Linux Manuals session 3

QuantLib::Money – amount of cash Synopsis #include <ql/money.hpp> Public Member Functions Constructors Money () Money (const Currency &currency, Decimal value) Money (Decimal value, const Currency &currency) Inspectors const Currency & currency () const Decimal value () const Money rounded () const Money arithmetics See below for non-member functions and for settings which determine the behavior…

QuantLib::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/mixedscheme.hpp> Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions MixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributes…

QuantLib::MidPointCDOEngine – CDO base engine taking schedule steps. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Inherited by MonteCarloCDOEngine1. Public Member Functions MidPointCDOEngine (Period stepSize=0 *Days) void calculate () const Detailed Description CDO base engine taking schedule steps. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Mexico – Mexican calendars Synopsis #include <ql/time/calendars/mexico.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BMV } Public Member Functions Mexico (Market m=BMV) Detailed Description Mexican calendars Holidays for the Mexican stock exchange (data from <http://www.bmv.com.mx/>): * Saturdays * Sundays * New Year’s Day, January 1st * Constitution Day, February 5th * Birthday of Benito Juarez,…

QuantLib::Merton76Process – Merton-76 jump-diffusion process. Synopsis #include <ql/processes/merton76process.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions Merton76Process (const Handle< Quote > &stateVariable, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const Handle< Quote > &jumpInt, const Handle< Quote > &logJMean, const Handle< Quote > &logJVol, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization…

QuantLib::MersenneTwisterUniformRng – Uniform random number generator. Synopsis #include <ql/math/randomnumbers/mt19937uniformrng.hpp> Public Types typedef Sample< Real > sample_type Public Member Functions MersenneTwisterUniformRng (unsigned long seed=0) MersenneTwisterUniformRng (const std::vector< unsigned long > &seeds) sample_type next () const unsigned long nextInt32 () const return a random number on [0,0xffffffff]-interval Detailed Description Uniform random number generator. Mersenne Twister random number…

QuantLib::McSimulation – base class for Monte Carlo engines Synopsis #include <ql/pricingengines/mcsimulation.hpp> Public Types typedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type typedef MonteCarloModel< MC, RNG, S >::result_type result_type Public Member Functions result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples…

QuantLib::McPricer – base class for Monte Carlo pricers Synopsis #include <ql/legacy/pricers/mcpricer.hpp> Public Member Functions Real value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const add samples until the required tolerance is reached Real valueWithSamples (Size samples, Size minSamples=1023) const simulate a fixed number of samples Real errorEstimate () const estimated error of the samples simulated so…

QuantLib::McCliquetOption – simple example of Monte Carlo pricer Synopsis #include <ql/legacy/pricers/mccliquetoption.hpp> Inherits McPricer< SingleVariate, PseudoRandom >. Public Member Functions McCliquetOption (Option::Type type, Real underlying, Real moneyness, const Handle< YieldTermStructure > &dividendYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > &times, Real accruedCoupon, Real lastFixing, Real localCap, Real localFloor, Real…

QuantLib::Matrix – Matrix used in linear algebra. Synopsis #include <ql/math/matrix.hpp> Inherited by Disposable< Matrix >. Public Types typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator typedef Real * row_iterator typedef const Real * const_row_iterator typedef boost::reverse_iterator< row_iterator > reverse_row_iterator typedef boost::reverse_iterator< const_row_iterator > const_reverse_row_iterator…

QuantLib::MarketModelVolProcess – Synopsis #include <ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp> Inherited by SquareRootAndersen. Public Member Functions virtual Size variatesPerStep ()=0 virtual Size numberSteps ()=0 virtual void nextPath ()=0 virtual Real nextstep (const std::vector< Real > &variates)=0 virtual Real stepSd () const =0 virtual std::vector< Real > & stateVariables () const =0 virtual Size numberStateVariables () const =0 Detailed Description Displaced…

QuantLib::MarketModelPathwiseMultiProduct – market-model pathwise product Synopsis #include <ql/models/marketmodels/pathwisemultiproduct.hpp> Inherited by MarketModelPathwiseCoterminalSwaptionsDeflated, MarketModelPathwiseCoterminalSwaptionsNumericalDeflated, MarketModelPathwiseMultiCaplet, MarketModelPathwiseMultiDeflatedCap, and MarketModelPathwiseMultiDeflatedCaplet. Public Member Functions virtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0…

QuantLib::MarketModelPathwiseMultiDeflatedCap – Synopsis #include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member Functions MarketModelPathwiseMultiDeflatedCap (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, Rate strike, const std::vector< std::pair< Size, Size > > &startsAndEnds) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes…

QuantLib::MarketModelPathwiseMultiCaplet – market-model pathwise caplet Synopsis #include <ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member Functions MarketModelPathwiseMultiCaplet (const std::vector< Time > &rateTimes, const std::vector< Real > &accruals, const std::vector< Time > &paymentTimes, const std::vector< Rate > &strikes) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes () const…

QuantLib::MarketModelPathwiseDiscounter – Synopsis #include <ql/models/marketmodels/pathwisediscounter.hpp> Public Member Functions MarketModelPathwiseDiscounter (Time paymentTime, const std::vector< Time > &rateTimes) void getFactors (const Matrix &LIBORRates, const Matrix &Discounts, Size currentStep, std::vector< Real > &factors) const Detailed Description this class returns the number of units of the discretely compounding money market account that 1 unit of cash at the payment…

QuantLib::MarketModelPathwiseCoterminalSwaptionsNumericalDeflated – Synopsis #include <ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member Functions MarketModelPathwiseCoterminalSwaptionsNumericalDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes, Real bumpSize_) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes () const virtual Size numberOfProducts () const virtual Size maxNumberOfCashFlowsPerProductPerStep () const virtual…

QuantLib::MarketModelPathwiseCoterminalSwaptionsDeflated – Synopsis #include <ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp> Inherits QuantLib::MarketModelPathwiseMultiProduct. Public Member Functions MarketModelPathwiseCoterminalSwaptionsDeflated (const std::vector< Time > &rateTimes, const std::vector< Rate > &strikes) virtual std::vector< Size > suggestedNumeraires () const virtual const EvolutionDescription & evolution () const virtual std::vector< Time > possibleCashFlowTimes () const virtual Size numberOfProducts () const virtual Size maxNumberOfCashFlowsPerProductPerStep () const virtual bool alreadyDeflated…

QuantLib::MarketModelMultiProduct – market-model product Synopsis #include <ql/models/marketmodels/multiproduct.hpp> Inherited by CallSpecifiedMultiProduct, MarketModelCashRebate, MarketModelComposite, MultiProductMultiStep, and MultiProductOneStep. Public Member Functions virtual std::vector< Size > suggestedNumeraires () const =0 virtual const EvolutionDescription & evolution () const =0 virtual std::vector< Time > possibleCashFlowTimes () const =0 virtual Size numberOfProducts () const =0 virtual Size maxNumberOfCashFlowsPerProductPerStep () const =0 virtual…

QuantLib::MarketModelFactory – base class for market-model factories Synopsis #include <ql/models/marketmodels/marketmodel.hpp> Inherits QuantLib::Observable. Inherited by CotSwapToFwdAdapterFactory, FlatVolFactory, and FwdToCotSwapAdapterFactory. Public Member Functions virtual boost::shared_ptr< MarketModel > create (const EvolutionDescription &, Size numberOfFactors) const =0 Detailed Description base class for market-model factories Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::MarketModelEvolver – Market-model evolver. Synopsis #include <ql/models/marketmodels/evolver.hpp> Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateEuler, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc. Public Member Functions virtual const std::vector< Size > & numeraires () const =0 virtual Real startNewPath ()=0 virtual Real advanceStep ()=0 virtual Size currentStep () const =0 virtual const CurveState & currentState () const =0 virtual void…