List of all items

Structs

• core::aad::tape::Gradients
• core::aad::tape::Tape
• core::aad::var::Var
• core::calendar::Schedule
• core::curves::CurvePillar
• core::curves::ForwardSegment
• core::curves::YieldCurve
• core::data_models::CashDividendData
• core::data_models::EquityForwardData
• core::data_models::EquityFutureData
• core::data_models::EquityInstrumentBase
• core::data_models::EquityOptionData
• core::depth::DepthLevel
• core::depth::MarketDepth
• core::fd_solvers::axis_operator::AxisOperator
• core::fd_solvers::axis_operator::TensorGrid
• core::fd_solvers::psor::PsorResult
• core::interpolation::akima::Akima
• core::interpolation::bilinear::BilinearGrid
• core::interpolation::cubic_spline::CubicSpline
• core::interpolation::pchip::Pchip
• core::interpolation::thin_plate::ThinPlateSpline
• core::lattice::ConvergencePoint
• core::lattice::LatticeConfig
• core::lattice::LatticeDiagnostics
• core::lattice::LatticeParams
• core::lattice::LatticeSolution
• core::lattice::TermLattice
• core::lattice::TrinomialBranch
• core::lattice::TrinomialLattice
• core::market::Depth
• core::market::Discount
• core::market::Market
• core::market::Shock
• core::market::Spot
• core::market::Vol
• core::montecarlo::brownian_bridge::BrownianBridge
• core::montecarlo::halton::QmcSequence
• core::montecarlo::paths::FactorScratch
• core::montecarlo::paths::MultiPaths
• core::montecarlo::paths::Paths
• core::montecarlo::paths::SampleConfig
• core::montecarlo::sobol::SobolSequence
• core::montecarlo::stats::RunningStats
• core::montecarlo::stats::SimStats
• core::optimization::OptimConfig
• core::optimization::OptimResult
• core::optimization::Problem
• core::results::Greeks
• core::results::PricingResult
• core::solvers::solver_1d::Problem
• core::solvers::solver_1d::Root
• core::solvers::solver_1d::Solver1d
• core::termstructure::YieldTermStructure
• core::utils::CombinedContract
• core::utils::Contract
• core::utils::ContractOutput
• core::utils::Contracts
• core::utils::OutputJson
• core::utils::RateData
• core::vols::VolSurface
• equity::accumulator::Accumulator
• equity::accumulator::AccumulatorData
• equity::accumulator::AccumulatorPayoff
• equity::autocallable::AutocallablePayoff
• equity::bates::BatesDoubleExpFit
• equity::bates::BatesDoubleExpParams
• equity::bates::BatesFit
• equity::bates::BatesParams
• equity::bates::KouJumps
• equity::bates::MertonJumps
• equity::blackscholes::BlackScholesPricer
• equity::builder::EquityOptionBuilder
• equity::cliquet::Cliquet
• equity::cliquet::CliquetOptionData
• equity::equity_forward::EquityForward
• equity::equity_future::EquityFuture
• equity::finite_difference::FdConfig
• equity::finite_difference::FdSolution
• equity::forward_start_option::ForwardStartPayoff
• equity::heston::HestonFit
• equity::heston::HestonParams
• equity::heston::HestonQuote
• equity::local_vol::LocalVol
• equity::montecarlo::McStats
• equity::montecarlo::MonteCarloConfig
• equity::portfolio::EquityPortfolio
• equity::portfolio::MarketMove
• equity::portfolio::PnlAttribution
• equity::portfolio::PortfolioGreeks
• equity::portfolio::Position
• equity::processes::BlackScholesProcess
• equity::processes::HestonProcess
• equity::processes::MultiAssetGbmProcess
• equity::rainbow::RainbowAssetData
• equity::rainbow::RainbowOption
• equity::rainbow::RainbowOptionData
• equity::slv::ConditionalVariance
• equity::slv::Slv
• equity::slv::SlvConfig
• equity::svi::Ssvi
• equity::svi::SsviFit
• equity::svi::SviFit
• equity::svi::SviParams
• equity::vanilla_option::AsianPayoff
• equity::vanilla_option::BarrierPayoff
• equity::vanilla_option::BinaryPayoff
• equity::vanilla_option::EquityMarketData
• equity::vanilla_option::EquityOption
• equity::vanilla_option::EquityOptionBase
• equity::vanilla_option::LookbackPayoff
• equity::vanilla_option::VanillaPayoff
• equity::variance_swap::VarianceSwap
• equity::variance_swap::VarianceSwapData
• equity::worst_of::WorstOfAutocallable
• rates::deposits::Deposit
• rates::fra::FRA
• rates::term_structure::Date
• rates::term_structure::TermStructure
• rates::utils::TermStructure
• risk::backtest::KupiecTest
• risk::ladder::LadderPoint
• risk::ladder::SpotLadder
• risk::ladder::VolLadder
• risk::ladder::VolLadderPoint
• risk::measures::DeltaNormalVar
• risk::portfolio_risk::PortfolioRisk
• risk::portfolio_risk::RiskConfig
• risk::stress::ArbitrageCheck
• risk::stress::ScenarioResult
• risk::stress::StressConfig
• risk::stress::StressScenario
• risk::stress::TradeStress

Enums

• core::calendar::BusinessDayConvention
• core::calendar::Calendar
• core::calendar::DateGeneration
• core::calendar::Period
• core::curves::Compounding
• core::curves::CurveError
• core::curves::CurveInput
• core::curves::InterpolationMethod
• core::curves::RateShift
• core::curves::Tenor
• core::data_models::ProductData
• core::daycount::DayCountConvention
• core::errors::RustyQLibError
• core::interpolation::cubic_spline::BoundaryCondition
• core::lattice::BinomialTreeType
• core::market::BumpMode
• core::market::RiskFactor
• core::montecarlo::paths::MultiDraws
• core::montecarlo::paths::PathDraws
• core::montecarlo::paths::Sampler
• core::montecarlo::process::DiscretizationScheme
• core::optimization::Method
• core::quotes::Quote
• core::serialization::Format
• core::solvers::solver_1d::Method
• core::trade::PutOrCall
• core::trade::Transection
• core::utils::ContractStyle
• core::utils::EngineType
• core::vols::VolError
• core::vols::VolInput
• core::vols::VolShift
• equity::accumulator::AccumulatorPricer
• equity::accumulator::AccumulatorSide
• equity::asian::AsianStrikeType
• equity::asian::AveragingType
• equity::barrier::BarrierDirection
• equity::barrier::KnockType
• equity::barrier::RebateTiming
• equity::black76::FuturesSettlement
• equity::cliquet::CliquetPricer
• equity::cliquet::CliquetStyle
• equity::processes::HestonScheme
• equity::processes::VolDynamics
• equity::rainbow::RainbowType
• equity::utils::Engine
• equity::utils::LongShort
• equity::utils::Model
• equity::utils::PayoffType
• equity::utils::PricingEngine
• equity::vanilla_option::BinaryType
• equity::vanilla_option::LookbackType
• rates::term_structure::DayCountConvention
• rates::term_structure::InterpolationMethod
• rates::utils::DayCountConvention
• risk::stress::ArbitragePolicy

Traits

• core::market::MarketKey
• core::montecarlo::process::StochasticProcess
• core::montecarlo::process::StochasticProcess1D
• core::traits::Instrument
• core::traits::Observable
• core::traits::Observer
• core::traits::Rates
• core::utils::Engine
• equity::utils::Payoff
• utils::stochastic_processes::StochasticProcess

Functions

• core::aad::black_scholes
• core::calendar::easter_sunday
• core::data_models::parse_valuation_date
• core::fd_solvers::adi::douglas_step
• core::fd_solvers::adi::hundsdorfer_verwer_step
• core::fd_solvers::brennan_schwartz::brennan_schwartz
• core::fd_solvers::psor::psor
• core::fd_solvers::tridiagonal::thomas_algorithm
• core::interpolation::linear::bracket
• core::interpolation::linear::interp_pairs
• core::interpolation::linear::lerp
• core::interpolation::linear::linear_interp
• core::lattice::convergence_study
• core::lattice::diffusion_branching
• core::lattice::hull_white_branching
• core::lattice::hull_white_j_cap
• core::lattice::price_backward
• core::lattice::price_backward_with_greeks
• core::lattice::price_with_diagnostics
• core::linalg::cholesky::cholesky
• core::linalg::decomp::cholesky::cholesky_factor
• core::linalg::decomp::cholesky::cholesky_solve
• core::linalg::decomp::eigen::symmetric_eigen
• core::linalg::decomp::qr::least_squares
• core::linalg::decomp::qr::qr
• core::linalg::decomp::svd::pseudo_solve
• core::linalg::decomp::svd::svd
• core::linalg::nearest_correlation::nearest_correlation
• core::montecarlo::paths::sample_paths
• core::montecarlo::paths::sample_paths_1d
• core::montecarlo::process::numeric_diffusion_dx
• core::montecarlo::rng::path_normals
• core::montecarlo::rng::path_rng
• core::montecarlo::rng::pseudo_normal_matrix
• core::montecarlo::rng::pseudo_normals
• core::montecarlo::rng::splitmix64
• core::montecarlo::sampling::latin_hypercube
• core::montecarlo::sampling::stratified_normals
• core::montecarlo::sampling::stratified_uniforms
• core::montecarlo::sobol::sobol_normals
• core::montecarlo::stats::mean_std_err
• core::montecarlo::variance_reduction::control_variate_estimate
• core::montecarlo::variance_reduction::moment_match
• core::optimization::bfgs::bfgs
• core::optimization::conjugate_gradient::conjugate_gradient
• core::optimization::differential_evolution::differential_evolution
• core::optimization::levenberg_marquardt::levenberg_marquardt
• core::optimization::minimize
• core::optimization::nelder_mead::nelder_mead
• core::optimization::steepest_descent::steepest_descent
• core::serialization::parse
• core::serialization::parse_value
• core::serialization::render_results
• core::serialization::render_value
• core::serialization::strip_nulls
• core::solvers::bisection::bisection
• core::solvers::halley::halley
• core::solvers::newton_raphson::newton_raphson
• core::solvers::newton_safeguarded::newton_safeguarded
• core::solvers::secant::secant
• core::utils::bivariate_norm_cdf
• core::utils::inv_norm_cdf
• core::utils::norm_cdf
• core::utils::norm_pdf
• core::utils::times_to_grid_steps
• equity::asian::geometric_asian_price
• equity::asian::geometric_average_strike_price
• equity::asian::turnbull_wakeman_average_strike_price
• equity::asian::turnbull_wakeman_price
• equity::barrier::barrier_price
• equity::barrier::barrier_price_with_rebate
• equity::barrier::barrier_rebate_value
• equity::barrier::double_barrier_price
• equity::bates::bates_double_exp_price
• equity::bates::bates_price
• equity::bates::calibrate
• equity::bates::calibrate_double_exp
• equity::baw::critical_spot
• equity::baw::early_exercise_premium
• equity::baw::npv
• equity::baw::price
• equity::baw::price_with
• equity::binomial::charm
• equity::binomial::delta
• equity::binomial::gamma
• equity::binomial::npv
• equity::binomial::npv_with_diagnostics
• equity::binomial::pricing_result
• equity::binomial::rho
• equity::binomial::solution
• equity::binomial::theta
• equity::binomial::vanna
• equity::binomial::vega
• equity::binomial::volga
• equity::binomial::zomma
• equity::bjerksund_stensland::early_exercise_premium
• equity::bjerksund_stensland::npv
• equity::bjerksund_stensland::price
• equity::bjerksund_stensland::price_with
• equity::black76::charm
• equity::black76::delta
• equity::black76::gamma
• equity::black76::gamma_p
• equity::black76::price
• equity::black76::rho
• equity::black76::theta
• equity::black76::vanna
• equity::black76::vega
• equity::black76::volga
• equity::black76::zomma
• equity::blackscholes::bs_charm
• equity::blackscholes::bs_price
• equity::blackscholes::bs_vanna
• equity::blackscholes::bs_vega
• equity::blackscholes::bs_volga
• equity::blackscholes::bs_zomma
• equity::blackscholes::implied_vol_from_price
• equity::build_contracts::build_eq_contracts_from_json
• equity::finite_difference::charm
• equity::finite_difference::delta
• equity::finite_difference::gamma
• equity::finite_difference::npv
• equity::finite_difference::pricing_result
• equity::finite_difference::rho
• equity::finite_difference::solution
• equity::finite_difference::theta
• equity::finite_difference::vanna
• equity::finite_difference::vega
• equity::finite_difference::volga
• equity::finite_difference::zomma
• equity::forward_start_option::forward_start_price
• equity::greeks::charm
• equity::greeks::delta
• equity::greeks::gamma
• equity::greeks::gamma_p
• equity::greeks::pricing_result
• equity::greeks::rho
• equity::greeks::theta
• equity::greeks::vanna
• equity::greeks::vega
• equity::greeks::volga
• equity::greeks::zomma
• equity::handle_equity_contracts::handle_equity_contract
• equity::heston::analytic_npv
• equity::heston::calibrate
• equity::heston::cos_smile
• equity::heston::heston_binary_asset_price
• equity::heston::heston_binary_cash_price
• equity::heston::heston_price
• equity::lookback::fixed_strike_lookback_price
• equity::lookback::floating_strike_lookback_price
• equity::montecarlo::npv
• equity::montecarlo::npv_with_stats
• equity::perpetual::exercise_boundary
• equity::perpetual::perpetual_call
• equity::perpetual::perpetual_put
• equity::processes::qe_variance_step
• equity::slv::calibrate
• equity::variance_swap::fair_corridor_variance_strike
• equity::variance_swap::fair_gamma_swap_strike
• equity::variance_swap::fair_variance_strike
• equity::variance_swap::realized_corridor_variance
• equity::variance_swap::realized_gamma_variance
• equity::variance_swap::realized_variance
• equity::variance_swap::volatility_swap_strike_gbm
• equity::vol_surface::build_implied_vol_surface
• rates::build_contracts::build_ir_contracts
• rates::build_contracts::build_ir_contracts_from_json
• rates::build_contracts::build_term_structure
• rates::utils::convert_mm_to_date
• risk::backtest::kupiec_pof
• risk::ladder::spot_ladder
• risk::ladder::symmetric_moves
• risk::ladder::vol_ladder
• risk::measures::cornish_fisher_var
• risk::measures::delta_normal_var
• risk::measures::historical_expected_shortfall
• risk::measures::historical_var
• risk::measures::parametric_expected_shortfall
• risk::measures::parametric_var
• risk::performance::max_drawdown
• risk::performance::sharpe_ratio
• risk::performance::sortino_ratio
• risk::portfolio_risk::delta_gamma_var
• risk::portfolio_risk::full_revaluation_var
• risk::stress::stress_mtm
• risk::volatility::ewma_volatility
• risk::volatility::realized_volatility

Type Aliases

• core::errors::Result

Constants

• core::curves::KEY_RATE_TENOR_TOLERANCE
• core::market::DEFAULT_CURRENCY
• core::serialization::ARRAY_ITEM
• equity::cos::CALIBRATION_TERMS
• equity::cos::DEFAULT_TERMS
• equity::montecarlo::HESTON_MIN_STEPS
• equity::montecarlo::HESTON_QE_MIN_STEPS
• equity::montecarlo::LOCAL_VOL_MIN_STEPS
• equity::montecarlo::PATH_DEPENDENT_MIN_STEPS