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QuantLib::CapPseudoDerivative – Synopsis#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp> Public Member FunctionsCapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) const Matrix & volatilityDerivative (Size i) const const Matrix & priceDerivative (Size i) const Real impliedVolatility () const Detailed DescriptionIn order to compute market vegas, we need a class that gives the derivative of a cap…

QuantLib::CapHelper – calibration helper for ATM cap Synopsis#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsCapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > &times) const virtual Real modelValue () const returns…

QuantLib::CapFloorTermVolatilityStructure – Cap/floor term-volatility structure. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with a fixed reference date…

ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp – Cap/floor smile volatility surface. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/quote.hpp> #include <ql/patterns/lazyobject.hpp> #include <vector> Classesclass CapFloorTermVolSurface Cap/floor smile volatility surface. Detailed DescriptionCap/floor smile volatility surface. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp – Cap/floor at-the-money term-volatility curve. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/quote.hpp> #include <ql/patterns/lazyobject.hpp> #include <boost/noncopyable.hpp> #include <vector> Classesclass CapFloorTermVolCurve Cap/floor at-the-money term-volatility vector. Detailed DescriptionCap/floor at-the-money term-volatility curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/volatility/optionlet/optionletstripper1.hpp – optionlet (caplet/floorlet) volatility stripper Synopsis#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp> Classesclass OptionletStripper1 Typedefstypedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > CapFloorMatrix Detailed Descriptionoptionlet (caplet/floorlet) volatility stripper AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/instruments/capfloor.hpp – cap and floor class Synopsis#include <ql/instrument.hpp> #include <ql/cashflows/iborcoupon.hpp> #include <ql/handle.hpp> Classesclass CapFloor Base class for cap-like instruments. class Cap Concrete cap class. class Floor Concrete floor class. class Collar Concrete collar class. class arguments Arguments for cap/floor calculation class engine base class for cap/floor engines Functionsstd::ostream & operator<< (std::ostream &, CapFloor::Type) Detailed Descriptioncap…

QuantLib::Canada – Canadian calendar. Synopsis#include <ql/time/calendars/canada.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, TSX } Public Member FunctionsCanada (Market market=Settlement) Detailed DescriptionCanadian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Family Day, third Monday of February (since 2008) * Good Friday * Easter Monday *…

QuantLib::CallableZeroCouponBond – callable/puttable zero coupon bond Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableFixedRateBond. Public Member FunctionsCallableZeroCouponBond (Natural settlementDays, Real faceAmount, const Calendar &calendar, const Date &maturityDate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) Detailed Descriptioncallable/puttable zero coupon bond Callable zero coupon bond class. AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::CallableFixedRateBond – callable/puttable fixed rate bond Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableBond. Inherited by CallableZeroCouponBond. Public Member FunctionsCallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) virtual void setupArguments (PricingEngine::arguments *args) const Detailed Descriptioncallable/puttable fixed rate bond Callable fixed rate…

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::CallableBondConstantVolatility – Constant callable-bond volatility, no time-strike dependence. Synopsis#include <ql/experimental/callablebonds/callablebondconstantvol.hpp> Inherits QuantLib::CallableBondVolatilityStructure. Public Member FunctionsCallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote…

ql/experimental/callablebonds/callablebond.hpp – callable bond classes Synopsis#include <ql/time/schedule.hpp> #include <ql/pricingengine.hpp> #include <ql/instruments/bond.hpp> #include <ql/instruments/callabilityschedule.hpp> #include <ql/cashflows/fixedratecoupon.hpp> #include <ql/quotes/simplequote.hpp> Classesclass CallableBond Callable bond base class. class results results for a callable bond calculation class engine base class for callable fixed rate bond engine class CallableFixedRateBond callable/puttable fixed rate bond class CallableZeroCouponBond callable/puttable zero coupon bond Detailed Descriptioncallable…

ql/instruments/callabilityschedule.hpp – Schedule of put/call dates. Synopsis#include <ql/event.hpp> #include <ql/utilities/null.hpp> #include <boost/shared_ptr.hpp> #include <boost/optional.hpp> #include <vector> Classesclass Callability instrument callability class Price amount to be paid upon callability Typedefstypedef std::vector< boost::shared_ptr< Callability > > CallabilitySchedule Detailed DescriptionSchedule of put/call dates. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

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::CalibrationHelper – liquid market instrument used during calibration Synopsis#include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member FunctionsCalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real modelValue ()…

QuantLib::CalibratedModel – Calibrated model class. Synopsis#include <ql/models/model.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel. Public Member FunctionsCalibratedModel (Size nArguments) void update () void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) Calibrate to a set of…

QuantLib::CalibratedModel – Calibrated model class. Synopsis#include <ql/models/model.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel. Public Member FunctionsCalibratedModel (Size nArguments) void update () void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) Calibrate to a set of…

ql/time/calendar.hpp – calendar class Synopsis#include <ql/time/date.hpp> #include <ql/time/businessdayconvention.hpp> #include <boost/shared_ptr.hpp> #include <set> #include <vector> #include <string> Classesclass Calendar calendar class class Impl abstract base class for calendar implementations class WesternImpl partial calendar implementation class OrthodoxImpl partial calendar implementation Detailed Descriptioncalendar class AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BlackCalculator – Black 1976 calculator class. Synopsis#include <ql/pricingengines/blackcalculator.hpp> Inherited by BlackScholesCalculator. Public Member FunctionsBlackCalculator (const boost::shared_ptr< StrikedTypePayoff > &payoff, Real forward, Real stdDev, Real discount=1.0) Real value () const Real deltaForward () const virtual Real delta (Real spot) const Real elasticityForward () const virtual Real elasticity (Real spot) const Real gammaForward () const virtual Real…