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QuantLib::OneFactorModel::ShortRateTree – Recombining trinomial tree discretizing the state variable. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherits TreeLattice1D< OneFactorModel::ShortRateTree >. Public Member Functions ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid) Plain tree build-up from short-rate dynamics. ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const boost::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi,…

QuantLib::OneFactorModel::ShortRateDynamics – Base class describing the short-rate dynamics. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherited by Dynamics, Dynamics, Dynamics, and Dynamics. Public Member Functions ShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) virtual Real variable (Time t, Rate r) const =0 Compute state variable from short rate. virtual Rate shortRate (Time t, Real variable) const =0 Compute short rate from…

QuantLib::OneFactorModel – Single-factor short-rate model abstract class. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::ShortRateModel. Inherited by BlackKarasinski, and OneFactorAffineModel. Classes class ShortRateDynamics Base class describing the short-rate dynamics. class ShortRateTree Recombining trinomial tree discretizing the state variable. Public Member Functions OneFactorModel (Size nArguments) virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0 returns the short-rate dynamics boost::shared_ptr< Lattice…

QuantLib::OneFactorGaussianStudentCopula – One-factor Gaussian-Student t-Copula. Synopsis #include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member Functions OneFactorGaussianStudentCopula (const Handle< Quote > &correlation, int nz, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed Description One-factor Gaussian-Student t-Copula. The copula model [ Y_i = a_i,M+qrt{1-a_i^2}:Z_i…

QuantLib::OneFactorGaussianCopula – One-factor Gaussian Copula. Synopsis #include <ql/experimental/credit/onefactorgaussiancopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member Functions OneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Real cumulativeY (Real y) const Real testCumulativeY (Real y) const Real inverseCumulativeY (Real p)…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis #include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member Functions OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of…

QuantLib::OneFactorAffineModel – Single-factor affine base class. Synopsis #include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::OneFactorModel, and QuantLib::AffineModel. Inherited by CoxIngersollRoss, and Vasicek. Public Member Functions OneFactorAffineModel (Size nArguments) virtual Real discountBond (Time now, Time maturity, Array factors) const Real discountBond (Time now, Time maturity, Rate rate) const DiscountFactor discount (Time t) const Implied discount curve. Protected Member Functions virtual…

QuantLib::OneAssetOption – Base class for options on a single asset. Synopsis #include <ql/instruments/oneassetoption.hpp> Inherits QuantLib::Option. Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption. Classes class results Results from single-asset option calculation Public Member Functions OneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results…

QuantLib::Observer – Object that gets notified when a given observable changes. Synopsis #include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, 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…

QuantLib::ObservableValue – observable and assignable proxy to concrete value Synopsis #include <ql/utilities/observablevalue.hpp> Public Member Functions ObservableValue (const T &) ObservableValue (const ObservableValue< T > &) operator T () const implicit conversion operator boost::shared_ptr< Observable > () const const T & value () const explicit inspector controlled assignment ObservableValue< T > & operator= (const T &)…

QuantLib::Observable – Object that notifies its changes to a set of observables. Synopsis #include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, AffineModel [virtual], BootstrapHelper< TS >, CalibratedModel [virtual], CalibrationHelper, Claim, CommodityIndex, Event, FloatingRateCouponPricer [virtual], Link, Index, LazyObject [virtual], MarketModelFactory, PricingEngine, Quote [virtual], SmileSection [virtual], StochasticProcess, TermStructure [virtual],…

QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member Functions NumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const…

QuantLib::NullPayoff – Dummy payoff class. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::Payoff. Public Member Functions Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Dummy payoff class. Member Function Documentation std::string name () const [virtual] Warning This method is used for output and comparison…

QuantLib::NullCondition – null step condition Synopsis #include <ql/methods/finitedifferences/stepcondition.hpp> Inherits StepCondition< array_type >. Public Member Functions void applyTo (array_type &, Time) const Detailed Description template<class array_type> class QuantLib::NullCondition< array_type > null step condition Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Null – template class providing a null value for a given type. Synopsis #include <ql/utilities/null.hpp> Public Member Functions operator Type () const Detailed Description template<class Type> class QuantLib::Null< Type > template class providing a null value for a given type. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::NthToDefault – N-th to default swap. Synopsis #include <ql/experimental/credit/nthtodefault.hpp> Inherits QuantLib::Instrument. Public Member Functions NthToDefault (Size n, const std::vector< Issuer > &basket, const Handle< OneFactorCopula > &copula, Protection::Side side, Real nominal, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS, const Period &integrationStepSize, boost::shared_ptr< Claim > claim=boost::shared_ptr< Claim >())…

QuantLib::Norway – Norwegian calendar. Synopsis #include <ql/time/calendars/norway.hpp> Inherits QuantLib::Calendar. Detailed Description Norwegian calendar. Holidays: * Saturdays * Sundays * Holy Thursday * Good Friday * Easter Monday * Ascension * Whit(Pentecost) Monday * New Year’s Day, January 1st * May Day, May 1st * National Independence Day, May 17st * Christmas, December 25th * Boxing…

QuantLib::NormalFwdRatePc – Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/normalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions NormalFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState…

QuantLib::NormalDistribution – Normal distribution function. Synopsis #include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions NormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed Description Normal distribution function. Given x, it returns its probability in a Gaussian normal distribution. It provides the first derivative too. Tests the correctness of the…

QuantLib::NonLinearLeastSquare – Non-linear least-square method. Synopsis #include <ql/math/optimization/leastsquare.hpp> Public Member Functions NonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100) Default constructor. NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om) Default constructor. ~NonLinearLeastSquare () Destructor. Array & perform (LeastSquareProblem &lsProblem) Solve least square problem using numerix solver. void setInitialValue (const Array &initialValue) Array &…