Linux Manuals session 3

QuantLib::LmExponentialCorrelationModel – exponential correlation model Synopsis #include <ql/legacy/libormarketmodels/lmexpcorrmodel.hpp> Inherits QuantLib::LmCorrelationModel. Public Member Functions LmExponentialCorrelationModel (Size size, Real rho) 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, Time t, const Array &x) const bool…

QuantLib::LmCorrelationModel – libor forward correlation model Synopsis #include <ql/legacy/libormarketmodels/lmcorrmodel.hpp> Inherited by LmConstWrapperCorrelationModel, LmExponentialCorrelationModel, and LmLinearExponentialCorrelationModel. Public Member Functions LmCorrelationModel (Size size, Size nArguments) virtual Size size () const virtual Size factors () const std::vector< Parameter > & params () void setParams (const std::vector< Parameter > &arguments) virtual Disposable< Matrix > correlation (Time t, const Array…

QuantLib::LmConstWrapperVolatilityModel – caplet const volatility model Synopsis #include <ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Public Member Functions LmConstWrapperVolatilityModel (const boost::shared_ptr< LmVolatilityModel > &volaModel) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array…

QuantLib::LinearLeastSquaresRegression – general linear least squares regression Synopsis #include <ql/math/linearleastsquaresregression.hpp> Public Member Functions LinearLeastSquaresRegression (const std::vector< ArgumentType > &x, const std::vector< Real > &y, const std::vector< boost::function1< Real, ArgumentType > > &v) const Array & a () const const Array & error () const Detailed Description template<class ArgumentType = Real> class QuantLib::LinearLeastSquaresRegression< ArgumentType > general…

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

QuantLib::Linear – Linear-interpolation factory and traits Synopsis #include <ql/math/interpolations/linearinterpolation.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 Linear-interpolation factory and traits Author Generated automatically by…

QuantLib::LineSearch – Base class for line search. Synopsis #include <ql/math/optimization/linesearch.hpp> Inherited by ArmijoLineSearch. Public Member Functions LineSearch (Real=0.0) Default constructor. virtual ~LineSearch () Destructor. const Array & lastX () return last x value Real lastFunctionValue () return last cost function value const Array & lastGradient () return last gradient Real lastGradientNorm2 () return square norm…

QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis #include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t)…

QuantLib::LiborForwardModel – Libor forward model Synopsis #include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member Functions LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond…

QuantLib::Libor – base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones Synopsis #include <ql/indexes/ibor/libor.hpp> Inherits QuantLib::IborIndex. Inherited by AUDLibor, CADLibor, CHFLibor, DKKLibor, GBPLibor, JPYLibor, NZDLibor, SEKLibor, and USDLibor. Public Member Functions Libor (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const…

QuantLib::LfmSwaptionEngine – Libor forward model swaption engine based on Black formula Synopsis #include <ql/legacy/libormarketmodels/lfmswaptionengine.hpp> Inherits GenericModelEngine< LiborForwardModel, Swaption::arguments, Swaption::results >. Public Member Functions LfmSwaptionEngine (const boost::shared_ptr< LiborForwardModel > &model, const Handle< YieldTermStructure > &discountCurve) void calculate () const Detailed Description Libor forward model swaption engine based on Black formula Author Generated automatically by Doxygen for…

QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper Synopsis #include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1) Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance (Time t, const Array…

QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) boost::shared_ptr< LmVolatilityModel > volatilityModel () const boost::shared_ptr< LmCorrelationModel > correlationModel () const Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix…

QuantLib::LfmCovarianceParameterization – Libor market model parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization. Public Member Functions LfmCovarianceParameterization (Size size, Size factors) Size size () const Size factors () const virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0 virtual Disposable< Matrix > covariance (Time t, const Array &x=Null< Array…

QuantLib::LexicographicalView – Lexicographical 2-D view of a contiguous set of data. Synopsis #include <ql/math/lexicographicalview.hpp> Public Types typedef RandomAccessIterator x_iterator iterates over $ v_{ij} $ with $ j $ fixed. typedef boost::reverse_iterator< RandomAccessIterator > reverse_x_iterator iterates backwards over $ v_{ij} $ with $ j $ fixed. typedef step_iterator< RandomAccessIterator > y_iterator iterates over $ v_{ij} $…

QuantLib::LevenbergMarquardt – Levenberg-Marquardt optimization method. Synopsis #include <ql/math/optimization/levenbergmarquardt.hpp> Inherits QuantLib::OptimizationMethod. Public Member Functions LevenbergMarquardt (Real epsfcn=1.0e-8, Real xtol=1.0e-8, Real gtol=1.0e-8) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P virtual Integer getInfo () const void fcn (int m, int n, double *x, double *fvec, int *iflag) Detailed Description Levenberg-Marquardt optimization method….

QuantLib::LeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis #include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< LeisenReimer >. Public Member Functions LeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected Attributes Real up_ Real down_ Real pu_ Real pd_ Detailed…

QuantLib::LecuyerUniformRng – Uniform random number generator. Synopsis #include <ql/math/randomnumbers/lecuyeruniformrng.hpp> Public Types typedef Sample< Real > sample_type Public Member Functions LecuyerUniformRng (long seed=0) sample_type next () const Detailed Description Uniform random number generator. Random number generator of L’Ecuyer with added Bays-Durham shuffle (know as ran2 in Numerical recipes) For more details see Section 7.1 of Numerical…

QuantLib::LeastSquareProblem – Base class for least square problem. Synopsis #include <ql/math/optimization/leastsquare.hpp> Public Member Functions virtual Size size ()=0 size of the problem ie size of target vector virtual void targetAndValue (const Array &x, Array &target, Array &fct2fit)=0 compute the target vector and the values of the function to fit virtual void targetValueAndGradient (const Array &x,…

QuantLib::LeastSquareFunction – Cost function for least-square problems. Synopsis #include <ql/math/optimization/leastsquare.hpp> Inherits QuantLib::CostFunction. Public Member Functions LeastSquareFunction (LeastSquareProblem &lsp) Default constructor. virtual ~LeastSquareFunction () Destructor. virtual Real value (const Array &x) const compute value of the least square function virtual Disposable< Array > values (const Array &) const method to overload to compute the cost function…