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QuantLib::FloatingTypePayoff – Payoff based on a floating strike Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::TypePayoff. Public Member FunctionsFloatingTypePayoff (Option::Type type) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPayoff based on a floating strike Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…

QuantLib::FloatingRateBond – floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/instruments/bonds/floatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFloatingRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate…

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis#include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap. Classesclass arguments Arguments for asset swap calculation class results Results from simple swap calculation Public Member FunctionsAssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(),…

ql/cashflows/cashflowvectors.hpp – Cash flow vector builders. Synopsis#include <ql/cashflows/fixedratecoupon.hpp> #include <ql/cashflows/replication.hpp> #include <ql/time/schedule.hpp> #include <ql/utilities/null.hpp> #include <ql/utilities/vectors.hpp> #include <ql/position.hpp> #include <ql/indexes/swapindex.hpp> FunctionsRate effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) bool noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) template<typename InterestRateIndexType…

QuantLib::FlatHazardRate – flat hazard-rate curve Synopsis#include <ql/termstructures/credit/flathazardrate.hpp> Inherits QuantLib::HazardRateStructure. Public Member FunctionsConstructors FlatHazardRate (const Handle< Quote > &hazardRate, const DayCounter &) FlatHazardRate (const Date &todaysDate, const Handle< Quote > &hazardRate, const DayCounter &) TermStructure interface Date maxDate () const the latest date for which the curve can return values Detailed Descriptionflat hazard-rate curve AuthorGenerated automatically…

QuantLib::FlatForward – Flat interest-rate curve. Synopsis#include <ql/termstructures/yield/flatforward.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Public Member FunctionsFlatForward (const Date &referenceDate, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &forward, const DayCounter…

QuantLib::FixedRateLeg – helper class building a sequence of fixed rate coupons Synopsis#include <ql/cashflows/fixedratecoupon.hpp> Public Member FunctionsFixedRateLeg (const Schedule &schedule, const DayCounter &paymentDayCounter) FixedRateLeg & withNotionals (Real) FixedRateLeg & withNotionals (const std::vector< Real > &) FixedRateLeg & withCouponRates (Rate) FixedRateLeg & withCouponRates (const InterestRate &) FixedRateLeg & withCouponRates (const std::vector< Rate > &) FixedRateLeg & withCouponRates…

ql/cashflows/fixedratecoupon.hpp – Coupon paying a fixed annual rate. Synopsis#include <ql/cashflows/coupon.hpp> #include <ql/interestrate.hpp> #include <ql/time/daycounter.hpp> #include <ql/time/schedule.hpp> Classesclass FixedRateCoupon Coupon paying a fixed interest rate class FixedRateLeg helper class building a sequence of fixed rate coupons Detailed DescriptionCoupon paying a fixed annual rate. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FixedRateBondHelper – fixed-coupon bond helper Synopsis#include <ql/termstructures/yield/bondhelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member FunctionsFixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &dayCounter, BusinessDayConvention paymentConv=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< FixedRateBond > &bond) BootstrapHelper interface Real…

QuantLib::FixedRateBondForward – Forward contract on a fixed-rate bond Synopsis#include <ql/instruments/fixedratebondforward.hpp> Inherits QuantLib::Forward. Public Member FunctionsConstructors FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >())…

QuantLib::FixedRateBond – fixed-rate bond Synopsis#include <ql/instruments/bonds/fixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFixedRateBond (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()) FixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const Date &maturityDate, const Period &tenor, const std::vector< Rate > &coupons,…

QuantLib::FixedDividend – Predetermined cash flow. Synopsis#include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member FunctionsFixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected AttributesReal amount_ Detailed DescriptionPredetermined cash flow. This cash flow pays a predetermined amount at a given date. Examples:…

QuantLib::ExtendedCoxIngersollRoss::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member FunctionsFittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) Detailed DescriptionAnalytical term-structure fitting parameter $ lytically defined by [ c{2k heta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} – ac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, ] where $ f(t) $ is the instantaneous forward rate at $…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis#include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classesclass FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member FunctionsConstructors FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &instruments, const DayCounter &dayCounter, const FittingMethod &fittingMethod, Real accuracy=1.0e-10, Size…

ql/termstructures/yield/fittedbonddiscountcurve.hpp – discount curve fitted to a set of fixed-coupon bonds Synopsis#include <ql/termstructures/yield/bondhelpers.hpp> #include <ql/patterns/lazyobject.hpp> #include <ql/math/array.hpp> #include <ql/utilities/clone.hpp> #include <vector> Classesclass FittedBondDiscountCurve Discount curve fitted to a set of fixed-coupon bonds. class FittingMethod Base fitting method used to construct a fitted bond discount curve. Detailed Descriptiondiscount curve fitted to a set of fixed-coupon bonds…

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/methods/finitedifferences/finitedifferencemodel.hpp – generic finite difference model Synopsis#include <ql/methods/finitedifferences/stepcondition.hpp> #include <ql/methods/finitedifferences/boundarycondition.hpp> #include <ql/methods/finitedifferences/operatortraits.hpp> Classesclass FiniteDifferenceModel< Evolver > Generic finite difference model. Detailed Descriptiongeneric finite difference model AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FdHestonVanillaEngine – Finite-Differences Heston Vanilla Option engine. Synopsis#include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp> Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >. Public Member FunctionsFdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed DescriptionFinite-Differences Heston Vanilla Option engine. Tests the correctness of the returned value is tested by reproducing results available in web/literature and…

ql/experimental/finitedifferences/fdhestonrebateengine.hpp – Finite-Differences Heston barrier option rebate helper engine. Synopsis#include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> #include <ql/models/equity/hestonmodel.hpp> #include <ql/pricingengines/genericmodelengine.hpp> Classesclass FdHestonRebateEngine Finite-Differences Heston Barrier Option rebate helper engine. Detailed DescriptionFinite-Differences Heston barrier option rebate helper engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.