral approach |
| CVarianceOption::arguments | Arguments for forward fair-variance calculation |
| CVarianceOption::results | Results from variance-option calculation |
| CVarianceSwap::arguments | Arguments for forward fair-variance calculation |
| CVarianceSwap::results | Results from variance-swap calculation |
| CVegaBumpCollection | |
| CVisitor< T > | Visitor for a specific class |
| CYearOnYearInflationSwap::arguments | Arguments for YoY swap calculation |
| CYearOnYearInflationSwap::results | Results from YoY swap calculation |
| CYoYInflationCapFloor::arguments | Arguments for YoY Inflation cap/floor calculation |
| CyoyInflationLeg | |
| CYoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
| CYoYInflationVolatilityTraits | Traits for inflation-volatility bootstrap |
| ▶CYoYOptionletStripper | Interface for inflation cap stripping, i.e. from price surfaces |
| CInterpolatedYoYOptionletStripper< Interpolator1D > | |
| CZabr< Evaluation > | No arbtrage sabr interpolation factory and traits |
| CZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
| CZeroYield | Zero-curve traits |
| CZigguratRng | Ziggurat random-number generator |
| CQuantoOptionResults< Instr::results > | |
| CRandomSequenceGenerator< QuantLib::MersenneTwisterUniformRng > | |
| CSample< MultiPath > | |
| CSample< Path > | |
| CSample< std::vector< Real > > | |
| ▶CSingleton< CommoditySettings > | |
| CCommoditySettings | Global repository for run-time library settings |
| ▶CSingleton< ExchangeRateManager > | |
| CExchangeRateManager | Exchange-rate repository |
| ▶CSingleton< IndexManager > | |
| CIndexManager | Global repository for past index fixings |
| ▶CSingleton< ObservableSettings > | |
| CObservableSettings | Global repository for run-time library settings |
| ▶CSingleton< SeedGenerator > | |
| CSeedGenerator | Random seed generator |
| ▶CSingleton< Settings > | |
| CSettings | Global repository for run-time library settings |
| CSingleton< Tracing > | |
| ▶CSingleton< UnitOfMeasureConversionManager > | |
| CUnitOfMeasureConversionManager | Repository of conversion factors between units of measure |
| ▶Cexception | STL class |
| CError | Base error class |
| ▶Cmap< K, T > | STL class |
| CTimeBasket | Distribution over a number of dates |
| CStepCondition< Array > | |
| CTimeSeries< Real > | |
| ▶CTrapezoidIntegral< Default > | |
| CSimpsonIntegral | Integral of a one-dimensional function |
