C# (CSharp) QLNet Namespace

Nested Namespaces

QLNet.Cashflows
QLNet.Currencies
QLNet.Time

Classes

Name Description
AUCPI
AUDLibor
AffineModel
AmericanExercise
Australia
Australia.Impl
AverageBMACouponPricer
BMAIndex
BMASwapRateHelper Rate helper for bootstrapping over BMA swap rates
BermudanExercise
Bisection
BlackIborCouponPricer
BlackYoYInflationCouponPricer
BootstrapError Bootstrap error
BulletPricipalLeg
CHFLibor Swiss Franc LIBOR fixed by BBA. See .
CalibratedModel
CalibratedModel.CalibrationFunction
CalibratedModel.PrivateConstraint
CalibratedModel.PrivateConstraint.Impl
CapFloorTermVolatilityStructure
CapletVarianceCurve
CappedFlooredCoupon
CappedFlooredIborCoupon
CappedFlooredYoYInflationCoupon
CashOrNothingPayoff
Cdor Canadian Dollar Offered Rate fixed by IDA.
CmsCoupon
CmsCouponPricer
CmsLeg
CommercialPaper
ConstantCapFloorTermVolatility
ConstantDefaultIntensity
Coupon
CoxIngersollRoss
CoxIngersollRoss.Dynamics
CoxIngersollRoss.HelperProcess
CzechRepublic
CzechRepublic.Impl
DKKLibor
DZero
DailyTenorCHFLibor Base class for the one day deposit BBA CHF LIBOR indexes.
DailyTenorEURLibor Base class for the one day deposit BBA EUR Libor indexes Euro O/N LIBOR fixed by BBA. It can be also used for T/N and S/N indexes, even if such indexes do not have BBA fixing. See http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414.
DailyTenorLibor Base class for O/N-S/N BBA LIBOR indexes but the EUR ones. One day deposit LIBOR fixed by BBA.
DailyTenorUSDLibor
DefaultProbabilityTermStructure
Defaultable
DerivedQuote
DigitalCmsCoupon
DigitalCmsLeg
DigitalCoupon
DigitalIborCoupon
DigitalIborLeg
Discount
EUHICP
EURLibor1M 1-month EUR Libor index
EURLibor6M 6-months EUR Libor index
EURLibor9M
EURLiborON
EarlyExercise
Eonia Eonia (Euro Overnight Index Average) rate fixed by the ECB.
Error
EulerDiscretization
EurLiborSwapIfrFix
EurLiborSwapIsdaFixA
EurLiborSwapIsdaFixB
Euribor %Euribor index Euribor rate fixed by the ECB. This is the rate fixed by the ECB. Use EurLibor if you're interested in the London fixing by BBA.
Euribor1M
Euribor1Y
Euribor2M
Euribor2W
Euribor365
Euribor3M
Euribor3W
Euribor4M
Euribor5M
Euribor6M
EuriborSW
EuriborSwapIfrFix
EuriborSwapIsdaFixA
EuriborSwapIsdaFixB
EuropeanExercise
EuropeanOption
Exercise
FRARateHelper Rate helper for bootstrapping over FRA rates
FRHICP
FixedLoan
FixedRateBond
FixedRateCoupon
FixedRateLeg
FloatingLoan
FloatingRateCouponPricer generic pricer for floating-rate coupons
Forward
ForwardFlat
ForwardFlatInterpolation
ForwardFlatInterpolationImpl
ForwardRate
ForwardRateStructure
FractionalDividend Predetermined cash flow This cash flow pays a predetermined amount at a given date.
GBPLibor GBP LIBOR rate Pound Sterling LIBOR fixed by BBA.
GBPLiborON Overnight GBP Libor index.
GbpLiborSwapIsdaFix
GeneralStatistics
GeometricBrownianMotionProcess
Germany
Germany.Eurex
Germany.Euwax
Germany.FrankfurtStockExchange
Germany.Settlement
Germany.Xetra
IMM
IborCouponPricer
IborIndex
ImpliedVolatilityHelper
Index
IndexManager
IndexedCashFlow Cash flow dependent on an index ratio. This cash flow is not a coupon, i.e., there's no accrual. The amount is either i(T)/i(0) or i(T)/i(0) - 1, depending on the growthOnly parameter. We expect this to be used inside an instrument that does all the date adjustment etc., so this takes just dates and does not change them. growthOnly = false means i(T)/i(0), which is a bond-type setting. growthOnly = true means i(T)/i(0) - 1, which is a swap-type setting.
India
India.Impl
InflationCouponPricer Base inflation-coupon pricer. The main reason we can't use FloatingRateCouponPricer as the base is that it takes a FloatingRateCoupon which takes an InterestRateIndex and we need an inflation index (these are lagged). The basic inflation-specific thing that the pricer has to do is deal with different lags in the index and the option e.g. the option could look 3 months back and the index 2. We add the requirement that pricers do inverseCap/Floor-lets. These are cap/floor-lets as usually defined, i.e. pay out if underlying is above/below a strike. The non-inverse (usual) versions are from a coupon point of view (a capped coupon has a maximum at the strike). We add the inverse prices so that conventional caps can be priced simply.
InterestRate
InterestRateIndex
InvestmentFund Simple investment fund.
IterativeBootstrap
Japan
Japan.Impl
JointCalendar
JointCalendar.Impl
JpyLiborSwapIsdaFixAm
JpyLiborSwapIsdaFixPm
LastFixingQuote
Lattice
LfmCovarianceProxy
Libor Base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones LIBOR fixed by BBA.
Linear
LinearInterpolation
LinearInterpolationImpl
LmConstWrapperCorrelationModel
LmLinearExponentialVolatilityModel
LocalVolCurve
MakeBasisSwap
MakeSchedule
Matrix
MatrixUtilities
MultiplicativePriceSeasonality
NZDLibor
NegativePowerDefaultIntensity
NewZealand
NewZealand.Impl
Norway
Norway.Impl
OptimizationMethod
Option
Option.Arguments
OrnsteinUhlenbeckProcess
OvernightIndexedCoupon
OvernightIndexedCouponPricer
OvernightLeg
PercentageStrikePayoff Payoff with strike expressed as percentage
Period
PricerSetter
PricipalLeg
PrimeNumbers
PrincipalLegBase
Problem
Quote Base class for market observables.
Ridder
SEKLibor
SVD
Schedule
Seasonality
Secant
ShortRateModel
SimpleCashFlow
SimpleQuote
Simplex Multi-dimensional simplex class
Slovakia
Slovakia.Impl
SobolRsg
SquareRootProcess
StochasticProcessArray
StrikedTypePayoff
SwaptionHelper
SwaptionVolatilityDiscrete
SwaptionVolatilityMatrix
TARGET
TARGET.Impl
TRLibor
Taiwan
Taiwan.Impl
TermStructureConsistentModel
TimeGrid
TridiagonalOperator
TridiagonalOperator.TimeSetter
Turkey
Turkey.Impl
USDLibor
USDLiborON
UnitDisplacedBlackYoYInflationCouponPricer Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
UnitedKingdom
UnitedKingdom.Exchange
UnitedKingdom.Metals
UnitedKingdom.Settlement
VanillaOption
VarProxy_Helper
Vasicek
Vasicek.Dynamics
VolatilityTermStructure
YYAUCPI
YYAUCPIr
YYEUHICP
YYEUHICPr
YYFRHICP
YYFRHICPr
YoYInflationCoupon Coupon paying a YoY-inflation type index
YoYInflationCouponPricer base pricer for capped/floored YoY inflation coupons
YoYInflationTermStructure Base class for year-on-year inflation term structures.
YoYOptionletVolatilitySurface
ZeroCouponBond Zero-coupon bond
ZeroYield
ZeroYieldStructure
Zibor