Linux Manuals session 3

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

ql/termstructures/volatility/optionlet/capletvariancecurve.hpp – caplet variance curve Synopsis#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/termstructures/volatility/flatsmilesection.hpp> Classesclass CapletVarianceCurve Detailed Descriptioncaplet variance curve AuthorGenerated automatically by Doxygen for QuantLib from the source code.

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…