Linux Manuals session 3

QuantLib::G2 – Two-additive-factor gaussian model class. Synopsis #include <ql/models/shortrate/twofactormodels/g2.hpp> Inherits QuantLib::TwoFactorModel, QuantLib::AffineModel, and QuantLib::TermStructureConsistentModel. Classes class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)" Public Member Functions G2 (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01, Real b=0.1, Real eta=0.01, Real rho=-0.75)…

QuantLib::FuturesRateHelper – Rate helper for bootstrapping over IborIndex futures prices. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member Functions FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >()) FuturesRateHelper (Real price, const Date &immDate, Natural…

QuantLib::FuturesConvAdjustmentQuote – quote for the futures-convexity adjustment of an index Synopsis #include <ql/quotes/futuresconvadjustmentquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member Functions FuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const Date &futuresDate, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion) FuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const std::string &immCode, const Handle<…

QuantLib::FractionalDividend – Predetermined cash flow. Synopsis #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FractionalDividend (Real rate, const Date &date) FractionalDividend (Real rate, Real nominal, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real underlying) const Inspectors Real rate () const Real nominal ()…

QuantLib::FraRateHelper – Rate helper for bootstrapping over FRA rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth,…

QuantLib::ForwardVanillaOption – Forward version of a vanilla option Synopsis #include <ql/instruments/forwardvanillaoption.hpp> Inherits QuantLib::OneAssetOption. Inherited by QuantoForwardVanillaOption. Public Types typedef ForwardOptionArguments< OneAssetOption::arguments > arguments typedef OneAssetOption::results results Public Member Functions ForwardVanillaOption (Real moneyness, const Date &resetDate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const void fetchResults (const PricingEngine::results *)…

QuantLib::ForwardVanillaEngine – Forward engine for vanilla options Synopsis #include <ql/pricingengines/forward/forwardengine.hpp> Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >. Public Member Functions ForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functions void setup () const void getOriginalResults () const Protected Attributes boost::shared_ptr< GeneralizedBlackScholesProcess > process_ boost::shared_ptr< Engine > originalEngine_ VanillaOption::arguments * originalArguments_ const…

QuantLib::ForwardValueQuote – quote for the forward value of an index Synopsis #include <ql/quotes/forwardvaluequote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member Functions ForwardValueQuote (const boost::shared_ptr< Index > &index, const Date &fixingDate) void update () Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value…

QuantLib::ForwardTypePayoff – Class for forward type payoffs. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Payoff. Public Member Functions ForwardTypePayoff (Position::Type type, Real strike) Position::Type forwardType () const Real strike () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const Protected Attributes Position::Type type_ Real strike_ Detailed Description Class for forward type…

QuantLib::ForwardSwapQuote – Quote for a forward starting swap. Synopsis #include <ql/quotes/forwardswapquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions ForwardSwapQuote (const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread, const Period &fwdStart) const Date & valueDate () const const Date & startDate () const const Date & fixingDate () const Quote interface Real value ()…

QuantLib::ForwardSpreadedTermStructure – Term structure with added spread on the instantaneous forward rate. Synopsis #include <ql/termstructures/yield/forwardspreadedtermstructure.hpp> Inherits QuantLib::ForwardRateStructure. Public Member Functions ForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar () const the calendar used for reference and/or option…

QuantLib::ForwardRateStructure – Forward-rate term structure Synopsis #include <ql/termstructures/yield/forwardstructure.hpp> Inherits QuantLib::YieldTermStructure. Inherited by CompoundForward, ForwardSpreadedTermStructure, and InterpolatedForwardCurve< Interpolator >. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. ForwardRateStructure (const DayCounter &dayCounter=Actual365Fixed()) ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=Actual365Fixed()) ForwardRateStructure (Natural settlementDays, const Calendar &, const DayCounter &dayCounter=Actual365Fixed()) Protected Member…

QuantLib::ForwardRate – Forward-curve traits. Synopsis #include <ql/termstructures/yield/bootstraptraits.hpp> Public Types typedef BootstrapHelper< YieldTermStructure > helper Static Public Member Functions static Date initialDate (const YieldTermStructure *c) static Rate initialValue (const YieldTermStructure *) static bool dummyInitialValue () static Rate initialGuess () static Rate guess (const YieldTermStructure *c, const Date &d) static Rate minValueAfter (Size, const std::vector< Real >…

QuantLib::ForwardPerformanceVanillaEngine – Forward performance engine for vanilla options Synopsis #include <ql/pricingengines/forward/forwardperformanceengine.hpp> Inherits ForwardVanillaEngine< Engine >. Public Member Functions ForwardPerformanceVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functions void getOriginalResults () const Detailed Description template<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine > Forward performance engine for vanilla options Tests * the correctness of the…

QuantLib::ForwardOptionArguments – Arguments for forward (strike-resetting) option calculation Synopsis #include <ql/instruments/forwardvanillaoption.hpp> Inherits QuantLib::ArgumentsType. Public Member Functions void validate () const Public Attributes Real moneyness Date resetDate Detailed Description template<class ArgumentsType> class QuantLib::ForwardOptionArguments< ArgumentsType > Arguments for forward (strike-resetting) option calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::ForwardMeasureProcess1D – forward-measure 1-D stochastic process Synopsis #include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by HullWhiteForwardProcess. Public Member Functions void setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member Functions ForwardMeasureProcess1D (Time T) ForwardMeasureProcess1D (const boost::shared_ptr< discretization > &) Protected Attributes Time T_ Detailed Description forward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the…

QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis #include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functions void setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member Functions ForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected Attributes Time T_ Detailed Description forward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. Author…

QuantLib::ForwardFlatInterpolation – Forward-flat interpolation between discrete points. Synopsis #include <ql/math/interpolations/forwardflatinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functions template<class I1 , class I2 > ForwardFlatInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed Description Forward-flat interpolation between discrete points. Constructor & Destructor Documentation ForwardFlatInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)…

QuantLib::ForwardFlat – Forward-flat interpolation factory and traits. Synopsis #include <ql/math/interpolations/forwardflatinterpolation.hpp> Public Member Functions template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributes static const bool global = false static const Size requiredPoints = 2 Detailed Description Forward-flat interpolation factory and traits. Author Generated…

QuantLib::Forward – Abstract base forward class. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate ()…