Linux Manuals session 3

ql/quotes/futuresconvadjustmentquote.hpp – quote for the futures-convexity adjustment of an index Synopsis#include <ql/quote.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/indexes/iborindex.hpp> Classesclass FuturesConvAdjustmentQuote quote for the futures-convexity adjustment of an index Detailed Descriptionquote for the futures-convexity adjustment of an index AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

ql/time/frequency.hpp – Frequency enumeration. Synopsis#include <ql/qldefines.hpp> #include <ostream> Enumerationsenum Frequency { NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2, EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12, EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365, OtherFrequency = 999 } Frequency of events. Detailed…

QuantLib::Germany – German calendars. Synopsis#include <ql/time/calendars/germany.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, FrankfurtStockExchange, Xetra, Eurex } German calendars. Public Member FunctionsGermany (Market market=FrankfurtStockExchange) Detailed DescriptionGerman calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Easter Monday * Ascension Thursday * Whit Monday * Corpus Christi *…

QuantLib::FractionalDividend – Predetermined cash flow. Synopsis#include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member FunctionsFractionalDividend (Real rate, const Date &date) FractionalDividend (Real rate, Real nominal, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real underlying) const Inspectors Real rate () const Real nominal () const Protected…

QuantLib::FraRateHelper – Rate helper for bootstrapping over FRA rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsFraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter…

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis#include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Typesenum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functionstemplate<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

ql/instruments/forwardvanillaoption.hpp – Forward version of a vanilla option. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/payoffs.hpp> #include <ql/time/date.hpp> Classesclass ForwardOptionArguments< ArgumentsType > Arguments for forward (strike-resetting) option calculation class ForwardVanillaOption Forward version of a vanilla option Detailed DescriptionForward version of a vanilla option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ForwardVanillaEngine – Forward engine for vanilla options Synopsis#include <ql/pricingengines/forward/forwardengine.hpp> Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >. Public Member FunctionsForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functionsvoid setup () const void getOriginalResults () const Protected Attributesboost::shared_ptr< GeneralizedBlackScholesProcess > process_ boost::shared_ptr< Engine > originalEngine_ VanillaOption::arguments * originalArguments_ const VanillaOption::results * originalResults_ Detailed…

QuantLib::ForwardValueQuote – quote for the forward value of an index Synopsis#include <ql/quotes/forwardvaluequote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsForwardValueQuote (const boost::shared_ptr< Index > &index, const Date &fixingDate) void update () Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Detailed Descriptionquote…

QuantLib::ForwardTypePayoff – Class for forward type payoffs. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Payoff. Public Member FunctionsForwardTypePayoff (Position::Type type, Real strike) Position::Type forwardType () const Real strike () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const Protected AttributesPosition::Type type_ Real strike_ Detailed DescriptionClass for forward type payoffs. Member Function Documentationstd::string…

QuantLib::ForwardSwapQuote – Quote for a forward starting swap. Synopsis#include <ql/quotes/forwardswapquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsForwardSwapQuote (const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread, const Period &fwdStart) const Date & valueDate () const const Date & startDate () const const Date & fixingDate () const Quote interface Real value () const returns…

QuantLib::ForwardSpreadedTermStructure – Term structure with added spread on the instantaneous forward rate. Synopsis#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp> Inherits QuantLib::ForwardRateStructure. Public Member FunctionsForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread) 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…

QuantLib::ForwardRateStructure – Forward-rate term structure Synopsis#include <ql/termstructures/yield/forwardstructure.hpp> Inherits QuantLib::YieldTermStructure. Inherited by CompoundForward, ForwardSpreadedTermStructure, and InterpolatedForwardCurve< Interpolator >. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. ForwardRateStructure (const DayCounter &dayCounter=Actual365Fixed()) ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=Actual365Fixed()) ForwardRateStructure (Natural settlementDays, const Calendar &, const DayCounter &dayCounter=Actual365Fixed()) Protected Member FunctionsYieldTermStructure implementation…

QuantLib::ForwardPerformanceVanillaEngine – Forward performance engine for vanilla options Synopsis#include <ql/pricingengines/forward/forwardperformanceengine.hpp> Inherits ForwardVanillaEngine< Engine >. Public Member FunctionsForwardPerformanceVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functionsvoid getOriginalResults () const Detailed Descriptiontemplate<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine >Forward performance engine for vanilla options Tests * the correctness of the returned value is tested by…

QuantLib::ForwardMeasureProcess1D – forward-measure 1-D stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by HullWhiteForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess1D (Time T) ForwardMeasureProcess1D (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by…

QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by Doxygen for QuantLib…

ql/math/interpolations/forwardflatinterpolation.hpp – forward-flat interpolation between discrete points Synopsis#include <ql/math/interpolation.hpp> #include <vector> Classesclass ForwardFlatInterpolation Forward-flat interpolation between discrete points. class ForwardFlat Forward-flat interpolation factory and traits. Detailed Descriptionforward-flat interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/yield/forwardcurve.hpp – interpolated forward-rate structure Synopsis#include <ql/termstructures/yield/forwardstructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/math/comparison.hpp> #include <boost/noncopyable.hpp> Classesclass InterpolatedForwardCurve< Interpolator > Term structure based on interpolation of forward rates. Typedefstypedef InterpolatedForwardCurve< BackwardFlat > ForwardCurve Term structure based on flat interpolation of forward rates. Detailed Descriptioninterpolated forward-rate structure AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/instruments/forward.hpp – Base forward class. Synopsis#include <ql/instrument.hpp> #include <ql/position.hpp> #include <ql/time/calendar.hpp> #include <ql/time/daycounter.hpp> #include <ql/interestrate.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/payoff.hpp> #include <ql/termstructures/yieldtermstructure.hpp> Classesclass Forward Abstract base forward class. class ForwardTypePayoff Class for forward type payoffs. Detailed DescriptionBase forward class. AuthorGenerated automatically by Doxygen for QuantLib from the source code.