Linux Manuals session 3

QuantLib::InterpolatedForwardCurve – Term structure based on interpolation of forward rates. Synopsis#include <ql/termstructures/yield/forwardcurve.hpp> Inherits QuantLib::ForwardRateStructure, and boost::noncopyable. Public Member FunctionsInterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator()) Inspectorsstd::vector< Date > dates_ std::vector< Time > times_ std::vector< Rate > data_ Interpolation interpolation_ Interpolator interpolator_ Date maxDate () const…

QuantLib::InterpolatedDiscountCurve – Term structure based on interpolation of discount factors. Synopsis#include <ql/termstructures/yield/discountcurve.hpp> Inherits QuantLib::YieldTermStructure, and boost::noncopyable. Inherited by ExtendedDiscountCurve. Public Member FunctionsInterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const Interpolator &interpolator=Interpolator()) Inspectors Date maxDate () const the latest date for which the curve can return…

ql/termstructures/credit/interpolateddefaultdensitycurve.hpp – interpolated default-density term structure Synopsis#include <ql/termstructures/credit/defaultdensitystructure.hpp> #include <ql/math/interpolation.hpp> #include <boost/noncopyable.hpp> Classesclass InterpolatedDefaultDensityCurve< Interpolator > interpolated default-density curve Detailed Descriptioninterpolated default-density term structure AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/experimental/volatility/interestratevolsurface.hpp – Interest rate volatility (smile) surface. Synopsis#include <ql/experimental/volatility/blackvolsurface.hpp> #include <ql/experimental/volatility/interestratevolsurface.hpp> #include <ql/indexes/interestrateindex.hpp> Classesclass InterestRateVolSurface Interest rate volatility (smile) surface. Detailed DescriptionInterest rate volatility (smile) surface. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/indexes/interestrateindex.hpp – base class for interest rate indexes Synopsis#include <ql/index.hpp> #include <ql/time/calendar.hpp> #include <ql/currency.hpp> #include <ql/time/daycounter.hpp> #include <ql/time/period.hpp> #include <ql/handle.hpp> Classesclass InterestRateIndex base class for interest rate indexes Detailed Descriptionbase class for interest rate indexes AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FixedRateCoupon – Coupon paying a fixed interest rate Synopsis#include <ql/cashflows/fixedratecoupon.hpp> Inherits QuantLib::Coupon. Public Member Functionsconstructors FixedRateCoupon (Real nominal, const Date &paymentDate, Rate rate, const DayCounter &dayCounter, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) FixedRateCoupon (Real nominal, const Date &paymentDate, const InterestRate &interestRate, const DayCounter &dayCounter, const Date &accrualStartDate, const Date…

ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp – integral Heston-model variance-option engine Synopsis#include <ql/experimental/varianceoption/varianceoption.hpp> #include <ql/processes/hestonprocess.hpp> Classesclass IntegralHestonVarianceOptionEngine integral Heston-model variance-option engine Detailed Descriptionintegral Heston-model variance-option engine AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::IntegralEngine – Pricing engine for European vanilla options using integral approach. Synopsis#include <ql/pricingengines/vanilla/integralengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsIntegralEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionPricing engine for European vanilla options using integral approach. Possible enhancements define tolerance for calculate() Examples: EquityOption.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::IntegralCDOEngine – CDO base engine taking (possibly) small time steps. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member Functionsvoid calculate () const IntegralCDOEngine (Period stepSize=3 *Months) Protected AttributesPeriod stepSize_ Detailed DescriptionCDO base engine taking (possibly) small time steps. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

Numeric types – Typedefstypedef Real Probability probability typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous quantity with 1-year units typedef Real DiscountFactor discount factor between…

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

ql/termstructures/inflationtermstructure.hpp – Base classes for inflation term structures. Synopsis#include <ql/termstructures/yieldtermstructure.hpp> Classesclass InflationTermStructure Interface for inflation term structures. class ZeroInflationTermStructure Interface for zero inflation term structures. class YoYInflationTermStructure Base class for year-on-year inflation term structures. Functionsstd::pair< Date, Date > inflationPeriod (const Date &, Frequency) utility function giving the inflation period for a given date Detailed DescriptionBase…

QuantLib::InflationSwap – Abstract base class for inflation swaps. Synopsis#include <ql/instruments/inflationswap.hpp> Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member FunctionsInflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const =0 Inspectors…

ql/indexes/inflationindex.hpp – base classes for inflation indexes Synopsis#include <ql/index.hpp> #include <ql/indexes/region.hpp> #include <ql/termstructures/inflationtermstructure.hpp> #include <ql/currency.hpp> #include <ql/handle.hpp> Classesclass InflationIndex Base class for inflation-rate indexes,. class ZeroInflationIndex Base class for zero inflation indices. class YoYInflationIndex Base class for year-on-year inflation indices. Detailed Descriptionbase classes for inflation indexes AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::Indonesia – Indonesian calendars Synopsis#include <ql/time/calendars/indonesia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BEJ, JSX } Public Member FunctionsIndonesia (Market m=BEJ) Detailed DescriptionIndonesian calendars Holidays for the Jakarta stock exchange (data from <http://www.jsx.co.id/>): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Ascension of Jesus Christ * Independence Day, August 17th…

QuantLib::India – Indian calendars. Synopsis#include <ql/time/calendars/india.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { NSE } Public Member FunctionsIndia (Market m=NSE) Detailed DescriptionIndian calendars. Holidays for the National Stock Exchange (data from <http://www.nse-india.com/>): * Saturdays * Sundays * Republic Day, January 26th * Good Friday * Ambedkar Jayanti, April 14th * Independence Day, August 15th * Gandhi…

QuantLib::ImpliedVolTermStructure – Implied vol term structure at a given date in the future. Synopsis#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member FunctionsImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for which the curve can return values…

QuantLib::CallableBond – Callable bond base class. Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classesclass engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functionsvirtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations Volatility impliedVolatility (Real…

QuantLib::ImpliedTermStructure – Implied term structure at a given date in the future. Synopsis#include <ql/termstructures/yield/impliedtermstructure.hpp> Inherits QuantLib::YieldTermStructure. Public Member FunctionsImpliedTermStructure (const Handle< YieldTermStructure > &, const Date &referenceDate) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar () const the calendar used for reference and/or option date calculation Natural settlementDays…

QuantLib::ImpliedStdDevQuote – quote for the implied standard deviation of an underlying Synopsis#include <ql/quotes/impliedstddevquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsImpliedStdDevQuote (Option::Type optionType, const Handle< Quote > &forward, const Handle< Quote > &price, Real strike, Real guess, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid () const returns…