Section 3: library functions
QuantLib::NewtonSafe – safe Newton 1-D solver Synopsis #include <ql/math/solvers1d/newtonsafe.hpp> Inherits Solver1D< NewtonSafe >. Public Member Functions template<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed Description safe Newton 1-D solver Note: This solver requires that the passed function object implement a method Real derivative(Real). Tests the correctness of the returned values is…
QuantLib::Newton – Newton 1-D solver Synopsis #include <ql/math/solvers1d/newton.hpp> Inherits Solver1D< Newton >. Public Member Functions template<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed Description Newton 1-D solver Note: This solver requires that the passed function object implement a method Real derivative(Real). Tests the correctness of the returned values is tested by…
QuantLib::NewZealand – New Zealand calendar. Synopsis #include <ql/time/calendars/newzealand.hpp> Inherits QuantLib::Calendar. Detailed Description New Zealand calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday or Tuesday) * Day after New Year’s Day, January 2st (possibly moved to Monday or Tuesday) * Anniversary Day, Monday nearest January 22nd * Waitangi…
QuantLib::NeumannBC – Neumann boundary condition (i.e., constant derivative). Synopsis #include <ql/methods/finitedifferences/boundarycondition.hpp> Inherits BoundaryCondition< TridiagonalOperator >. Public Member Functions NeumannBC (Real value, Side side) void applyBeforeApplying (TridiagonalOperator &) const void applyAfterApplying (Array &) const void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const void applyAfterSolving (Array &) const void setTime (Time) Detailed Description Neumann boundary condition (i.e., constant…
QuantLib::NelsonSiegelFitting – Nelson-Siegel fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description Nelson-Siegel fitting method. Fits a discount function to the form $ d(t) =
QuantLib::NZDLibor – NZD LIBOR rate Synopsis #include <ql/indexes/ibor/nzdlibor.hpp> Inherits QuantLib::Libor. Public Member Functions NZDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description NZD LIBOR rate New Zealand Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::MultiVariate – default Monte Carlo traits for multi-variate models Synopsis #include <ql/methods/montecarlo/mctraits.hpp> Public Types enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef MultiPath path_type typedef PathPricer< path_type > path_pricer_type typedef RNG::rsg_type rsg_type typedef MultiPathGenerator< rsg_type > path_generator_type Detailed Description template<class RNG = PseudoRandom> struct QuantLib::MultiVariate< RNG > default Monte Carlo traits for multi-variate…
QuantLib::MultiStepSwaption – Synopsis #include <ql/models/marketmodels/products/multistep/multistepswaption.hpp> Inherits QuantLib::MultiProductMultiStep. Public Member Functions MultiStepSwaption (const std::vector< Time > &rateTimes, Size startIndex, Size endIndex, boost::shared_ptr< StrikedTypePayoff > &) MarketModelMultiProduct interface std::vector< Time > possibleCashFlowTimes () const Size numberOfProducts () const Size maxNumberOfCashFlowsPerProductPerStep () const void reset () during simulation put product at start of path bool nextTimeStep (const CurveState…
QuantLib::MultiProductOneStep – Single-step market-model product. Synopsis #include <ql/models/marketmodels/products/multiproductonestep.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by OneStepCoinitialSwaps, OneStepCoterminalSwaps, OneStepForwards, and OneStepOptionlets. Public Member Functions MultiProductOneStep (const std::vector< Time > &rateTimes) MarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const Protected Attributes std::vector< Time > rateTimes_ EvolutionDescription evolution_ Detailed Description Single-step market-model product. This is…
QuantLib::MultiProductMultiStep – Multiple-step market-model product. Synopsis #include <ql/models/marketmodels/products/multiproductmultistep.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by ExerciseAdapter, MultiStepCoinitialSwaps, MultiStepCoterminalSwaps, MultiStepCoterminalSwaptions, MultiStepForwards, MultiStepNothing, MultiStepOptionlets, MultiStepPeriodCapletSwaptions, MultiStepRatchet, MultiStepSwap, and MultiStepSwaption. Public Member Functions MultiProductMultiStep (const std::vector< Time > &rateTimes) MarketModelMultiProduct interface std::vector< Size > suggestedNumeraires () const const EvolutionDescription & evolution () const Protected Attributes std::vector< Time > rateTimes_ EvolutionDescription evolution_…
QuantLib::MultiProductComposite – Composition of one or more market-model products. Synopsis #include <ql/models/marketmodels/products/multiproductcomposite.hpp> Inherits QuantLib::MarketModelComposite. Public Member Functions MarketModelMultiProduct interface Size numberOfProducts () const Size maxNumberOfCashFlowsPerProductPerStep () const bool nextTimeStep (const CurveState ¤tState, std::vector< Size > &numberCashFlowsThisStep, std::vector< std::vector< CashFlow > > &cashFlowsGenerated) return value indicates whether path is finished, TRUE means done std::auto_ptr< MarketModelMultiProduct >…
QuantLib::MultiPathGenerator – Generates a multipath from a random number generator. Synopsis #include <ql/methods/montecarlo/multipathgenerator.hpp> Public Types typedef Sample< MultiPath > sample_type Public Member Functions MultiPathGenerator (const boost::shared_ptr< StochasticProcess > &, const TimeGrid &, GSG generator, bool brownianBridge=false) const sample_type & next () const const sample_type & antithetic () const Detailed Description template<class GSG> class QuantLib::MultiPathGenerator< GSG…
QuantLib::MultiPath – Correlated multiple asset paths. Synopsis #include <ql/methods/montecarlo/multipath.hpp> Public Member Functions MultiPath (Size nAsset, const TimeGrid &timeGrid) MultiPath (const std::vector< Path > &multiPath) inspectors Size assetNumber () const Size pathSize () const read/write access to components const Path & operator[] (Size j) const const Path & at (Size j) const Path & operator[] (Size…
QuantLib::MultiCubicSpline – N-dimensional cubic spline interpolation between discrete points. Synopsis #include <ql/math/interpolations/multicubicspline.hpp> Public Types typedef c_splint::argument_type argument_type typedef c_splint::result_type result_type typedef c_splint::data_table data_table typedef c_splint::return_type return_type typedef c_splint::output_data output_data typedef c_splint::dimensions dimensions typedef c_splint::data data Public Member Functions MultiCubicSpline (const SplineGrid &grid, const data_table &y, const std::vector< bool > &ae=std::vector< bool >(20, false)) result_type operator()…
QuantLib::MultiAssetOption – Base class for options on multiple assets. Synopsis #include <ql/instruments/multiassetoption.hpp> Inherits QuantLib::Option. Inherited by BasketOption, EverestOption, HimalayaOption, and PagodaOption. Classes class results Results from multi-asset option calculation Public Member Functions MultiAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *) const Instrument…
QuantLib::MoroInverseCumulativeNormal – Moro Inverse cumulative normal distribution class. Synopsis #include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions MoroInverseCumulativeNormal (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Detailed Description Moro Inverse cumulative normal distribution class. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y…
QuantLib::MoreGreeks – more additional option results Synopsis #include <ql/option.hpp> Inherits QuantLib::PricingEngine::results. Inherited by results. Public Member Functions void reset () Public Attributes Real itmCashProbability Real deltaForward Real elasticity Real thetaPerDay Real strikeSensitivity Detailed Description more additional option results Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::MonteCarloModel – General-purpose Monte Carlo model for path samples. Synopsis #include <ql/methods/montecarlo/montecarlomodel.hpp> Public Types typedef MC< RNG > mc_traits typedef RNG rng_traits typedef MC< RNG >::path_generator_type path_generator_type typedef MC< RNG >::path_pricer_type path_pricer_type typedef path_generator_type::sample_type sample_type typedef path_pricer_type::result_type result_type typedef S stats_type Public Member Functions MonteCarloModel (const boost::shared_ptr< path_generator_type > &pathGenerator, const boost::shared_ptr< path_pricer_type > &pathPricer,…
QuantLib::MonteCarloCDOEngine2 – CDO engine, Monte Carlo for the sample payoff. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member Functions MonteCarloCDOEngine2 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) void calculate () const Detailed Description CDO engine, Monte Carlo for the sample payoff. Author Generated automatically by Doxygen for QuantLib from the source code.
QuantLib::MonteCarloCDOEngine1 – CDO engine, Monte Carlo for the exptected tranche loss distribution. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::MidPointCDOEngine. Public Member Functions MonteCarloCDOEngine1 (boost::shared_ptr< RandomDefaultModel > rdm, Size samples) Detailed Description CDO engine, Monte Carlo for the exptected tranche loss distribution. Author Generated automatically by Doxygen for QuantLib from the source code.