Section 3: library functions
QuantLib::Ridder – Ridder 1-D solver Synopsis#include <ql/math/solvers1d/ridder.hpp> Inherits Solver1D< Ridder >. Public Member Functionstemplate<class F > Real solveImpl (const F &f, Real xAcc) const Detailed DescriptionRidder 1-D solver Tests the correctness of the returned values is tested by checking them against known good results.AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::Replication – Digital option replication strategy. Synopsis#include <ql/cashflows/replication.hpp> Public Typesenum Type { Sub, Central, Super } Related Functions(Note that these are not member functions.) std::ostream & operator<< (std::ostream &, Replication::Type) Detailed DescriptionDigital option replication strategy. Specification of replication strategies used to price the embedded digital option in a digital coupon. Friends And Related Function Documentationstd::ostream…
QuantLib::ReplicatingVarianceSwapEngine – Variance-swap pricing engine using replicating cost,. Synopsis#include <ql/pricingengines/forward/replicatingvarianceswapengine.hpp> Inherits QuantLib::VarianceSwap::engine. Public Typestypedef std::vector< std::pair< boost::shared_ptr< StrikedTypePayoff >, Real > > weights_type Public Member FunctionsReplicatingVarianceSwapEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real dk=5.0, const std::vector< Real > &callStrikes=std::vector< Real >(), const std::vector< Real > &putStrikes=std::vector< Real >()) void calculate () const Protected Member Functionsvoid computeOptionWeights…
QuantLib::RelinkableHandle – Relinkable handle to an observable. Synopsis#include <ql/handle.hpp> Inherits Handle< T >. Public Member FunctionsRelinkableHandle (const boost::shared_ptr< T > &h=boost::shared_ptr< T >(), bool registerAsObserver=true) void linkTo (const boost::shared_ptr< T > &, bool registerAsObserver=true) Detailed Descriptiontemplate<class T> class QuantLib::RelinkableHandle< T >Relinkable handle to an observable. An instance of this class can be relinked so that…
QuantLib::RelativeDateRateHelper – Rate helper with date schedule relative to the global evaluation date. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::BootstrapHelper< YieldTermStructure >. Inherited by BMASwapRateHelper, DepositRateHelper, FraRateHelper, and SwapRateHelper. Public Member FunctionsRelativeDateRateHelper (const Handle< Quote > "e) RelativeDateRateHelper (Real quote) Observer interface void update () Protected Member Functionsvirtual void initializeDates ()=0 Protected AttributesDate evaluationDate_ Detailed DescriptionRate helper with…
QuantLib::Region – Region class, used for inflation applicability. Synopsis#include <ql/indexes/region.hpp> Inherited by AustraliaRegion, EURegion, FranceRegion, and UKRegion. Public Member FunctionsInspectors const std::string & name () const const std::string & code () const Protected Attributesboost::shared_ptr< Data > data_ Related Functions(Note that these are not member functions.) bool operator== (const Region &, const Region &) bool operator!=…
QuantLib::RatchetPayoff – Ratchet payoff (single option). Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member FunctionsRatchetPayoff (Real gearing1, Real gearing2, Real spread1, Real spread2, Real initialValue, Real accrualFactor) Payoff interface std::string name () const Detailed DescriptionRatchet payoff (single option). Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison between payoffs. It is…
QuantLib::RatchetMinPayoff – RatchetMin payoff (double option). Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member FunctionsRatchetMinPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed DescriptionRatchetMin payoff (double option). Member Function Documentationstd::string name () const [virtual]Warning This method is used for output…
QuantLib::RatchetMaxPayoff – RatchetMax payoff (double option). Synopsis#include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::DoubleStickyRatchetPayoff. Public Member FunctionsRatchetMaxPayoff (Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Detailed DescriptionRatchetMax payoff (double option). Member Function Documentationstd::string name () const [virtual]Warning This method is used for output…
QuantLib::RangeAccrualLeg – helper class building a sequence of range-accrual floating-rate coupons Synopsis#include <ql/cashflows/rangeaccrual.hpp> Public Member FunctionsRangeAccrualLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) RangeAccrualLeg & withNotionals (Real notional) RangeAccrualLeg & withNotionals (const std::vector< Real > ¬ionals) RangeAccrualLeg & withPaymentDayCounter (const DayCounter &) RangeAccrualLeg & withPaymentAdjustment (BusinessDayConvention) RangeAccrualLeg & withFixingDays (Natural fixingDays) RangeAccrualLeg & withFixingDays…
QuantLib::RandomizedLDS – Randomized (random shift) low-discrepancy sequence. Synopsis#include <ql/math/randomnumbers/randomizedlds.hpp> Public Typestypedef Sample< std::vector< Real > > sample_type Public Member FunctionsRandomizedLDS (const LDS &ldsg, const PRS &prsg) RandomizedLDS (const LDS &ldsg) RandomizedLDS (Size dimensionality, BigNatural ldsSeed=0, BigNatural prsSeed=0) const sample_type & nextSequence () const returns next sample using a given randomizing vector const sample_type & lastSequence…
QuantLib::RandomSequenceGenerator – Random sequence generator based on a pseudo-random number generator. Synopsis#include <ql/math/randomnumbers/randomsequencegenerator.hpp> Public Typestypedef Sample< std::vector< Real > > sample_type Public Member FunctionsRandomSequenceGenerator (Size dimensionality, const RNG &rng) RandomSequenceGenerator (Size dimensionality, BigNatural seed=0) const sample_type & nextSequence () const std::vector< BigNatural > nextInt32Sequence () const const sample_type & lastSequence () const Size dimension ()…
QuantLib::RandomDefaultModel – Base class for random default models. Synopsis#include <ql/experimental/credit/randomdefaultmodel.hpp> Inherited by GaussianRandomDefaultModel. Public Member FunctionsRandomDefaultModel (boost::shared_ptr< Pool > pool) virtual void nextSequence (Real tmax=QL_MAX_REAL)=0 Protected Attributesboost::shared_ptr< Pool > pool_ Detailed DescriptionBase class for random default models. Provides sequences of random default times for each name in the pool. Member Function Documentationvirtual void nextSequence (Real…
QuantLib::Quote – purely virtual base class for market observables Synopsis#include <ql/quote.hpp> Inherits QuantLib::Observable. Inherited by CompositeQuote< BinaryFunction >, DerivedQuote< UnaryFunction >, EurodollarFuturesImpliedStdDevQuote, ForwardSwapQuote, ForwardValueQuote, FuturesConvAdjustmentQuote, ImpliedStdDevQuote, LastFixingQuote, and SimpleQuote. Public Member Functionsvirtual Real value () const =0 returns the current value virtual bool isValid () const =0 returns true if the Quote holds a valid…
QuantLib::QuantoVanillaOption – quanto version of a vanilla option Synopsis#include <ql/instruments/quantovanillaoption.hpp> Inherits QuantLib::OneAssetOption. Public Typestypedef OneAssetOption::arguments arguments typedef QuantoOptionResults< OneAssetOption::results > results typedef GenericEngine< arguments, results > engine Public Member FunctionsQuantoVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real qrho () const…
QuantLib::QuantoTermStructure – Quanto term structure. Synopsis#include <ql/termstructures/yield/quantotermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member FunctionsQuantoTermStructure (const Handle< YieldTermStructure > &underlyingDividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &underlyingBlackVolTS, Real strike, const Handle< BlackVolTermStructure > &exchRateBlackVolTS, Real exchRateATMlevel, Real underlyingExchRateCorrelation) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time…
QuantLib::QuantoOptionResults – Results from quanto option calculation Synopsis#include <ql/instruments/quantovanillaoption.hpp> Inherits QuantLib::ResultsType. Public Member Functionsvoid reset () Public AttributesReal qvega Real qrho Real qlambda Detailed Descriptiontemplate<class ResultsType> class QuantLib::QuantoOptionResults< ResultsType >Results from quanto option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::QuantoForwardVanillaOption – Quanto version of a forward vanilla option. Synopsis#include <ql/instruments/quantoforwardvanillaoption.hpp> Inherits QuantLib::ForwardVanillaOption. Public Typestypedef ForwardVanillaOption::arguments arguments typedef QuantoOptionResults< ForwardVanillaOption::results > results Public Member FunctionsQuantoForwardVanillaOption (Real moneyness, const Date &resetDate, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real qrho () const…
QuantLib::QuantoEngine – Quanto engine. Synopsis#include <ql/pricingengines/quanto/quantoengine.hpp> Inherits GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >. Public Member FunctionsQuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation) void calculate () const Protected Attributesboost::shared_ptr< GeneralizedBlackScholesProcess > process_ Handle< YieldTermStructure > foreignRiskFreeRate_ Handle< BlackVolTermStructure > exchangeRateVolatility_ Handle< Quote…
QuantLib::QuantoBarrierOption – Quanto version of a barrier option. Synopsis#include <ql/instruments/quantobarrieroption.hpp> Inherits QuantLib::BarrierOption. Public Typestypedef BarrierOption::arguments arguments typedef QuantoOptionResults< BarrierOption::results > results Public Member FunctionsQuantoBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real qrho () const…