QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
utilities Directory Reference

Files

file  bsmrndcalculator.hpp
 risk neutral terminal density calculator for the Black-Scholes-Merton model with constant volatility
 
file  cevrndcalculator.hpp
 risk neutral density calculator for the constant elasticity of variance (CEV) model
 
file  fdmaffinemodelswapinnervalue.hpp
 
file  fdmaffinemodeltermstructure.hpp
 
file  fdmboundaryconditionset.hpp
 
file  fdmdirichletboundary.hpp
 Dirichlet boundary conditions for differential operators.
 
file  fdmdiscountdirichletboundary.hpp
 discounted value on Dirichlet boundary conditions
 
file  fdmdividendhandler.hpp
 dividend handler for fdm method for one equity direction
 
file  fdmindicesonboundary.hpp
 helper class to extract the indices on a boundary
 
file  fdminnervaluecalculator.hpp
 layer of abstraction to calculate the inner value
 
file  fdmmesherintegral.hpp
 mesher based integral over target function.
 
file  fdmquantohelper.hpp
 helper class storing market data needed for the quanto adjustment.
 
file  fdmtimedepdirichletboundary.hpp
 time dependent Dirichlet boundary conditions
 
file  gbsmrndcalculator.hpp
 risk neutral terminal density calculator for the Black-Scholes-Merton model with strike dependent volatility
 
file  hestonrndcalculator.hpp
 risk neutral terminal density calculator for the Heston stochastic volatility model
 
file  localvolrndcalculator.hpp
 local volatility risk neutral terminal density calculation
 
file  riskneutraldensitycalculator.hpp
 interface for a single asset risk neutral terminal density calculation