Section 3: library functions
QuantLib::Exercise – Base exercise class. Synopsis#include <ql/exercise.hpp> Inherited by EarlyExercise, and EuropeanExercise. Public Typesenum Type { American, Bermudan, European } Public Member FunctionsExercise (Type type) Type type () const Date date (Size index) const const std::vector< Date > & dates () const Returns all exercise dates. Date lastDate () const Protected Attributesstd::vector< Date > dates_…
QuantLib::ExchangeRateManager – exchange-rate repository Synopsis#include <ql/currencies/exchangeratemanager.hpp> Inherits Singleton< ExchangeRateManager >. Public Member Functionsvoid add (const ExchangeRate &, const Date &startDate=Date::minDate(), const Date &endDate=Date::maxDate()) Add an exchange rate. ExchangeRate lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const void clear () remove the added exchange rates Friendsclass Singleton< ExchangeRateManager > Detailed Descriptionexchange-rate repository…
QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…
QuantLib::EvolutionDescription – Market-model evolution description. Synopsis#include <ql/models/marketmodels/evolutiondescription.hpp> Public Member FunctionsEvolutionDescription (const std::vector< Time > &rateTimes, const std::vector< Time > &evolutionTimes=std::vector< Time >(), const std::vector< std::pair< Size, Size > > &relevanceRates=std::vector< range >()) const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const const std::vector< Time > & evolutionTimes ()…
QuantLib::Event – Base class for event. Synopsis#include <ql/event.hpp> Inherits QuantLib::Observable. Inherited by Callability, CashFlow, and DefaultEvent. Public Member FunctionsEvent interface virtual Date date () const =0 returns the date at which the event occurs bool hasOccurred (const Date &d, bool includeToday=false) const returns true if an event has already occurred before a date Visitability virtual…
QuantLib::EuropeanOption – European option on a single asset. Synopsis#include <ql/instruments/europeanoption.hpp> Inherits QuantLib::VanillaOption. Public Member FunctionsEuropeanOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) Detailed DescriptionEuropean option on a single asset. Examples: Replication.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::EuropeanExercise – European exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::Exercise. Public Member FunctionsEuropeanExercise (const Date &date) Detailed DescriptionEuropean exercise. A European option can only be exercised at one (expiry) date. Examples: ConvertibleBonds.cpp, EquityOption.cpp, and Replication.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis#include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsEurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid () const…
QuantLib::EuriborSwapIsdaFixB – EuriborSwapIsdaFixB index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIsdaFixB index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 12am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page…
QuantLib::EuriborSwapIsdaFixA – EuriborSwapIsdaFixA index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIsdaFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIsdaFixA index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page…
QuantLib::EuriborSwapIfrFix – EuriborSwapIfrFix index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIfrFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIfrFix index base class Euribor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. For more…
QuantLib::Euribor6M – 6-months Euribor index Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::Euribor. Public Member FunctionsEuribor6M (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description6-months Euribor index Examples: BermudanSwaption.cpp, Bonds.cpp, and swapvaluation.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::Euribor365 – Actual/365 Euribor index. Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Inherited by Euribor365_10M, Euribor365_11M, Euribor365_1M, Euribor365_1Y, Euribor365_2M, Euribor365_2W, Euribor365_3M, Euribor365_3W, Euribor365_4M, Euribor365_5M, Euribor365_6M, Euribor365_7M, Euribor365_8M, Euribor365_9M, and Euribor365_SW. Public Member FunctionsEuribor365 (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionActual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used…
QuantLib::Euribor – Euribor index Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Inherited by Euribor10M, Euribor11M, Euribor1M, Euribor1Y, Euribor2M, Euribor2W, Euribor3M, Euribor3W, Euribor4M, Euribor5M, Euribor6M, Euribor7M, Euribor8M, Euribor9M, and EuriborSW. Public Member FunctionsEuribor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuribor index Euribor rate fixed by the ECB. Warning This is the rate fixed by…
QuantLib::EurLiborSwapIsdaFixB – EurLiborSwapIsdaFixB index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIsdaFixB index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…
QuantLib::EurLiborSwapIsdaFixA – EurLiborSwapIsdaFixA index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIsdaFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIsdaFixA index base class EUR Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…
QuantLib::EurLiborSwapIfrFix – EurLiborSwapIfrFix index base class Synopsis#include <ql/indexes/swap/eurliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEurLiborSwapIfrFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEurLiborSwapIfrFix index base class EUR Libor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. For…
QuantLib::EulerDiscretization – Euler discretization for stochastic processes. Synopsis#include <ql/processes/eulerdiscretization.hpp> Inherits QuantLib::StochasticProcess::discretization, and QuantLib::StochasticProcess1D::discretization. Public Member FunctionsDisposable< Array > drift (const StochasticProcess &, Time t0, const Array &x0, Time dt) const Real drift (const StochasticProcess1D &, Time t0, Real x0, Time dt) const Disposable< Matrix > diffusion (const StochasticProcess &, Time t0, const Array &x0, Time…
QuantLib::Error – Base error class. Synopsis#include <ql/errors.hpp> Inherits std::exception. Public Member FunctionsError (const std::string &file, long line, const std::string &functionName, const std::string &message=”) ~Error () throw () const char * what () const throw () returns the error message. Detailed DescriptionBase error class. Constructor & Destructor DocumentationError (const std::string & file, long line, const std::string…
QuantLib::EquityFXVolSurface – Equity/FX volatility (smile) surface. Synopsis#include <ql/experimental/volatility/equityfxvolsurface.hpp> Inherits QuantLib::BlackVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. EquityFXVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date EquityFXVolSurface (Natural settlementDays, const Calendar…