AddHoliday

-

add a holiday to the given calendar

AdjustDate

-

adjust a non-business day according to the given convention

AdvanceDate

-

advance a non-business day according to the given convention

Calendar

-

create a new calendar

DayCount

-

return the number of days between two dates according to a given convention

DayCounter

-

advance to the nth given day of the given month

DayOfWeek

-

 return the day of the week on which the given date falls

EvaluationDate

-

return the global evaluation date

FormatDate

-

return a string containing formatted date

IsBusinessDay

-

check if a given date is a business day according to a given calendar

IsEndOfMonth

-

check if a given date corresponds to the end of a month according to a given calendar

IsHoliday

-

check if a given date is a holiday according to a given calendar

JoinBusinessDays

-

construct new calendar by joining business days from the given two calendars

JoinHolidays

-

construct new calendar by joining holidays from the given two calendars

NextWeekday

-

advance the given date to the next given day of the week

NthWeekday

-

advance to the nth given day of the given month

ParseDate

-

parse a string containing date information

RemoveHoliday

-

remove a holiday from the given calendar

SetEvaluationDate

-

set the global evaluation date

Settings

-

return default settings

TimeGrid

-

return an object for time discretization

TodaysDate

-

return today's date according to the system clock

YearFraction

-

return the interval between two dates as a fraction of a year according to a given convention

AccruedAmount

-

calculate the accrued amount of a bond

BasisPointSensitivity

-

calculate the basis point sensitivity of future cash flows

CashFlows

-

return the set of cash flows for a bond or a swap

CleanPrice

-

calculate the clean price of a bond

Convexity

-

calculate the convexity of a bond or a set of cash flows

DirtyPrice

-

calculate the dirty price of a bond

Duration

-

calculate the duration of a bond or a set of cash flows

FixedRateCoupon

-

construct a fixed-rate coupon on a term structure

InArrearIndexedCoupon

-

construct an in-arrear indexed coupon

InternalRateOfReturn

-

calculate the internal rate of return of a set of cash flows or a bond

NetPresentValue

-

return the net present value of future cash flows

ParCoupon

-

construct a coupon at par on a term structure

SimpleCashFlow

-

construct a simple cash flow at a given date

UpFrontIndexedCoupon

-

construct an up-front indexed coupon on a term structure

AmericanOption

-

construct an American-style option with the specified payoff function

AmericanSwaption

-

construct an American-style swaption

BermudanOption

-

construct a Bermudan-style option with the specified payoff function

BermudanSwaption

-

construct a Bermudan-style swaption

Cap

-

create new interest rate cap

Collar

-

create new interest rate collar

EuropeanOption

-

construct a European-style option with the specified payoff function

EuropeanSwaption

-

construct a European-style swaption

FixedCouponBond

-

create new fixed-coupon bond

FloatingRateBond

-

create new floating-rate bond

Floor

-

create new interest rate floor

InterestRateSwap

-

create new interest rate swap

Swap

-

create new cash-flow swap

ZeroCouponBond

-

create new zero-coupon bond

BlackPrice

-

calculate the price of an interest rate instrument using the Black model

BlackScholesDelta

-

calculate the Delta of a European-style option in the Black-Scholes model

BlackScholesGamma

-

calculate the Gamma of a European-style option in the Black-Scholes model

BlackScholesPrice

-

calculate the price of a European-style option using the Black-Scholes model

BlackScholesRho

-

calculate the Rho of a European-style option in the Black-Scholes model

BlackScholesTheta

-

calculate the Theta of a European-style option in the Black-Scholes model

BlackScholesVega

-

calculate the Vega of a European-style option in the Black-Scholes model

BondOptionPrice

-

calculate the price of a discount bond option in the given affine short-rate model

CleanPrice

-

calculate the clean price of a bond

Convexity

-

calculate the convexity of a bond

DirtyPrice

-

calculate the dirty price of a bond

DiscountBondPrice

-

calculate a discount bond price

Duration

-

calculate the duration of a bond

ImpliedVolatility

-

calculate the implied volatility of a European-style option in the Black-Scholes model

ImpliedVolatilitySurface

-

construct a volatility term structure

LatticePrice

-

calculate the price of a financial instrument using a binomial or a trinomial tree

LocalVolatility

-

calculate the local volatility of a European-style option

LocalVolatilitySurface

-

create new local volatility term structure

Schedule

-

define a new payment schedule

YieldFromCleanPrice

-

calculate the yield of a bond using its clean price

YieldFromDirtyPrice

-

calculate the yield of a bond using its dirty price

BenchmarkRate

-

calculate benchmark rate based on a specified calendar

CompoundFactor

-

return a compound factor for the specified date or time

DiscountCurve

-

construct a yield curve based on known discount rates

DiscountFactor

-

return a discount factor for the specified date or time

EquivalentRate

-

calculate equivalent interest rate

FairRate

-

return the fair rate of an interest rate swap

FairSpread

-

return the fair spread of an interest rate swap

ForwardRate

-

compute forward rates based on a given term structure

ForwardCurve

-

construct a yield curve based on known forward rates

ImpliedRate

-

calculate interest rate implied by a given compound factor

LoadHistory

-

load historic date for a given benchmark rate

ParRate

-

compute par rates based on a given term structure

ZeroCurve

-

construct a yield curve based on known zero rates

ZeroRate

-

compute zero rates based on a given term structure

BinomialTree

-

construct a recombining binomial tree data structure

BlackScholesBinomialTree

-

create a recombining binomial tree for a Black-Scholes process

BlackScholesTrinomialTree

-

create a recombining trinomial tree for a Black-Scholes process

ImpliedBinomialTree

-

construct an implied Black-Scholes binomial tree

ImpliedTrinomialTree

-

construct an implied Black-Scholes trinomial tree

ShortRateTree

-

construct a trinomial tree for a short-rate process

TreePlot

-

plot a binomial or trinomial tree

TrinomialTree

-

construct a mutable recombining tree data structure

GetDescendants

-

return descendants for a node of a binomial or trinomial tree

GetLocalVolatility

-

return the local volatility node of a Black-Scholes binomial or trinomial tree

GetProbabilities

-

return probabilities for a node of a binomial or trinomial tree

GetSize

-

get the size of a binomial/trinomial tree at the given level

GetUnderlying

-

return the value of the underlying for a node of a binomial or trinomial tree

SetProbabilities

-

set probabilities for a node of a binomial or trinomial tree

SetUnderlying

-

set the value of the underlying for a node of a binomial or trinomial tree

CoxIngersollRossModel

-

Cox-Ingersoll-Ross interest rate model

HullWhiteModel

-

Hull-White interest rate model

VasicekModel

-

Vasicek interest rate model

BlackScholesProcess

-

Black-Scholes process

BrownianMotion

-

uni- or multi-variate Brownian motion

CEVProcess

-

constant elasticity of variance (CEV) process

DeterministicProcess

-

deterministic time-dependent process

DynamicPortfolio

-

a portfolio of stochastic processes which can be dynamically rebalanced

MarkovChain

-

a finite state Markov chain

GammaProcess

-

gamma process

GaussMarkovProcess

-

Gaussian process for modeling short-term interest rate

GeometricBrownianMotion

-

geometric Brownian motion

HestonProcess

-

stochastic volatility process introduced by Heston

ItoDiffusion

-

general uni- or multi-variate Ito process defined by drift and diffusion

ItoProcess

-

Ito process

MertonJumpDiffusion

-

jump-diffusion process introduced by Merton

RegimeSwitchingProcess

-

stochastic process with multiple regimes

OrnsteinUhlenbeckProcess

-

Ornstein-Uhlenbeck process

PoissonProcess

-

Poisson process including the doubly-stochastic Poisson (Cox) process

ShortRateProcess

-

process that governs a short rate

SquareRootDiffusion

-

square-root diffusion

SVJJProcess

-

stochastic volatility with jumps (SVJJ) process

WienerProcess

-

uni- and multi-variate Wiener process including subordinated Wiener process

Diffusion

-

compute the diffusion component of an Ito process

Drift

-

compute the drift component of an Ito process

ExpectedShortfall

-

calculate the expected shortfall

ExpectedValue

-

compute a Monte Carlo estimate of the specified expression

PathGenerator

-

create new path generator for the specified stochastic process

PathPlot

-

plot sample path(s) of the specified stochastic process

SamplePath

-

generate a sample path for the specified stochastic process

SampleValues

-

generate sample values for the specified stochastic process

ValueAtRisk

-

estimate value-at-risk for the specified expression

amortization

-amortization table for a loan

annuity

-present value of an annuity

blackscholes

-present value of a call option

cashflows

-present value of a list of cash flows

effectiverate

-convert a stated rate to the effective rate

futurevalue

-future value of an amount

growingannuity

-present value of a growing annuity

growingperpetuity

-present value of a growing perpetuity

levelcoupon

-present value of a level coupon bond

perpetuity

-present value of a perpetuity

presentvalue

-present value of an amount

yieldtomaturity

-yield to maturity of a level coupon bond