Linux Manuals session 3

QuantLib::Rounding – basic rounding class Synopsis#include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Typesenum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member FunctionsRounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding InspectorsInteger precision () const Type type ()…

QuantLib::CdsOption – CDS option. Synopsis#include <ql/experimental/credit/cdsoption.hpp> Inherits QuantLib::Instrument. Public Member FunctionsCdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS) Real forward () const Real riskyAnnuity () const bool isExpired () const returns whether…

QuantLib::CdsHelper – Default-probability bootstrap helper based on quoted CDS spreads. Synopsis#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp> Inherits BootstrapHelper< DefaultProbabilityTermStructure >. Public Member FunctionsCdsHelper (const Handle< Quote > &spread, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true) CdsHelper (Rate spread,…

QuantLib::Cdor – CDOR rate Synopsis#include <ql/indexes/ibor/cdor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsCdor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionCDOR rate Canadian Dollar Offered Rate fixed by IDA. Warning This is the rate fixed in Canada by IDA. Use CADLibor if you’re interested in the London fixing by BBA. Possible enhancements check…

QuantLib::CashOrNothingPayoff – Binary cash-or-nothing payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsCashOrNothingPayoff (Option::Type type, Real strike, Real cashPayoff) Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal cashPayoff_ Detailed DescriptionBinary cash-or-nothing payoff. Examples: Replication.cpp. Member Function Documentationstd::string name…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

ql/termstructures/volatility/optionlet/capletvariancecurve.hpp – caplet variance curve Synopsis#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/termstructures/volatility/flatsmilesection.hpp> Classesclass CapletVarianceCurve Detailed Descriptioncaplet variance curve AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CapPseudoDerivative – Synopsis#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp> Public Member FunctionsCapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) const Matrix & volatilityDerivative (Size i) const const Matrix & priceDerivative (Size i) const Real impliedVolatility () const Detailed DescriptionIn order to compute market vegas, we need a class that gives the derivative of a cap…

QuantLib::CapHelper – calibration helper for ATM cap Synopsis#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsCapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > &times) const virtual Real modelValue () const returns…

QuantLib::CapFloorTermVolatilityStructure – Cap/floor term-volatility structure. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with a fixed reference date…

ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp – Cap/floor smile volatility surface. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/quote.hpp> #include <ql/patterns/lazyobject.hpp> #include <vector> Classesclass CapFloorTermVolSurface Cap/floor smile volatility surface. Detailed DescriptionCap/floor smile volatility surface. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp – Cap/floor at-the-money term-volatility curve. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/quote.hpp> #include <ql/patterns/lazyobject.hpp> #include <boost/noncopyable.hpp> #include <vector> Classesclass CapFloorTermVolCurve Cap/floor at-the-money term-volatility vector. Detailed DescriptionCap/floor at-the-money term-volatility curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/volatility/optionlet/optionletstripper1.hpp – optionlet (caplet/floorlet) volatility stripper Synopsis#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp> Classesclass OptionletStripper1 Typedefstypedef std::vector< std::vector< boost::shared_ptr< CapFloor > > > CapFloorMatrix Detailed Descriptionoptionlet (caplet/floorlet) volatility stripper AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/instruments/capfloor.hpp – cap and floor class Synopsis#include <ql/instrument.hpp> #include <ql/cashflows/iborcoupon.hpp> #include <ql/handle.hpp> Classesclass CapFloor Base class for cap-like instruments. class Cap Concrete cap class. class Floor Concrete floor class. class Collar Concrete collar class. class arguments Arguments for cap/floor calculation class engine base class for cap/floor engines Functionsstd::ostream & operator<< (std::ostream &, CapFloor::Type) Detailed Descriptioncap…

QuantLib::Canada – Canadian calendar. Synopsis#include <ql/time/calendars/canada.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, TSX } Public Member FunctionsCanada (Market market=Settlement) Detailed DescriptionCanadian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Family Day, third Monday of February (since 2008) * Good Friday * Easter Monday *…

QuantLib::CallableZeroCouponBond – callable/puttable zero coupon bond Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableFixedRateBond. Public Member FunctionsCallableZeroCouponBond (Natural settlementDays, Real faceAmount, const Calendar &calendar, const Date &maturityDate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) Detailed Descriptioncallable/puttable zero coupon bond Callable zero coupon bond class. AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::CallableFixedRateBond – callable/puttable fixed rate bond Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableBond. Inherited by CallableZeroCouponBond. Public Member FunctionsCallableFixedRateBond (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(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) virtual void setupArguments (PricingEngine::arguments *args) const Detailed Descriptioncallable/puttable fixed rate bond Callable fixed rate…

QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis#include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functionsvirtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor) const implements…

QuantLib::CallableBondConstantVolatility – Constant callable-bond volatility, no time-strike dependence. Synopsis#include <ql/experimental/callablebonds/callablebondconstantvol.hpp> Inherits QuantLib::CallableBondVolatilityStructure. Public Member FunctionsCallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const Handle< Quote…

ql/experimental/callablebonds/callablebond.hpp – callable bond classes Synopsis#include <ql/time/schedule.hpp> #include <ql/pricingengine.hpp> #include <ql/instruments/bond.hpp> #include <ql/instruments/callabilityschedule.hpp> #include <ql/cashflows/fixedratecoupon.hpp> #include <ql/quotes/simplequote.hpp> Classesclass CallableBond Callable bond base class. class results results for a callable bond calculation class engine base class for callable fixed rate bond engine class CallableFixedRateBond callable/puttable fixed rate bond class CallableZeroCouponBond callable/puttable zero coupon bond Detailed Descriptioncallable…