Linux Manuals session 3

QuantLib::LazyObject – Framework for calculation on demand and result caching. Synopsis #include <ql/patterns/lazyobject.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by AbcdAtmVolCurve, CapFloorTermVolCurve, CapFloorTermVolSurface, CmsMarket, EurodollarFuturesImpliedStdDevQuote, FdmBlackScholesSolver [private], FdmHestonSolver [private], FittedBondDiscountCurve, FlatForward, ForwardSwapQuote, ImpliedStdDevQuote, Instrument, InterpolatedSmileSection< Interpolator >, OneFactorCopula, PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >, PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, PiecewiseZeroInflationCurve< Interpolator, Bootstrap,…

QuantLib::LatticeShortRateModelEngine – Engine for a short-rate model specialized on a lattice. Synopsis #include <ql/pricingengines/latticeshortratemodelengine.hpp> Inherits GenericModelEngine< ShortRateModel, Arguments, Results >. Public Member Functions LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps) LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) void update () Protected Attributes TimeGrid timeGrid_ Size timeSteps_ boost::shared_ptr< Lattice > lattice_ Detailed Description…

QuantLib::Lattice – Lattice (tree, finite-differences) base class Synopsis #include <ql/numericalmethod.hpp> Inherited by TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, and TreeLattice< TwoFactorModel::ShortRateTree >. Public Member Functions Lattice (const TimeGrid &timeGrid) virtual Disposable< Array > grid (Time) const =0 Inspectors const TimeGrid & timeGrid () const Numerical method interface…

QuantLib::LastFixingQuote – Quote adapter for the last fixing available of a given Index. Synopsis #include <ql/quotes/lastfixingquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member Functions LastFixingQuote (const boost::shared_ptr< Index > &index) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Observer interface void…

QuantLib::LMMNormalDriftCalculator – Drift computation for normal Libor market models. Synopsis #include <ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp> Public Member Functions LMMNormalDriftCalculator (const Matrix &pseudo, const std::vector< Time > &taus, Size numeraire, Size alive) void compute (const LMMCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. void compute (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const void computePlain…

QuantLib::LMMDriftCalculator – Drift computation for log-normal Libor market models. Synopsis #include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp> Public Member Functions LMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive) void compute (const LMMCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. void compute (const std::vector< Rate > &fwds, std::vector< Real…

QuantLib::LMMCurveState – Curve state for Libor market models Synopsis #include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp> Inherits QuantLib::CurveState. Public Member Functions LMMCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0) void setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const…

QuantLib::KnuthUniformRng – Uniform random number generator. Synopsis #include <ql/math/randomnumbers/knuthuniformrng.hpp> Public Types typedef Sample< Real > sample_type Public Member Functions KnuthUniformRng (long seed=0) sample_type next () const Detailed Description Uniform random number generator. Random number generator by Knuth. For more details see Knuth, Seminumerical Algorithms, 3rd edition, Section 3.6. Note: This is not Knuth’s original implementation…

QuantLib::JumpDiffusionEngine – Jump-diffusion engine for vanilla options. Synopsis #include <ql/pricingengines/vanilla/jumpdiffusionengine.hpp> Inherits VanillaOption::engine. Public Member Functions JumpDiffusionEngine (const boost::shared_ptr< Merton76Process > &, Real relativeAccuracy_=1e-4, Size maxIterations=100) void calculate () const Detailed Description Jump-diffusion engine for vanilla options. Tests * the correctness of the returned value is tested by reproducing results available in literature. * the correctness…

QuantLib::JuQuadraticApproximationEngine – Pricing engine for American options with Ju quadratic approximation. Synopsis #include <ql/pricingengines/vanilla/juquadraticengine.hpp> Inherits VanillaOption::engine. Public Member Functions JuQuadraticApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Pricing engine for American options with Ju quadratic approximation. Reference: An Approximate Formula for Pricing American Options, Journal of Derivatives Winter 1999, Ju, N….

QuantLib::JpyLiborSwapIsdaFixPm – JpyLiborSwapIsdaFixPm index base class Synopsis #include <ql/indexes/swap/jpyliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member Functions JpyLiborSwapIsdaFixPm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description JpyLiborSwapIsdaFixPm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page…

QuantLib::JpyLiborSwapIsdaFixAm – JpyLiborSwapIsdaFixAm index base class Synopsis #include <ql/indexes/swap/jpyliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member Functions JpyLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description JpyLiborSwapIsdaFixAm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page…

QuantLib::JointCalendar – Joint calendar. Synopsis #include <ql/time/calendars/jointcalendar.hpp> Inherits QuantLib::Calendar. Public Member Functions JointCalendar (const Calendar &, const Calendar &, JointCalendarRule=JoinHolidays) JointCalendar (const Calendar &, const Calendar &, const Calendar &, JointCalendarRule=JoinHolidays) JointCalendar (const Calendar &, const Calendar &, const Calendar &, const Calendar &, JointCalendarRule=JoinHolidays) Detailed Description Joint calendar. Depending on the chosen rule, this…

QuantLib::Jibar – JIBAR rate Synopsis #include <ql/indexes/ibor/jibar.hpp> Inherits QuantLib::IborIndex. Public Member Functions Jibar (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description JIBAR rate Johannesburg Interbank Agreed Rate Possible enhancements check settlement days and day-count convention. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::JarrowRudd – Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Synopsis #include <ql/methods/lattices/binomialtree.hpp> Inherits EqualProbabilitiesBinomialTree< JarrowRudd >. Public Member Functions JarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed Description Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Japan – Japanese calendar. Synopsis #include <ql/time/calendars/japan.hpp> Inherits QuantLib::Calendar. Detailed Description Japanese calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Bank Holiday, January 2nd * Bank Holiday, January 3rd * Coming of Age Day, 2nd Monday in January * National Foundation Day, February 11th * Vernal Equinox * Greenery Day,…

QuantLib::JamshidianSwaptionEngine – Jamshidian swaption engine. Synopsis #include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp> Inherits GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >. Public Member Functions JamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Friends class rStarFinder Detailed Description Jamshidian swaption engine. Warning The engine assumes that the exercise date equals the start date of…

QuantLib::JPYLibor – JPY LIBOR rate Synopsis #include <ql/indexes/ibor/jpylibor.hpp> Inherits QuantLib::Libor. Public Member Functions JPYLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description JPY LIBOR rate Japanese Yen LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Warning This is the rate fixed in London by BBA. Use TIBOR if you’re interested in the Tokio…

QuantLib::IterativeBootstrap – Universal piecewise-term-structure boostrapper. Synopsis #include <ql/termstructures/iterativebootstrap.hpp> Public Member Functions void setup (Curve *ts) void calculate () const Detailed Description template<class Curve> class QuantLib::IterativeBootstrap< Curve > Universal piecewise-term-structure boostrapper. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Italy – Italian calendars. Synopsis #include <ql/time/calendars/italy.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, Exchange } Italian calendars. Public Member Functions Italy (Market market=Settlement) Detailed Description Italian calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Easter Monday * Liberation Day, April 25th * Labour…