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QuantLib::EarlyExercisePathPricer – base class for early exercise path pricers Synopsis #include <ql/methods/montecarlo/earlyexercisepathpricer.hpp> Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions virtual ValueType operator() (const PathType &path, TimeType t) const =0 virtual StateType state (const PathType &path, TimeType t) const =0 virtual std::vector< boost::function1< ValueType, StateType > > basisSystem () const =0 Detailed Description…

QuantLib::EarlyExercise – Early-exercise base class. Synopsis #include <ql/exercise.hpp> Inherits QuantLib::Exercise. Inherited by AmericanExercise, and BermudanExercise. Public Member Functions EarlyExercise (Type type, bool payoffAtExpiry=false) bool payoffAtExpiry () const Detailed Description Early-exercise base class. The payoff can be at exercise (the default) or at expiry Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::EURLibor – base class for all BBA EUR LIBOR indexes but the O/N Synopsis #include <ql/indexes/ibor/eurlibor.hpp> Inherits QuantLib::IborIndex. Inherited by EURLibor10M, EURLibor11M, EURLibor1M, EURLibor1Y, EURLibor2M, EURLibor2W, EURLibor3M, EURLibor4M, EURLibor5M, EURLibor6M, EURLibor7M, EURLibor8M, EURLibor9M, and EURLiborSW. Public Member Functions EURLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Date calculations see http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1412 Date valueDate…

QuantLib::EUHICP – EU HICP index. Synopsis #include <ql/indexes/inflation/euhicp.hpp> Inherits QuantLib::ZeroInflationIndex. Public Member Functions EUHICP (Frequency frequency, bool revised, bool interpolated, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) Detailed Description EU HICP index. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::DriftTermStructure – Drift term structure. Synopsis #include <ql/termstructures/yield/drifttermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member Functions DriftTermStructure (const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< BlackVolTermStructure > &blackVolTS) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar () const the calendar used for reference and/or option date calculation…

QuantLib::DoubleStickyRatchetPayoff – Intermediate class for single/double sticky/ratchet payoffs. Synopsis #include <ql/instruments/stickyratchet.hpp> Inherits QuantLib::Payoff. Inherited by RatchetMaxPayoff, RatchetMinPayoff, RatchetPayoff, StickyMaxPayoff, StickyMinPayoff, and StickyPayoff. Public Member Functions DoubleStickyRatchetPayoff (Real type1, Real type2, Real gearing1, Real gearing2, Real gearing3, Real spread1, Real spread2, Real spread3, Real initialValue1, Real initialValue2, Real accrualFactor) Payoff interface std::string name () const Real…

QuantLib::DividendVanillaOption::arguments – Arguments for dividend vanilla option calculation Synopsis #include <ql/instruments/dividendvanillaoption.hpp> Inherits OneAssetOption::arguments. Public Member Functions void validate () const Public Attributes DividendSchedule cashFlow Detailed Description Arguments for dividend vanilla option calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::DividendVanillaOption – Single-asset vanilla option (no barriers) with discrete dividends. Synopsis #include <ql/instruments/dividendvanillaoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Arguments for dividend vanilla option calculation class engine Dividend-vanilla-option engine base class Public Member Functions DividendVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > &dividendDates, const std::vector< Real > &dividends) Volatility…

QuantLib::DividendBarrierOption::arguments – Arguments for dividend barrier option calculation Synopsis #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> Inherits QuantLib::BarrierOption::arguments. Public Member Functions void validate () const Public Attributes DividendSchedule cashFlow Detailed Description Arguments for dividend barrier option calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::DividendBarrierOption – Single-asset barrier option with discrete dividends. Synopsis #include <ql/experimental/finitedifferences/dividendbarrieroption.hpp> Inherits QuantLib::BarrierOption. Classes class arguments Arguments for dividend barrier option calculation class engine Dividend-barrier-option engine base class Public Member Functions DividendBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > &dividendDates, const std::vector<…

QuantLib::Dividend – Predetermined cash flow. Synopsis #include <ql/cashflows/dividend.hpp> Inherits QuantLib::CashFlow. Inherited by FixedDividend, and FractionalDividend. Public Member Functions Dividend (const Date &date) virtual Real amount (Real underlying) const =0 Event interface Date date () const CashFlow interface virtual Real amount () const =0 returns the amount of the cash flow Visitability virtual void accept (AcyclicVisitor…

QuantLib::Disposable – generic disposable object with move semantics Synopsis #include <ql/utilities/disposable.hpp> Inherits T. Public Member Functions Disposable (T &t) Disposable (const Disposable< T > &t) Disposable< T > & operator= (const Disposable< T > &t) Detailed Description template<class T> class QuantLib::Disposable< T > generic disposable object with move semantics This class can be used for…

QuantLib::DiscretizedOption – Discretized option on a given asset. Synopsis #include <ql/discretizedasset.hpp> Inherits QuantLib::DiscretizedAsset. Inherited by DiscretizedSwaption. Public Member Functions DiscretizedOption (const boost::shared_ptr< DiscretizedAsset > &underlying, Exercise::Type exerciseType, const std::vector< Time > &exerciseTimes) void reset (Size size) std::vector< Time > mandatoryTimes () const Protected Member Functions void postAdjustValuesImpl () void applyExerciseCondition () Protected Attributes boost::shared_ptr< DiscretizedAsset…

QuantLib::DiscretizedDiscountBond – Useful discretized discount bond asset. Synopsis #include <ql/discretizedasset.hpp> Inherits QuantLib::DiscretizedAsset. Public Member Functions void reset (Size size) std::vector< Time > mandatoryTimes () const Detailed Description Useful discretized discount bond asset. Member Function Documentation void reset (Size size) [virtual] This method should initialize the asset values to an Array of the given size and…

QuantLib::DiscretizedAsset – Discretized asset class used by numerical methods. Synopsis #include <ql/discretizedasset.hpp> Inherited by DiscretizedCallableFixedRateBond, DiscretizedCapFloor, DiscretizedConvertible, DiscretizedDiscountBond, DiscretizedOption, DiscretizedSwap, and DiscretizedVanillaOption. Public Member Functions inspectors Time time () const Time & time () const Array & values () const Array & values () const boost::shared_ptr< Lattice > & method () const High-level interface Users…

QuantLib::DiscreteGeometricASO – Discrete geometric average-strike Asian option (European style). Synopsis #include <ql/legacy/pricers/discretegeometricaso.hpp> Inherits QuantLib::SingleAssetOption. Public Member Functions DiscreteGeometricASO (Option::Type type, Real underlying, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > &times, Volatility volatility) Real value () const Real delta () const Real gamma () const Real theta () const boost::shared_ptr< SingleAssetOption > clone () const…

QuantLib::DiscreteAveragingAsianOption::engine – Discrete-averaging Asian engine base class. Synopsis #include <ql/instruments/asianoption.hpp> Inherits GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >. Inherited by MCDiscreteAveragingAsianEngine< RNG, S >, AnalyticDiscreteGeometricAveragePriceAsianEngine, and MCDiscreteAveragingAsianEngine< RNG, S >. Detailed Description Discrete-averaging Asian engine base class. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::DiscreteAveragingAsianOption::arguments – Extra arguments for single-asset discrete-average Asian option. Synopsis #include <ql/instruments/asianoption.hpp> Inherits OneAssetOption::arguments. Public Member Functions void validate () const Public Attributes Average::Type averageType Real runningAccumulator Size pastFixings std::vector< Date > fixingDates Detailed Description Extra arguments for single-asset discrete-average Asian option. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::DiscreteAveragingAsianOption – Discrete-averaging Asian option. Synopsis #include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Extra arguments for single-asset discrete-average Asian option. class engine Discrete-averaging Asian engine base class. Public Member Functions DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments…

QuantLib::DiscrepancyStatistics – Statistic tool for sequences with discrepancy calculation. Synopsis #include <ql/math/statistics/discrepancystatistics.hpp> Inherits GenericSequenceStatistics< Statistics >. Public Types typedef SequenceStatistics::value_type value_type Public Member Functions DiscrepancyStatistics (Size dimension) template<class Sequence > void add (const Sequence &sample, Real weight=1.0) template<class Iterator > void add (Iterator begin, Iterator end, Real weight=1.0) void reset (Size dimension=0) 1-dimensional inspectors Real…