| Actual360 | Actual/360 day count convention |
| Actual365Fixed | Actual/365 (Fixed) day count convention |
| ActualActual | Actual/Actual day count |
| AcyclicVisitor | Degenerate base class for the Acyclic Visitor pattern |
| AdditiveEQPBinomialTree | Additive equal probabilities binomial tree |
| AffineModel | Affine model class |
| AffineTermStructure | Term-structure implied by an affine model |
| AmericanCondition | American exercise condition |
| AmericanExercise | American exercise |
| AmericanPayoffAtExpiry | |
| AmericanPayoffAtHit | |
| AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
| AnalyticCapFloorEngine | Analytic engine for cap/floor |
| AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
| AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
| AnalyticDigitalAmericanEngine | |
| AnalyticDiscreteGeometricAveragePriceAsianEngine | Pricing engine for European discrete geometric average price Asian |
| AnalyticDividendEuropeanEngine | Analytic pricing engine for European options with discrete dividends |
| AnalyticEuropeanEngine | Pricing engine for European vanilla options using analytical formulae |
| AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
| Arguments | Base class for generic argument groups |
| ArmijoLineSearch | Armijo line search |
| Array | 1-D array used in linear algebra |
| ArrayFormatter | Format arrays for output |
| ARSCurrency | Argentinian peso |
| AssetOrNothingPayoff | Binary asset-or-nothing payoff |
| ATSCurrency | Austrian shilling |
| AUDCurrency | Australian dollar |
| AUDLibor | AUD LIBOR rate |
| Average | Placeholder for enumerated averaging types |
| BackwardFlat | Backward-flat interpolation factory and traits |
| BackwardFlatInterpolation | Backward-flat interpolation between discrete points |
| BaroneAdesiWhaleyApproximationEngine | |
| Barrier | Placeholder for enumerated barrier types |
| BarrierOption | Barrier option on a single asset |
| BarrierOption::arguments | Arguments for barrier option calculation |
| BarrierOption::engine | Barrier engine base class |
| BasketOption | Basket option on a number of assets |
| BasketOption::arguments | Arguments for basket option calculation |
| BasketOption::engine | Basket option engine base class |
| BDTCurrency | Bangladesh taka |
| BEFCurrency | Belgian franc |
| Beijing | Beijing calendar |
| BermudanExercise | Bermudan exercise |
| BGLCurrency | Bulgarian lev |
| Bicubic | Bicubic-spline interpolation factory |
| BicubicSpline | |
| Bilinear | Bilinear interpolation factory |
| BilinearInterpolation | Bilinear interpolation between discrete points |
| BinomialDistribution | Binomial probability distribution function |
| BinomialTree | Binomial tree base class |
| BinomialVanillaEngine | Pricing engine for vanilla options using binomial trees |
| Bisection | Bisection 1-D solver |
| BivariateCumulativeNormalDistribution | Cumulative bivariate normal distribution function |
| BjerksundStenslandApproximationEngine | |
| BlackCapFloorEngine | Black-formula cap/floor engine |
| BlackConstantVol | Constant Black volatility, no time-strike dependence |
| BlackFormula | Black-formula calculator |
| BlackKarasinski | Standard Black-Karasinski model class |
| BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
| BlackModel | Black-model for vanilla interest-rate derivatives |
| BlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model |
| BlackScholesProcess | Black-Scholes stochastic process |
| BlackSwaptionEngine | Black-formula swaption engine |
| BlackVarianceCurve | Black volatility curve modelled as variance curve |
| BlackVarianceSurface | Black volatility surface modelled as variance surface |
| BlackVarianceTermStructure | Black variance term structure |
| BlackVolatilityTermStructure | Black-volatility term structure |
| BlackVolTermStructure | Black-volatility term structure |
| Bond | Base bond class |
| BoundaryCondition | Abstract boundary condition class for finite difference problems |
| BoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
| BoxMullerGaussianRng | Gaussian random number generator |
| BPSBasketCalculator | |
| BPSCalculator | Basis point sensitivity (BPS) calculator |
| Bratislava | Bratislava calendar |
| Brent | Brent 1-D solver |
| Bridge | The Bridge pattern made explicit |
| BRLCurrency | Brazilian real |
| BrownianBridge | Builds Wiener process paths using Gaussian variates |
| BSMOperator | Black-Scholes-Merton differential operator |
| BSMTermOperator | Black-Scholes-Merton differential operator |
| Budapest | Budapest calendar |
| BYRCurrency | Belarussian ruble |
| CADCurrency | Canadian dollar |
| CADLibor | CAD LIBOR rate |
| Calendar | calendar class |
| Calendar::WesternImpl | Partial calendar implementation |
| CalendarImpl | Abstract base class for calendar implementations |
| CalibrationHelper | Liquid market instrument used during calibration |
| Cap | Concrete cap class |
| CapFloor | Base class for cap-like instruments |
| CapFloor::arguments | Arguments for cap/floor calculation |
| CapFloor::results | Results from cap/floor calculation |
| CapletConstantVolatility | Constant caplet volatility, no time-strike dependence |
| CapletVolatilityStructure | Caplet/floorlet forward-volatility structure |
| CapVolatilityStructure | Cap/floor term-volatility structure |
| CapVolatilityVector | Cap/floor at-the-money term-volatility vector |
| CashFlow | Base class for cash flows |
| CashOrNothingPayoff | Binary cash-or-nothing payoff |
| Cdor | CDOR rate |
| CeilingTruncation | Ceiling truncation |
| CHFCurrency | Swiss franc |
| CHFLibor | CHF LIBOR rate |
| CLGaussianRng | Gaussian random number generator |
| CliquetOption | Cliquet (Ratchet) option |
| CliquetOption::arguments | Arguments for cliquet option calculation |
| CliquetOption::engine | Cliquet engine base class |
| ClosestRounding | Closest rounding |
| CLPCurrency | Chilean peso |
| CNYCurrency | Chinese yuan |
| Collar | Concrete collar class |
| Composite | Composite pattern |
| CompositeConstraint | Constraint enforcing both given sub-constraints |
| CompositeQuote | Market element whose value depends on two other market element |
| CompoundForward | Compound-forward structure |
| CompoundingRuleFormatter | Formats compounding rule for output |
| ConjugateGradient | Multi-dimensional Conjugate Gradient class |
| ConstantParameter | Standard constant parameter |
| Constraint | Base constraint class |
| ConstraintImpl | Base class for constraint implementations |
| ContinuousAveragingAsianOption | Continuous-averaging Asian option |
| ContinuousAveragingAsianOption::arguments | Extra arguments for single-asset continuous-average Asian option |
| ContinuousAveragingAsianOption::engine | Continuous-averaging Asian engine base class |
| COPCurrency | Colombian peso |
| Copenhagen | Copenhagen calendar |
| CostFunction | Cost function abstract class for optimization problem |
| Coupon | coupon accruing over a fixed period |
| CovarianceDecomposition | |
| CoxIngersollRoss | Cox-Ingersoll-Ross model class |
| CoxIngersollRoss::Dynamics | Dynamics of the short-rate under the Cox-Ingersoll-Ross model |
| CoxRossRubinstein | Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree |
| CrankNicolson | Crank-Nicolson scheme for finite difference methods |
| Cubic | cubic-spline interpolation factory and traits |
| CubicSpline | Cubic spline interpolation between discrete points |
| CumulativeBinomialDistribution | Cumulative binomial distribution function |
| CumulativeNormalDistribution | Cumulative normal distribution function |
| CumulativePoissonDistribution | Cumulative Poisson distribution function |
| CuriouslyRecurringTemplate | Support for the curiously recurring template pattern |
| Currency | Currency specification |
| CurrencyFormatter | Format currencies for output |
| CYPCurrency | Cyprus pound |
| CZKCurrency | Czech koruna |
| Date | Concrete date class |
| DateFormatter | Formats dates for output |
| DayCounter | Day counter class |
| DayCounterImpl | Abstract base class for day counter implementations |
| DecimalFormatter | Formats real numbers for output |
| DEMCurrency | Deutsche mark |
| DepositRateHelper | Deposit rate |
| DerivedQuote | Market element whose value depends on another market element |
| DirichletBC | Neumann boundary condition (i.e., constant value) |
| Discount | Discount-curve traits |
| DiscrepancyStatistics | Statistic tool for sequences with discrepancy calculation |
| DiscreteAveragingAsianOption | Discrete-averaging Asian option |
| DiscreteAveragingAsianOption::arguments | Extra arguments for single-asset discrete-average Asian option |
| DiscreteAveragingAsianOption::engine | Discrete-averaging Asian engine base class |
| DiscreteGeometricASO | Discrete geometric average-strike Asian option (European style) |
| DiscretizedAsset | Discretized asset class used by numerical methods |
| DiscretizedDiscountBond | Useful discretized discount bond asset |
| DiscretizedOption | Discretized option on a given asset |
| Disposable | Generic disposable object with move semantics |
| DividendVanillaOption | Single-asset vanilla option (no barriers) with discrete dividends |
| DividendVanillaOption::arguments | Arguments for dividend vanilla option calculation |
| DividendVanillaOption::engine | Dividend vanilla option engine base class |
| DKKCurrency | Danish krone |
| DMinus | matricial representation |
| DownRounding | Down-rounding |
| DPlus | matricial representation |
| DPlusDMinus | matricial representation |
| DriftTermStructure | Drift term structure |
| DZero | matricial representation |
| EarlyExercise | Early-exercise base class |
| EEKCurrency | Estonian kroon |
| EndCriteria | Criteria to end optimization process |
| EqualJumpsBinomialTree | Base class for equal jumps binomial tree |
| EqualProbabilitiesBinomialTree | Base class for equal probabilities binomial tree |
| Error | Base error class |
| ErrorFunction | Error function |
| ESPCurrency | Spanish peseta |
| EulerDiscretization | Euler discretization for stochastic processes |
| EURCurrency | European Euro |
| Euribor | Euribor index |
| EuropeanExercise | European exercise |
| EuropeanOption | European option on a single asset |
| ExchangeRate | Exchange rate between two currencies |
| ExchangeRateManager | Exchange-rate repository |
| Exercise | Base exercise class |
| ExplicitEuler | Forward Euler scheme for finite difference methods |
| ExtendedCoxIngersollRoss | Extended Cox-Ingersoll-Ross model class |
| ExtendedCoxIngersollRoss::Dynamics | Short-rate dynamics in the extended Cox-Ingersoll-Ross model |
| ExtendedCoxIngersollRoss::FittingParameter | Analytical term-structure fitting parameter |
| ExtendedDiscountCurve | Term structure based on loglinear interpolation of discount factors |
| Extrapolator | Base class for classes possibly allowing extrapolation |
| Factorial | Factorial numbers calculator |
| FalsePosition | False position 1-D solver |
| FaureRsg | Faure low-discrepancy sequence generator |
| FDAmericanEngine | Finite-differences pricing engine for American vanilla options |
| FdAmericanOption | American option |
| FDBermudanEngine | Finite-differences Bermudan engine |
| FdBermudanOption | Bermudan option |
| FdBsmOption | |
| FDDividendAmericanEngine | Finite-differences pricing engine for dividend American options |
| FdDividendAmericanOption | American option with discrete dividends |
| FDDividendEngine | Base finite-differences pricing engine for dividend options |
| FDDividendEuropeanEngine | Finite-differences pricing engine for dividend European options |
| FdDividendOption | |
| FDDividendShoutEngine | Finite-differences shout engine with dividends |
| FdDividendShoutOption | Shout option with dividends |
| FdEuropean | Example of European option calculated using finite differences |
| FDEuropeanEngine | Pricing engine for European vanilla options using finite-differences |
| FdMultiPeriodOption | |
| FDShoutEngine | Finite-differences pricing engine for shout vanilla options |
| FdShoutOption | |
| FDStepConditionEngine | Finite-differences pricing engine for American-style vanilla options |
| FdStepConditionOption | option executing additional code at each time step |
| FDVanillaEngine | Finite-differences pricing engine for BSM vanilla options |
| FIMCurrency | Finnish markka |
| FiniteDifferenceModel | Generic finite difference model |
| FixedCouponBond | Fixed-coupon bond |
| FixedRateCoupon | Coupon paying a fixed interest rate |
| FlatForward | Flat interest-rate curve |
| FloatingRateBond | Floating-rate bond |
| FloatingRateCoupon | Coupon paying a variable rate |
| Floor | Concrete floor class |
| FloorTruncation | Floor truncation |
| ForwardEngine | Forward engine base class |
| ForwardFlat | Forward-flat interpolation factory and traits |
| ForwardFlatInterpolation | Forward-flat interpolation between discrete points |
| ForwardOptionArguments | Arguments for forward (strike-resetting) option calculation |
| ForwardPerformanceEngine | Forward performance engine |
| ForwardRate | Forward-curve traits |
| ForwardRateStructure | Forward rate term structure |
| ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
| ForwardVanillaOption | Forward version of a vanilla option |
| FraRateHelper | Forward rate agreement |
| FrequencyFormatter | Formats frequency for output |
| FRFCurrency | French franc |
| FuturesRateHelper | Interest-rate futures |
| G2 | Two-additive-factor gaussian model class |
| G2::FittingParameter | Analytical term-structure fitting parameter |
| G2SwaptionEngine | Swaption priced by means of the Black formula |
| GammaFunction | Gamma function class |
| GapPayoff | Binary gap payoff |
| GaussianStatistics | Statistics tool for gaussian-assumption risk measures |
| GBPCurrency | British pound sterling |
| GBPLibor | GBP LIBOR rate |
| GeneralStatistics | Statistics tool |
| GenericEngine | Template base class for option pricing engines |
| GenericModelEngine | Base class for some pricing engine on a particular model |
| GenericRiskStatistics | Empirical-distribution risk measures |
| GeometricBrownianMotionProcess | Geometric brownian-motion process |
| Germany | German calendars |
| GRDCurrency | Greek drachma |
| Greeks | Additional option results |
| HaltonRsg | Halton low-discrepancy sequence generator |
| Handle | Globally accessible relinkable pointer |
| Helsinki | Helsinki calendar |
| History | Container for historical data |
| History::const_iterator | Random access iterator on history entries |
| History::Entry | Single datum in history |
| HKDCurrency | Honk Kong dollar |
| HongKong | Hong Kong calendar |
| HUFCurrency | Hungarian forint |
| HullWhite | Single-factor Hull-White (extended Vasicek) model class |
| HullWhite::Dynamics | Short-rate dynamics in the Hull-White model |
| HullWhite::FittingParameter | Analytical term-structure fitting parameter |
| IEPCurrency | Irish punt |
| ILSCurrency | Israeli shekel |
| ImplicitEuler | Backward Euler scheme for finite difference methods |
| ImpliedTermStructure | Implied term structure at a given date in the future |
| ImpliedVolTermStructure | Implied vol term structure at a given date in the future |
| InArrearIndexedCoupon | In-arrear floating-rate coupon |
| IncrementalStatistics | Statistics tool based on incremental accumulation |
| Index | Purely virtual base class for indexes |
| IndexedCoupon | Base indexed coupon class |
| IndexManager | Global repository for past index fixings |
| INRCurrency | Indian rupee |
| Instrument | Abstract instrument class |
| IntegerFormatter | Formats integers for output |
| IntegralEngine | |
| InterestRate | Concrete interest rate class |
| InterestRateFormatter | Formats interest rates for output |
| InterpolatedDiscountCurve | Term structure based on interpolation of discount factors |
| InterpolatedForwardCurve | Term structure based on interpolation of forward rates |
| InterpolatedZeroCurve | Term structure based on interpolation of zero yields |
| Interpolation | Base class for 1-D interpolations |
| Interpolation2D | Base class for 2-D interpolations |
| Interpolation2D::templateImpl | Basic template implementation |
| Interpolation2DImpl | Abstract base class for 2-D interpolation implementations |
| Interpolation::templateImpl | Basic template implementation |
| InterpolationImpl | Abstract base class for interpolation implementations |
| InverseCumulativeNormal | Inverse cumulative normal distribution function |
| InverseCumulativePoisson | Inverse cumulative Poisson distribution function |
| InverseCumulativeRng | Inverse cumulative random number generator |
| InverseCumulativeRsg | Inverse cumulative random sequence generator |
| IQDCurrency | Iraqi dinar |
| IRRCurrency | Iranian rial |
| ISKCurrency | Iceland krona |
| Italy | Italian calendars |
| ITLCurrency | Italian lira |
| JamshidianSwaptionEngine | Jamshidian swaption engine |
| JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
| Jibar | JIBAR rate |
| Johannesburg | Johannesburg calendar |
| JointCalendar | Joint calendar |
| JPYCurrency | Japanese yen |
| JPYLibor | JPY LIBOR rate |
| JumpDiffusionEngine | Jump-diffusion engine for vanilla options |
| JuQuadraticApproximationEngine | |
| KnuthUniformRng | Uniform random number generator |
| KronrodIntegral | Integral of a 1-dimensional function using the Gauss-Kronrod method |
| KRWCurrency | South-Korean won |
| KWDCurrency | Kuwaiti dinar |
| Lattice | Lattice-method base class |
| Lattice2D | Two-dimensional lattice |
| LatticeShortRateModelEngine | Engine for a short-rate model specialized on a lattice |
| LazyObject | Framework for calculation on demand and result caching |
| LeastSquareFunction | Cost function for least-square problems |
| LeastSquareProblem | Base class for least square problem |
| LecuyerUniformRng | Uniform random number generator |
| LeisenReimer | Leisen & Reimer tree: multiplicative approach |
| LexicographicalView | Lexicographical 2-D view of a contiguous set of data |
| Linear | Linear interpolation factory and traits |
| LinearInterpolation | Linear interpolation between discrete points |
| LineSearch | Base class for line search |
| Link | Relinkable access to a shared pointer |
| LocalConstantVol | Constant local volatility, no time-strike dependence |
| LocalVolCurve | Local volatility curve derived from a Black curve |
| LocalVolSurface | Local volatility surface derived from a Black vol surface |
| LocalVolTermStructure | Local-volatility term structure |
| LogLinear | Log-linear interpolation factory and traits |
| LogLinearInterpolation | |
| LTLCurrency | Lithuanian litas |
| LUFCurrency | Luxembourg franc |
| LVLCurrency | Latvian lat |
| MakeSchedule | Helper class |
| Matrix | Matrix used in linear algebra |
| MatrixFormatter | Format matrices for output |
| MCAmericanBasketEngine | Least-square Monte Carlo engine |
| MCBarrierEngine | Pricing engine for barrier options using Monte Carlo simulation |
| MCBasketEngine | Pricing engine for basket options using Monte Carlo simulation |
| McCliquetOption | Simple example of Monte Carlo pricer |
| MCDigitalEngine | Pricing engine for digital options using Monte Carlo simulation |
| MCDiscreteArithmeticAPEngine | Monte Carlo pricing engine for discrete arithmetic average price Asian |
| McDiscreteArithmeticASO | Example of Monte Carlo pricer using a control variate |
| MCDiscreteAveragingAsianEngine | Pricing engine for discrete average Asians using Monte Carlo simulation |
| MCDiscreteGeometricAPEngine | Monte Carlo pricing engine for discrete geometric average price Asian |
| MCEuropeanEngine | European option pricing engine using Monte Carlo simulation |
| McEverest | Everest-type option pricer |
| McHimalaya | Himalayan-type option pricer |
| McMaxBasket | Simple example of multi-factor Monte Carlo pricer |
| McPagoda | Roofed Asian option |
| McPerformanceOption | Performance option computed using Monte Carlo simulation |
| McPricer | Base class for Monte Carlo pricers |
| McSimulation | Base class for Monte Carlo engines |
| MCVanillaEngine | Pricing engine for vanilla options using Monte Carlo simulation |
| MersenneTwisterUniformRng | Uniform random number generator |
| Merton76Process | Merton-76 jump-diffusion process |
| MixedScheme | Mixed (explicit/implicit) scheme for finite difference methods |
| Money | Amount of cash |
| MoneyFormatter | Format money for output |
| MonotonicCubicSpline | Cubic spline with monotonicity constraint |
| MonteCarloModel | General purpose Monte Carlo model for path samples |
| MoreGreeks | More additional option results |
| MoroInverseCumulativeNormal | Moro Inverse cumulative normal distribution class |
| MTLCurrency | Maltese lira |
| MultiAssetOption | Base class for options on multiple assets |
| MultiAssetOption::arguments | Arguments for multi-asset option calculation |
| MultiAssetOption::results | Results from multi-asset option calculation |
| MultiCubicSpline | |
| MultiPath | Correlated multiple asset paths |
| MultiPathGenerator | Generates a multipath from a random number generator |
| MXNCurrency | Mexican peso |
| NaturalCubicSpline | Cubic spline with null second derivative at end points |
| NaturalMonotonicCubicSpline | Natural cubic spline with monotonicity constraint |
| NeumannBC | Neumann boundary condition (i.e., constant derivative) |
| Newton | Newton 1-D solver |
| NewtonSafe | Safe Newton 1-D solver |
| NLGCurrency | Dutch guilder |
| NoConstraint | No constraint |
| NOKCurrency | Norwegian krone |
| NonLinearLeastSquare | Non-linear least-square method |
| NormalDistribution | Normal distribution function |
| NPRCurrency | Nepal rupee |
| Null | Template class providing a null value for a given type |
| NullCalendar | Calendar for reproducing theoretical calculations |
| NullCondition | Null step condition |
| NullParameter | Parameter which is always zero |
| NumericalMethod | Numerical method (tree, finite-differences) base class |
| NZDCurrency | New Zealand dollar |
| Observable | Object that notifies its changes to a set of observables |
| Observer | Object that gets notified when a given observable changes |
| OneAssetOption | Base class for options on a single asset |
| OneAssetOption::arguments | Arguments for single-asset option calculation |
| OneAssetOption::results | Results from single-asset option calculation |
| OneAssetStrikedOption | Base class for options on a single asset with striked payoff |
| OneDayCounter | 1/1 day count convention |
| OneFactorAffineModel | Single-factor affine base class |
| OneFactorModel | Single-factor short-rate model abstract class |
| OneFactorModel::ShortRateDynamics | Base class describing the short-rate dynamics |
| OneFactorModel::ShortRateTree | Recombining trinomial tree discretizing the state variable |
| OneFactorOperator | Interest-rate single factor model differential operator |
| OptimizationMethod | Abstract class for constrained optimization method |
| Option | Base option class |
| Option::arguments | |
| OptionTypeFormatter | Format option type for output |
| OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
| Oslo | Oslo calendar |
| Parameter | Base class for model arguments |
| ParameterImpl | Base class for model parameter implementation |
| ParCoupon | coupon at par on a term structure |
| Path | |
| PathGenerator | Generates random paths using a sequence generator |
| PathPricer | Base class for path pricers |
| Payoff | Base class for option payoffs |
| PercentageStrikePayoff | Payoff with strike expressed as percentage |
| Period | Time period described by a number of a given time unit |
| PiecewiseConstantParameter | Piecewise-constant parameter |
| PiecewiseFlatForward | Piecewise flat forward term structure |
| PiecewiseYieldCurve | Piecewise yield term structure |
| PKRCurrency | Pakistani rupee |
| PlainVanillaPayoff | Plain-vanilla payoff |
| PLNCurrency | Polish zloty |
| PoissonDistribution | Normal distribution function |
| PositiveConstraint | Constraint imposing positivity to all arguments |
| Prague | Prague calendar |
| PricingEngine | Interface for pricing engines |
| PrimeNumbers | Prime numbers calculator |
| Problem | Constrained optimization problem |
| PTECurrency | Portuguese escudo |
| QuantoEngine | Quanto engine base class |
| QuantoForwardVanillaOption | Quanto version of a forward vanilla option |
| QuantoOptionArguments | Arguments for quanto option calculation |
| QuantoOptionResults | Results from quanto option calculation |
| QuantoTermStructure | Quanto term structure |
| QuantoVanillaOption | Quanto version of a vanilla option |
| Quote | Purely virtual base class for market observables |
| RamdomizedLDS | Randomized (random shift) low-discrepancy sequence |
| RandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator |
| RateFormatter | Formats rates for output |
| RateHelper | Base class for rate helpers |
| Results | Base class for generic result groups |
| Ridder | Ridder 1-D solver |
| Riyadh | Riyadh calendar |
| ROLCurrency | Romanian leu |
| Rounding | Basic rounding class |
| SalvagingAlgorithm | Algorithm used for matricial pseudo square root |
| Sample | Weighted sample |
| SARCurrency | Saudi riyal |
| Schedule | Payment schedule |
| Secant | Secant 1-D solver |
| SeedGenerator | Random seed generator |
| SegmentIntegral | Integral of a one-dimensional function |
| SEKCurrency | Swedish krona |
| Seoul | Seoul calendar |
| SequenceFormatter | Formats numeric sequences for output |
| SequenceStatistics | Statistics analysis of N-dimensional (sequence) data |
| Settings | Global repository for run-time library settings |
| SGDCurrency | Singapore dollar |
| Short | Short indexed coupon |
| Short< ParCoupon > | Short coupon at par on a term structure |
| ShortRateModel | Abstract short-rate model class |
| ShoutCondition | Shout option condition |
| SimpleCashFlow | Predetermined cash flow |
| SimpleDayCounter | Simple day counter for reproducing theoretical calculations |
| SimpleQuote | Market element returning a stored value |
| SimpleSwap | Simple fixed-rate vs Libor swap |
| SimpleSwap::arguments | Arguments for simple swap calculation |
| SimpleSwap::results | Results from simple swap calculation |
| Simplex | Multi-dimensional simplex class |
| SimpsonIntegral | Integral of a one-dimensional function |
| Singapore | Singapore calendar |
| SingleAssetOption | Black-Scholes-Merton option |
| Singleton | Basic support for the singleton pattern |
| SITCurrency | Slovenian tolar |
| SizeFormatter | Formats unsigned integers for output |
| SKKCurrency | Slovak koruna |
| SobolRsg | Sobol low-discrepancy sequence generator |
| Solver1D | Base class for 1-D solvers |
| SquareRootProcess | Square-root process class |
| StatsHolder | Helper class for precomputed distributions |
| SteepestDescent | Multi-dimensional steepest-descent class |
| step_iterator | Iterator advancing in constant steps |
| StepCondition | Condition to be applied at every time step |
| StepConditionSet | Parallel evolver for multiple arrays |
| StochasticProcess | Stochastic process class |
| StochasticProcess::discretization | Discretization of a stochastic process over a given time interval |
| Stock | Simple stock class |
| Stockholm | Stockholm calendar |
| StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
| StringFormatter | Formats strings as lower- or uppercase |
| StulzEngine | Pricing engine for 2D European Baskets |
| SuperSharePayoff | Binary supershare payoff |
| SVD | Singular value decomposition |
| Swap | Interest rate swap |
| SwapRateHelper | Swap rate |
| Swaption | Swaption class |
| Swaption::arguments | Arguments for swaption calculation |
| Swaption::results | Results from swaption calculation |
| SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
| SwaptionVolatilityStructure | Swaption-volatility structure |
| Sydney | Sydney calendar (New South Wales, Australia) |
| SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
| Taiwan | Taiwan calendar |
| TARGET | TARGET calendar |
| TermStructure | Basic term-structure functionality |
| TermStructureConsistentModel | Term-structure consistent model class |
| TermStructureFittingParameter | Deterministic time-dependent parameter used for yield-curve fitting |
| THBCurrency | Thai baht |
| Thirty360 | 30/360 day count convention |
| Tian | Tian tree: third moment matching, multiplicative approach |
| Tibor | JPY TIBOR index |
| TimeBasket | Distribution over a number of dates |
| TimeGrid | Time grid class |
| Tokyo | Tokyo calendar |
| Toronto | Toronto calendar |
| TrapezoidIntegral | Integral of a one-dimensional function |
| Tree | Tree approximating a single-factor diffusion |
| TreeCapFloorEngine | Numerical lattice engine for cap/floors |
| TreeSwaptionEngine | Numerical lattice engine for swaptions |
| TridiagonalOperator | Base implementation for tridiagonal operator |
| TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic |
| Trigeorgis | Trigeorgis (additive equal jumps) binomial tree |
| TrinomialBranching | Branching scheme for a trinomial node |
| TrinomialTree | Recombining trinomial tree class |
| TRLCurrency | Turkish lira |
| TTDCurrency | Trinidad & Tobago dollar |
| TWDCurrency | Taiwan dollar |
| TwoFactorModel | Abstract base-class for two-factor models |
| TwoFactorModel::ShortRateDynamics | Class describing the dynamics of the two state variables |
| TwoFactorModel::ShortRateTree | Recombining two-dimensional tree discretizing the state variable |
| TypePayoff | Intermediate class for call/put/straddle payoffs |
| UnitedKingdom | United Kingdom calendars |
| UnitedStates | United States calendars |
| UpFrontIndexedCoupon | up front indexed coupon class |
| UpRounding | Up-rounding |
| USDCurrency | U.S. dollar |
| USDLibor | USD LIBOR rate |
| Value | Pricing results |
| VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
| VanillaOption::engine | Vanilla option engine base class |
| Vasicek | Vasicek model class |
| Vasicek::Dynamics | Short-rate dynamics in the Vasicek model |
| VEBCurrency | Venezuelan bolivar |
| Visitor | Visitor for a specific class |
| VolatilityFormatter | Formats volatilities for output |
| Warsaw | Warsaw calendar |
| WeekdayFormatter | Formats weekday for output |
| Wellington | Wellington calendar |
| Xibor | Base class for libor indexes |
| YieldTermStructure | Interest-rate term structure |
| ZARCurrency | South-African rand |
| ZeroCouponBond | Zero-coupon bond |
| ZeroSpreadedTermStructure | Term structure with an added spread on the zero yield rate |
| ZeroYield | Zero-curve traits |
| ZeroYieldStructure | Zero-yield term structure |
| Zibor | CHF ZIBOR rate |
| Zurich | Zurich calendar |