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QuantLib::Quantity – Amount of a commodity. Synopsis #include <ql/experimental/commodities/quantity.hpp> Public Member Functions Constructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings…

QuantLib::ProjectedCostFunction – Parameterized cost function. Synopsis #include <ql/math/optimization/projectedcostfunction.hpp> Inherits QuantLib::CostFunction. Public Member Functions ProjectedCostFunction (const CostFunction &costFunction, const Array &parametersValues, const std::vector< bool > &parametersFreedoms) virtual Disposable< Array > project (const Array &parameters) const returns the subset of free parameters corresponding virtual Disposable< Array > include (const Array &projectedParameters) const returns whole set of parameters…

QuantLib::Problem – Constrained optimization problem. Synopsis #include <ql/math/optimization/problem.hpp> Public Member Functions Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) default constructor void reset () Real value (const Array &x) call cost function computation and increment evaluation counter Disposable< Array > values (const Array &x) call cost values computation and increment evaluation counter void gradient (Array…

QuantLib::PricingPeriod – Time pricingperiod described by a number of a given time unit. Synopsis #include <ql/experimental/commodities/pricingperiod.hpp> Inherits QuantLib::DateInterval. Public Member Functions PricingPeriod (const Date &startDate, const Date &endDate, const Date &paymentDate, const Quantity &quantity) const Date & paymentDate () const const Quantity & quantity () const Detailed Description Time pricingperiod described by a number of…

QuantLib::PricingEngine – interface for pricing engines Synopsis #include <ql/pricingengine.hpp> Inherits QuantLib::Observable. Inherited by GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments,…

QuantLib::Poland – Polish calendar. Synopsis #include <ql/time/calendars/poland.hpp> Inherits QuantLib::Calendar. Detailed Description Polish calendar. Holidays: * Saturdays * Sundays * Easter Monday * Corpus Christi * New Year’s Day, January 1st * May Day, May 1st * Constitution Day, May 3rd * Assumption of the Blessed Virgin Mary, August 15th * All Saints Day, November 1st…

QuantLib::PoissonDistribution – Normal distribution function. Synopsis #include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions PoissonDistribution (Real mu) Real operator() (BigNatural k) const Detailed Description Normal distribution function. Given an integer $ k $, it returns its probability in a Poisson distribution. Tests the correctness of the returned value is tested by checking it against known good…

QuantLib::PlainVanillaPayoff – Plain-vanilla payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions PlainVanillaPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Plain-vanilla payoff. Examples: DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp. Member Function Documentation std::string name () const [virtual] Warning This method is used…

QuantLib::PiecewiseZeroSpreadedTermStructure – Term structure with an added vector of spreads on the zero-yield rate. Synopsis #include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member Functions PiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Natural settlementDays…

QuantLib::PiecewiseZeroInflationCurve – Piecewise zero-inflation term structure. Synopsis #include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp> Inherits InterpolatedZeroInflationCurve< Interpolator >, and QuantLib::LazyObject. Public Types typedef Traits traits_type typedef Interpolator interpolator_type Public Member Functions Constructors PiecewiseZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > &nominalTS, const std::vector< boost::shared_ptr< typename Traits::helper >…

QuantLib::PiecewiseYoYInflationCurve – Piecewise year-on-year inflation term structure. Synopsis #include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp> Inherits InterpolatedYoYInflationCurve< Interpolator >, and QuantLib::LazyObject. Public Types typedef Traits traits_type typedef Interpolator interpolator_type Public Member Functions Constructors PiecewiseYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &nominalTS, const std::vector< boost::shared_ptr< typename Traits::helper…

QuantLib::PiecewiseYieldCurve – Piecewise yield term structure. Synopsis #include <ql/termstructures/yield/piecewiseyieldcurve.hpp> Inherits Traits::template curve::type<Interpolator>, and QuantLib::LazyObject. Public Types typedef Traits traits_type typedef Interpolator interpolator_type Public Member Functions Constructors PiecewiseYieldCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date…

QuantLib::PiecewiseDefaultCurve – Piecewise default-probability term structure. Synopsis #include <ql/termstructures/credit/piecewisedefaultcurve.hpp> Inherits Traits::template curve::type<Interpolator>, and QuantLib::LazyObject. Public Types typedef Traits traits_type typedef Interpolator interpolator_type Public Member Functions Constructors PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, Real accuracy=1.0e-12, const Interpolator &i=Interpolator()) PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr<…

QuantLib::PiecewiseConstantParameter – Piecewise-constant parameter. Synopsis #include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member Functions PiecewiseConstantParameter (const std::vector< Time > &times) Detailed Description Piecewise-constant parameter. $ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model Author Generated automatically by Doxygen for QuantLib from…

QuantLib::PerturbativeBarrierOptionEngine – perturbative barrier-option engine Synopsis #include <ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp> Inherits QuantLib::BarrierOption::engine. Public Member Functions PerturbativeBarrierOptionEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Natural order=1, bool zeroGamma=false) void calculate () const Detailed Description perturbative barrier-option engine This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w3/>. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Period – Synopsis #include <ql/time/period.hpp> Public Member Functions Period (Integer n, TimeUnit units) Period (Frequency f) Integer length () const TimeUnit units () const Frequency frequency () const Period & operator+= (const Period &) Period & operator-= (const Period &) Period & operator/= (Integer) void normalize () Related Functions (Note that these are not member…

QuantLib::PercentageStrikePayoff – Payoff with strike expressed as percentage Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions PercentageStrikePayoff (Option::Type type, Real moneyness) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Payoff with strike expressed as percentage Member Function Documentation std::string name () const [virtual] Warning This…

QuantLib::Payoff – Abstract base class for option payoffs. Synopsis #include <ql/payoff.hpp> Inherits std::unary_function<Real,Real>. Inherited by BasketPayoff, DoubleStickyRatchetPayoff, ForwardTypePayoff, NullPayoff, and TypePayoff. Public Member Functions Payoff interface virtual std::string name () const =0 virtual std::string description () const =0 virtual Real operator() (Real price) const =0 Visitability virtual void accept (AcyclicVisitor &) Detailed Description Abstract base…

QuantLib::PathwiseVegasAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas and vegas. Synopsis #include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member Functions PathwiseVegasAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, const std::vector< std::vector< Matrix > > &VegaBumps, Real initialNumeraireValue) void multiplePathValues (std::vector< Real > &means,…

QuantLib::PathwiseAccountingEngine – Engine collecting cash flows along a market-model simulation for doing pathwise computation of Deltas. Synopsis #include <ql/models/marketmodels/pathwiseaccountingengine.hpp> Public Member Functions PathwiseAccountingEngine (const boost::shared_ptr< LogNormalFwdRateEuler > &evolver, const Clone< MarketModelPathwiseMultiProduct > &product, const boost::shared_ptr< MarketModel > &pseudoRootStructure, Real initialNumeraireValue) void multiplePathValues (SequenceStatisticsInc &stats, Size numberOfPaths) Detailed Description Engine collecting cash flows along a market-model…