Linux Manuals session 3

QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions LongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributes bool…

QuantLib::LogNormalFwdRatePc – Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalFwdRatePc (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::LogNormalFwdRateIpc – Iterative Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalFwdRateIpc (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…

QuantLib::LogNormalFwdRateEulerConstrained – euler stepping Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp> Inherits QuantLib::ConstrainedEvolver. Public Member Functions LogNormalFwdRateEulerConstrained (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModelConstrained interface virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate) call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector<…

QuantLib::LogNormalFwdRateEuler – Euler. Synopsis #include <ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalFwdRateEuler (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) const std::vector< Real > & browniansThisStep () const accessor methods useful for doing pathwise vegas MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath ()…

QuantLib::LogNormalCotSwapRatePc – Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalCotSwapRatePc (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::LogNormalCmSwapRatePc – Predictor-Corrector. Synopsis #include <ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member Functions LogNormalCmSwapRatePc (const Size spanningForwards, 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 ()…

QuantLib::LogLinearInterpolation – log-linear interpolation between discrete points Synopsis #include <ql/math/interpolations/loginterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functions template<class I1 , class I2 > LogLinearInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed Description log-linear interpolation between discrete points Constructor & Destructor Documentation LogLinearInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)…

QuantLib::LogLinear – log-linear interpolation factory and traits Synopsis #include <ql/math/interpolations/loginterpolation.hpp> Public Member Functions template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributes static const bool global = false static const Size requiredPoints = 2 Detailed Description log-linear interpolation factory and traits Author Generated…

QuantLib::LogCubicInterpolation – log-cubic interpolation between discrete points Synopsis #include <ql/math/interpolations/loginterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functions template<class I1 , class I2 > LogCubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, CubicInterpolation::DerivativeApprox da, bool monotonic, CubicInterpolation::BoundaryCondition leftC, Real leftConditionValue, CubicInterpolation::BoundaryCondition rightC, Real rightConditionValue) Detailed Description log-cubic interpolation between discrete points Constructor & Destructor Documentation LogCubicInterpolation…

QuantLib::LogCubic – log-cubic interpolation factory and traits Synopsis #include <ql/math/interpolations/loginterpolation.hpp> Public Member Functions LogCubic (CubicInterpolation::DerivativeApprox da, bool monotonic=true, CubicInterpolation::BoundaryCondition leftCondition=CubicInterpolation::SecondDerivative, Real leftConditionValue=0.0, CubicInterpolation::BoundaryCondition rightCondition=CubicInterpolation::SecondDerivative, Real rightConditionValue=0.0) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributes static const bool global = true static const…

QuantLib::LocalVolTermStructure – Synopsis #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by LocalConstantVol, LocalVolCurve, and LocalVolSurface. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. LocalVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date LocalVolTermStructure…

QuantLib::LocalVolSurface – Local volatility surface derived from a Black vol surface. Synopsis #include <ql/termstructures/volatility/equityfx/localvolsurface.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member Functions LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying) LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure >…

QuantLib::LocalVolCurve – Local volatility curve derived from a Black curve. Synopsis #include <ql/termstructures/volatility/equityfx/localvolcurve.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member Functions LocalVolCurve (const Handle< BlackVarianceCurve > &curve) TermStructure interface const Date & referenceDate () const the date at which discount = 1.0 and/or variance = 0.0 DayCounter dayCounter () const the day counter used for date/time conversion Date…

QuantLib::LocalConstantVol – Constant local volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/equityfx/localconstantvol.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member Functions LocalConstantVol (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) LocalConstantVol (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) LocalConstantVol (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) LocalConstantVol (Natural settlementDays, const Calendar &, const…

QuantLib::LocalBootstrap – Localised-term-structure bootstrapper for most curve types. Synopsis #include <ql/termstructures/localbootstrap.hpp> Public Member Functions LocalBootstrap (Size localisation=2, bool forcePositive=true) void setup (Curve *ts) void calculate () const Detailed Description template<class Curve> class QuantLib::LocalBootstrap< Curve > Localised-term-structure bootstrapper for most curve types. This algorithm enables a localised fitting for non-local interpolation methods. As in the similar…

QuantLib::LmVolatilityModel – caplet volatility model Synopsis #include <ql/legacy/libormarketmodels/lmvolmodel.hpp> Inherited by LmConstWrapperVolatilityModel, LmFixedVolatilityModel, and LmLinearExponentialVolatilityModel. Public Member Functions LmVolatilityModel (Size size, Size nArguments) Size size () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const =0 virtual Volatility…

QuantLib::LmLinearExponentialVolatilityModel – linear exponential volatility model Synopsis #include <ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Inherited by LmExtLinearExponentialVolModel. Public Member Functions LmLinearExponentialVolatilityModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const…

QuantLib::LmLinearExponentialCorrelationModel – linear exponential correlation model Synopsis #include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member Functions LmLinearExponentialCorrelationModel (Size size, Real rho, Real beta, Size factors=Null< Size >()) Disposable< Matrix > correlation (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > pseudoSqrt (Time t, const Array &x=Null< Array >()) const Real correlation (Size i, Size j,…

QuantLib::LmExtLinearExponentialVolModel – extended linear exponential volatility model Synopsis #include <ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp> Inherits QuantLib::LmLinearExponentialVolatilityModel. Public Member Functions LmExtLinearExponentialVolModel (const std::vector< Time > &fixingTimes, Real a, Real b, Real c, Real d) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) const Real integratedVariance…