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QuantLib::HestonModelHelper – calibration helper for Heston model Synopsis #include <ql/models/equity/hestonmodelhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member Functions HestonModelHelper (const Period &maturity, const Calendar &calendar, const Real s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, bool calibrateVolatility=false) void addTimesTo (std::list< Time > &) const Real modelValue ()…

QuantLib::HestonModel – Heston model for the stochastic volatility of an asset. Synopsis #include <ql/models/equity/hestonmodel.hpp> Inherits QuantLib::CalibratedModel. Inherited by BatesDoubleExpModel, and BatesModel. Public Member Functions HestonModel (const boost::shared_ptr< HestonProcess > &process) Real theta () const Real kappa () const Real sigma () const Real rho () const Real v0 () const boost::shared_ptr< HestonProcess > process ()…

QuantLib::HazardRateStructure – hazard-rate adapter for default-probability term structures Synopsis #include <ql/termstructures/credit/hazardratestructure.hpp> Inherits QuantLib::DefaultProbabilityTermStructure. Inherited by FlatHazardRate, and InterpolatedHazardRateCurve< Interpolator >. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. HazardRateStructure (const DayCounter &dc=DayCounter()) default constructor HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date HazardRateStructure…

QuantLib::HazardRateStructure – hazard-rate adapter for default-probability term structures Synopsis #include <ql/termstructures/credit/hazardratestructure.hpp> Inherits QuantLib::DefaultProbabilityTermStructure. Inherited by FlatHazardRate, and InterpolatedHazardRateCurve< Interpolator >. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. HazardRateStructure (const DayCounter &dc=DayCounter()) default constructor HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date HazardRateStructure…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis #include <ql/termstructures/credit/probabilitytraits.hpp> Public Types typedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functions static Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real >…

QuantLib::GenericGaussianStatistics – Statistics tool for gaussian-assumption risk measures. Synopsis #include <ql/math/statistics/gaussianstatistics.hpp> Inherits Stat. Public Types typedef Stat::value_type value_type Public Member Functions GenericGaussianStatistics (const Stat &s) Gaussian risk measures Real gaussianDownsideVariance () const Real gaussianDownsideDeviation () const Real gaussianRegret (Real target) const Real gaussianPercentile (Real percentile) const Real gaussianTopPercentile (Real percentile) const Real gaussianPotentialUpside (Real percentile)…

QuantLib::GenericEngine – template base class for option pricing engines Synopsis #include <ql/pricingengine.hpp> Inherits QuantLib::PricingEngine, and QuantLib::Observer. Inherited by MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >. Public Member Functions PricingEngine::arguments * getArguments () const const PricingEngine::results * getResults () const void reset () void update () Protected Attributes ArgumentsType arguments_ ResultsType results_ Detailed Description template<class ArgumentsType, class…

QuantLib::GeneralizedBlackScholesProcess – Generalized Black-Scholes stochastic process. Synopsis #include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by BlackProcess, BlackScholesMertonProcess, BlackScholesProcess, ExtendedBlackScholesMertonProcess, and GarmanKohlagenProcess. Public Member Functions GeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Time time (const Date…

QuantLib::GeneralStatistics – Statistics tool. Synopsis #include <ql/math/statistics/generalstatistics.hpp> Public Types typedef Real value_type Public Member Functions Inspectors Size samples () const number of samples collected const std::vector< std::pair< Real, Real > > & data () const collected data Real weightSum () const sum of data weights Real mean () const Real variance () const Real standardDeviation…

QuantLib::GbpLiborSwapIsdaFix – GbpLiborSwapIsdaFix index base class Synopsis #include <ql/indexes/swap/gbpliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member Functions GbpLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description GbpLiborSwapIsdaFix index base class GBP Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Semiannual Actual/365F vs 6M Libor, 1Y Annual…

QuantLib::GaussianRandomDefaultModel – Synopsis #include <ql/experimental/credit/randomdefaultmodel.hpp> Inherits QuantLib::RandomDefaultModel. Public Member Functions GaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, Handle< OneFactorCopula > copula, Real accuracy, long seed) void nextSequence (Real tmax=QL_MAX_REAL) Detailed Description Random default times using a one-factor Gaussian copula. Member Function Documentation void nextSequence (Real tmax = QL_MAX_REAL) [virtual] Generate a sequence of random default times, one…

QuantLib::GaussianQuadrature – Integral of a 1-dimensional function using the Gauss quadratures method. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherited by GaussChebyshev2thIntegration, GaussChebyshevIntegration, GaussGegenbauerIntegration, GaussHermiteIntegration, GaussHyperbolicIntegration, GaussJacobiIntegration, GaussLaguerreIntegration, and GaussLegendreIntegration. Public Member Functions GaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p) template<class F > Real operator() (const F &f) const Size order () const Detailed Description Integral of a 1-dimensional function…

QuantLib::GaussianOrthogonalPolynomial – orthogonal polynomial for Gaussian quadratures Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherited by GaussHermitePolynomial, GaussHyperbolicPolynomial, GaussJacobiPolynomial, and GaussLaguerrePolynomial. Public Member Functions virtual Real mu_0 () const =0 virtual Real alpha (Size i) const =0 virtual Real beta (Size i) const =0 virtual Real w (Real x) const =0 Real value (Size i, Real x) const Real…

QuantLib::GaussianLHPCDOEngine – Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions GaussianLHPCDOEngine (const Handle< OneFactorCopula > copula, Period stepSize=1 *Days) Detailed Description template<class CDOEngine> class QuantLib::GaussianLHPCDOEngine< CDOEngine > CDO engine with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example ‘The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.’,…

QuantLib::GaussLobattoIntegral – Integral of a one-dimensional function. Synopsis #include <ql/math/integrals/gausslobattointegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussLobattoIntegral (Size maxIterations, Real absAccuracy, Real relAccuracy=Null< Real >(), bool useConvergenceEstimate=true) Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Real adaptivGaussLobattoStep (const boost::function< Real(Real)> &f, Real a, Real b, Real fa, Real fb, Real…

QuantLib::GaussLegendreIntegration – Gauss-Legendre integration. Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussLegendreIntegration (Size n) Detailed Description Gauss-Legendre integration. This class performs a 1-dimensional Gauss-Legendre integration. [ int_{-1}^{1} f(x) mathrm{d}x ] The weighting function is [ w(x)=1 ] Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussLaguerrePolynomial – Gauss-Laguerre polynomial. Synopsis #include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherits QuantLib::GaussianOrthogonalPolynomial. Public Member Functions GaussLaguerrePolynomial (Real s=0.0) Real mu_0 () const Real alpha (Size i) const Real beta (Size i) const Real w (Real x) const Detailed Description Gauss-Laguerre polynomial. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::GaussLaguerreIntegration – generalized Gauss-Laguerre integration Synopsis #include <ql/math/integrals/gaussianquadratures.hpp> Inherits QuantLib::GaussianQuadrature. Public Member Functions GaussLaguerreIntegration (Size n, Real s=0.0) Detailed Description generalized Gauss-Laguerre integration This class performs a 1-dimensional Gauss-Laguerre integration. [ int_{0}^{inf} f(x) mathrm{d}x ] The weighting function is [ w(x;s)=x^s

QuantLib::GaussKronrodNonAdaptive – Integral of a 1-dimensional function using the Gauss-Kronrod methods. Synopsis #include <ql/math/integrals/kronrodintegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussKronrodNonAdaptive (Real absoluteAccuracy, Size maxEvaluations, Real relativeAccuracy) void setRelativeAccuracy (Real) Real relativeAccuracy () const Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a 1-dimensional function using…

QuantLib::GaussKronrodAdaptive – Integral of a 1-dimensional function using the Gauss-Kronrod methods. Synopsis #include <ql/math/integrals/kronrodintegral.hpp> Inherits QuantLib::Integrator. Public Member Functions GaussKronrodAdaptive (Real tolerance, Size maxFunctionEvaluations=Null< Size >()) Protected Member Functions Real integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Description Integral of a 1-dimensional function using the Gauss-Kronrod methods. This class provide an…