Class List

Here are the classes, structs, unions and interfaces with brief descriptions:

[detail level 123]

►Njulian
►Nir
CAlgebraicBootstrapper	Interest rate curve estimating algorithm solving equation system [CFij] * [DFj] = [PRIZEi]
CBuildCurve	Class implements Builder design pattern that can be used to create interest rate curves
CBuildingBlock	Building Block is a class that defines the interface for benchmark instruments used for estimating interest rate curve
CCompoundedInterpolator	Definition of compounded interpolator
CConstrainedSmoother	Class implements
CCostFunctionDecorator	Interface for classes decorating SmootherCostFunction
CCurve	The class interfaces interest rate curves
CCurveSettings	Structure holding settings of ir::InterpolatedCurve
CEstimator	Class defines the interface of algorithms that perform estimation of interest rate curve (see InterpolatedCurve)
CExtrapolateFlatZCR	Class extrapolates the zero coupon rate
CExtrapolateLogOfDF	Class extrapolates the interest rate curve
CExtrapolator	Class implements the interface of interest rate curve interpolator
CFirstDerivativeCostFunction	Implements the first order derivative term of cost function
CFlatCurve	The class defines the flat interest rate curve
CInterpolatedCurve	The object models the interest rate curve
CInterpolateDF	The class encapsulates the concept of interpolating discount factors
CInterpolateInverseDF	The class encapsulates the concept of interpolating inverse discount factors
CInterpolateLogarithmOfDF	The class encapsulates the concept of interpolating logarithm of discount factors
CInterpolateZCRate	The class encapsulates the concept of interpolating zero-coupon rates
CInterpolationInput	Class is an abstract class that represents the subject of interpolation performed in swap curve operations
CInterpolator	Class implements the interface of interest rate curve interpolator
CRootFindingBootstrapper	Interest rate curve estimating algorithm using the derivative root finder
CSecondDerivativeCostFunction	Implements the second order derivative term of cost function
CSmootherCostFunction	Interface for Smoother Cost Function decorator
CSmoothForwardRates	Class implements concrete component of SmootherCostFunction
CSmoothZeroCouponRates	Class implements concrete component of SmootherCostFunction
CUnconstrainedSmoother
CACT360	The class encapsulates the ACT360 year fraction convention
CACT360addOne	The class encapsulates the ACT360addOne year fraction convention
CACT365	The class encapsulates the ACT365 year fraction convention
CActActAFB	The class encapsulates the ACTACT AFB year fraction convention
CActActISDA	The class encapsulates the ActAct USDAyear fraction convention
CAKIMA	Class implements the AKIMA interpolation technique
CAnalyticalPricingEngine	Analytical pricer
CArithmeticBrownianMotion	Class is implements arithmetic Brownian motion
CBivariateNormal	Class implements Bivariate Normal Random Variable
CBlackScholesModel	Class implements Black Scholes model
CBond	Class is an abstract class expressing the concept of bonds
CBuildBond	Class implements builder design pattern supporting construction of bonds
CBuildCalendar	Class implements builder design pattern supporting construction of calendars
CBuildGreeksReport	Option Greeks builder
CBuildLinearInstrument	Class implements builder design pattern supporting construction of linear instruments
CBuildTimeGrid	Class implements a builder of TimeGrid object
CCADHoliday	Holidays set for CAD currency
CCalendar	Class implements calendar object
CCashFlow	Class implements the general concept of CF understand as certain amount paid on predefined date
CCashFlowBuilder	Class implements Builder that helps to construct vector of cash flows
CCashFlowVector	Class helps to handle the vector of CFs
CCHFHoliday	Holidays set for CHF currency
CCirProcess	Class is implements Cox–Ingersoll–Ross (CIR) process
CCompoundedRate	The class encapsulates the compounded rate compounding method
CCompounding	Class is an abstract class expressing the concept of compounding interest rate
CCorpusChristi	Corpus Christi
CCubicInterpolation	Class implements the cubic local interpolation technique
CCustomRandomVariable	Class implements the custom random variable
CCZKHoliday	Holidays set for CZK currency
CDataEntryClerk	Class used to provide data to julian::DataFrame
CDataFrame	Class used to handle data read from csv files
CDate	Class implements a date object
CDeeplyCopyableMarketModel	Class uses Curiously Recurring Template Pattern to implement polymorphic copy construction in every derived class implementing MarketModel
CDeeplyCopyablePricingEngine	Class uses Curiously Recurring Template Pattern to implement polymorphic copy construction in every derived class implementing PricingEngine
CDeeplyCopyableRegression	Class uses Curiously Recurring Template Pattern to implement polymorphic copy construction in every derived class implementing Regression
CDeposit	Class implements a deposit contract
CDiscretizeWithNumberOfSteps	Discretizes the time interval into predefined number of periods
CDiscretizeWithNumberOfStepsPerYear	Discretize the time interval in a way that each year have the same number of time steps
CDiscretizeWithTenor	Discretize the time interval in such way that distance between each nodes is equal to tenor provided
CE30360	The class encapsulates the E30360 year fraction convention
CEasterMonday	Easter Monday
CEURHoliday	TARGET2 holiday set
CEuropeanOpt	Class implements Plain Vanilla European Option
CExponentialRate	The class encapsulates the exponential rate compounding method
CFixedCashFlow	Class implements the concept of fixed cash flow
CFixedHoliday	Fixed date holiday
CFixedIncomeBond	Class implements the bond paying fixed coupon
CFlatBackward	Class implements the flat backward interpolation technique
CFlatForward	Class implements the flat forward interpolation technique
CFlatVolatility	Class implements flat volatility
CFloatingCashFlow	Class implements the concept of floating cash flow
CFloatingRateBond	Class implements the bond paying floating coupon
CForwardCurve	The class implements the forward curve
CFRA	Class implements a Forward Rate Agreement
CFractionRate	The class encapsulates the fraction rate compounding method
CGaussianRandomVariable	Class implements the Gaussian random variable
CGBPHoliday	Holidays set for GBP currency
CGeometricBrownianMotion	Class is implements geometric Brownian motion
CGoodFriday	Good Friday
CGreeksIntermediateResults	Data structure holding the PV and Greeks
CGslFunctionAdapter	Class implements adapter for gsl_function
CGslFunctionFdfAdapter	Class implements adapter for gsl_function_fdf
CGslMultiminFunctionAdapter	Class implements adapter for gsl_multimin_function
CGslMultiminFunctionFdfAdapter	Class implements adapter for gsl_multimin_function
CHestonProcess	Class is implements Heston process
CHoliday	Class is an abstract class expressing the concept of holiday calendar for different currencies and stock exchange
CHUFHoliday	Holidays set for HUF currency
CInterestRate	The class implements the concept of interest rate
CInterpolation	Class is an abstract type expressing the concept of interpolation
CIRS	Class implements an plain vanilla (flo/fix) interest rate swap contract
CJPYHoliday	Holidays set for JPY currency
CLinearInstrument	Class is an abstract class expressing the concept of linear instruments like deposits, FRAs, futures, fxForwards and swaps
CLinearInterpolation	Class implements the linear local interpolation technique
CLogarithmicInterpolation	Class implements the logarithmic local interpolation technique
CMarketModel	Interface for objects representing market models
CMersenneTwister	Class implements Mersenne Twister RNG
CNaturalCubicSpline	Class implements the natural cubic spline interpolation
CNormalDistribution	Class implements Normal Distribution
CObjectFactory	Class implements a factory pattern
CObjectFactoryHelper	Factory helper
COneYF	The class encapsulates the 1/1 year fraction convention
COption	Class is an abstract interface for single asset financial options
COptionDelta	Calculates option's delta
COptionGamma	Calculates option's gamma
COptionGreeks	Interface for OptionGreeks decorator
COptionGreeksDecorator	Interface for classes decorating Option Greeks
COptionPV	Calculates PV
COptionTheta	Calculates option's theta
COptionVanna	Calculates option's Vanna
COptionVega	Calculates option's vega
COptionVolga	Calculates option's Volga
CPath	Path is a series of real numbers indexed with time. In general, it is identical with a series of time
CPLNHoliday	Holidays set for PLN currency
CPolynomialInterpolation	Class implements the polynomial interpolation
CPolynomialRegression
CPricingEngine	Interface for all pricing engines
CProbabilityDistribution	Class implements an interface of random number distribution
CQuadraticInterpolation	Class implements the quadratic local interpolation technique
CQuadraticProgrammingSolver	Quadratic Programming Solver
CRandomVariable	Class implements the interface for Random Variables
CRANLUX	Class implements RANLUX RNG
CRegression	Class is an abstract class implementing interface of regression
CRegressionWithoutIntercept	Class implements simple linear regression without intercept
CRobustRegression	Class implements robust linear regression
CRunTimeMeasurment	Class used to measure run time of the program
CScaleLocationDistribution	Class implements an interface of location scale distribution
CSettlementDateConvention	Interface for classes implementing settlement date conventions
CSettlementFromExpiry	Class calculating settlement date from expiry date
CSettlementFromSpot	Class calculating settlement date from expiry date
CSimpleLinearRegression	Class implements simple linear regression
CSimpleRate	The class encapsulates the simple rate compounding method
CSimulatedAnnealing	Class implements Simulated Annealing minimizer
CSmartPointer	Template of deep-coping smart pointer
CSteffenInterpolation	Class implements the Steffen interpolation
CStochasticProcess	Class is an abstract type expressing the concept of stochastic process
CTausworthe	Class implements Tausworthe RNG
CTenor	Class implements a tenor object
CTimeDiscretization	Class implements a TimeDiscretization object
CTimeGrid	Class implements a TimeGrid object
CUniformDistribution	Class implements Uniform Distribution
CUniformRNG	Class implements interface for uniform number generators
CUS30360	The class encapsulates the 30/360 US year fraction convention
CUSDHoliday	Holidays set for USD currency
CValueFactory	Class implements a factory pattern
CValueFactoryHelper	Factory helper
CVolatility	The class interfaces volatility surface
CWhitMonday	Whit Monday
CYearFraction	This class is an abstract class expressing the concept of calculating year fraction
CZeroCouponBond	Class implements the zero coupon bond