| AbcdAtmVolCurve | Abcd-interpolated at-the-money (no-smile) volatility curve |
| AbcdFunction | Abcd functional form for instantaneous volatility |
| AbcdVol | Abcd-interpolated volatility structure |
| AccountingEngine | Engine collecting cash flows along a market-model simulation |
| 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 |
| AmericanCondition | American exercise condition |
| AmericanExercise | American exercise |
| AmericanPayoffAtExpiry | Analytic formula for American exercise payoff at-expiry options |
| AmericanPayoffAtHit | Analytic formula for American exercise payoff at-hit options |
| AnalyticBarrierEngine | Pricing engine for barrier options using analytical formulae |
| AnalyticBSMHullWhiteEngine | Analytic european option pricer including stochastic interest rates |
| AnalyticCapFloorEngine | Analytic engine for cap/floor |
| AnalyticCliquetEngine | Pricing engine for Cliquet options using analytical formulae |
| AnalyticContinuousFixedLookbackEngine | Pricing engine for European continuous fixed-strike lookback |
| AnalyticContinuousFloatingLookbackEngine | Pricing engine for European continuous floating-strike lookback |
| AnalyticContinuousGeometricAveragePriceAsianEngine | Pricing engine for European continuous geometric average price Asian |
| AnalyticDigitalAmericanEngine | Analytic pricing engine for American vanilla options with digital payoff |
| 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 |
| AnalyticHestonEngine | Analytic Heston-model engine based on Fourier transform |
| AnalyticHestonHullWhiteEngine | Analytic Heston engine incl. stochastic interest rates |
| AnalyticPerformanceEngine | Pricing engine for performance options using analytical formulae |
| Argentina | Argentinian calendars |
| ArmijoLineSearch | Armijo line search |
| Array | 1-D array used in linear algebra |
| ARSCurrency | Argentinian peso |
| AssetOrNothingPayoff | Binary asset-or-nothing payoff |
| AssetSwap | Bullet bond vs Libor swap |
| AssetSwap::arguments | Arguments for asset swap calculation |
| AssetSwap::results | Results from simple swap calculation |
| ATSCurrency | Austrian shilling |
| AUDCurrency | Australian dollar |
| AUDLibor | AUD LIBOR rate |
| Australia | Australian calendar |
| AustraliaRegion | Australia as geographical/economic region |
| Average | Placeholder for enumerated averaging types |
| AverageBMACoupon | Average BMA coupon |
| AverageBMALeg | Helper class building a sequence of average BMA coupons |
| BackwardFlat | Backward-flat interpolation factory and traits |
| BackwardFlatInterpolation | Backward-flat interpolation between discrete points |
| BaroneAdesiWhaleyApproximationEngine | Barone-Adesi and Whaley pricing engine for American options (1987) |
| Barrier | Placeholder for enumerated barrier types |
| BarrierOption | Barrier option on a single asset |
| BarrierOption::arguments | Arguments for barrier option calculation |
| BarrierOption::engine | Barrier-option engine base class |
| BasketOption | Basket option on a number of assets |
| BasketOption::engine | Basket-option engine base class |
| BatesEngine | Bates model engines based on Fourier transform |
| BatesModel | Bates stochastic-volatility model |
| BDTCurrency | Bangladesh taka |
| BEFCurrency | Belgian franc |
| BermudanExercise | Bermudan exercise |
| BernsteinPolynomial | Class of Bernstein polynomials |
| BGLCurrency | Bulgarian lev |
| Bicubic | Bicubic-spline-interpolation factory |
| BicubicSpline | Bicubic-spline interpolation between discrete points |
| Bilinear | Bilinear-interpolation factory |
| BilinearInterpolation | bilinear interpolation between discrete points |
| BinomialConvertibleEngine | Binomial Tsiveriotis-Fernandes engine for convertible bonds |
| BinomialDistribution | Binomial probability distribution function |
| BinomialTree | Binomial tree base class |
| BinomialVanillaEngine | Pricing engine for vanilla options using binomial trees |
| Bisection | Bisection 1-D solver |
| BivariateCumulativeNormalDistributionDr78 | Cumulative bivariate normal distribution function |
| BivariateCumulativeNormalDistributionWe04DP | Cumulative bivariate normal distibution function (West 2004) |
| BjerksundStenslandApproximationEngine | Bjerksund and Stensland pricing engine for American options (1993) |
| BlackAtmVolCurve | Black at-the-money (no-smile) volatility curve |
| BlackCalculator | Black 1976 calculator class |
| BlackCapFloorEngine | Black-formula cap/floor engine |
| BlackConstantVol | Constant Black volatility, no time-strike dependence |
| BlackIborCouponPricer | Black-formula pricer for capped/floored Ibor coupons |
| BlackKarasinski | Standard Black-Karasinski model class |
| BlackKarasinski::Dynamics | Short-rate dynamics in the Black-Karasinski model |
| BlackProcess | Black (1976) stochastic process |
| BlackScholesCalculator | Black-Scholes 1973 calculator class |
| BlackScholesLattice | Simple binomial lattice approximating the Black-Scholes model |
| BlackScholesMertonProcess | Merton (1973) extension to the Black-Scholes stochastic process |
| BlackScholesProcess | Black-Scholes (1973) 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 |
| BlackVolSurface | Black volatility (smile) surface |
| BlackVolTermStructure | Black-volatility term structure |
| BMAIndex | Bond Market Association index |
| BMASwap | Swap paying Libor against BMA coupons |
| BMASwapRateHelper | Rate helper for bootstrapping over BMA swap rates |
| Bond | Base bond class |
| BootstrapHelper | Base helper class for bootstrapping |
| BoundaryCondition | Abstract boundary condition class for finite difference problems |
| BoundaryConstraint | Constraint imposing all arguments to be in [low,high] |
| BoxMullerGaussianRng | Gaussian random number generator |
| Brazil | Brazilian calendar |
| Brent | Brent 1-D solver |
| BRLCurrency | Brazilian real |
| BrownianBridge | Builds Wiener process paths using Gaussian variates |
| BSMOperator | Black-Scholes-Merton differential operator |
| BSpline | B-spline basis functions |
| Business252 | Business/252 day count convention |
| BYRCurrency | Belarussian ruble |
| CADCurrency | Canadian dollar |
| CADLibor | CAD LIBOR rate |
| Calendar | calendar class |
| Calendar::Impl | Abstract base class for calendar implementations |
| Calendar::OrthodoxImpl | Partial calendar implementation |
| Calendar::WesternImpl | Partial calendar implementation |
| CalibratedModel | Calibrated model class |
| CalibrationHelper | Liquid market instrument used during calibration |
| Callability | instrument callability |
| Callability::Price | Amount to be paid upon callability |
| Canada | Canadian calendar |
| Cap | Concrete cap class |
| CapFloor | Base class for cap-like instruments |
| CapFloor::arguments | Arguments for cap/floor calculation |
| CapFloor::engine | Base class for cap/floor engines |
| CapFloorTermVolatilityStructure | Cap/floor term-volatility structure |
| CapFloorTermVolCurve | Cap/floor at-the-money term-volatility vector |
| CapFloorTermVolSurface | Cap/floor smile volatility surface |
| CapHelper | Calibration helper for ATM cap |
| CappedFlooredCoupon | Capped and/or floored floating-rate coupon |
| CashFlow | Base class for cash flows |
| CashFlows | cashflow-analysis functions |
| CashOrNothingPayoff | Binary cash-or-nothing payoff |
| Cdor | CDOR rate |
| CeilingTruncation | Ceiling truncation |
| CHFCurrency | Swiss franc |
| CHFLibor | CHF LIBOR rate |
| China | Chinese calendar |
| CLGaussianRng | Gaussian random number generator |
| CliquetOption | Cliquet (Ratchet) option |
| CliquetOption::arguments | Arguments for cliquet option calculation |
| CliquetOption::engine | Cliquet engine base class |
| Clone | Cloning proxy to an underlying object |
| ClosestRounding | Closest rounding |
| CLPCurrency | Chilean peso |
| CmsCoupon | CMS coupon class |
| CmsCouponPricer | Base pricer for vanilla CMS coupons |
| CmsLeg | Helper class building a sequence of capped/floored cms-rate coupons |
| CmsMarket | Set of CMS quotes |
| CMSMMDriftCalculator | Drift computation for CMS market models |
| CmsRateBond | CMS-rate bond |
| CMSwapCurveState | Curve state for constant-maturity-swap market models |
| CNYCurrency | Chinese yuan |
| Collar | Concrete collar class |
| Composite | Composite pattern |
| CompositeConstraint | Constraint enforcing both given sub-constraints |
| CompositeInstrument | Composite instrument |
| CompositeQuote | Market element whose value depends on two other market element |
| CompoundForward | Compound-forward structure |
| ConjugateGradient | Multi-dimensional Conjugate Gradient class |
| ConstantEstimator | Constant-estimator volatility model |
| ConstantOptionletVol | Constant caplet volatility, no time-strike dependence |
| ConstantParameter | Standard constant parameter  |
| ConstrainedEvolver | Constrained market-model evolver |
| Constraint | Base constraint class |
| Constraint::Impl | 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 |
| ContinuousFixedLookbackOption | Continuous-fixed lookback option |
| ContinuousFixedLookbackOption::arguments | Arguments for continuous fixed lookback option calculation |
| ContinuousFixedLookbackOption::engine | Continuous fixed lookback engine base class |
| ContinuousFloatingLookbackOption | Continuous-floating lookback option |
| ContinuousFloatingLookbackOption::arguments | Arguments for continuous floating lookback option calculation |
| ContinuousFloatingLookbackOption::engine | Continuous floating lookback engine base class |
| ConundrumPricer | CMS-coupon pricer |
| ConundrumPricerByBlack | CMS-coupon pricer |
| ConundrumPricerByNumericalIntegration | CMS-coupon pricer |
| ConvergenceStatistics | Statistics class with convergence table |
| ConvertibleBond | Base class for convertible bonds |
| ConvertibleFixedCouponBond | Convertible fixed-coupon bond |
| ConvertibleFloatingRateBond | Convertible floating-rate bond |
| ConvertibleZeroCouponBond | Convertible zero-coupon bond |
| COPCurrency | Colombian peso |
| CostFunction | Cost function abstract class for optimization problem |
| CoterminalSwapCurveState | Curve state for coterminal-swap market models |
| Coupon | coupon accruing over a fixed period |
| CovarianceDecomposition | Covariance decomposition into correlation and variances |
| 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 |
| CubicBSplinesFitting | CubicSpline B-splines fitting method |
| CubicSpline | Cubic spline interpolation factory and traits |
| CubicSplineInterpolation | 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 |
| Curve | Abstract curve class |
| CurveState | Curve state for market-model simulations |
| CYPCurrency | Cyprus pound |
| CzechRepublic | Czech calendars |
| CZKCurrency | Czech koruna |
| Date | Concrete date class |
| DateGeneration | Date-generation rule |
| DayCounter | Day counter class |
| DayCounter::Impl | Abstract base class for day counter implementations |
| DEMCurrency | Deutsche mark |
| Denmark | Danish calendar |
| DepositRateHelper | Rate helper for bootstrapping over deposit rates |
| DerivedQuote | Market quote whose value depends on another quote |
| DigitalCmsCoupon | Cms-rate coupon with digital digital call/put option |
| DigitalCmsLeg | Helper class building a sequence of digital ibor-rate coupons |
| DigitalCoupon | Digital-payoff coupon |
| DigitalIborCoupon | Ibor rate coupon with digital digital call/put option |
| DigitalIborLeg | Helper class building a sequence of digital ibor-rate coupons |
| 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 |
| Dividend | Predetermined cash flow |
| 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 |
| DKKLibor | DKK LIBOR rate |
| DMinus |  matricial representation |
| Domain | domain abstract lcass |
| DoubleStickyRatchetPayoff | Intermediate class for single/double sticky/ratchet payoffs |
| DownRounding | Down-rounding |
| DPlus |  matricial representation |
| DPlusDMinus |  matricial representation |
| DriftTermStructure | Drift term structure |
| Duration | duration type |
| DZero |  matricial representation |
| EarlyExercise | Early-exercise base class |
| EarlyExercisePathPricer | Base class for early exercise path pricers |
| 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 |
| EquityFXVolSurface | Equity/FX volatility (smile) surface |
| Error | Base error class |
| ErrorFunction | Error function |
| ESPCurrency | Spanish peseta |
| EUHICP | EU HICP index |
| EulerDiscretization | Euler discretization for stochastic processes |
| EURCurrency | European Euro |
| EURegion | European Union as geographical/economic region |
| Euribor | Euribor index |
| Euribor10M | 10-months Euribor index |
| Euribor11M | 11-months Euribor index |
| Euribor1M | 1-month Euribor index |
| Euribor1Y | 1-year Euribor index |
| Euribor2M | 2-months Euribor index |
| Euribor2W | 2-weeks Euribor index |
| Euribor365 | Actual/365 Euribor index |
| Euribor365_10M | 10-months Euribor365 index |
| Euribor365_11M | 11-months Euribor365 index |
| Euribor365_1M | 1-month Euribor365 index |
| Euribor365_1Y | 1-year Euribor365 index |
| Euribor365_2M | 2-months Euribor365 index |
| Euribor365_2W | 2-weeks Euribor365 index |
| Euribor365_3M | 3-months Euribor365 index |
| Euribor365_3W | 3-weeks Euribor365 index |
| Euribor365_4M | 4-months Euribor365 index |
| Euribor365_5M | 5-months Euribor365 index |
| Euribor365_6M | 6-months Euribor365 index |
| Euribor365_7M | 7-months Euribor365 index |
| Euribor365_8M | 8-months Euribor365 index |
| Euribor365_9M | 9-months Euribor365 index |
| Euribor365_SW | 1-week Euribor365 index |
| Euribor3M | 3-months Euribor index |
| Euribor3W | 3-weeks Euribor index |
| Euribor4M | 4-months Euribor index |
| Euribor5M | 5-months Euribor index |
| Euribor6M | 6-months Euribor index |
| Euribor7M | 7-months Euribor index |
| Euribor8M | 8-months Euribor index |
| Euribor9M | 9-months Euribor index |
| EuriborSW | 1-week Euribor index |
| EuriborSwapFixA | EuriborSwapFixA index base class |
| EuriborSwapFixA10Y | 10-year EuriborSwapFixA index |
| EuriborSwapFixA12Y | 12-year EuriborSwapFixA index |
| EuriborSwapFixA15Y | 15-year EuriborSwapFixA index |
| EuriborSwapFixA1Y | 1-year EuriborSwapFixA index |
| EuriborSwapFixA20Y | 20-year EuriborSwapFixA index |
| EuriborSwapFixA25Y | 25-year EuriborSwapFixA index |
| EuriborSwapFixA2Y | 2-year EuriborSwapFixA index |
| EuriborSwapFixA30Y | 30-year EuriborSwapFixA index |
| EuriborSwapFixA3Y | 3-year EuriborSwapFixA index |
| EuriborSwapFixA4Y | 4-year EuriborSwapFixA index |
| EuriborSwapFixA5Y | 5-year EuriborSwapFixA index |
| EuriborSwapFixA6Y | 6-year EuriborSwapFixA index |
| EuriborSwapFixA7Y | 7-year EuriborSwapFixA index |
| EuriborSwapFixA8Y | 8-year EuriborSwapFixA index |
| EuriborSwapFixA9Y | 9-year EuriborSwapFixA index |
| EuriborSwapFixB | EuriborSwapFix index base class |
| EuriborSwapFixB10Y | 10-year EuriborSwapFixB index |
| EuriborSwapFixB12Y | 12-year EuriborSwapFixB index |
| EuriborSwapFixB15Y | 15-year EuriborSwapFixB index |
| EuriborSwapFixB1Y | 1-year EuriborSwapFixB index |
| EuriborSwapFixB20Y | 20-year EuriborSwapFixB index |
| EuriborSwapFixB25Y | 25-year EuriborSwapFixB index |
| EuriborSwapFixB2Y | 2-year EuriborSwapFixB index |
| EuriborSwapFixB30Y | 30-year EuriborSwapFixB index |
| EuriborSwapFixB3Y | 3-year EuriborSwapFixB index |
| EuriborSwapFixB4Y | 4-year EuriborSwapFixB index |
| EuriborSwapFixB5Y | 5-year EuriborSwapFixB index |
| EuriborSwapFixB6Y | 6-year EuriborSwapFixB index |
| EuriborSwapFixB7Y | 7-year EuriborSwapFixB index |
| EuriborSwapFixB8Y | 8-year EuriborSwapFixB index |
| EuriborSwapFixB9Y | 9-year EuriborSwapFixB index |
| EuriborSwapFixIFR | EuriborSwapFixIFR index base class |
| EuriborSwapFixIFR10Y | 10-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR12Y | 12-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR15Y | 15-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR1Y | 1-year EuriborSwapFixIFR3M index |
| EuriborSwapFixIFR20Y | 20-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR25Y | 25-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR2Y | 2-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR30Y | 30-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR3Y | 3-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR4Y | 4-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR5Y | 5-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR6Y | 6-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR7Y | 7-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR8Y | 8-year EuriborSwapFixIFR index |
| EuriborSwapFixIFR9Y | 9-year EuriborSwapFixIFR index |
| EURLibor | EUR LIBOR rate |
| EURLibor10M | 10-months EURLibor index |
| EURLibor11M | 11-months EURLibor index |
| EURLibor1M | 1-month EURLibor index |
| EURLibor1Y | 1-year EURLibor index |
| EURLibor2M | 2-months EURLibor index |
| EURLibor2W | 2-weeks Euribor index |
| EURLibor3M | 3-months EURLibor index |
| EURLibor4M | 4-months EURLibor index |
| EURLibor5M | 5-months EURLibor index |
| EURLibor6M | 6-months EURLibor index |
| EURLibor7M | 7-months EURLibor index |
| EURLibor8M | 8-months EURLibor index |
| EURLibor9M | 9-months EURLibor index |
| EURLiborSW | 1-week EURLibor index |
| EurliborSwapFixA | EurliborSwapFixA index base class |
| EurliborSwapFixA10Y | 10-year EurliborSwapFixA index |
| EurliborSwapFixA12Y | 12-year EurliborSwapFixA index |
| EurliborSwapFixA15Y | 15-year EurliborSwapFixA index |
| EurliborSwapFixA1Y | 1-year EurliborSwapFixA index |
| EurliborSwapFixA20Y | 20-year EurliborSwapFixA index |
| EurliborSwapFixA25Y | 25-year EurliborSwapFixA index |
| EurliborSwapFixA2Y | 2-year EurliborSwapFixA index |
| EurliborSwapFixA30Y | 30-year EurliborSwapFixA index |
| EurliborSwapFixA3Y | 3-year EurliborSwapFixA index |
| EurliborSwapFixA4Y | 4-year EurliborSwapFixA index |
| EurliborSwapFixA5Y | 5-year EurliborSwapFixA index |
| EurliborSwapFixA6Y | 6-year EurliborSwapFixA index |
| EurliborSwapFixA7Y | 7-year EurliborSwapFixA index |
| EurliborSwapFixA8Y | 8-year EurliborSwapFixA index |
| EurliborSwapFixA9Y | 9-year EurliborSwapFixA index |
| EurliborSwapFixB | EurliborSwapFixB index base class |
| EurliborSwapFixB10Y | 10-year EurliborSwapFixB index |
| EurliborSwapFixB12Y | 12-year EurliborSwapFixB index |
| EurliborSwapFixB15Y | 15-year EurliborSwapFixB index |
| EurliborSwapFixB1Y | 1-year EurliborSwapFixB index |
| EurliborSwapFixB20Y | 20-year EurliborSwapFixB index |
| EurliborSwapFixB25Y | 25-year EurliborSwapFixB index |
| EurliborSwapFixB2Y | 2-year EurliborSwapFixB index |
| EurliborSwapFixB30Y | 30-year EurliborSwapFixB index |
| EurliborSwapFixB3Y | 3-year EurliborSwapFixB index |
| EurliborSwapFixB4Y | 4-year EurliborSwapFixB index |
| EurliborSwapFixB5Y | 5-year EurliborSwapFixB index |
| EurliborSwapFixB6Y | 6-year EurliborSwapFixB index |
| EurliborSwapFixB7Y | 7-year EurliborSwapFixB index |
| EurliborSwapFixB8Y | 8-year EurliborSwapFixB index |
| EurliborSwapFixB9Y | 9-year EurliborSwapFixB index |
| EurliborSwapFixIFR | EurliborSwapFixIFR index base class |
| EurliborSwapFixIFR10Y | 10-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR12Y | 12-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR15Y | 15-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR1Y | 1-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR20Y | 20-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR25Y | 25-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR2Y | 2-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR30Y | 30-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR3Y | 3-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR4Y | 4-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR5Y | 5-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR6Y | 6-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR7Y | 7-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR8Y | 8-year EurliborSwapFixIFR index |
| EurliborSwapFixIFR9Y | 9-year EurliborSwapFixIFR index |
| EurodollarFuturesImpliedStdDevQuote | quote for the Eurodollar-future implied standard deviation |
| EuropeanExercise | European exercise |
| EuropeanOption | European option on a single asset |
| Event | Base class for event |
| EvolutionDescription | Market-model evolution description |
| ExchangeRate | Exchange rate between two currencies |
| ExchangeRateManager | Exchange-rate repository |
| Exercise | Base exercise class |
| ExplicitEuler | Forward Euler scheme for finite difference methods |
| ExponentialSplinesFitting | Exponential-splines fitting method |
| 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 |
| FDBermudanEngine | Finite-differences Bermudan engine |
| FDDividendEngineBase | Abstract base class for dividend engines |
| FDDividendEngineMerton73 | Finite-differences pricing engine for dividend options using |
| FDDividendEngineShiftScale | Finite-differences engine for dividend options using shifted dividends |
| FDEuropeanEngine | Pricing engine for European options using finite-differences |
| FDStepConditionEngine | Finite-differences pricing engine for American-style vanilla options |
| FDVanillaEngine | Finite-differences pricing engine for BSM one asset options |
| FIMCurrency | Finnish markka |
| FiniteDifferenceModel | Generic finite difference model |
| Finland | Finnish calendar |
| FittedBondDiscountCurve | Discount curve fitted to a set of fixed-coupon bonds |
| FittedBondDiscountCurve::FittingMethod | Base fitting method used to construct a fitted bond discount curve |
| FixedDividend | Predetermined cash flow |
| FixedRateBond | Fixed-rate bond |
| FixedRateBondForward | Forward contract on a fixed-rate bond |
| FixedRateBondHelper | Fixed-coupon bond helper |
| FixedRateCoupon | Coupon paying a fixed interest rate |
| FixedRateLeg | Helper class building a sequence of fixed rate coupons |
| FlatForward | Flat interest-rate curve |
| FloatingRateBond | Floating-rate bond (possibly capped and/or floored) |
| FloatingRateCoupon | Base floating-rate coupon class |
| FloatingRateCouponPricer | Generic pricer for floating-rate coupons |
| FloatingTypePayoff | Payoff based on a floating strike |
| Floor | Concrete floor class |
| FloorTruncation | Floor truncation |
| Forward | Abstract base forward class |
| ForwardFlat | Forward-flat interpolation factory and traits |
| ForwardFlatInterpolation | Forward-flat interpolation between discrete points |
| ForwardMeasureProcess | Forward-measure stochastic process |
| ForwardMeasureProcess1D | Forward-measure 1-D stochastic process |
| ForwardOptionArguments | Arguments for forward (strike-resetting) option calculation |
| ForwardPerformanceVanillaEngine | Forward performance engine for vanilla options |
| ForwardRate | Forward-curve traits |
| ForwardRateStructure | Forward-rate term structure |
| ForwardSpreadedTermStructure | Term structure with added spread on the instantaneous forward rate |
| ForwardSwapQuote | Quote for a forward starting swap |
| ForwardTypePayoff | Class for forward type payoffs |
| ForwardValueQuote | quote for the forward value of an index |
| ForwardVanillaEngine | Forward engine for vanilla options |
| ForwardVanillaOption | Forward version of a vanilla option |
| FractionalDividend | Predetermined cash flow |
| FranceRegion | France as geographical/economic region |
| FraRateHelper | Rate helper for bootstrapping over FRA rates |
| FRFCurrency | French franc |
| FuturesConvAdjustmentQuote | quote for the futures-convexity adjustment of an index |
| FuturesRateHelper | Rate helper for bootstrapping over interest-rate futures prices |
| G2 | Two-additive-factor gaussian model class |
| G2::FittingParameter | Analytical term-structure fitting parameter |
| G2ForwardProcess | Forward G2 stochastic process |
| G2Process | G2 stochastic process |
| G2SwaptionEngine | Swaption priced by means of the Black formula |
| GammaFunction | Gamma function class |
| GapPayoff | Binary gap payoff |
| Garch11 | GARCH volatility model |
| GarmanKlassAbstract | Garman-Klass volatility model |
| GarmanKohlagenProcess | Garman-Kohlhagen (1983) stochastic process |
| GaussChebyshev2thIntegration | Gauss-Chebyshev integration (second kind) |
| GaussChebyshev2thPolynomial | Gauss-Chebyshev polynomial (second kind) |
| GaussChebyshevIntegration | Gauss-Chebyshev integration |
| GaussChebyshevPolynomial | Gauss-Chebyshev polynomial |
| GaussGegenbauerIntegration | Gauss-Gegenbauer integration |
| GaussGegenbauerPolynomial | Gauss-Gegenbauer polynomial |
| GaussHermiteIntegration | Generalized Gauss-Hermite integration |
| GaussHermitePolynomial | Gauss-Hermite polynomial |
| GaussHyperbolicIntegration | Gauss-Hyperbolic integration |
| GaussHyperbolicPolynomial | Gauss hyperbolic polynomial |
| GaussianOrthogonalPolynomial | Orthogonal polynomial for Gaussian quadratures |
| GaussianQuadrature | Integral of a 1-dimensional function using the Gauss quadratures method |
| GaussJacobiIntegration | Gauss-Jacobi integration |
| GaussJacobiPolynomial | Gauss-Jacobi polynomial |
| GaussKronrodAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
| GaussKronrodNonAdaptive | Integral of a 1-dimensional function using the Gauss-Kronrod methods |
| GaussLaguerreIntegration | Generalized Gauss-Laguerre integration |
| GaussLaguerrePolynomial | Gauss-Laguerre polynomial |
| GaussLegendreIntegration | Gauss-Legendre integration |
| GaussLegendrePolynomial | Gauss-Legendre polynomial |
| GBPCurrency | British pound sterling |
| GBPLibor | GBP LIBOR rate |
| GeneralizedBlackScholesProcess | Generalized Black-Scholes stochastic process |
| GeneralStatistics | Statistics tool |
| GenericEngine | Template base class for option pricing engines |
| GenericGaussianStatistics | Statistics tool for gaussian-assumption risk measures |
| GenericModelEngine | Base class for some pricing engine on a particular model |
| GenericRiskStatistics | Empirical-distribution risk measures |
| GenericSequenceStatistics | Statistics analysis of N-dimensional (sequence) data |
| GeometricBrownianMotionProcess | Geometric brownian-motion process |
| Germany | German calendars |
| GRDCurrency | Greek drachma |
| Greeks | Additional option results |
| HaltonRsg | Halton low-discrepancy sequence generator |
| Handle | Shared handle to an observable |
| HestonModel | Heston model for the stochastic volatility of an asset |
| HestonModelHelper | Calibration helper for Heston model |
| HestonProcess | Square-root stochastic-volatility Heston process |
| Histogram | Histogram class |
| HistoricalForwardRatesAnalysisImpl | Historical correlation class |
| HistoricalRatesAnalysis | Historical rate analysis class |
| HKDCurrency | Honk Kong dollar |
| HongKong | Hong Kong calendars |
| 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 |
| HullWhiteForwardProcess | Forward Hull-White stochastic process |
| HullWhiteProcess | Hull-White stochastic process |
| Hungary | Hungarian calendar |
| HybridHestonHullWhiteProcess | Hybrid Heston Hull-White stochastic process |
| IborCoupon | Coupon paying a Libor-type index |
| IborCouponPricer | Base pricer for capped/floored Ibor coupons |
| IborIndex | Base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) |
| IborLeg | Helper class building a sequence of capped/floored ibor-rate coupons |
| Iceland | Icelandic calendars |
| IEPCurrency | Irish punt |
| ILSCurrency | Israeli shekel |
| IMM | Main cycle of the International Money Market (a.k.a. IMM) months |
| ImplicitEuler | Backward Euler scheme for finite difference methods |
| ImpliedStdDevQuote | quote for the implied standard deviation of an underlying |
| ImpliedTermStructure | Implied term structure at a given date in the future |
| ImpliedVolatilityHelper | Helper class for one-asset implied-volatility calculation |
| ImpliedVolTermStructure | Implied vol term structure at a given date in the future |
| IncrementalStatistics | Statistics tool based on incremental accumulation |
| Index | Purely virtual base class for indexes |
| IndexManager | Global repository for past index fixings |
| India | Indian calendars |
| Indonesia | Indonesian calendars |
| InflationIndex | Base class for inflation-rate indexes, |
| InflationSwap | Abstract base class for inflation swaps |
| InflationTermStructure | Interface for inflation term structures |
| INRCurrency | Indian rupee |
| Instrument | Abstract instrument class |
| IntegralEngine | Pricing engine for European vanilla options using integral approach |
| InterestRate | Concrete interest rate class |
| InterestRateIndex | Base class for interest rate indexes |
| InterestRateVolSurface | Interest rate volatility (smile) surface |
| InterpolatedDiscountCurve | Term structure based on interpolation of discount factors |
| InterpolatedForwardCurve | Term structure based on interpolation of forward rates |
| InterpolatedYoYInflationCurve | Inflation term structure based on interpolated year-on-year rates |
| InterpolatedZeroCurve | Term structure based on interpolation of zero yields |
| InterpolatedZeroInflationCurve | Inflation term structure based on the interpolation of zero rates |
| Interpolation | Base class for 1-D interpolations |
| Interpolation2D | Base class for 2-D interpolations |
| Interpolation2D::Impl | Abstract base class for 2-D interpolation implementations |
| Interpolation2D::templateImpl | Basic template implementation |
| Interpolation::Impl | Abstract base class for interpolation implementations |
| Interpolation::templateImpl | Basic template implementation |
| IntervalPrice | Interval price |
| 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 | Icelandic krona |
| Italy | Italian calendars |
| IterativeBootstrap | Universal piecewise-term-structure boostrapper |
| ITLCurrency | Italian lira |
| JamshidianSwaptionEngine | Jamshidian swaption engine |
| Japan | Japanese calendar |
| JarrowRudd | Jarrow-Rudd (multiplicative) equal probabilities binomial tree |
| Jibar | JIBAR rate |
| JointCalendar | Joint calendar |
| JPYCurrency | Japanese yen |
| JPYLibor | JPY LIBOR rate |
| JumpDiffusionEngine | Jump-diffusion engine for vanilla options |
| JuQuadraticApproximationEngine | Pricing engine for American options with Ju quadratic approximation |
| KnuthUniformRng | Uniform random number generator |
| KRWCurrency | South-Korean won |
| KWDCurrency | Kuwaiti dinar |
| Lattice | Lattice (tree, finite-differences) base class |
| 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 |
| LevenbergMarquardt | Levenberg-Marquardt optimization method |
| LexicographicalView | Lexicographical 2-D view of a contiguous set of data |
| LfmCovarianceParameterization | Libor market model parameterization |
| LfmCovarianceProxy | Proxy for a libor forward model covariance parameterization |
| LfmHullWhiteParameterization | Libor market model parameterization based on Hull White paper |
| LfmSwaptionEngine | Libor forward model swaption engine based on Black formula |
| Libor | Base class for all BBA LIBOR indexes but the EUR ones |
| LiborForwardModel | Libor forward model |
| LiborForwardModelProcess | Libor-forward-model process |
| Linear | Linear-interpolation factory and traits |
| LinearInterpolation | Linear interpolation between discrete points |
| LinearLeastSquaresRegression | General linear least squares regression |
| LineSearch | Base class for line search |
| LmConstWrapperVolatilityModel | Caplet const volatility model |
| LmCorrelationModel | libor forward correlation model |
| LmExponentialCorrelationModel | Exponential correlation model |
| LmExtLinearExponentialVolModel | Extended linear exponential volatility model |
| LmLinearExponentialCorrelationModel | linear exponential correlation model |
| LmLinearExponentialVolatilityModel | linear exponential volatility model |
| LMMCurveState | Curve state for Libor market models |
| LMMDriftCalculator | Drift computation for log-normal Libor market models |
| LMMNormalDriftCalculator | Drift computation for normal Libor market models |
| LmVolatilityModel | Caplet volatility model |
| 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 | |
| LogCubic | Log-cubic interpolation factory and traits |
| LogCubicInterpolation | log-cubic interpolation between discrete points |
| LogLinear | Log-linear interpolation factory and traits |
| LogLinearInterpolation | log-linear interpolation between discrete points |
| LogNormalCmSwapRatePc | Predictor-Corrector |
| LogNormalCotSwapRatePc | Predictor-Corrector |
| LogNormalFwdRateEuler | Euler |
| LogNormalFwdRateEulerConstrained | Euler stepping |
| LogNormalFwdRateIpc | Iterative Predictor-Corrector |
| LogNormalFwdRatePc | Predictor-Corrector |
| LongstaffSchwartzPathPricer | Longstaff-Schwarz path pricer for early exercise options |
| LTLCurrency | Lithuanian litas |
| LUFCurrency | Luxembourg franc |
| LVLCurrency | Latvian lat |
| MakeCapFloor | Helper class |
| MakeCms | Helper class |
| MakeMCAmericanEngine | Monte Carlo American engine factory |
| MakeMCDigitalEngine | Monte Carlo digital engine factory |
| MakeMCEuropeanEngine | Monte Carlo European engine factory |
| MakeMCEuropeanHestonEngine | Monte Carlo Heston European engine factory |
| MakeMCHullWhiteCapFloorEngine | Monte Carlo Hull-White cap-floor engine factory |
| MakeMCVarianceSwapEngine | Monte Carlo variance-swap engine factory |
| MakeSchedule | Helper class |
| MakeSwaption | Helper class |
| MakeVanillaSwap | Helper class |
| MarketModel | Base class for market models |
| MarketModelComposite | Composition of two or more market-model products |
| MarketModelEvolver | Market-model evolver |
| MarketModelFactory | Base class for market-model factories |
| MarketModelMultiProduct | Market-model product |
| Matrix | Matrix used in linear algebra |
| MCAmericanBasketEngine | Least-square Monte Carlo engine |
| MCAmericanEngine | American 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 | Discrete arithmetic average-strike Asian option |
| 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 |
| MCEuropeanHestonEngine | Monte Carlo Heston-model engine for European options |
| McEverest | Everest-type option pricer |
| McHimalaya | Himalayan-type option pricer |
| MCHullWhiteCapFloorEngine | Monte Carlo Hull-White engine for cap/floors |
| MCLongstaffSchwartzEngine | Longstaff-Schwarz Monte Carlo engine for early exercise options |
| 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 |
| MCVarianceSwapEngine | Variance-swap pricing engine using Monte Carlo simulation, |
| MersenneTwisterUniformRng | Uniform random number generator |
| Merton76Process | Merton-76 jump-diffusion process |
| Mexico | Mexican calendars |
| MixedScheme | Mixed (explicit/implicit) scheme for finite difference methods |
| Money | Amount of cash |
| 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 |
| MTBrownianGenerator | Mersenne-twister Brownian generator for market-model simulations |
| MTLCurrency | Maltese lira |
| MultiAssetOption | Base class for options on multiple assets |
| MultiAssetOption::results | Results from multi-asset option calculation |
| MultiCubicSpline | N-dimensional cubic spline interpolation between discrete points |
| MultiPath | Correlated multiple asset paths |
| MultiPathGenerator | Generates a multipath from a random number generator |
| MultiProductComposite | Composition of one or more market-model products |
| MultiProductMultiStep | Multiple-step market-model product |
| MultiProductOneStep | Single-step market-model product |
| MultiVariate | Default Monte Carlo traits for multi-variate models |
| MXNCurrency | Mexican peso |
| NaturalCubicSpline | Cubic spline with null second derivative at end points |
| NaturalMonotonicCubicSpline | Natural cubic spline with monotonicity constraint |
| NelsonSiegelFitting | Nelson-Siegel fitting method |
| NeumannBC | Neumann boundary condition (i.e., constant derivative) |
| Newton | Newton 1-D solver |
| NewtonSafe | Safe Newton 1-D solver |
| NewZealand | New Zealand calendar |
| NLGCurrency | Dutch guilder |
| NoConstraint | No constraint |
| NOKCurrency | Norwegian krone |
| NonLinearLeastSquare | Non-linear least-square method |
| NormalDistribution | Normal distribution function |
| NormalFwdRatePc | Predictor-Corrector |
| Norway | Norwegian calendar |
| 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  |
| NZDCurrency | New Zealand dollar |
| NZDLibor | NZD LIBOR rate |
| Observable | Object that notifies its changes to a set of observables |
| ObservableValue | observable and assignable proxy to concrete value |
| Observer | Object that gets notified when a given observable changes |
| OneAssetOption | Base class for options on a single asset |
| OneAssetOption::results | Results from single-asset option calculation |
| 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 |
| OperatorFactory | Black-Scholes-Merton differential operator |
| OptimizationMethod | Abstract class for constrained optimization method |
| Option | Base option class |
| Option::arguments | Basic option arguments |
| OptionletVolatilityStructure | Optionlet (caplet/floorlet) volatility structure |
| OrnsteinUhlenbeckProcess | Ornstein-Uhlenbeck process class |
| Parameter | Base class for model arguments |
| Parameter::Impl | Base class for model parameter implementation |
| Path | Single-factor random walk |
| PathGenerator | Generates random paths using a sequence generator |
| PathPricer | Base class for path pricers |
| Payoff | Abstract base class for option payoffs |
| PercentageStrikePayoff | Payoff with strike expressed as percentage |
| Period | |
| PiecewiseConstantParameter | Piecewise-constant parameter |
| PiecewiseYieldCurve | Piecewise yield term structure |
| PiecewiseYoYInflationCurve | Piecewise year-on-year inflation term structure |
| PiecewiseZeroInflationCurve | Piecewise zero-inflation term structure |
| PiecewiseZeroSpreadedTermStructure | Term structure with an added vector of spreads on the zero-yield rate |
| PKRCurrency | Pakistani rupee |
| PlainVanillaPayoff | Plain-vanilla payoff |
| PLNCurrency | Polish zloty |
| PoissonDistribution | Normal distribution function |
| Poland | Polish calendar |
| PositiveConstraint | Constraint imposing positivity to all arguments |
| PricingEngine | Interface for pricing engines |
| PrimeNumbers | Prime numbers calculator |
| Problem | Constrained optimization problem |
| ProjectedCostFunction | Parameterized cost function |
| PTECurrency | Portuguese escudo |
| QuantoEngine | Quanto engine |
| QuantoForwardVanillaOption | Quanto version of a forward vanilla option |
| 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 |
| RandomizedLDS | Randomized (random shift) low-discrepancy sequence |
| RandomSequenceGenerator | Random sequence generator based on a pseudo-random number generator |
| RangeAccrualLeg | Helper class building a sequence of range-accrual floating-rate coupons |
| RatchetMaxPayoff | RatchetMax payoff (double option) |
| RatchetMinPayoff | RatchetMin payoff (double option) |
| RatchetPayoff | Ratchet payoff (single option) |
| Region | Region class, used for inflation applicability |
| RelativeDateRateHelper | Rate helper with date schedule relative to the global evaluation date |
| RelinkableHandle | Relinkable handle to an observable |
| ReplicatingVarianceSwapEngine | Variance-swap pricing engine using replicating cost, |
| Replication | Digital option replication strategy |
| Ridder | Ridder 1-D solver |
| ROLCurrency | Romanian leu |
| RONCurrency | Romanian new leu |
| Rounding | Basic rounding class |
| SABR | SABR interpolation factory and traits |
| SABRInterpolation | SABR smile interpolation between discrete volatility points |
| SabrVolSurface | SABR volatility (smile) surface |
| SalvagingAlgorithm | Algorithm used for matricial pseudo square root |
| Sample | Weighted sample |
| SampledCurve | This class contains a sampled curve |
| SARCurrency | Saudi riyal |
| SaudiArabia | Saudi Arabian calendar |
| Schedule | Payment schedule |
| Secant | Secant 1-D solver |
| SeedGenerator | Random seed generator |
| SegmentIntegral | Integral of a one-dimensional function |
| SEKCurrency | Swedish krona |
| Settings | Global repository for run-time library settings |
| Settlement | settlement information |
| SGDCurrency | Singapore dollar |
| ShortRateModel | Abstract short-rate model class |
| ShoutCondition | Shout option condition |
| SimpleCashFlow | Predetermined cash flow |
| SimpleDayCounter | Simple day counter for reproducing theoretical calculations |
| SimpleLocalEstimator | Local-estimator volatility model |
| SimplePolynomialFitting | Simple polynomial fitting method |
| SimpleQuote | Market element returning a stored value |
| Simplex | Multi-dimensional simplex class |
| SimpsonIntegral | Integral of a one-dimensional function |
| Singapore | Singapore calendars |
| SingleAssetOption | Black-Scholes-Merton option |
| SingleProductComposite | Composition of one or more market-model products |
| Singleton | Basic support for the singleton pattern |
| SingleVariate | Default Monte Carlo traits for single-variate models |
| SITCurrency | Slovenian tolar |
| SKKCurrency | Slovak koruna |
| Slovakia | Slovak calendars |
| SmileSection | Interest rate volatility smile section |
| SMMDriftCalculator | Drift computation for coterminal swap market models |
| SobolBrownianGenerator | Sobol Brownian generator for market-model simulations |
| SobolRsg | Sobol low-discrepancy sequence generator |
| SoftCallability | callability leaving to the holder the possibility to convert |
| Solver1D | Base class for 1-D solvers |
| SouthAfrica | South-African calendar |
| SouthKorea | South Korean calendars |
| SphereCylinderOptimizer | |
| 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 |
| StickyMaxPayoff | StickyMax payoff (double option) |
| StickyMinPayoff | StickyMin payoff (double option) |
| StickyPayoff | Sticky payoff (single option) |
| StochasticProcess | Multi-dimensional stochastic process class |
| StochasticProcess1D | 1-dimensional stochastic process |
| StochasticProcess1D::discretization | Discretization of a 1-D stochastic process |
| StochasticProcess::discretization | Discretization of a stochastic process over a given time interval |
| StochasticProcessArray | Array of correlated 1-D stochastic processes |
| Stock | Simple stock class |
| StrikedTypePayoff | Intermediate class for payoffs based on a fixed strike |
| StulzEngine | Pricing engine for 2D European Baskets |
| SuperFundPayoff | Binary supershare and superfund payoffs |
| SuperSharePayoff | Binary supershare payoff |
| Surface | Surface abstract class |
| SVD | Singular value decomposition |
| Swap | Interest rate swap |
| SwapIndex | Base class for swap-rate indexes |
| SwapRateHelper | Rate helper for bootstrapping over swap rates |
| Swaption | Swaption class |
| Swaption::arguments | Arguments for swaption calculation |
| Swaption::engine | Base class for swaption engines |
| SwaptionConstantVolatility | Constant swaption volatility, no time-strike dependence |
| SwaptionHelper | Calibration helper for ATM swaption |
| SwaptionVolatilityCube | Swaption-volatility cube |
| SwaptionVolatilityMatrix | At-the-money swaption-volatility matrix |
| SwaptionVolatilityStructure | Swaption-volatility structure |
| Sweden | Swedish calendar |
| Switzerland | Swiss calendar |
| SymmetricSchurDecomposition | Symmetric threshold Jacobi algorithm |
| TabulatedGaussLegendre | Tabulated Gauss-Legendre quadratures |
| Taiwan | Taiwanese calendars |
| 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 |
| TimeSeries | Container for historical data |
| TqrEigenDecomposition | Tridiag. QR eigen decomposition with explicite shift aka Wilkinson |
| TransformedGrid | Transformed grid |
| TrapezoidIntegral | Integral of a one-dimensional function |
| Tree | Tree approximating a single-factor diffusion |
| TreeCapFloorEngine | Numerical lattice engine for cap/floors |
| TreeLattice | Tree-based lattice-method base class |
| TreeLattice1D | One-dimensional tree-based lattice |
| TreeLattice2D | Two-dimensional tree-based lattice |
| TreeSwaptionEngine | Numerical lattice engine for swaptions |
| TreeVanillaSwapEngine | Numerical lattice engine for simple swaps |
| TridiagonalOperator | Base implementation for tridiagonal operator |
| TridiagonalOperator::TimeSetter | Encapsulation of time-setting logic |
| Trigeorgis | Trigeorgis (additive equal jumps) binomial tree |
| TrinomialTree | Recombining trinomial tree class |
| TRLCurrency | Turkish lira |
| TRLibor | TRY LIBOR rate |
| TRYCurrency | New Turkish lira |
| TsiveriotisFernandesLattice | Binomial lattice approximating the Tsiveriotis-Fernandes model |
| TTDCurrency | Trinidad & Tobago dollar |
| Turkey | Turkish calendar |
| 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 put/call payoffs |
| Ukraine | Ukrainian calendars |
| UKRegion | United Kingdom as geographical/economic region |
| UKRPI | UK Retail Price Inflation Index |
| UnitedKingdom | United Kingdom calendars |
| UnitedStates | United States calendars |
| UpperBoundEngine | Market-model engine for upper-bound estimation |
| UpRounding | Up-rounding |
| USDCurrency | U.S. dollar |
| USDLibor | USD LIBOR rate |
| VanillaOption | Vanilla option (no discrete dividends, no barriers) on a single asset |
| VanillaSwap | Plain-vanilla swap |
| VanillaSwap::arguments | Arguments for simple swap calculation |
| VanillaSwap::results | Results from simple swap calculation |
| VarianceSwap | Variance swap |
| VarianceSwap::arguments | Arguments for forward fair-variance calculation |
| VarianceSwap::engine | Base class for variance-swap engines |
| VarianceSwap::results | Results from variance-swap calculation |
| Vasicek | Vasicek model class |
| Vasicek::Dynamics | Short-rate dynamics in the Vasicek model |
| VEBCurrency | Venezuelan bolivar |
| Visitor | Visitor for a specific class |
| VolatilityTermStructure | Volatility term structure |
| YearOnYearInflationSwap | Year-on-year inflation-indexed swap |
| YieldTermStructure | Interest-rate term structure |
| YoYInflationIndex | Base class for year-on-year inflation indices |
| YoYInflationTermStructure | Base class for year-on-year inflation term structures |
| YoYInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
| YYEUHICP | Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP) |
| YYEUHICPr | Fake year-on-year EU HICP (i.e. a ratio of EU HICP) |
| YyiisInflationHelper | Year-on-year inflation-swap bootstrap helper |
| YYUKRPI | Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI) |
| YYUKRPIr | Fake year-on-year UK RPI (i.e. a ratio of UK RPI) |
| ZARCurrency | South-African rand |
| ZciisInflationHelper | Zero-coupon inflation-swap bootstrap helper |
| ZeroCondition | Zero exercise condition |
| ZeroCouponBond | Zero-coupon bond |
| ZeroCouponInflationSwap | Zero-coupon inflation-indexed swap |
| ZeroInflationIndex | Base class for zero inflation indices |
| ZeroInflationTermStructure | Interface for zero inflation term structures |
| ZeroInflationTraits | Bootstrap traits to use for PiecewiseZeroInflationCurve |
| 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 |
