Linux Manuals session 3

QuantLib::Iceland – Icelandic calendars. Synopsis #include <ql/time/calendars/iceland.hpp> Inherits QuantLib::Calendar. Public Types enum Market { ICEX } Public Member Functions Iceland (Market m=ICEX) Detailed Description Icelandic calendars. Holidays for the Iceland stock exchange (data from <http://www.icex.is/is/calendar?languageID=1>): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Holy Thursday * Good Friday…

QuantLib::IborLeg – helper class building a sequence of capped/floored ibor-rate coupons Synopsis #include <ql/cashflows/iborcoupon.hpp> Public Member Functions IborLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) IborLeg & withNotionals (Real notional) IborLeg & withNotionals (const std::vector< Real > &notionals) IborLeg & withPaymentDayCounter (const DayCounter &) IborLeg & withPaymentAdjustment (BusinessDayConvention) IborLeg & withFixingDays (Natural fixingDays) IborLeg…

QuantLib::IborIndex – base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) Synopsis #include <ql/indexes/iborindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by Cdor, DailyTenorEuribor, DailyTenorEuribor365, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, Tibor, TRLibor, and Zibor. Public Member Functions IborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter…

QuantLib::IborCouponPricer – base pricer for capped/floored Ibor coupons Synopsis #include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::FloatingRateCouponPricer. Inherited by BlackIborCouponPricer. Public Member Functions IborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Handle< OptionletVolatilityStructure > capletVolatility () const void setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Detailed Description base pricer for capped/floored Ibor coupons Author Generated automatically by Doxygen…

QuantLib::IborCoupon – Coupon paying a Libor-type index Synopsis #include <ql/cashflows/iborcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member Functions IborCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< IborIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false) Inspectors const…

QuantLib::IMM – Main cycle of the International Money Market (a.k.a. IMM) months. Synopsis #include <ql/time/imm.hpp> Public Types enum Month { F = 1, G = 2, H = 3, J = 4, K = 5, M = 6, N = 7, Q = 8, U = 9, V = 10, X = 11, Z =…

QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis #include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member Functions HybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const…

QuantLib::Hungary – Hungarian calendar. Synopsis #include <ql/time/calendars/hungary.hpp> Inherits QuantLib::Calendar. Detailed Description Hungarian calendar. Holidays: * Saturdays * Sundays * Easter Monday * Whit(Pentecost) Monday * New Year’s Day, January 1st * National Day, March 15th * Labour Day, May 1st * Constitution Day, August 20th * Republic Day, October 23rd * All Saints Day, November…

QuantLib::HullWhite::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/hullwhite.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member Functions FittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma) Detailed Description Analytical term-structure fitting parameter $ lytically defined by [ c{1}{2}[ac{igma(1-e^{-at})}{a}]^2, ] where $ f(t) $ is the instantaneous forward rate at $ t $. Author Generated automatically by Doxygen for…

QuantLib::HullWhite::Dynamics – Short-rate dynamics in the Hull-White model. Synopsis #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Public Member Functions Dynamics (const Parameter &fitting, Real a, Real sigma) Real variable (Time t, Rate r) const Compute state variable from short rate. Real shortRate (Time t, Real x) const Compute short rate from state variable. Detailed Description Short-rate dynamics in…

QuantLib::HullWhiteProcess – Hull-White stochastic process. Synopsis #include <ql/processes/hullwhiteprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member Functions HullWhiteProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) StochasticProcess1D interface Real x0 () const returns the initial value of the state variable Real drift (Time t, Real x) const returns the drift part of the equation, i.e. $ mu(t, x_t)…

QuantLib::HullWhiteForwardProcess – Forward Hull-White stochastic process Synopsis #include <ql/processes/hullwhiteprocess.hpp> Inherits QuantLib::ForwardMeasureProcess1D. Public Member Functions HullWhiteForwardProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) Real a () const Real sigma () const Real alpha (Time t) const Real M_T (Real s, Real t, Real T) const Real B (Time t, Time T) const StochasticProcess1D interface…

QuantLib::HullWhite – Single-factor Hull-White (extended Vasicek) model class. Synopsis #include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel. Classes class Dynamics Short-rate dynamics in the Hull-White model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)" Public Member Functions HullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) boost::shared_ptr< Lattice >…

QuantLib::HongKong – Hong Kong calendars. Synopsis #include <ql/time/calendars/hongkong.hpp> Inherits QuantLib::Calendar. Public Types enum Market { HKEx } Public Member Functions HongKong (Market m=HKEx) Detailed Description Hong Kong calendars. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Ching Ming Festival, April 5th * Good Friday * Easter Monday…

QuantLib::HomogeneousPoolCDOEngine – CDO engine, loss distribution convolution for finite homogeneous pool. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions HomogeneousPoolCDOEngine (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::HomogeneousPoolCDOEngine< CDOEngine > CDO engine, loss distribution convolution for finite homogeneous…

QuantLib::HistoricalRatesAnalysis – Historical rate analysis class Synopsis #include <ql/models/marketmodels/historicalratesanalysis.hpp> Public Member Functions HistoricalRatesAnalysis (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes) const std::vector< Date > & skippedDates () const const std::vector< std::string > & skippedDatesErrorMessage () const const boost::shared_ptr< SequenceStatistics > &…

QuantLib::HistoricalForwardRatesAnalysisImpl – Historical correlation class Synopsis #include <ql/models/marketmodels/historicalforwardratesanalysis.hpp> Inherits QuantLib::HistoricalForwardRatesAnalysis. Public Member Functions HistoricalForwardRatesAnalysisImpl (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter…

QuantLib::Histogram – Histogram class. Synopsis #include <ql/math/statistics/histogram.hpp> Public Types enum Algorithm { None, Sturges, FD, Scott } Public Member Functions constructors Histogram () template<class T > Histogram (T data_begin, T data_end, Size breaks) template<class T > Histogram (T data_begin, T data_end, Algorithm algorithm) template<class T , class U > Histogram (T data_begin, T data_end, U…

QuantLib::HimalayaOption – Himalaya option. Synopsis #include <ql/instruments/himalayaoption.hpp> Inherits QuantLib::MultiAssetOption. Public Member Functions HimalayaOption (const std::vector< Date > &fixingDates, Real strike) void setupArguments (PricingEngine::arguments *) const Detailed Description Himalaya option. The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at the end of…

QuantLib::HestonProcess – Square-root stochastic-volatility Heston process. Synopsis #include <ql/processes/hestonprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by BatesProcess. Public Types enum Discretization { PartialTruncation, FullTruncation, Reflection, ExactVariance } Public Member Functions HestonProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Discretization d=FullTruncation)…