Section 3: library functions
QuantLib::TabulatedGaussLegendre – tabulated Gauss-Legendre quadratures Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Public Member Functions TabulatedGaussLegendre (Size n=20) template<class F > Real operator() (const F &f) const void order (Size) Size order () const Detailed Description tabulated Gauss-Legendre quadratures Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::TRLibor – TRY LIBOR rate Synopsis #include <ql/indexes/ibor/trlibor.hpp> Inherits QuantLib::IborIndex. Public Member Functions TRLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description TRY LIBOR rate TRY LIBOR fixed by TBA. See <http://www.trlibor.org/trlibor/english/default.asp> Possible enhancements check end-of-month adjustment. Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::TARGET – TARGET calendar Synopsis #include <ql/time/calendars/target.hpp> Inherits QuantLib::Calendar. Detailed Description TARGET calendar Holidays (see http://www.ecb.int): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday (since 2000) * Easter Monday (since 2000) * Labour Day, May 1st (since 2000) * Christmas, December 25th * Day of Goodwill, December 26th (since 2000)…
QuantLib::SyntheticCDO::engine – CDO base engine. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >. Inherited by IntegralCDOEngine, MidPointCDOEngine, and MonteCarloCDOEngine2. Protected Member Functions virtual Real expectedTrancheLoss (const Date &) const =0 virtual void initialize () const Protected Attributes boost::shared_ptr< Basket > remainingBasket_ Detailed Description CDO base engine. Author Generated automatically by Doxygen for QuantLib from the…
QuantLib::SyntheticCDO – Synthetic Collateralized Debt Obligation. Synopsis #include <ql/experimental/credit/syntheticcdo.hpp> Inherits QuantLib::Instrument. Classes class engine CDO base engine. Public Member Functions SyntheticCDO (const boost::shared_ptr< Basket > basket, Protection::Side side, const Schedule &schedule, Rate upfrontRate, Rate runningRate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention, const Handle< YieldTermStructure > &yieldTS) boost::shared_ptr< Basket > basket () const bool isExpired () const…
QuantLib::SymmetricSchurDecomposition – symmetric threshold Jacobi algorithm. Synopsis #include <ql/math/matrixutilities/symmetricschurdecomposition.hpp> Public Member Functions SymmetricSchurDecomposition (const Matrix &s) const Array & eigenvalues () const const Matrix & eigenvectors () const Detailed Description symmetric threshold Jacobi algorithm. Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal…
QuantLib::Switzerland – Swiss calendar. Synopsis #include <ql/time/calendars/switzerland.hpp> Inherits QuantLib::Calendar. Detailed Description Swiss calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Berchtoldstag, January 2nd * Good Friday * Easter Monday * Ascension Day * Whit Monday * Labour Day, May 1st * National Day, August 1st * Christmas, December 25th *…
QuantLib::Sweden – Swedish calendar. Synopsis #include <ql/time/calendars/sweden.hpp> Inherits QuantLib::Calendar. Detailed Description Swedish calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * Ascension * Whit(Pentecost) Monday * May Day, May 1st * National Day, June 6th * Midsummer Eve (Friday between June…
QuantLib::Swaption::arguments – Arguments for swaption calculation Synopsis #include <ql/instruments/swaption.hpp> Inherits QuantLib::VanillaSwap::arguments, and QuantLib::Option::arguments. Public Member Functions void validate () const Public Attributes boost::shared_ptr< VanillaSwap > swap Settlement::Type settlementType Detailed Description Arguments for swaption calculation Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::SwaptionVolatilityStructure – Swaption-volatility structure Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityDiscrete. Public Member Functions Time swapLength (const Period &swapTenor) const implements the conversion between swap tenor and swap (time) length Time swapLength (const Date &start, const Date &end) const implements the conversion between swap dates and swap (time) length Constructors See…
QuantLib::SwaptionVolatilityMatrix – At-the-money swaption-volatility matrix. Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete, and boost::noncopyable. Public Member Functions SwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter) floating reference date, floating market data SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar…
QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member Functions SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex…
QuantLib::SwaptionHelper – calibration helper for ATM swaption Synopsis #include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member Functions SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > ×)…
QuantLib::Swaption – Swaption class Synopsis #include <ql/instruments/swaption.hpp> Inherits QuantLib::Option. Classes class arguments Arguments for swaption calculation class engine base class for swaption engines Public Member Functions Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical) Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility…
QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions SwapRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days) SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention,…
QuantLib::SwapIndex – base class for swap-rate indexes Synopsis #include <ql/indexes/swapindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by ChfLiborSwapIsdaFix, EuriborSwapIfrFix, EuriborSwapIsdaFixA, EuriborSwapIsdaFixB, EurLiborSwapIfrFix, EurLiborSwapIsdaFixA, EurLiborSwapIsdaFixB, GbpLiborSwapIsdaFix, JpyLiborSwapIsdaFixAm, JpyLiborSwapIsdaFixPm, UsdLiborSwapIsdaFixAm, and UsdLiborSwapIsdaFixPm. Public Member Functions SwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const Calendar &calendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< IborIndex…
QuantLib::Swap – Interest rate swap. Synopsis #include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member Functions Constructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *)…
QuantLib::SuperSharePayoff – Binary supershare payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions SuperSharePayoff (Real strike, Real secondStrike, Real cashPayoff) Real strike () const Real secondStrike () const Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected Attributes Real…
QuantLib::SuperFundPayoff – Binary supershare and superfund payoffs. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions SuperFundPayoff (Real strike, Real secondStrike) Real secondStrike () const Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected Attributes Real secondStrike_ Detailed Description Binary supershare and superfund payoffs. Binary superfund payoff Superfund…
QuantLib::StulzEngine – Pricing engine for 2D European Baskets. Synopsis #include <ql/pricingengines/basket/stulzengine.hpp> Inherits QuantLib::BasketOption::engine. Public Member Functions StulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) void calculate () const Detailed Description Pricing engine for 2D European Baskets. This class implements formulae from ‘Options on the Minimum or the Maximum of Two…