NAME index, rindex – locate character in string SYNOPSIS #include <strings.h> char *index(const char *s, int c); char *rindex(const char *s, int c); DESCRIPTION The index() function returns a pointer to the first occurrence of the character c in the string s. The rindex() function returns a pointer to the last occurrence of the character…
NAME ql/math/incompletegamma.hpp – Incomplete Gamma function. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> Functions Real incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed Description Incomplete Gamma function. Author Generated automatically…
ql/math/incompletegamma.hpp – Incomplete Gamma function. Synopsis #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> Functions Real incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed Description Incomplete Gamma function. Author Generated automatically by…
ql/math/incompletegamma.hpp – Incomplete Gamma function. Synopsis #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> Functions Real incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed Description Incomplete Gamma function. Author Generated automatically by…
QuantLib::Forward – Abstract base forward class. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate ()…
QuantLib::Forward – Abstract base forward class. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate ()…
NAME QuantLib::ProjectedCostFunction – Parameterized cost function. SYNOPSIS #include <ql/math/optimization/projectedcostfunction.hpp> Inherits QuantLib::CostFunction. Public Member Functions ProjectedCostFunction (const CostFunction &costFunction, const Array ¶metersValues, const std::vector< bool > ¶metersFreedoms) virtual Disposable< Array > project (const Array ¶meters) const returns the subset of free parameters corresponding virtual Disposable< Array > include (const Array &projectedParameters) const returns whole set of…
QuantLib::CmsLeg – helper class building a sequence of capped/floored cms-rate coupons Synopsis #include <ql/cashflows/cmscoupon.hpp> Public Member Functions CmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &swapIndex) CmsLeg & withNotionals (Real notional) CmsLeg & withNotionals (const std::vector< Real > ¬ionals) CmsLeg & withPaymentDayCounter (const DayCounter &) CmsLeg & withPaymentAdjustment (BusinessDayConvention) CmsLeg & withFixingDays (Natural fixingDays) CmsLeg…
QuantLib::Forward – Abstract base forward class. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate ()…
NAME ql/instruments/impliedvolatility.hpp – Utilities for implied-volatility calculation. SYNOPSIS #include <ql/instrument.hpp> #include <ql/quotes/simplequote.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class ImpliedVolatilityHelper helper class for one-asset implied-volatility calculation Detailed Description Utilities for implied-volatility calculation. Author Generated automatically by Doxygen for QuantLib from the source code. Index
QuantLib::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis #include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions EurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid…
QuantLib::InterestRate – Concrete interest rate class. Synopsis #include <ql/interestrate.hpp> Public Member Functions constructors InterestRate () Default constructor returning a null interest rate. InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual) Standard constructor. conversions operator Rate () const inspectors Rate rate () const const DayCounter & dayCounter () const Compounding compounding () const Frequency…
QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis #include <ql/termstructures/bootstraphelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by RelativeDateRateHelper. Public Member Functions BootstrapHelper (const Handle< Quote > "e) BootstrapHelper (Real quote) BootstrapHelper interface Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets…
QuantLib::CreditDefaultSwap – Credit default swap. Synopsis #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments…
QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis #include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member Functions SingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) virtual void setVolatility (Volatility newVolatility) virtual void setRiskFreeRate (Rate newRate) virtual void setDividendYield (Rate newDividendYield) virtual Real value () const =0 virtual Real delta () const =0…
QuantLib::CmsMarket – set of CMS quotes Synopsis #include <ql/termstructures/volatility/swaption/cmsmarket.hpp> Inherits QuantLib::LazyObject. Public Member Functions CmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS) void reprice…
QuantLib::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/mixedscheme.hpp> Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions MixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributes…
NAME QuantLib::Parameter – Base class for model arguments. SYNOPSIS #include <ql/models/parameter.hpp> Inherited by ConstantParameter, NullParameter, PiecewiseConstantParameter, and TermStructureFittingParameter. Classes class Impl Base class for model parameter implementation. Public Member Functions const Array & params () const void setParam (Size i, Real x) bool testParams (const Array ¶ms) const Size size () const Real operator() (Time…
NAME QuantLib::Interpolation – base class for 1-D interpolations. SYNOPSIS #include <ql/math/interpolation.hpp> Inherits QuantLib::Extrapolator. Inherited by BackwardFlatInterpolation, ConvexMonotoneInterpolation< I1, I2 >, CubicInterpolation, ForwardFlatInterpolation, LinearInterpolation, LogCubicInterpolation, LogLinearInterpolation, and SABRInterpolation. Classes class Impl abstract base class for interpolation implementations class templateImpl basic template implementation Public Types typedef Real argument_type typedef Real result_type Public Member Functions bool empty ()…
NAME QuantLib::CuriouslyRecurringTemplate – Support for the curiously recurring template pattern. SYNOPSIS #include <ql/patterns/curiouslyrecurring.hpp> Protected Member Functions Impl & impl () const Impl & impl () const Detailed Description template<class Impl> class QuantLib::CuriouslyRecurringTemplate< Impl > Support for the curiously recurring template pattern. See James O. Coplien. A Curiously Recurring Template Pattern. In Stanley B. Lippman, editor,…