Author: Linux Manual

QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis#include <ql/math/matrixutilities/getcovariance.hpp> Public Member FunctionsCovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed DescriptionCovariance decomposition into correlation and variances. Extracts the correlation matrix and the vector of variances out…

QuantLib::Coupon – coupon accruing over a fixed period Synopsis#include <ql/cashflows/coupon.hpp> Inherits QuantLib::CashFlow. Inherited by FixedRateCoupon, and FloatingRateCoupon. Public Member FunctionsCoupon (Real nominal, const Date &paymentDate, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) Partial CashFlow interface Date date () const Inspectors Real nominal () const const Date & accrualStartDate () const…

QuantLib::CoterminalSwapCurveState – Curve state for coterminal-swap market models Synopsis#include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp> Inherits QuantLib::CurveState. Public Member FunctionsCoterminalSwapCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate coterminalSwapRate (Size i) const Rate…

QuantLib::CostFunction – Cost function abstract class for optimization problem. Synopsis#include <ql/math/optimization/costfunction.hpp> Inherited by AbcdError, SABRError, FrobeniusCostFunction, LeastSquareFunction, PenaltyFunction< Curve >, and ProjectedCostFunction. Public Member Functionsvirtual Real value (const Array &x) const =0 method to overload to compute the cost function value in x virtual Disposable< Array > values (const Array &x) const =0 method to…

QuantLib::ConvexMonotoneInterpolation – Convex monotone yield-curve interpolation method. Synopsis#include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member FunctionsConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map()) ConvexMonotoneInterpolation (Interpolation &interp) std::map< Real, boost::shared_ptr< detail::SectionHelper > > getExistingHelpers () Detailed Descriptiontemplate<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation< I1, I2 >Convex…

QuantLib::ConvexMonotone – Convex-monotone interpolation factory and traits. Synopsis#include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Public Member FunctionsConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const template<class I1 , class I2 > Interpolation localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Size localisation,…

QuantLib::ConvertibleZeroCouponBond – convertible zero-coupon bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleZeroCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Descriptionconvertible zero-coupon bond Warning Most methods inherited from Bond (such as…

QuantLib::ConvertibleFloatingRateBond – convertible floating-rate bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleFloatingRateBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const boost::shared_ptr< IborIndex > &index, Natural fixingDays, const std::vector< Spread > &spreads, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100)…

QuantLib::ConvertibleFixedCouponBond – convertible fixed-coupon bond Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member FunctionsConvertibleFixedCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const std::vector< Rate > &coupons, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Descriptionconvertible fixed-coupon bond Warning Most methods…

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::ContinuousFloatingLookbackOption::arguments – Arguments for continuous floating lookback option calculation Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits OneAssetOption::arguments. Public Member Functionsvoid validate () const Public AttributesReal minmax Detailed DescriptionArguments for continuous floating lookback option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ContinuousFloatingLookbackOption – Continuous-floating lookback option. Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for continuous floating lookback option calculation class engine Continuous floating lookback engine base class Public Member FunctionsContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesReal minmax_ Detailed DescriptionContinuous-floating lookback option. Member Function…

QuantLib::ContinuousFixedLookbackOption::arguments – Arguments for continuous fixed lookback option calculation Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits OneAssetOption::arguments. Public Member Functionsvoid validate () const Public AttributesReal minmax Detailed DescriptionArguments for continuous fixed lookback option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ContinuousFixedLookbackOption – Continuous-fixed lookback option. Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for continuous fixed lookback option calculation class engine Continuous fixed lookback engine base class Public Member FunctionsContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesReal minmax_ Detailed DescriptionContinuous-fixed lookback option. Member Function…

QuantLib::ContinuousAveragingAsianOption::arguments – Extra arguments for single-asset continuous-average Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits OneAssetOption::arguments. Public Member Functionsvoid validate () const Public AttributesAverage::Type averageType Detailed DescriptionExtra arguments for single-asset continuous-average Asian option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ContinuousAveragingAsianOption – Continuous-averaging Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Extra arguments for single-asset continuous-average Asian option. class engine Continuous-averaging Asian engine base class. Public Member FunctionsContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesAverage::Type averageType_ Detailed DescriptionContinuous-averaging Asian option. Possible enhancements add…

QuantLib::Constraint – Base constraint class. Synopsis#include <ql/math/optimization/constraint.hpp> Inherited by BoundaryConstraint, PrivateConstraint, CompositeConstraint, FellerConstraint, NoConstraint, and PositiveConstraint. Classesclass Impl Base class for constraint implementations. Public Member Functionsbool empty () const bool test (const Array &p) const Real update (Array &p, const Array &direction, Real beta) Constraint (const boost::shared_ptr< Impl > &impl=boost::shared_ptr< Impl >()) Protected Attributesboost::shared_ptr< Impl…

QuantLib::ConstrainedEvolver – Constrained market-model evolver. Synopsis#include <ql/models/marketmodels/constrainedevolver.hpp> Inherits QuantLib::MarketModelEvolver. Inherited by LogNormalFwdRateEulerConstrained. Public Member Functionsvirtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0 call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool > &isConstraintActive)=0 call before each path Detailed DescriptionConstrained market-model evolver. Abstract base class. Requires extra…

QuantLib::ConstantSwaptionVolatility – Constant swaption volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp> Inherits QuantLib::SwaptionVolatilityStructure. Public Member FunctionsConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…