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QuantLib::LogNormalFwdRateEuler – Euler. Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalFwdRateEuler (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) const std::vector< Real > & browniansThisStep () const accessor methods useful for doing pathwise vegas MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep…

QuantLib::LogNormalCotSwapRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalCotSwapRatePc (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::LogNormalCmSwapRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalCmSwapRatePc (const Size spanningForwards, 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…

QuantLib::LogLinearInterpolation – log-linear interpolation between discrete points Synopsis#include <ql/math/interpolations/loginterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > LogLinearInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed Descriptionlog-linear interpolation between discrete points Constructor & Destructor DocumentationLogLinearInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)Precondition: the $ x $…

QuantLib::LogCubicInterpolation – log-cubic interpolation between discrete points Synopsis#include <ql/math/interpolations/loginterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > LogCubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, CubicInterpolation::DerivativeApprox da, bool monotonic, CubicInterpolation::BoundaryCondition leftC, Real leftConditionValue, CubicInterpolation::BoundaryCondition rightC, Real rightConditionValue) Detailed Descriptionlog-cubic interpolation between discrete points Constructor & Destructor DocumentationLogCubicInterpolation (const I1 & xBegin,…

QuantLib::LogCubic – log-cubic interpolation factory and traits Synopsis#include <ql/math/interpolations/loginterpolation.hpp> Public Member FunctionsLogCubic (CubicInterpolation::DerivativeApprox da, bool monotonic=true, CubicInterpolation::BoundaryCondition leftCondition=CubicInterpolation::SecondDerivative, Real leftConditionValue=0.0, CubicInterpolation::BoundaryCondition rightCondition=CubicInterpolation::SecondDerivative, Real rightConditionValue=0.0) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = true static const Size requiredPoints =…

log, logf, logl – natural logarithmic function Synopsis#include <math.h> double log(double x); float logf(float x); long double logl(long double x);Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): logf(), logl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCEDescriptionThese functions return the natural logarithm of x. Return ValueOn success, these functions return the…

QuantLib::LocalVolTermStructure – Synopsis#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by LocalConstantVol, LocalVolCurve, and LocalVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. LocalVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date LocalVolTermStructure (Natural settlementDays,…

QuantLib::LocalVolSurface – Local volatility surface derived from a Black vol surface. Synopsis#include <ql/termstructures/volatility/equityfx/localvolsurface.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member FunctionsLocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying) LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, Real…

ql/termstructures/volatility/equityfx/localvolcurve.hpp – Local volatility curve derived from a Black curve. Synopsis#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> Classesclass LocalVolCurve Local volatility curve derived from a Black curve. Detailed DescriptionLocal volatility curve derived from a Black curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/volatility/equityfx/localconstantvol.hpp – Local constant volatility, no time dependence, no asset dependence. Synopsis#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp> #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> Classesclass LocalConstantVol Constant local volatility, no time-strike dependence. Detailed DescriptionLocal constant volatility, no time dependence, no asset dependence. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/localbootstrap.hpp – localised-term-structure bootstrapper for most curve types. Synopsis#include <ql/termstructures/bootstraphelper.hpp> #include <ql/math/optimization/costfunction.hpp> #include <ql/math/optimization/constraint.hpp> #include <ql/math/optimization/armijo.hpp> #include <ql/math/optimization/levenbergmarquardt.hpp> #include <ql/math/optimization/problem.hpp> #include <ql/utilities/dataformatters.hpp> #include <boost/shared_ptr.hpp> Classesclass LocalBootstrap< Curve > Localised-term-structure bootstrapper for most curve types. Detailed Descriptionlocalised-term-structure bootstrapper for most curve types. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/math/optimization/lmdif.hpp – wrapper for MINPACK minimization routine Synopsis#include <ql/qldefines.hpp> #include <boost/function.hpp> Typedefstypedef boost::function< void(int, int, double *, double *, int *) LmdifCostFunction ) Functionsvoid lmdif (int m, int n, double *x, double *fvec, double ftol, double xtol, double gtol, int maxfev, double epsfcn, double *diag, int mode, double factor, int nprint, int *info, int *nfev,…

QuantLib::LmVolatilityModel – caplet volatility model Synopsis#include <ql/legacy/libormarketmodels/lmvolmodel.hpp> Inherited by LmConstWrapperVolatilityModel, LmFixedVolatilityModel, and LmLinearExponentialVolatilityModel. Public Member FunctionsLmVolatilityModel (Size size, Size nArguments) Size size () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const =0 virtual Volatility volatility (Size…

QuantLib::LmLinearExponentialVolatilityModel – linear exponential volatility model Synopsis#include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Inherited by LmExtLinearExponentialVolModel. Public Member FunctionsLmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const Real integratedVariance…

QuantLib::LmLinearExponentialCorrelationModel – linear exponential correlation model Synopsis#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member FunctionsLmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >()) Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const Real correlation (Size i, Size j, Time t,…

QuantLib::LmExtLinearExponentialVolModel – extended linear exponential volatility model Synopsis#include <ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp> Inherits QuantLib::LmLinearExponentialVolatilityModel. Public Member FunctionsLmExtLinearExponentialVolModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const Real integratedVariance (Size i,…

QuantLib::LmExponentialCorrelationModel – exponential correlation model Synopsis#include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member FunctionsLmExponentialCorrelationModel (Size size, Real rho) Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const Real correlation (Size i, Size j, Time t, const Array &x) const bool isTimeIndependent ()…

QuantLib::LmCorrelationModel – libor forward correlation model Synopsis#include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel. Public Member FunctionsLmCorrelationModel (Size size, Size nArguments) virtual Size size () const virtual Size factors () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Matrix > correlation (Time t, const Array &x=Null< Array…

QuantLib::LmConstWrapperVolatilityModel – caplet const volatility model Synopsis#include <ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Public Member FunctionsLmConstWrapperVolatilityModel (const boost::shared_ptr< LmVolatilityModel > &volaModel) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const…