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QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis#include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member FunctionsHybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const Array &dw,…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis#include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member FunctionsOneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of Z. virtual…

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::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis#include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member FunctionsHybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const Array &dw,…

copysign, copysignf, copysignl – copy sign of a number Synopsis#include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions return a value…

copysign, copysignf, copysignl – copy sign of a number Synopsis#include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions return a value…

copysign, copysignf, copysignl – copy sign of a number Synopsis#include <math.h> double copysign(double x, double y); float copysignf(float x, float y); long double copysignl(long double x, long double y);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): copysign(), copysignf(), copysignl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions return a value…

QuantLib::HomogeneousPoolCDOEngine – CDO engine, loss distribution convolution for finite homogeneous pool. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member FunctionsHomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributesconst Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Descriptiontemplate<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss distribution convolution for finite homogeneous pool. AuthorGenerated automatically by Doxygen…

QuantLib::HullWhite – Single-factor Hull-White (extended Vasicek) model class. Synopsis#include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel. Classesclass Dynamics Short-rate dynamics in the Hull-White model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)" Public Member FunctionsHullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) boost::shared_ptr< Lattice > tree (const TimeGrid…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…

QuantLib::CashFlows – cashflow-analysis functions Synopsis#include <ql/cashflows/cashflows.hpp> Static Public Member Functionsstatic Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const Leg &leg)…

QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis#include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functionsvirtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor) const implements…

QuantLib::ConvertibleBond – base class for convertible bonds Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member FunctionsReal conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member FunctionsConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule…

QuantLib::ConvertibleBond – base class for convertible bonds Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member FunctionsReal conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member FunctionsConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule…

QuantLib::ConvergenceStatistics – statistics class with convergence table Synopsis#include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Typestypedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member FunctionsConvergenceStatistics (const T &stats, const U &rule=U()) ConvergenceStatistics (const U &rule=U()) void add (const value_type &value, Real weight=1.0) template<class DataIterator > void addSequence (DataIterator begin, DataIterator end) template<class DataIterator ,…

QuantLib::IborIndex – base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) Synopsis#include <ql/indexes/iborindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by Cdor, DailyTenorEuribor, DailyTenorEuribor365, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, Tibor, TRLibor, and Zibor. Public Member FunctionsIborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const…

ql/cashflows/conundrumpricer.hpp – CMS-coupon pricer. Synopsis#include <ql/cashflows/couponpricer.hpp> #include <ql/instruments/payoffs.hpp> Classesclass HaganPricer CMS-coupon pricer. class NumericHaganPricer CMS-coupon pricer. class AnalyticHaganPricer CMS-coupon pricer. Functionsstd::ostream & operator<< (std::ostream &out, GFunctionFactory::YieldCurveModel type) Detailed DescriptionCMS-coupon pricer. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

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QuantLib::McSimulation – base class for Monte Carlo engines Synopsis#include <ql/pricingengines/mcsimulation.hpp> Public Typestypedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functionsresult_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required…