Section 3: library functions
QuantLib::EuropeanExercise – European exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::Exercise. Public Member FunctionsEuropeanExercise (const Date &date) Detailed DescriptionEuropean exercise. A European option can only be exercised at one (expiry) date. Examples: ConvertibleBonds.cpp, EquityOption.cpp, and Replication.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis#include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsEurodollarFuturesImpliedStdDevQuote (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 () const…
QuantLib::EuriborSwapIsdaFixB – EuriborSwapIsdaFixB index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIsdaFixB index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 12am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page…
QuantLib::EuriborSwapIsdaFixA – EuriborSwapIsdaFixA index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIsdaFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIsdaFixA index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page…
QuantLib::EuriborSwapIfrFix – EuriborSwapIfrFix index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIfrFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIfrFix index base class Euribor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. For more…
QuantLib::Euribor6M – 6-months Euribor index Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::Euribor. Public Member FunctionsEuribor6M (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description6-months Euribor index Examples: BermudanSwaption.cpp, Bonds.cpp, and swapvaluation.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::Euribor365 – Actual/365 Euribor index. Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Inherited by Euribor365_10M, Euribor365_11M, Euribor365_1M, Euribor365_1Y, Euribor365_2M, Euribor365_2W, Euribor365_3M, Euribor365_3W, Euribor365_4M, Euribor365_5M, Euribor365_6M, Euribor365_7M, Euribor365_8M, Euribor365_9M, and Euribor365_SW. Public Member FunctionsEuribor365 (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionActual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used…
QuantLib::Euribor – Euribor index Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Inherited by Euribor10M, Euribor11M, Euribor1M, Euribor1Y, Euribor2M, Euribor2W, Euribor3M, Euribor3W, Euribor4M, Euribor5M, Euribor6M, Euribor7M, Euribor8M, Euribor9M, and EuriborSW. Public Member FunctionsEuribor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuribor index Euribor rate fixed by the ECB. Warning This is the rate fixed by…
QuantLib::EurLiborSwapIsdaFixB – EurLiborSwapIsdaFixB index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIsdaFixB index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…
QuantLib::EurLiborSwapIsdaFixA – EurLiborSwapIsdaFixA index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIsdaFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIsdaFixA index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…
QuantLib::EurLiborSwapIfrFix – EurLiborSwapIfrFix index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIfrFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIfrFix index base class EUR Libor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. For…
QuantLib::EulerDiscretization – Euler discretization for stochastic processes. Synopsis#include <ql/processes/eulerdiscretization.hpp> Inherits QuantLib::StochasticProcess::discretization, and QuantLib::StochasticProcess1D::discretization. Public Member FunctionsDisposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time…
QuantLib::Error – Base error class. Synopsis#include <ql/errors.hpp> Inherits std::exception. Public Member FunctionsError (const std::string &file, long line, const std::string &functionName, const std::string &message=”) ~Error () throw () const char * what () const throw () returns the error message. Detailed DescriptionBase error class. Constructor & Destructor DocumentationError (const std::string & file, long line, const std::string…
QuantLib::EquityFXVolSurface – Equity/FX volatility (smile) surface. Synopsis#include <ql/experimental/volatility/equityfxvolsurface.hpp> Inherits QuantLib::BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. EquityFXVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date EquityFXVolSurface (Natural settlementDays, const Calendar…
QuantLib::EqualProbabilitiesBinomialTree – Base class for equal probabilities binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< T >. Public Member FunctionsEqualProbabilitiesBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size) const Protected AttributesReal up_ Detailed Descriptiontemplate<class T> class QuantLib::EqualProbabilitiesBinomialTree< T >Base class for equal probabilities binomial…
QuantLib::EqualJumpsBinomialTree – Base class for equal jumps binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< T >. Public Member FunctionsEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesReal dx_ Real pu_ Real pd_ Detailed Descriptiontemplate<class T> class QuantLib::EqualJumpsBinomialTree< T >Base…
QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis#include <ql/experimental/commodities/energyvanillaswap.hpp> Inherits QuantLib::EnergySwap. Public Member FunctionsEnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure > &receiveLegTermStructure,…
QuantLib::EnergyFuture – Energy future. Synopsis#include <ql/experimental/commodities/energyfuture.hpp> Inherits QuantLib::EnergyCommodity. Public Member FunctionsEnergyFuture (Integer buySell, const Quantity &quantity, const CommodityUnitCost &tradePrice, const boost::shared_ptr< CommodityIndex > &index, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) bool isExpired () const returns whether the instrument is still tradable. Quantity quantity () const const CommodityUnitCost & tradePrice () const const boost::shared_ptr<…
QuantLib::EnergyCommodity – Energy commodity class. Synopsis#include <ql/experimental/commodities/energycommodity.hpp> Inherits QuantLib::Commodity. Inherited by EnergyFuture, and EnergySwap. Public Typesenum DeliverySchedule { Constant, Window, Hourly, Daily, Weekly, Monthly, Quarterly, Yearly } enum QuantityPeriodicity { Absolute, PerHour, PerDay, PerWeek, PerMonth, PerQuarter, PerYear } enum PaymentSchedule { WindowSettlement, MonthlySettlement, QuarterlySettlement, YearlySettlement } Public Member FunctionsEnergyCommodity (const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts…
QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis#include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member FunctionsEnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure…