├── .gitignore ├── .travis.yml ├── ChangeLog.txt ├── LICENSE.TXT ├── README.md ├── README.txt ├── check ├── Makefile ├── checkduplicatesymbols1.cpp ├── checkduplicatesymbols2.cpp └── main.cpp ├── ql ├── cashflow.hpp ├── cashflows │ ├── all.hpp │ ├── capflooredcoupon.hpp │ ├── cashflows.hpp │ ├── cashflowvectors.hpp │ ├── cmscoupon.hpp │ ├── coupon.hpp │ ├── couponpricer.hpp │ ├── digitalcmscoupon.hpp │ ├── digitalcoupon.hpp │ ├── digitaliborcoupon.hpp │ ├── dividend.hpp │ ├── duration.hpp │ ├── fixedratecoupon.hpp │ ├── floatingratecoupon.hpp │ ├── iborcoupon.hpp │ ├── overnightindexedcoupon.hpp │ ├── pricersetter.hpp │ ├── rangeaccrual.hpp │ └── replication.hpp ├── compounding.hpp ├── config.ansi.hpp ├── config.mingw.hpp ├── config.msvc.hpp ├── config.sun.hpp ├── currencies │ ├── all.hpp │ ├── america.hpp │ ├── asia.hpp │ ├── europe.hpp │ └── oceania.hpp ├── currency.hpp ├── discretizedasset.hpp ├── errors.hpp ├── event.hpp ├── exercise.hpp ├── experimental │ ├── coupons │ │ ├── cmsspreadcoupon.hpp │ │ ├── digitalcmsspreadcoupon.hpp │ │ ├── lognormalcmsspreadpricer.hpp │ │ ├── subperiodcoupons.hpp │ │ └── swapspreadindex.hpp │ └── math │ │ ├── expm.hpp │ │ ├── moorepenroseinverse.hpp │ │ ├── piecewisefunction.hpp │ │ └── piecewiseintegral.hpp ├── grid.hpp ├── handle.hpp ├── index.hpp ├── indexes │ ├── all.hpp │ ├── ibor │ │ ├── all.hpp │ │ └── euribor.hpp │ ├── iborindex.hpp │ ├── indexmanager.hpp │ ├── interestrateindex.hpp │ └── swapindex.hpp ├── instrument.hpp ├── instruments │ ├── all.hpp │ ├── capfloor.hpp │ ├── compositeinstrument.hpp │ ├── dividendschedule.hpp │ ├── europeanoption.hpp │ ├── impliedvolatility.hpp │ ├── makecapfloor.hpp │ ├── makeois.hpp │ ├── makevanillaswap.hpp │ ├── oneassetoption.hpp │ ├── overnightindexedswap.hpp │ ├── payoffs.hpp │ ├── stock.hpp │ ├── swap.hpp │ ├── swaption.hpp │ ├── vanillaoption.hpp │ └── vanillaswap.hpp ├── interestrate.hpp ├── math │ ├── abcdmathfunction.hpp │ ├── all.hpp │ ├── array.hpp │ ├── autocovariance.hpp │ ├── bernsteinpolynomial.hpp │ ├── beta.hpp │ ├── bspline.hpp │ ├── comparison.hpp │ ├── copulas │ │ ├── alimikhailhaqcopula.hpp │ │ ├── all.hpp │ │ ├── claytoncopula.hpp │ │ ├── farliegumbelmorgensterncopula.hpp │ │ ├── frankcopula.hpp │ │ ├── galamboscopula.hpp │ │ ├── gaussiancopula.hpp │ │ ├── gumbelcopula.hpp │ │ ├── huslerreisscopula.hpp │ │ ├── independentcopula.hpp │ │ ├── marshallolkincopula.hpp │ │ ├── maxcopula.hpp │ │ ├── mincopula.hpp │ │ └── plackettcopula.hpp │ ├── curve.hpp │ ├── distributions │ │ ├── all.hpp │ │ ├── binomialdistribution.hpp │ │ ├── bivariatenormaldistribution.hpp │ │ ├── bivariatestudenttdistribution.hpp │ │ ├── chisquaredistribution.hpp │ │ ├── gammadistribution.hpp │ │ ├── normaldistribution.hpp │ │ ├── poissondistribution.hpp │ │ └── studenttdistribution.hpp │ ├── errorfunction.hpp │ ├── factorial.hpp │ ├── fastfouriertransform.hpp │ ├── functional.hpp │ ├── generallinearleastsquares.hpp │ ├── incompletegamma.hpp │ ├── integrals │ │ ├── all.hpp │ │ ├── discreteintegrals.hpp │ │ ├── filonintegral.hpp │ │ ├── gaussianorthogonalpolynomial.hpp │ │ ├── gaussianquadratures.hpp │ │ ├── gausslobattointegral.hpp │ │ ├── integral.hpp │ │ ├── kronrodintegral.hpp │ │ ├── segmentintegral.hpp │ │ ├── simpsonintegral.hpp │ │ ├── trapezoidintegral.hpp │ │ └── twodimensionalintegral.hpp │ ├── interpolation.hpp │ ├── interpolations │ │ ├── abcdinterpolation.hpp │ │ ├── all.hpp │ │ ├── backwardflatinterpolation.hpp │ │ ├── backwardflatlinearinterpolation.hpp │ │ ├── bicubicsplineinterpolation.hpp │ │ ├── bilinearinterpolation.hpp │ │ ├── convexmonotoneinterpolation.hpp │ │ ├── cubicinterpolation.hpp │ │ ├── extrapolation.hpp │ │ ├── flatextrapolation2d.hpp │ │ ├── forwardflatinterpolation.hpp │ │ ├── interpolation2d.hpp │ │ ├── kernelinterpolation.hpp │ │ ├── kernelinterpolation2d.hpp │ │ ├── lagrangeinterpolation.hpp │ │ ├── linearinterpolation.hpp │ │ ├── loginterpolation.hpp │ │ ├── mixedinterpolation.hpp │ │ ├── multicubicspline.hpp │ │ ├── sabrinterpolation.hpp │ │ └── xabrinterpolation.hpp │ ├── kernelfunctions.hpp │ ├── lexicographicalview.hpp │ ├── linearleastsquaresregression.hpp │ ├── matrix.hpp │ ├── matrixutilities │ │ ├── all.hpp │ │ ├── basisincompleteordered.hpp │ │ ├── bicgstab.hpp │ │ ├── choleskydecomposition.hpp │ │ ├── factorreduction.hpp │ │ ├── getcovariance.hpp │ │ ├── gmres.hpp │ │ ├── pseudosqrt.hpp │ │ ├── qrdecomposition.hpp │ │ ├── sparseilupreconditioner.hpp │ │ ├── sparsematrix.hpp │ │ ├── svd.hpp │ │ ├── symmetricschurdecomposition.hpp │ │ ├── tapcorrelations.hpp │ │ └── tqreigendecomposition.hpp │ ├── modifiedbessel.hpp │ ├── ode │ │ ├── adaptiverungekutta.hpp │ │ └── all.hpp │ ├── optimization │ │ ├── all.hpp │ │ ├── armijo.hpp │ │ ├── bfgs.hpp │ │ ├── conjugategradient.hpp │ │ ├── constraint.hpp │ │ ├── costfunction.hpp │ │ ├── differentialevolution.hpp │ │ ├── endcriteria.hpp │ │ ├── goldstein.hpp │ │ ├── leastsquare.hpp │ │ ├── levenbergmarquardt.hpp │ │ ├── linesearch.hpp │ │ ├── linesearchbasedmethod.hpp │ │ ├── lmdif.hpp │ │ ├── method.hpp │ │ ├── problem.hpp │ │ ├── projectedconstraint.hpp │ │ ├── projectedcostfunction.hpp │ │ ├── projection.hpp │ │ ├── simplex.hpp │ │ ├── simulatedannealing.hpp │ │ ├── spherecylinder.hpp │ │ └── steepestdescent.hpp │ ├── pascaltriangle.hpp │ ├── polynomialmathfunction.hpp │ ├── primenumbers.hpp │ ├── quadratic.hpp │ ├── randomnumbers │ │ ├── all.hpp │ │ ├── boxmullergaussianrng.hpp │ │ ├── centrallimitgaussianrng.hpp │ │ ├── faurersg.hpp │ │ ├── haltonrsg.hpp │ │ ├── inversecumulativerng.hpp │ │ ├── inversecumulativersg.hpp │ │ ├── knuthuniformrng.hpp │ │ ├── latticersg.hpp │ │ ├── latticerules.hpp │ │ ├── lecuyeruniformrng.hpp │ │ ├── mt19937uniformrng.hpp │ │ ├── primitivepolynomials.hpp │ │ ├── randomizedlds.hpp │ │ ├── randomsequencegenerator.hpp │ │ ├── ranluxuniformrng.hpp │ │ ├── rngtraits.hpp │ │ ├── seedgenerator.hpp │ │ ├── sobolbrownianbridgersg.hpp │ │ ├── sobolrsg.hpp │ │ └── stochasticcollocationinvcdf.hpp │ ├── richardsonextrapolation.hpp │ ├── rounding.hpp │ ├── sampledcurve.hpp │ ├── solver1d.hpp │ ├── solvers1d │ │ ├── all.hpp │ │ ├── bisection.hpp │ │ ├── brent.hpp │ │ ├── falseposition.hpp │ │ ├── finitedifferencenewtonsafe.hpp │ │ ├── newton.hpp │ │ ├── newtonsafe.hpp │ │ ├── ridder.hpp │ │ └── secant.hpp │ ├── statistics │ │ ├── all.hpp │ │ ├── convergencestatistics.hpp │ │ ├── discrepancystatistics.hpp │ │ ├── gaussianstatistics.hpp │ │ ├── generalstatistics.hpp │ │ ├── histogram.hpp │ │ ├── incrementalstatistics.hpp │ │ ├── riskstatistics.hpp │ │ ├── sequencestatistics.hpp │ │ └── statistics.hpp │ └── transformedgrid.hpp ├── mathconstants.hpp ├── methods │ ├── all.hpp │ ├── finitedifferences │ │ ├── all.hpp │ │ ├── americancondition.hpp │ │ ├── boundarycondition.hpp │ │ ├── bsmoperator.hpp │ │ ├── bsmtermoperator.hpp │ │ ├── cranknicolson.hpp │ │ ├── dminus.hpp │ │ ├── dplus.hpp │ │ ├── dplusdminus.hpp │ │ ├── dzero.hpp │ │ ├── expliciteuler.hpp │ │ ├── fdtypedefs.hpp │ │ ├── finitedifferencemodel.hpp │ │ ├── impliciteuler.hpp │ │ ├── mixedscheme.hpp │ │ ├── onefactoroperator.hpp │ │ ├── operatorfactory.hpp │ │ ├── operatortraits.hpp │ │ ├── parallelevolver.hpp │ │ ├── pde.hpp │ │ ├── pdebsm.hpp │ │ ├── pdeshortrate.hpp │ │ ├── shoutcondition.hpp │ │ ├── stepcondition.hpp │ │ ├── trbdf2.hpp │ │ ├── tridiagonaloperator.hpp │ │ └── zerocondition.hpp │ ├── lattices │ │ ├── all.hpp │ │ ├── binomialtree.hpp │ │ ├── bsmlattice.hpp │ │ ├── lattice.hpp │ │ ├── lattice1d.hpp │ │ ├── lattice2d.hpp │ │ ├── tree.hpp │ │ └── trinomialtree.hpp │ └── montecarlo │ │ ├── all.hpp │ │ ├── brownianbridge.hpp │ │ ├── earlyexercisepathpricer.hpp │ │ ├── exercisestrategy.hpp │ │ ├── genericlsregression.hpp │ │ ├── longstaffschwartzpathpricer.hpp │ │ ├── lsmbasissystem.hpp │ │ ├── mctraits.hpp │ │ ├── montecarlomodel.hpp │ │ ├── multipath.hpp │ │ ├── multipathgenerator.hpp │ │ ├── nodedata.hpp │ │ ├── parametricexercise.hpp │ │ ├── path.hpp │ │ ├── pathgenerator.hpp │ │ ├── pathpricer.hpp │ │ └── sample.hpp ├── models │ ├── all.hpp │ ├── calibrationhelper.hpp │ ├── marketmodels │ │ ├── all.hpp │ │ ├── browniangenerator.hpp │ │ └── browniangenerators │ │ │ ├── all.hpp │ │ │ └── sobolbrowniangenerator.hpp │ ├── model.hpp │ ├── parameter.hpp │ └── shortrate │ │ ├── all.hpp │ │ └── onefactormodel.hpp ├── numericalmethod.hpp ├── option.hpp ├── patterns │ ├── all.hpp │ ├── curiouslyrecurring.hpp │ ├── lazyobject.hpp │ ├── observable.hpp │ ├── singleton.hpp │ └── visitor.hpp ├── payoff.hpp ├── position.hpp ├── pricingengine.hpp ├── pricingengines │ ├── all.hpp │ ├── blackcalculator.hpp │ ├── blackformula.hpp │ ├── capfloor │ │ ├── all.hpp │ │ ├── bacheliercapfloorengine.hpp │ │ └── blackcapfloorengine.hpp │ ├── genericmodelengine.hpp │ ├── latticeshortratemodelengine.hpp │ ├── mclongstaffschwartzengine.hpp │ ├── mcsimulation.hpp │ ├── swap │ │ ├── all.hpp │ │ ├── cvaswapengine.hpp │ │ ├── discountingswapengine.hpp │ │ ├── discretizedswap.hpp │ │ └── treeswapengine.hpp │ ├── swaption │ │ ├── all.hpp │ │ └── blackswaptionengine.hpp │ └── vanilla │ │ ├── all.hpp │ │ ├── analyticeuropeanengine.hpp │ │ ├── fdamericanengine.hpp │ │ ├── fdbermudanengine.hpp │ │ ├── fdconditions.hpp │ │ ├── fdmultiperiodengine.hpp │ │ ├── fdstepconditionengine.hpp │ │ └── fdvanillaengine.hpp ├── processes │ ├── all.hpp │ ├── blackscholesprocess.hpp │ └── eulerdiscretization.hpp ├── qldefines.hpp ├── quantlib.hpp ├── quote.hpp ├── quotes │ ├── all.hpp │ ├── compositequote.hpp │ ├── derivedquote.hpp │ ├── eurodollarfuturesquote.hpp │ ├── forwardswapquote.hpp │ ├── forwardvaluequote.hpp │ ├── futuresconvadjustmentquote.hpp │ ├── impliedstddevquote.hpp │ ├── lastfixingquote.hpp │ └── simplequote.hpp ├── settings.hpp ├── stochasticprocess.hpp ├── termstructure.hpp ├── termstructures │ ├── all.hpp │ ├── credit │ │ ├── all.hpp │ │ ├── flathazardrate.hpp │ │ └── hazardratestructure.hpp │ ├── defaulttermstructure.hpp │ ├── volatility │ │ ├── abcd.hpp │ │ ├── abcdcalibration.hpp │ │ ├── all.hpp │ │ ├── capfloor │ │ │ ├── all.hpp │ │ │ ├── capfloortermvolatilitystructure.hpp │ │ │ ├── capfloortermvolcurve.hpp │ │ │ ├── capfloortermvolsurface.hpp │ │ │ └── constantcapfloortermvol.hpp │ │ ├── equityfx │ │ │ ├── all.hpp │ │ │ ├── blackconstantvol.hpp │ │ │ ├── blackvariancecurve.hpp │ │ │ ├── blackvoltermstructure.hpp │ │ │ ├── localconstantvol.hpp │ │ │ ├── localvolcurve.hpp │ │ │ ├── localvolsurface.hpp │ │ │ └── localvoltermstructure.hpp │ │ ├── flatsmilesection.hpp │ │ ├── interpolatedsmilesection.hpp │ │ ├── optionlet │ │ │ ├── all.hpp │ │ │ ├── capletvariancecurve.hpp │ │ │ ├── constantoptionletvol.hpp │ │ │ ├── optionletstripper.hpp │ │ │ ├── optionletstripper1.hpp │ │ │ ├── optionletstripper2.hpp │ │ │ ├── optionletvolatilitystructure.hpp │ │ │ ├── spreadedoptionletvol.hpp │ │ │ ├── strippedoptionlet.hpp │ │ │ ├── strippedoptionletadapter.hpp │ │ │ └── strippedoptionletbase.hpp │ │ ├── sabr.hpp │ │ ├── sabrsmilesection.hpp │ │ ├── smilesection.hpp │ │ ├── spreadedsmilesection.hpp │ │ ├── swaption │ │ │ ├── all.hpp │ │ │ ├── swaptionconstantvol.hpp │ │ │ └── swaptionvolstructure.hpp │ │ └── volatilitytype.hpp │ ├── voltermstructure.hpp │ ├── yield │ │ ├── all.hpp │ │ ├── flatforward.hpp │ │ ├── zerospreadedtermstructure.hpp │ │ └── zeroyieldstructure.hpp │ └── yieldtermstructure.hpp ├── time │ ├── all.hpp │ ├── asx.hpp │ ├── businessdayconvention.hpp │ ├── calendar.hpp │ ├── calendars │ │ ├── all.hpp │ │ ├── bespokecalendar.hpp │ │ ├── brazil.hpp │ │ ├── canada.hpp │ │ ├── china.hpp │ │ ├── germany.hpp │ │ ├── italy.hpp │ │ ├── japan.hpp │ │ ├── jointcalendar.hpp │ │ ├── nullcalendar.hpp │ │ ├── russia.hpp │ │ ├── southafrica.hpp │ │ ├── southkorea.hpp │ │ ├── target.hpp │ │ ├── unitedkingdom.hpp │ │ └── unitedstates.hpp │ ├── date.hpp │ ├── dategenerationrule.hpp │ ├── daycounter.hpp │ ├── daycounters │ │ ├── actual360.hpp │ │ ├── actual365fixed.hpp │ │ ├── actual365nl.hpp │ │ ├── actualactual.hpp │ │ ├── all.hpp │ │ ├── business252.hpp │ │ ├── one.hpp │ │ ├── simpledaycounter.hpp │ │ └── thirty360.hpp │ ├── ecb.hpp │ ├── frequency.hpp │ ├── imm.hpp │ ├── period.hpp │ ├── schedule.hpp │ ├── timeunit.hpp │ └── weekday.hpp ├── timegrid.hpp ├── timeseries.hpp ├── types.hpp ├── userconfig.hpp ├── utilities │ ├── all.hpp │ ├── dataformatters.hpp │ ├── dataparsers.hpp │ ├── disposable.hpp │ ├── null.hpp │ ├── null_deleter.hpp │ ├── observablevalue.hpp │ ├── steppingiterator.hpp │ └── vectors.hpp └── version.hpp └── test-suite ├── Makefile ├── array.hpp ├── autocovariances.hpp ├── blackformula.hpp ├── businessdayconventions.hpp ├── calendars.hpp ├── covariance.hpp ├── dates.hpp ├── daycounters.hpp ├── distributions.hpp ├── fastfouriertransform.hpp ├── functions.hpp ├── instruments.hpp ├── integrals.hpp ├── interpolations.hpp ├── linearleastsquaresregression.hpp ├── lowdiscrepancysequences.hpp ├── matrices.hpp ├── mersennetwister.hpp ├── ode.hpp ├── optimizers.hpp ├── 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