Here is a quick summary of all the modules that are available in the current version of Quantlib.
The modules are provided on the quantlib.org site but I found that after installation there are other folders that are not listed on the site.
Modules contain a set of functions, classes, a collection of macros and typedefs. They are the library’s functionality. Modules can be included via the include directive with “quantlib.hpp”.
On the left are the list from the site, on the right is my installation of Quantlib.
Currencies and FX rates
Contains many predefined national currencies.
Date and time calculations
Classes for handling Calendars and Day counters.
C++ template implementations of design patterns like Composite, curiously recurring, lazyObject, observable-observer, singleton, acyclicVisitor.
A collection of many financial instruments.
This is numerical solution of partial differential equations using finite-difference methods.
Well known lattice methods.
Pseudo random number and low-discrepancy sequence generators, solvers and optimazers.
Monte Carlo framework
Monte Carlo simulations including LongstaffSchwartz pricer, Brownian Bridge, early exercise pricer, path generator.
A number of numeric types are defined in order to add clarity to function and method declarations.
Helper functions for creating formatted output.
Contains many predefined engines like Asian, barrier, basket, cliquet, forward, quanto and vanilla options, cpa/floor and swaption engines
Global definitions and a few macros which help porting the code to different compilers. Including debugging (ql/utilities/tracing.hpp) and numeric macros.
Short-rate modelling framework
This framework implements some single-factor and two-factor short rate models
Implementation of a variety of stochastic processes.
Framework for defining yield term structures.
Various utility classes.
Other folders in Quantlib not listed on the site
Classes and functions for working with cash flows and sequences of cash flows.
Classes for storing historical fixings of different index types.
Classes for calculating quotes from underlying indexes.
A collection of some models: