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QuantLib::OneFactorGaussianCopula – One-factor Gaussian Copula. Synopsis#include <ql/experimental/credit/onefactorgaussiancopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Real cumulativeY (Real y) const Real testCumulativeY (Real y) const Real inverseCumulativeY (Real p) const Detailed…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis#include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member FunctionsOneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of Z. virtual…

QuantLib::OneFactorAffineModel – Single-factor affine base class. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::OneFactorModel, and QuantLib::AffineModel. Inherited by CoxIngersollRoss, and Vasicek. Public Member FunctionsOneFactorAffineModel (Size nArguments) virtual Real discountBond (Time now, Time maturity, Array factors) const Real discountBond (Time now, Time maturity, Rate rate) const DiscountFactor discount (Time t) const Implied discount curve. Protected Member Functionsvirtual Real A (Time…

QuantLib::OneAssetOption – Base class for options on a single asset. Synopsis#include <ql/instruments/oneassetoption.hpp> Inherits QuantLib::Option. Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption. Classesclass results Results from single-asset option calculation Public Member FunctionsOneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const Instrument…

QuantLib::Observer – Object that gets notified when a given observable changes. Synopsis#include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >,…

QuantLib::ObservableValue – observable and assignable proxy to concrete value Synopsis#include <ql/utilities/observablevalue.hpp> Public Member FunctionsObservableValue (const T &) ObservableValue (const ObservableValue< T > &) operator T () const implicit conversion operator boost::shared_ptr< Observable > () const const T & value () const explicit inspector controlled assignment ObservableValue< T > & operator= (const T &) ObservableValue< T…

QuantLib::Observable – Object that notifies its changes to a set of observables. Synopsis#include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, AffineModel [virtual], BootstrapHelper< TS >, CalibratedModel [virtual], CalibrationHelper, Claim, CommodityIndex, Event, FloatingRateCouponPricer [virtual], Link, Index, LazyObject [virtual], MarketModelFactory, PricingEngine, Quote [virtual], SmileSection [virtual], StochasticProcess, TermStructure [virtual], and…

QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member FunctionsNumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const virtual Real…

QuantLib::NullPayoff – Dummy payoff class. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::Payoff. Public Member FunctionsPayoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionDummy payoff class. Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison between payoffs. It is not…

QuantLib::NullCondition – null step condition Synopsis#include <ql/methods/finitedifferences/stepcondition.hpp> Inherits StepCondition< array_type >. Public Member Functionsvoid applyTo (array_type &, Time) const Detailed Descriptiontemplate<class array_type> class QuantLib::NullCondition< array_type >null step condition AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Null – template class providing a null value for a given type. Synopsis#include <ql/utilities/null.hpp> Public Member Functionsoperator Type () const Detailed Descriptiontemplate<class Type> class QuantLib::Null< Type >template class providing a null value for a given type. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::NthToDefault – N-th to default swap. Synopsis#include <ql/experimental/credit/nthtodefault.hpp> Inherits QuantLib::Instrument. Public Member FunctionsNthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >()) bool isExpired…

QuantLib::Norway – Norwegian calendar. Synopsis#include <ql/time/calendars/norway.hpp> Inherits QuantLib::Calendar. Detailed DescriptionNorwegian calendar. Holidays: * Saturdays * Sundays * Holy Thursday * Good Friday * Easter Monday * Ascension * Whit(Pentecost) Monday * New Year’s Day, January 1st * May Day, May 1st * National Independence Day, May 17st * Christmas, December 25th * Boxing Day, December…

QuantLib::NormalFwdRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/normalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsNormalFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const CurveState…

QuantLib::NormalDistribution – Normal distribution function. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsNormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed DescriptionNormal distribution function. Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too. Tests the correctness of the returned value is…

QuantLib::NonLinearLeastSquare – Non-linear least-square method. Synopsis#include <ql/math/optimization/leastsquare.hpp> Public Member FunctionsNonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100) Default constructor. NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om) Default constructor. ~NonLinearLeastSquare () Destructor. Array & perform (LeastSquareProblem &lsProblem) Solve least square problem using numerix solver. void setInitialValue (const Array &initialValue) Array & results ()…

QuantLib::NewtonSafe – safe Newton 1-D solver Synopsis#include <ql/math/solvers1d/newtonsafe.hpp> Inherits Solver1D< NewtonSafe >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed Descriptionsafe Newton 1-D solver Note: This solver requires that the passed function object implement a method Real derivative(Real). Tests the correctness of the returned values is tested by checking…

QuantLib::Newton – Newton 1-D solver Synopsis#include <ql/math/solvers1d/newton.hpp> Inherits Solver1D< Newton >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed DescriptionNewton 1-D solver Note: This solver requires that the passed function object implement a method Real derivative(Real). Tests the correctness of the returned values is tested by checking them against…

QuantLib::NewZealand – New Zealand calendar. Synopsis#include <ql/time/calendars/newzealand.hpp> Inherits QuantLib::Calendar. Detailed DescriptionNew Zealand calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday or Tuesday) * Day after New Year’s Day, January 2st (possibly moved to Monday or Tuesday) * Anniversary Day, Monday nearest January 22nd * Waitangi Day. February…

QuantLib::NeumannBC – Neumann boundary condition (i.e., constant derivative). Synopsis#include <ql/methods/finitedifferences/boundarycondition.hpp> Inherits BoundaryCondition< TridiagonalOperator >. Public Member FunctionsNeumannBC (Real value, Side side) void applyBeforeApplying (TridiagonalOperator &) const void applyAfterApplying (Array &) const void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const void applyAfterSolving (Array &) const void setTime (Time) Detailed DescriptionNeumann boundary condition (i.e., constant derivative). Warning The…