Linux Manuals session 3

QuantLib::VanillaOption – Vanilla option (no discrete dividends, no barriers) on a single asset. Synopsis #include <ql/instruments/vanillaoption.hpp> Inherits QuantLib::OneAssetOption. Inherited by EuropeanOption. Public Member Functions VanillaOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const Detailed Description…

QuantLib::UsdLiborSwapIsdaFixPm – UsdLiborSwapIsdaFixPm index base class Synopsis #include <ql/indexes/swap/usdliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member Functions UsdLiborSwapIsdaFixPm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description UsdLiborSwapIsdaFixPm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm New York. Semiannual 30/360 vs 3M Libor. Reuters…

QuantLib::UsdLiborSwapIsdaFixAm – UsdLiborSwapIsdaFixAm index base class Synopsis #include <ql/indexes/swap/usdliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member Functions UsdLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description UsdLiborSwapIsdaFixAm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual 30/360 vs 3M Libor. Reuters…

QuantLib::UpperBoundEngine – Market-model engine for upper-bound estimation. Synopsis #include <ql/models/marketmodels/callability/upperboundengine.hpp> Public Member Functions UpperBoundEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const std::vector< boost::shared_ptr< MarketModelEvolver > > &innerEvolvers, const MarketModelMultiProduct &underlying, const MarketModelExerciseValue &rebate, const MarketModelMultiProduct &hedge, const MarketModelExerciseValue &hedgeRebate, const ExerciseStrategy< CurveState > &hedgeStrategy, Real initialNumeraireValue) void multiplePathValues (Statistics &stats, Size outerPaths, Size innerPaths) std::pair< Real,…

QuantLib::UnitedStates – United States calendars. Synopsis #include <ql/time/calendars/unitedstates.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, NYSE, GovernmentBond, NERC } US calendars. Public Member Functions UnitedStates (Market market=Settlement) Detailed Description United States calendars. Public holidays (see: http://www.opm.gov/fedhol/): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday,…

QuantLib::UnitedKingdom – United Kingdom calendars. Synopsis #include <ql/time/calendars/unitedkingdom.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, Exchange, Metals } UK calendars. Public Member Functions UnitedKingdom (Market market=Settlement) Detailed Description United Kingdom calendars. Public holidays (data from http://www.dti.gov.uk/er/bankhol.htm): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Good Friday *…

QuantLib::UnitOfMeasure – Unit of measure specification Synopsis #include <ql/experimental/commodities/unitofmeasure.hpp> Inherited by BarrelUnitOfMeasure, GallonUnitOfMeasure, KilolitreUnitOfMeasure, LitreUnitOfMeasure, LotUnitOfMeasure, MBUnitOfMeasure, MTUnitOfMeasure, and TokyoKilolitreUnitOfMeasure. Public Types enum Type { Mass, Volume, Energy, Quantity } Public Member Functions UnitOfMeasure () default constructor UnitOfMeasure (const std::string &name, const std::string &code, Type unitType) Inspectors const std::string & name () const name, e.g,…

QuantLib::Ukraine – Ukrainian calendars. Synopsis #include <ql/time/calendars/ukraine.hpp> Inherits QuantLib::Calendar. Public Types enum Market { USE } Public Member Functions Ukraine (Market m=USE) Detailed Description Ukrainian calendars. Holidays for the Ukrainian stock exchange (data from <http://www.ukrse.kiev.ua/eng/>): * Saturdays * Sundays * New Year’s Day, January 1st * Orthodox Christmas, January 7th * International Women’s Day, March…

QuantLib::USDLibor – USD LIBOR rate Synopsis #include <ql/indexes/ibor/usdlibor.hpp> Inherits QuantLib::Libor. Public Member Functions USDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description USD LIBOR rate US Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Examples: Bonds.cpp. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::UKRPI – UK Retail Price Inflation Index. Synopsis #include <ql/indexes/inflation/ukrpi.hpp> Inherits QuantLib::ZeroInflationIndex. Public Member Functions UKRPI (Frequency frequency, bool revised, bool interpolated, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) Detailed Description UK Retail Price Inflation Index. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::TypePayoff – Intermediate class for put/call payoffs. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::Payoff. Inherited by FloatingTypePayoff, and StrikedTypePayoff. Public Member Functions TypePayoff (Option::Type type) Option::Type optionType () const Payoff interface std::string description () const Protected Attributes Option::Type type_ Detailed Description Intermediate class for put/call payoffs. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::TwoFactorModel::ShortRateTree – Recombining two-dimensional tree discretizing the state variable. Synopsis #include <ql/models/shortrate/twofactormodel.hpp> Inherits TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >. Public Member Functions ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree1, const boost::shared_ptr< TrinomialTree > &tree2, const boost::shared_ptr< ShortRateDynamics > &dynamics) Plain tree build-up from short-rate dynamics. DiscountFactor discount (Size i, Size index) const Detailed Description Recombining two-dimensional tree discretizing…

QuantLib::TwoFactorModel::ShortRateDynamics – Class describing the dynamics of the two state variables. Synopsis #include <ql/models/shortrate/twofactormodel.hpp> Inherited by Dynamics. Public Member Functions ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &xProcess, const boost::shared_ptr< StochasticProcess1D > &yProcess, Real correlation) virtual Rate shortRate (Time t, Real x, Real y) const =0 const boost::shared_ptr< StochasticProcess1D > & xProcess () const Risk-neutral dynamics of…

QuantLib::TwoFactorModel – Abstract base-class for two-factor models. Synopsis #include <ql/models/shortrate/twofactormodel.hpp> Inherits QuantLib::ShortRateModel. Inherited by G2. Classes class ShortRateDynamics Class describing the dynamics of the two state variables. class ShortRateTree Recombining two-dimensional tree discretizing the state variable. Public Member Functions TwoFactorModel (Size nParams) virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0 Returns the short-rate dynamics. boost::shared_ptr<…

QuantLib::TsiveriotisFernandesLattice – Binomial lattice approximating the Tsiveriotis-Fernandes model. Synopsis #include <ql/methods/lattices/tflattice.hpp> Inherits BlackScholesLattice< T >. Public Member Functions TsiveriotisFernandesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps, Real creditSpread, Volatility volatility, Spread divYield) Rate riskFreeRate () const Real creditSpread () const Real dt () const Protected Member Functions void stepback (Size i,…

QuantLib::TrinomialTree – Recombining trinomial tree class. Synopsis #include <ql/methods/lattices/trinomialtree.hpp> Inherits Tree< TrinomialTree >. Public Types enum Branches { branches = 3 } Public Member Functions TrinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false) Real dx (Size i) const const TimeGrid & timeGrid () const Size size (Size i) const Real underlying (Size…

QuantLib::Trigeorgis – Trigeorgis (additive equal jumps) binomial tree Synopsis #include <ql/methods/lattices/binomialtree.hpp> Inherits EqualJumpsBinomialTree< Trigeorgis >. Public Member Functions Trigeorgis (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed Description Trigeorgis (additive equal jumps) binomial tree Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::TridiagonalOperator – Base implementation for tridiagonal operator. Synopsis #include <ql/methods/finitedifferences/tridiagonaloperator.hpp> Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >. Classes class TimeSetter encapsulation of time-setting logic Public Types typedef Array array_type Public Member Functions TridiagonalOperator (Size size=0) TridiagonalOperator (const Array &low, const Array &mid, const Array &high) TridiagonalOperator (const Disposable< TridiagonalOperator > &)…

QuantLib::TreeVanillaSwapEngine – Numerical lattice engine for simple swaps. Synopsis #include <ql/pricingengines/swap/treeswapengine.hpp> Inherits LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results >. Public Member Functions void calculate () const Constructors Note: the term structure is only needed when the short-rate model cannot provide one itself. TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) TreeVanillaSwapEngine…

QuantLib::TreeSwaptionEngine – Numerical lattice engine for swaptions. Synopsis #include <ql/pricingengines/swaption/treeswaptionengine.hpp> Inherits LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >. Public Member Functions void calculate () const Constructors Note: the term structure is only needed when the short-rate model cannot provide one itself. TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) TreeSwaptionEngine (const…