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QuantLib::InverseCumulativeStudent – Inverse cumulative Student t-distribution. Synopsis #include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions InverseCumulativeStudent (Integer n, Real accuracy=1e-6, Size maxIterations=50) Real operator() (Real x) const Detailed Description Inverse cumulative Student t-distribution. Possible enhancements Find/implement an efficient algorithm for evaluating the cumulative Student t-distribution, replacing the Newton iteration Author Generated automatically by Doxygen for QuantLib…

QuantLib::InverseCumulativeRsg – Inverse cumulative random sequence generator. Synopsis #include <ql/math/randomnumbers/inversecumulativersg.hpp> Public Types typedef Sample< std::vector< Real > > sample_type Public Member Functions InverseCumulativeRsg (const USG &uniformSequenceGenerator) InverseCumulativeRsg (const USG &uniformSequenceGenerator, const IC &inverseCumulative) const sample_type & nextSequence () const returns next sample from the Gaussian distribution const sample_type & lastSequence () const Size dimension ()…

QuantLib::InverseCumulativeRng – Inverse cumulative random number generator. Synopsis #include <ql/math/randomnumbers/inversecumulativerng.hpp> Public Types typedef Sample< Real > sample_type typedef RNG urng_type Public Member Functions InverseCumulativeRng (const RNG &uniformGenerator) sample_type next () const returns a sample from a Gaussian distribution Detailed Description template<class RNG, class IC> class QuantLib::InverseCumulativeRng< RNG, IC > Inverse cumulative random number generator. It…

QuantLib::InverseCumulativePoisson – Inverse cumulative Poisson distribution function. Synopsis #include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions InverseCumulativePoisson (Real lambda=1.0) Real operator() (Real x) const Detailed Description Inverse cumulative Poisson distribution function. Tests the correctness of the returned value is tested by checking it against known good results. Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::InverseCumulativeNormal – Inverse cumulative normal distribution function. Synopsis #include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions InverseCumulativeNormal (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Detailed Description Inverse cumulative normal distribution function. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y such that…

QuantLib::IntervalPrice – interval price Synopsis #include <ql/prices.hpp> Public Types enum Type { Open, Close, High, Low } Public Member Functions IntervalPrice (Real open, Real close, Real high, Real low) Inspectors Real open () const Real close () const Real high () const Real low () const Real value (IntervalPrice::Type) const Modifiers void setValue (Real value,…

QuantLib::Interpolation::templateImpl – basic template implementation Synopsis #include <ql/math/interpolation.hpp> Inherits QuantLib::Interpolation::Impl. Public Member Functions templateImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Real xMin () const Real xMax () const std::vector< Real > xValues () const std::vector< Real > yValues () const bool isInRange (Real x) const Protected Member Functions Size locate (Real x)…

QuantLib::Interpolation::Impl – abstract base class for interpolation implementations Synopsis #include <ql/math/interpolation.hpp> Inherited by templateImpl< I1, I2 >, and templateImpl< I1, I2 >. Public Member Functions virtual void update ()=0 virtual Real xMin () const =0 virtual Real xMax () const =0 virtual std::vector< Real > xValues () const =0 virtual std::vector< Real > yValues ()…

QuantLib::Interpolation2D::templateImpl – basic template implementation Synopsis #include <ql/math/interpolations/interpolation2d.hpp> Inherits QuantLib::Interpolation2D::Impl. Public Member Functions templateImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Real xMin () const Real xMax () const std::vector< Real > xValues () const Real yMin () const Real yMax () const std::vector< Real > yValues…

QuantLib::Interpolation2D::Impl – abstract base class for 2-D interpolation implementations Synopsis #include <ql/math/interpolations/interpolation2d.hpp> Inherited by FlatExtrapolator2DImpl, templateImpl< I1, I2, M >, and templateImpl< I1, I2, M >. Public Member Functions virtual void calculate ()=0 virtual Real xMin () const =0 virtual Real xMax () const =0 virtual std::vector< Real > xValues () const =0 virtual Size…

QuantLib::Interpolation2D – base class for 2-D interpolations. Synopsis #include <ql/math/interpolations/interpolation2d.hpp> Inherits QuantLib::Extrapolator. Inherited by BicubicSpline, BilinearInterpolation, and FlatExtrapolator2D. Classes class Impl abstract base class for 2-D interpolation implementations class templateImpl basic template implementation Public Types typedef Real first_argument_type typedef Real second_argument_type typedef Real result_type Public Member Functions Real operator() (Real x, Real y, bool allowExtrapolation=false)…

QuantLib::Interpolation – base class for 1-D interpolations. Synopsis #include <ql/math/interpolation.hpp> Inherits QuantLib::Extrapolator. Inherited by BackwardFlatInterpolation, ConvexMonotoneInterpolation< I1, I2 >, CubicInterpolation, ForwardFlatInterpolation, LinearInterpolation, LogCubicInterpolation, LogLinearInterpolation, and SABRInterpolation. Classes class Impl abstract base class for interpolation implementations class templateImpl basic template implementation Public Types typedef Real argument_type typedef Real result_type Public Member Functions bool empty () const…

QuantLib::InterpolatedZeroInflationCurve – Inflation term structure based on the interpolation of zero rates. Synopsis #include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp> Inherits QuantLib::ZeroInflationTermStructure, and boost::noncopyable. Public Member Functions InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())…

QuantLib::InterpolatedZeroCurve – Term structure based on interpolation of zero yields. Synopsis #include <ql/termstructures/yield/zerocurve.hpp> Inherits QuantLib::ZeroYieldStructure, and boost::noncopyable. Public Member Functions InterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator()) Inspectors std::vector< Date > dates_ std::vector< Time > times_ std::vector< Rate > data_ Interpolation interpolation_ Interpolator interpolator_ Date…

QuantLib::InterpolatedYoYInflationCurve – Inflation term structure based on interpolated year-on-year rates. Synopsis #include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp> Inherits QuantLib::YoYInflationTermStructure, and boost::noncopyable. Public Member Functions InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator()) InflationTermStructure interface…

QuantLib::InterpolatedHazardRateCurve – interpolated hazard-rate curve Synopsis #include <ql/termstructures/credit/interpolatedhazardratecurve.hpp> Inherits QuantLib::HazardRateStructure, and boost::noncopyable. Public Member Functions InterpolatedHazardRateCurve (const std::vector< Date > &dates, const std::vector< Real > &hazardRates, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const Interpolator &interpolator=Interpolator()) TermStructure interface Date maxDate () const the latest date for which the curve can return values other inspectors const std::vector<…

QuantLib::InterpolatedForwardCurve – Term structure based on interpolation of forward rates. Synopsis #include <ql/termstructures/yield/forwardcurve.hpp> Inherits QuantLib::ForwardRateStructure, and boost::noncopyable. Public Member Functions InterpolatedForwardCurve (const std::vector< Date > &dates, const std::vector< Rate > &forwards, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator()) Inspectors std::vector< Date > dates_ std::vector< Time > times_ std::vector< Rate > data_ Interpolation interpolation_ Interpolator interpolator_ Date…

QuantLib::InterpolatedDiscountCurve – Term structure based on interpolation of discount factors. Synopsis #include <ql/termstructures/yield/discountcurve.hpp> Inherits QuantLib::YieldTermStructure, and boost::noncopyable. Inherited by ExtendedDiscountCurve. Public Member Functions InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const Interpolator &interpolator=Interpolator()) Inspectors Date maxDate () const the latest date for which the curve…

QuantLib::InterpolatedDefaultDensityCurve – interpolated default-density curve Synopsis #include <ql/termstructures/credit/interpolateddefaultdensitycurve.hpp> Inherits QuantLib::DefaultDensityStructure, and boost::noncopyable. Public Member Functions InterpolatedDefaultDensityCurve (const std::vector< Date > &dates, const std::vector< Real > &densities, const DayCounter &dayCounter, const Calendar &calendar=Calendar(), const Interpolator &interpolator=Interpolator()) TermStructure interface Date maxDate () const the latest date for which the curve can return values other inspectors const std::vector<…

QuantLib::InterestRateVolSurface – Interest rate volatility (smile) surface. Synopsis #include <ql/experimental/volatility/interestratevolsurface.hpp> Inherits QuantLib::BlackVolSurface. Inherited by SabrVolSurface. Public Member Functions const boost::shared_ptr< InterestRateIndex > & index () const Constructors See the TermStructure documentation for issues regarding constructors. InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &,…