Linux Manuals session 3

QuantLib::YoYInflationIndex – Base class for year-on-year inflation indices. Synopsis #include <ql/indexes/inflationindex.hpp> Inherits QuantLib::InflationIndex. Inherited by YYEUHICP, YYEUHICPr, YYUKRPI, and YYUKRPIr. Public Member Functions YoYInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, bool ratio, Frequency frequency, const Period &availabilityLag, const Currency &currency, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Rate fixing (const Date…

QuantLib::YieldTermStructure – Interest-rate term structure. Synopsis #include <ql/termstructures/yieldtermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by InterpolatedDiscountCurve< LogLinear >, FittedBondDiscountCurve, FlatForward, ForwardRateStructure, ImpliedTermStructure, InterpolatedDiscountCurve< Interpolator >, and ZeroYieldStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. YieldTermStructure (const DayCounter &dc=DayCounter()) default constructor YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a…

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis #include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member Functions YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const…

QuantLib::YYUKRPIr – Fake year-on-year UK RPI (i.e. a ratio of UK RPI). Synopsis #include <ql/indexes/inflation/ukrpi.hpp> Inherits QuantLib::YoYInflationIndex. Public Member Functions YYUKRPIr (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed Description Fake year-on-year UK RPI (i.e. a ratio of UK RPI). Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::YYUKRPI – Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI). Synopsis #include <ql/indexes/inflation/ukrpi.hpp> Inherits QuantLib::YoYInflationIndex. Public Member Functions YYUKRPI (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed Description Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI). Author Generated automatically by Doxygen for QuantLib…

QuantLib::YYEUHICPr – Fake year-on-year EU HICP (i.e. a ratio of EU HICP). Synopsis #include <ql/indexes/inflation/euhicp.hpp> Inherits QuantLib::YoYInflationIndex. Public Member Functions YYEUHICPr (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed Description Fake year-on-year EU HICP (i.e. a ratio of EU HICP). Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::YYEUHICP – Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP). Synopsis #include <ql/indexes/inflation/euhicp.hpp> Inherits QuantLib::YoYInflationIndex. Public Member Functions YYEUHICP (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed Description Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP). Author Generated automatically by Doxygen for QuantLib…

QuantLib::VolatilityTermStructure – Volatility term structure. Synopsis #include <ql/termstructures/voltermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by BlackAtmVolCurve, BlackVolTermStructure, CapFloorTermVolatilityStructure, LocalVolTermStructure, OptionletVolatilityStructure, and SwaptionVolatilityStructure. Public Member Functions virtual BusinessDayConvention businessDayConvention () const the business day convention used in tenor to date conversion Date optionDateFromTenor (const Period &) const period/date conversion virtual Rate minStrike () const =0 the minimum strike for…

QuantLib::Visitor – Visitor for a specific class Synopsis #include <ql/patterns/visitor.hpp> Public Member Functions virtual void visit (T &)=0 Detailed Description template<class T> class QuantLib::Visitor< T > Visitor for a specific class Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::VegaBumpCollection – Synopsis #include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp> Public Member Functions VegaBumpCollection (const boost::shared_ptr< MarketModel > &volStructure, bool allowFactorwiseBumping=true) VegaBumpCollection (const std::vector< VegaBumpCluster > &allBumps, const boost::shared_ptr< MarketModel > &volStructure) Size numberBumps () const const boost::shared_ptr< MarketModel > & associatedModel () const const std::vector< VegaBumpCluster > & allBumps () const bool isFull () const bool isNonOverlapping () const…

QuantLib::Vasicek::Dynamics – Short-rate dynamics in the Vasicek model. Synopsis #include <ql/models/shortrate/onefactormodels/vasicek.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Public Member Functions Dynamics (Real a, Real b, Real sigma, Real r0) virtual Real variable (Time, Rate r) const Compute state variable from short rate. virtual Real shortRate (Time, Real x) const Compute short rate from state variable. Detailed Description Short-rate dynamics…

QuantLib::Vasicek – Vasicek model class Synopsis #include <ql/models/shortrate/onefactormodels/vasicek.hpp> Inherits QuantLib::OneFactorAffineModel. Inherited by HullWhite. Classes class Dynamics Short-rate dynamics in the Vasicek model. Public Member Functions Vasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const virtual boost::shared_ptr< ShortRateDynamics > dynamics () const…

QuantLib::VarianceSwap::results – Results from variance-swap calculation Synopsis #include <ql/instruments/varianceswap.hpp> Inherits QuantLib::Instrument::results. Public Member Functions void reset () Public Attributes Real variance Detailed Description Results from variance-swap calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::VarianceSwap::arguments – Arguments for forward fair-variance calculation Synopsis #include <ql/instruments/varianceswap.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes Position::Type position Real strike Real notional Date startDate Date maturityDate Detailed Description Arguments for forward fair-variance calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::VarianceSwap – Variance swap. Synopsis #include <ql/instruments/varianceswap.hpp> Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-swap engines class results Results from variance-swap calculation Public Member Functions VarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const void fetchResults (const PricingEngine::results…

QuantLib::VarianceOption::arguments – Arguments for forward fair-variance calculation Synopsis #include <ql/experimental/varianceoption/varianceoption.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes boost::shared_ptr< Payoff > payoff Real notional Date startDate Date maturityDate Detailed Description Arguments for forward fair-variance calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::VarianceOption – Variance option. Synopsis #include <ql/experimental/varianceoption/varianceoption.hpp> Inherits QuantLib::Instrument. Classes class arguments Arguments for forward fair-variance calculation class engine base class for variance-option engines class results Results from variance-option calculation Public Member Functions VarianceOption (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const Instrument interface bool…

QuantLib::VanillaSwap::results – Results from simple swap calculation Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap::results. Public Member Functions void reset () Public Attributes Rate fairRate Spread fairSpread Detailed Description Results from simple swap calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::VanillaSwap::arguments – Arguments for simple swap calculation Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap::arguments. Inherited by arguments. Public Member Functions void validate () const Public Attributes Type type Real nominal std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Real >…

QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…