- qlAmericanExercise – create an
*American*style exercise object - qlBinomialPricingEngine – Create pricing engines with discretised time
- qlBlackConstantVol – Create a Volatility Structure with constant volatility for all times and strikes
- qlBlackSwaptionEngine – Create a Swaption Valuation Engine
- qlBlackVarianceSurface – Create volatility structure represented by variance surface
- qlCalendarAddHoliday – Mark a date as a holiday
- qlCalendarAdvance – Advance a date by specified interval
- qlConstantSwaptionVolatility – Simple rates volatility for use with swaptions
- qlDatedOISRateHelper – create a Rate Helper referencing an overnight index swap with a forward start date
- qlDiscountingSwapEngine – create an engine for pricing of interest rate swaps
- qlEONIA – Create an EONIA object
- qlEURIBOR – create an object representing the Euribor index
- qlEuropeanExercise – create an object defining a derivative that can only be exercised at maturity
- qlExerciseDates – Return the dates on which an option can be exercised
- qlGeneralizedBlackScholesProcess – Create an object representing the Black-Scholes process
- qlInstrumentNPV – Compute the Net Present Value of an instrument
- qlInstrumentResults – Get additional results from instrument pricing
- qlInstrumentSetPricingEngine – Set the pricing engine for an instrument
- qlInterpolatedYieldCurve – Create a yield curve that interpolates between supplied data
- qlMakeVanillaSwap – Make a vanilla interest rate swap object
- qlOISRateHelper – create a Rate Helper referencing an overnight index swap
- qlPiecewiseHazardRateCurve – create a hazard-rate curve for credit default
- qlPiecewiseYieldCurve – create a yield curve bootsrapped from market quotes
- qlPricingEngine – Create a engine for pricing derivatives
- qlSettingsSetEvaluationDate – set the implicit evaluation date to use
- qlStrikedTypePayoff – create a definition of a derivative payoff
- qlSwapLegAnalysis – Inspect the cashflows of a swap object
- qlSwaption – create an object representing a swaption
- qlVanillaOption – Create a Vanilla option derivative
- qlVanillaSwapFairRate – compute the fair fixed rate for a IR swap
- qlVanillaSwapFairSpread – Compute the fair spread over floating rate for IR swap
- Examples
- qlYieldTSDiscount – Calculate discount factor from yield curve