Linux Manuals session 3

QuantLib::FloatingTypePayoff – Payoff based on a floating strike Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::TypePayoff. Public Member Functions FloatingTypePayoff (Option::Type type) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed Description Payoff based on a floating strike Member Function Documentation std::string name () const [virtual] Warning This method is…

QuantLib::FloatingRateCouponPricer – generic pricer for floating-rate coupons Synopsis #include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CmsCouponPricer, IborCouponPricer, RangeAccrualPricer, and SubPeriodsPricer. Public Member Functions required interface virtual Real swapletPrice () const =0 virtual Rate swapletRate () const =0 virtual Real capletPrice (Rate effectiveCap) const =0 virtual Rate capletRate (Rate effectiveCap) const =0 virtual Real floorletPrice…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis #include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member Functions FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date…

QuantLib::FloatingRateBond – floating-rate bond (possibly capped and/or floored) Synopsis #include <ql/instruments/bonds/floatingratebond.hpp> Inherits QuantLib::Bond. Public Member Functions FloatingRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const…

QuantLib::FlatHazardRate – flat hazard-rate curve Synopsis #include <ql/termstructures/credit/flathazardrate.hpp> Inherits QuantLib::HazardRateStructure. Public Member Functions Constructors FlatHazardRate (const Handle< Quote > &hazardRate, const DayCounter &) FlatHazardRate (const Date &todaysDate, const Handle< Quote > &hazardRate, const DayCounter &) TermStructure interface Date maxDate () const the latest date for which the curve can return values Detailed Description flat hazard-rate…

QuantLib::FlatForward – Flat interest-rate curve. Synopsis #include <ql/termstructures/yield/flatforward.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Public Member Functions FlatForward (const Date &referenceDate, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &forward,…

QuantLib::FixedRateLeg – helper class building a sequence of fixed rate coupons Synopsis #include <ql/cashflows/fixedratecoupon.hpp> Public Member Functions FixedRateLeg (const Schedule &schedule, const DayCounter &paymentDayCounter) FixedRateLeg & withNotionals (Real) FixedRateLeg & withNotionals (const std::vector< Real > &) FixedRateLeg & withCouponRates (Rate) FixedRateLeg & withCouponRates (const InterestRate &) FixedRateLeg & withCouponRates (const std::vector< Rate > &) FixedRateLeg…

QuantLib::FixedRateCoupon – Coupon paying a fixed interest rate Synopsis #include <ql/cashflows/fixedratecoupon.hpp> Inherits QuantLib::Coupon. Public Member Functions constructors FixedRateCoupon (Real nominal, const Date &paymentDate, Rate rate, const DayCounter &dayCounter, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) FixedRateCoupon (Real nominal, const Date &paymentDate, const InterestRate &interestRate, const DayCounter &dayCounter, const Date &accrualStartDate,…

QuantLib::FixedRateBondHelper – fixed-coupon bond helper Synopsis #include <ql/termstructures/yield/bondhelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member Functions FixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &dayCounter, BusinessDayConvention paymentConv=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< FixedRateBond > &bond) BootstrapHelper…

QuantLib::FixedRateBondForward – Forward contract on a fixed-rate bond Synopsis #include <ql/instruments/fixedratebondforward.hpp> Inherits QuantLib::Forward. Public Member Functions Constructors FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle<…

QuantLib::FixedRateBond – fixed-rate bond Synopsis #include <ql/instruments/bonds/fixedratebond.hpp> Inherits QuantLib::Bond. Public Member Functions FixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const Date &maturityDate, const Period &tenor, const std::vector< Rate…

QuantLib::FixedDividend – Predetermined cash flow. Synopsis #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected Attributes Real amount_ Detailed Description Predetermined cash flow. This cash flow pays a predetermined amount at…

QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. Synopsis #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functions virtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const final…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classes class FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member Functions Constructors FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &instruments, const DayCounter &dayCounter, const FittingMethod &fittingMethod,…

QuantLib::Finland – Finnish calendar. Synopsis #include <ql/time/calendars/finland.hpp> Inherits QuantLib::Calendar. Detailed Description Finnish calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * Ascension Thursday * Labour Day, May 1st * Midsummer Eve (Friday between June 18-24) * Independence Day, December 6th *…

QuantLib::FiniteDifferenceModel – Generic finite difference model. Synopsis #include <ql/methods/finitedifferences/finitedifferencemodel.hpp> Public Types typedef Evolver::traits 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 FiniteDifferenceModel (const operator_type &L, const bc_set &bcs, const std::vector< Time > &stoppingTimes=std::vector< Time >()) FiniteDifferenceModel (const Evolver &evolver, const std::vector< Time > &stoppingTimes=std::vector< Time >()) const…

QuantLib::FdHestonVanillaEngine – Finite-Differences Heston Vanilla Option engine. Synopsis #include <ql/experimental/finitedifferences/fdhestonvanillaengine.hpp> Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >. Public Member Functions FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed Description Finite-Differences Heston Vanilla Option engine. Tests the correctness of the returned value is tested by reproducing results available…

QuantLib::FdHestonRebateEngine – Finite-Differences Heston Barrier Option rebate helper engine. Synopsis #include <ql/experimental/finitedifferences/fdhestonrebateengine.hpp> Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member Functions FdHestonRebateEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed Description Finite-Differences Heston Barrier Option rebate helper engine. Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::FdHestonBarrierEngine – Finite-Differences Heston Barrier Option engine. Synopsis #include <ql/experimental/finitedifferences/fdhestonbarrierengine.hpp> Inherits GenericModelEngine< HestonModel, DividendBarrierOption::arguments, DividendBarrierOption::results >. Public Member Functions FdHestonBarrierEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=20) void calculate () const Detailed Description Finite-Differences Heston Barrier Option engine. Tests the correctness of the returned value is tested by reproducing results available…

QuantLib::FdBlackScholesVanillaEngine – Finite-Differences Black Scholes vanilla option engine. Synopsis #include <ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp> Inherits GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >. Public Member Functions FdBlackScholesVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Size tGrid=100, Size xGrid=100) void calculate () const Detailed Description Finite-Differences Black Scholes vanilla option engine. Tests the correctness of the returned value is tested by reproducing results available in…