Author: Linux Manual

QuantLib::LocalConstantVol – Constant local volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/equityfx/localconstantvol.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member FunctionsLocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) LocalConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) LocalConstantVol (Natural settlementDays, const Calendar &, const Handle< Quote…

QuantLib::LocalBootstrap – Localised-term-structure bootstrapper for most curve types. Synopsis#include <ql/termstructures/localbootstrap.hpp> Public Member FunctionsLocalBootstrap (Size localisation=2, bool forcePositive=true) void setup (Curve *ts) void calculate () const Detailed Descriptiontemplate<class Curve> class QuantLib::LocalBootstrap< Curve >Localised-term-structure bootstrapper for most curve types. This algorithm enables a localised fitting for non-local interpolation methods. As in the similar class (IterativeBootstrap) the input…

QuantLib::LmVolatilityModel – caplet volatility model Synopsis#include <ql/legacy/libormarketmodels/lmvolmodel.hpp> Inherited by LmConstWrapperVolatilityModel, LmFixedVolatilityModel, and LmLinearExponentialVolatilityModel. Public Member FunctionsLmVolatilityModel (Size size, Size nArguments) Size size () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const =0 virtual Volatility volatility (Size…

QuantLib::LmLinearExponentialVolatilityModel – linear exponential volatility model Synopsis#include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Inherited by LmExtLinearExponentialVolModel. Public Member FunctionsLmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const Real integratedVariance…

QuantLib::LmLinearExponentialCorrelationModel – linear exponential correlation model Synopsis#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member FunctionsLmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >()) Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const Real correlation (Size i, Size j, Time t,…

QuantLib::LmExtLinearExponentialVolModel – extended linear exponential volatility model Synopsis#include <ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp> Inherits QuantLib::LmLinearExponentialVolatilityModel. Public Member FunctionsLmExtLinearExponentialVolModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const Real integratedVariance (Size i,…

QuantLib::LmExponentialCorrelationModel – exponential correlation model Synopsis#include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member FunctionsLmExponentialCorrelationModel (Size size, Real rho) Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const Real correlation (Size i, Size j, Time t, const Array &x) const bool isTimeIndependent ()…

QuantLib::LmCorrelationModel – libor forward correlation model Synopsis#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel. Public Member FunctionsLmCorrelationModel (Size size, Size nArguments) virtual Size size () const virtual Size factors () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Matrix > correlation (Time t, const Array &x=Null< Array…

QuantLib::LmConstWrapperVolatilityModel – caplet const volatility model Synopsis#include <ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Public Member FunctionsLmConstWrapperVolatilityModel (const boost::shared_ptr< LmVolatilityModel > &volaModel) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const…

QuantLib::LinearLeastSquaresRegression – general linear least squares regression Synopsis#include <ql/math/linearleastsquaresregression.hpp> Public Member FunctionsLinearLeastSquaresRegression (const std::vector< ArgumentType > &x, const std::vector< Real > &y, const std::vector< boost::function1< Real, ArgumentType > > &v) const Array & a () const const Array & error () const Detailed Descriptiontemplate<class ArgumentType = Real> class QuantLib::LinearLeastSquaresRegression< ArgumentType >general linear least squares regression…

QuantLib::LinearInterpolation – Linear interpolation between discrete points Synopsis#include <ql/math/interpolations/linearinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > LinearInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed DescriptionLinear interpolation between discrete points Constructor & Destructor DocumentationLinearInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)Precondition: the $ x $…

QuantLib::Linear – Linear-interpolation factory and traits Synopsis#include <ql/math/interpolations/linearinterpolation.hpp> Public Member Functionstemplate<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = false static const Size requiredPoints = 2 Detailed DescriptionLinear-interpolation factory and traits AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::LineSearch – Base class for line search. Synopsis#include <ql/math/optimization/linesearch.hpp> Inherited by ArmijoLineSearch. Public Member FunctionsLineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm of last…

QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis#include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member FunctionsLiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t) $ Disposable<…

QuantLib::LiborForwardModel – Libor forward model Synopsis#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member FunctionsLiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond (Time now,…

QuantLib::Libor – base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones Synopsis#include <ql/indexes/ibor/libor.hpp> Inherits QuantLib::IborIndex. Inherited by AUDLibor, CADLibor, CHFLibor, DKKLibor, GBPLibor, JPYLibor, NZDLibor, SEKLibor, and USDLibor. Public Member FunctionsLibor (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure…

QuantLib::LfmSwaptionEngine – Libor forward model swaption engine based on Black formula Synopsis#include <ql/legacy/libormarketmodels/lfmswaptionengine.hpp> Inherits GenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results >. Public Member FunctionsLfmSwaptionEngine (const boost::shared_ptr< LiborForwardModel > &model, const Handle< YieldTermStructure > &discountCurve) void calculate () const Detailed DescriptionLibor forward model swaption engine based on Black formula AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper Synopsis#include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member FunctionsLfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1) Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance (Time t, const Array &x=Null< Array…

QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization Synopsis#include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member FunctionsLfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) boost::shared_ptr< LmVolatilityModel > volatilityModel () const boost::shared_ptr< LmCorrelationModel > correlationModel () const Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance…

QuantLib::LfmCovarianceParameterization – Libor market model parameterization Synopsis#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization. Public Member FunctionsLfmCovarianceParameterization (Size size, Size factors) Size size () const Size factors () const virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0 virtual Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const…