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QuantLib::Discount – Discount-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 DiscountFactor initialValue (const YieldTermStructure *) static bool dummyInitialValue () static DiscountFactor initialGuess () static DiscountFactor guess (const YieldTermStructure *c, const Date &d) static DiscountFactor minValueAfter (Size, const std::vector< Real >…

QuantLib::DirichletBC – Neumann boundary condition (i.e., constant value). Synopsis #include <ql/methods/finitedifferences/boundarycondition.hpp> Inherits BoundaryCondition< TridiagonalOperator >. Public Member Functions DirichletBC (Real value, Side side) void applyBeforeApplying (TridiagonalOperator &) const void applyAfterApplying (Array &) const void applyBeforeSolving (TridiagonalOperator &, Array &rhs) const void applyAfterSolving (Array &) const void setTime (Time) Detailed Description Neumann boundary condition (i.e., constant…

QuantLib::DigitalIborLeg – helper class building a sequence of digital ibor-rate coupons Synopsis #include <ql/cashflows/digitaliborcoupon.hpp> Public Member Functions DigitalIborLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) DigitalIborLeg & withNotionals (Real notional) DigitalIborLeg & withNotionals (const std::vector< Real > &notionals) DigitalIborLeg & withPaymentDayCounter (const DayCounter &) DigitalIborLeg & withPaymentAdjustment (BusinessDayConvention) DigitalIborLeg & withFixingDays (Natural fixingDays) DigitalIborLeg…

QuantLib::DigitalIborCoupon – Ibor rate coupon with digital digital call/put option. Synopsis #include <ql/cashflows/digitaliborcoupon.hpp> Inherits QuantLib::DigitalCoupon. Public Member Functions DigitalIborCoupon (const boost::shared_ptr< IborCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallATMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutATMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis #include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member Functions Constructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())…

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis #include <ql/cashflows/digitalcmscoupon.hpp> Public Member Functions DigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg…

QuantLib::DigitalCmsCoupon – Cms-rate coupon with digital digital call/put option. Synopsis #include <ql/cashflows/digitalcmscoupon.hpp> Inherits QuantLib::DigitalCoupon. Public Member Functions DigitalCmsCoupon (const boost::shared_ptr< CmsCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallATMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutATMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) Visitability…

QuantLib::DerivedQuote – market quote whose value depends on another quote Synopsis #include <ql/quotes/derivedquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member Functions DerivedQuote (const Handle< Quote > &element, const UnaryFunction &f) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Observer interface void…

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

QuantLib::Denmark – Danish calendar. Synopsis #include <ql/time/calendars/denmark.hpp> Inherits QuantLib::Calendar. Detailed Description Danish calendar. Holidays: * Saturdays * Sundays * Maunday Thursday * Good Friday * Easter Monday * General Prayer Day, 25 days after Easter Monday * Ascension * Whit (Pentecost) Monday * New Year’s Day, January 1st * Constitution Day, June 5th * Christmas,…

QuantLib::DefaultProbabilityTermStructure – default probability term structure Synopsis #include <ql/termstructures/defaulttermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by DefaultDensityStructure, and HazardRateStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. DefaultProbabilityTermStructure (const DayCounter &dc=DayCounter()) default constructor DefaultProbabilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date DefaultProbabilityTermStructure (Natural settlementDays, const Calendar…

QuantLib::DefaultEvent – Credit-default event. Synopsis #include <ql/default.hpp> Inherits QuantLib::Event. Public Member Functions DefaultEvent (const Date &date, Real recoveryRate, Seniority seniority=AnySeniority, Restructuring restructuring=AnyRestructuring) Date date () const returns the date at which the event occurs Real recoveryRate () const Seniority seniority () const Restructuring restructuring () const Detailed Description Credit-default event. Author Generated automatically by Doxygen…

QuantLib::DefaultDensityStructure – default-density adapter for default-probability term structures Synopsis #include <ql/termstructures/credit/defaultdensitystructure.hpp> Inherits QuantLib::DefaultProbabilityTermStructure. Inherited by InterpolatedDefaultDensityCurve< Interpolator >. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. DefaultDensityStructure (const DayCounter &dc=DayCounter()) default constructor DefaultDensityStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date DefaultDensityStructure (Natural settlementDays,…

QuantLib::DefaultDensity – Default-density-curve traits. Synopsis #include <ql/termstructures/credit/probabilitytraits.hpp> Public Types typedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functions static Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real >…

QuantLib::DayCounter::Impl – abstract base class for day counter implementations Synopsis #include <ql/time/daycounter.hpp> Inherited by Impl, Impl, AFB_Impl, ISDA_Impl, ISMA_Impl, Impl, Impl, Impl, EU_Impl, IT_Impl, and US_Impl. Public Member Functions virtual std::string name () const =0 virtual BigInteger dayCount (const Date &d1, const Date &d2) const to be overloaded by more complex day counters virtual Time…

QuantLib::DayCounter – day counter class Synopsis #include <ql/time/daycounter.hpp> Inherited by Actual360, Actual365Fixed, ActualActual, Business252, OneDayCounter, SimpleDayCounter, and Thirty360. Classes class Impl abstract base class for day counter implementations Public Member Functions DayCounter () DayCounter interface bool empty () const Returns whether or not the day counter is initialized. std::string name () const Returns the name…

QuantLib::DateInterval – Date interval described by a number of a given time unit. Synopsis #include <ql/experimental/commodities/dateinterval.hpp> Inherited by PricingPeriod. Public Member Functions DateInterval (const Date &startDate, const Date &endDate) const Date & startDate () const const Date & endDate () const bool isDateBetween (Date date, bool includeFirst=true, bool includeLast=true) const DateInterval intersection (const DateInterval &di)…

QuantLib::DateGeneration – Date-generation rule. Synopsis #include <ql/time/dategenerationrule.hpp> Public Types enum Rule { Backward, Forward, Zero, ThirdWednesday, Twentieth, TwentiethIMM } Related Functions (Note that these are not member functions.) std::ostream & operator<< (std::ostream &, DateGeneration::Rule) Detailed Description Date-generation rule. These conventions specify the rule used to generate dates in a Schedule. Member Enumeration Documentation enum Rule…

QuantLib::Date – Concrete date class. Synopsis #include <ql/time/date.hpp> Public Member Functions constructors Date () Default constructor returning a null date. Date (BigInteger serialNumber) Constructor taking a serial number as given by Applix or Excel. Date (Day d, Month m, Year y) More traditional constructor. inspectors Weekday weekday () const Day dayOfMonth () const Day dayOfYear…

QuantLib::DailyTenorUSDLibor – base class for the one day deposit BBA USD LIBOR indexes Synopsis #include <ql/indexes/ibor/usdlibor.hpp> Inherits QuantLib::DailyTenorLibor. Inherited by USDLiborON. Public Member Functions DailyTenorUSDLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base class for the one day deposit BBA USD LIBOR indexes Author Generated automatically by Doxygen for QuantLib from…