Modules

Here is a list of all modules:

[detail level 1234]

▼Dates, calendar and holidays	Dates and everything else
Calendar and Holidays	Calendars and holidays for a given currency, stock exchange, etc
Time Grid	Time grids and time discretization patterns
Year Fractions	Year fraction calculators
▼Financial instruments	Financial instruments: debt securities, linear derivatives, options etc
Bonds	Debt securities like fixed coupon bond, floating rate bond etc
Linear Instruments	Linear instruments like deposits, FRAs and swaps
Options	Single asset FX/EQ options: plain vanilla
Interest Rate	Interest rate and building blocks of interest rate object (compounding conventions)
▼Market Data
▼Interest Rate Curve	Interest rate curve and all supporting classes (interpolators, estimators, modifiers)
▼Interest Rate Curve Estimators	Algorithms of interest rate curve estimation
Interest Rate Curve Cost Functions	Cost function for interest rate curve bootstrappers based on optimization technique
Interest Rate Curve Interpolators	Definitions of interpolators and extrapolators of interest rate curve
Volatility	Implied volatility surface and all supporting classes
Market Models	Market models for option pricing
▼Mathematics	Mathematical and numerical tools
Random Number Distributions	Module contains the classes implementing random variable distribution
Interpolation methods	Interpolation techniques
▼Numerical Algorithms	Numerical algorithms: root-finders, minimizers, integral calculators etc
Optimization algorithms	Routines for finding minima of arbitrary one- or multi- dimensional functions
Root-Finding algorithms	Routines used to find the argument that
GSL function adapters	Wrappers for GSL functions
Regression	Regression methods
Pseudo-Random Numbers	Implementations of random number generators
Statistics	Set of statistical tools
Stochastic Processes	Classes implementing stochastic processes
▼Pricing Engines	Pricing engines for options. Pricing engines are classes that are used to generate the PV and Greeks for a given product using provided market model.
Analytical Engines	Analytical pricing engines
PV and Greeks	Definition of classes that are used to construct risk reports about options PV and Greeks
Utils	Some useful functions,classes and templates that are used to perform standard programming tasks (like serialization, formatting, time measurement etc.)