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QuantLib::ExtendedDiscountCurve – Term structure based on loglinear interpolation of discount factors. Synopsis #include <ql/legacy/termstructures/extendeddiscountcurve.hpp> Inherits QuantLib::InterpolatedDiscountCurve< LogLinear >. Public Member Functions ExtendedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const Calendar &calendar, const BusinessDayConvention conv, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const void update () Rate compoundForward (const Date &d1, Integer f,…

QuantLib::ExtendedCoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >. Public Member Functions ExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member Functions Real dxStep (Time stepTime) const Real probUp (Time stepTime) const Detailed Description Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Author Generated automatically by…

QuantLib::ExtendedCoxIngersollRoss::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member Functions FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) Detailed Description Analytical term-structure fitting parameter $ lytically defined by [ c{2k heta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} – ac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, ] where $ f(t) $ is the instantaneous forward rate…

QuantLib::ExtendedCoxIngersollRoss::Dynamics – Short-rate dynamics in the extended Cox-Ingersoll-Ross model. Synopsis #include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::CoxIngersollRoss::Dynamics. Public Member Functions Dynamics (const Parameter &phi, Real theta, Real k, Real sigma, Real x0) virtual Real variable (Time t, Rate r) const Compute state variable from short rate. virtual Real shortRate (Time t, Real y) const Compute short rate from…

QuantLib::ExtendedCoxIngersollRoss – Extended Cox-Ingersoll-Ross model class. Synopsis #include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::CoxIngersollRoss, and QuantLib::TermStructureConsistentModel. Classes class Dynamics Short-rate dynamics in the extended Cox-Ingersoll-Ross model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)" Public Member Functions ExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1,…

QuantLib::ExtendedBlackVarianceSurface – Black volatility surface modelled as variance surface. Synopsis #include <ql/experimental/volatility/extendedblackvariancesurface.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Types enum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation } Public Member Functions ExtendedBlackVarianceSurface (const Date &referenceDate, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &strikes, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation…

QuantLib::ExtendedBlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis #include <ql/experimental/volatility/extendedblackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member Functions ExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true) DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest…

QuantLib::ExtendedBlackScholesMertonProcess – experimental Black-Scholes-Merton stochastic process Synopsis #include <ql/experimental/processes/extendedblackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Types enum Discretization { Euler, Milstein, PredictorCorrector } Public Member Functions ExtendedBlackScholesMertonProcess (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), Discretization evolDisc=Milstein) Real…

QuantLib::ExtendedBinomialTree – Binomial tree base class. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits Tree< T >. Public Types enum Branches { branches = 2 } Public Member Functions ExtendedBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Size size (Size i) const Size descendant (Size, Size index, Size branch) const Protected Member Functions Real driftStep (Time driftTime)…

QuantLib::ExtendedAdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis #include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree >. Public Member Functions ExtendedAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member Functions Real upStep (Time stepTime) const Detailed Description Additive equal probabilities binomial tree. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExponentialSplinesFitting – Exponential-splines fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions ExponentialSplinesFitting (bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description Exponential-splines fitting method. Fits a discount function to the exponential form [ d(t) = um_{i=1}^9 c_i

QuantLib::ExplicitEuler – Forward Euler scheme for finite difference methods Synopsis #include <ql/methods/finitedifferences/expliciteuler.hpp> Inherits MixedScheme< Operator >. Public Types typedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_type bc_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member Functions ExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs) Detailed Description template<class…

QuantLib::Exercise – Base exercise class. Synopsis #include <ql/exercise.hpp> Inherited by EarlyExercise, and EuropeanExercise. Public Types enum Type { American, Bermudan, European } Public Member Functions Exercise (Type type) Type type () const Date date (Size index) const const std::vector< Date > & dates () const Returns all exercise dates. Date lastDate () const Protected Attributes…

QuantLib::ExchangeRateManager – exchange-rate repository Synopsis #include <ql/currencies/exchangeratemanager.hpp> Inherits Singleton< ExchangeRateManager >. Public Member Functions void 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 Friends class Singleton< ExchangeRateManager >…

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis #include <ql/exchangerate.hpp> Public Types enum Type { Direct, Derived } Public Member Functions Constructors 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 ()…

QuantLib::EvolutionDescription – Market-model evolution description. Synopsis #include <ql/models/marketmodels/evolutiondescription.hpp> Public Member Functions EvolutionDescription (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 > &…

QuantLib::Event – Base class for event. Synopsis #include <ql/event.hpp> Inherits QuantLib::Observable. Inherited by Callability, CashFlow, and DefaultEvent. Public Member Functions Event 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…

QuantLib::EuropeanOption – European option on a single asset. Synopsis #include <ql/instruments/europeanoption.hpp> Inherits QuantLib::VanillaOption. Public Member Functions EuropeanOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) Detailed Description European option on a single asset. Examples: Replication.cpp. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::EuropeanExercise – European exercise. Synopsis #include <ql/exercise.hpp> Inherits QuantLib::Exercise. Public Member Functions EuropeanExercise (const Date &date) Detailed Description European exercise. A European option can only be exercised at one (expiry) date. Examples: ConvertibleBonds.cpp, EquityOption.cpp, and Replication.cpp. Author Generated 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 Functions EurodollarFuturesImpliedStdDevQuote (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…