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QuantLib::InterestRateIndex – base class for interest rate indexes Synopsis #include <ql/indexes/interestrateindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by BMAIndex, IborIndex, and SwapIndex. Public Member Functions InterestRateIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, const DayCounter &dayCounter) Index interface std::string name () const Returns the name of the index. Calendar…

QuantLib::InterestRate – Concrete interest rate class. Synopsis #include <ql/interestrate.hpp> Public Member Functions constructors InterestRate () Default constructor returning a null interest rate. InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual) Standard constructor. conversions operator Rate () const inspectors Rate rate () const const DayCounter & dayCounter () const Compounding compounding () const Frequency…

QuantLib::IntegralHestonVarianceOptionEngine – integral Heston-model variance-option engine Synopsis #include <ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp> Inherits QuantLib::VarianceOption::engine. Public Member Functions IntegralHestonVarianceOptionEngine (const boost::shared_ptr< HestonProcess > &) void calculate () const Detailed Description integral Heston-model variance-option engine This engine implements the approach described in <http://www.econ.univpm.it/recchioni/finance/w4/>. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::IntegralEngine – Pricing engine for European vanilla options using integral approach. Synopsis #include <ql/pricingengines/vanilla/integralengine.hpp> Inherits VanillaOption::engine. Public Member Functions IntegralEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Pricing engine for European vanilla options using integral approach. Possible enhancements define tolerance for calculate() Examples: EquityOption.cpp. Author Generated automatically by Doxygen for QuantLib…

QuantLib::IntegralCDOEngine – CDO base engine taking (possibly) small time steps. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member Functions void calculate () const IntegralCDOEngine (Period stepSize=3 *Months) Protected Attributes Period stepSize_ Detailed Description CDO base engine taking (possibly) small time steps. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Instrument – Abstract instrument class. Synopsis #include <ql/instrument.hpp> Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functions virtual void setupArguments (PricingEngine::arguments *) const virtual void fetchResults (const PricingEngine::results *) const Inspectors Real NPV () const returns the net…

QuantLib::InhomogeneousPoolCDOEngine – CDO engine, loss disctribution bucketing for finite inhomogeneous pool. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions InhomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributes const Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Description template<class CDOEngine> class QuantLib::InhomogeneousPoolCDOEngine< CDOEngine > CDO engine, loss disctribution bucketing for finite inhomogeneous…

QuantLib::InflationTermStructure – Interface for inflation term structures. Synopsis #include <ql/termstructures/inflationtermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure. Public Member Functions Constructors InflationTermStructure (const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter()) InflationTermStructure (const Date &referenceDate, const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const Calendar…

QuantLib::InflationSwap – Abstract base class for inflation swaps. Synopsis #include <ql/instruments/inflationswap.hpp> Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member Functions InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const…

QuantLib::InflationIndex – Base class for inflation-rate indexes,. Synopsis #include <ql/indexes/inflationindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by YoYInflationIndex, and ZeroInflationIndex. Public Member Functions InflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilitiyLag, const Currency &currency) Index interface std::string name () const Returns the name of the index. Calendar fixingCalendar…

QuantLib::Indonesia – Indonesian calendars Synopsis #include <ql/time/calendars/indonesia.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BEJ, JSX } Public Member Functions Indonesia (Market m=BEJ) Detailed Description Indonesian calendars Holidays for the Jakarta stock exchange (data from <http://www.jsx.co.id/>): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Ascension of Jesus Christ *…

QuantLib::India – Indian calendars. Synopsis #include <ql/time/calendars/india.hpp> Inherits QuantLib::Calendar. Public Types enum Market { NSE } Public Member Functions India (Market m=NSE) Detailed Description Indian calendars. Holidays for the National Stock Exchange (data from <http://www.nse-india.com/>): * Saturdays * Sundays * Republic Day, January 26th * Good Friday * Ambedkar Jayanti, April 14th * Independence Day,…

QuantLib::IndexManager – global repository for past index fixings Synopsis #include <ql/indexes/indexmanager.hpp> Inherits Singleton< IndexManager >. Public Member Functions bool hasHistory (const std::string &name) const returns whether historical fixings were stored for the index const TimeSeries< Real > & getHistory (const std::string &name) const returns the (possibly empty) history of the index fixings void setHistory (const…

QuantLib::Index – purely virtual base class for indexes Synopsis #include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functions virtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns…

QuantLib::IncrementalStatistics – Statistics tool based on incremental accumulation. Synopsis #include <ql/math/statistics/incrementalstatistics.hpp> Public Types typedef Real value_type Public Member Functions Inspectors Size samples () const number of samples collected Real weightSum () const sum of data weights Real mean () const Real variance () const Real standardDeviation () const Real errorEstimate () const Real skewness ()…

QuantLib::ImpliedVolatilityHelper – helper class for one-asset implied-volatility calculation Synopsis #include <ql/instruments/impliedvolatility.hpp> Static Public Member Functions static Volatility calculate (const Instrument &instrument, const PricingEngine &engine, SimpleQuote &volQuote, Real targetValue, Real accuracy, Natural maxEvaluations, Volatility minVol, Volatility maxVol) static boost::shared_ptr< GeneralizedBlackScholesProcess > clone (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const boost::shared_ptr< SimpleQuote > &volQuote) Detailed Description helper class…

QuantLib::ImpliedVolTermStructure – Implied vol term structure at a given date in the future. Synopsis #include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member Functions ImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for which the curve can…

QuantLib::ImpliedTermStructure – Implied term structure at a given date in the future. Synopsis #include <ql/termstructures/yield/impliedtermstructure.hpp> Inherits QuantLib::YieldTermStructure. Public Member Functions ImpliedTermStructure (const Handle< YieldTermStructure > &, const Date &referenceDate) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar () const the calendar used for reference and/or option date calculation…

QuantLib::ImpliedStdDevQuote – quote for the implied standard deviation of an underlying Synopsis #include <ql/quotes/impliedstddevquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions ImpliedStdDevQuote (Option::Type optionType, const Handle< Quote > &forward, const Handle< Quote > &price, Real strike, Real guess, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid ()…

QuantLib::ImplicitEuler – Backward Euler scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/impliciteuler.hpp> Inherits MixedScheme< Operator >. 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 ImplicitEuler (const operator_type &L, const bc_set &bcs) Detailed Description template<class Operator> class QuantLib::ImplicitEuler< Operator > Backward Euler…