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QuantLib::DailyTenorLibor – base class for all O/N-S/N BBA LIBOR indexes but the EUR ones Synopsis #include <ql/indexes/ibor/libor.hpp> Inherits QuantLib::IborIndex. Inherited by CADLiborON, DailyTenorCHFLibor, DailyTenorGBPLibor, DailyTenorJPYLibor, and DailyTenorUSDLibor. Public Member Functions DailyTenorLibor (const std::string &familyName, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base…

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

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

QuantLib::DailyTenorEuribor365 – Daily tenor Actual/365 Euribor index. Synopsis #include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member Functions DailyTenorEuribor365 (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description Daily tenor Actual/365 Euribor index. Euribor rate adjusted for the mismatch between the actual/360 convention used for Euribor and the actual/365 convention previously used by a few pre-EUR…

QuantLib::DailyTenorEuribor – Daily tenor Euribor index. Synopsis #include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::IborIndex. Public Member Functions DailyTenorEuribor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description Daily tenor Euribor index. Euribor rate fixed by the ECB. Warning This is the rate fixed by the ECB. Use EurLibor if you’re interested in the London fixing by…

QuantLib::DailyTenorEURLibor – base class for the one day deposit BBA EUR LIBOR indexes Synopsis #include <ql/indexes/ibor/eurlibor.hpp> Inherits QuantLib::IborIndex. Inherited by EURLiborON. Public Member Functions DailyTenorEURLibor (Natural settlementDays, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description base class for the one day deposit BBA EUR LIBOR indexes Euro O/N LIBOR fixed by BBA. It can…

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

QuantLib::DZero – $ D_{0} $ matricial representation Synopsis #include <ql/methods/finitedifferences/dzero.hpp> Inherits QuantLib::TridiagonalOperator. Public Member Functions DZero (Size gridPoints, Real h) Detailed Description $ D_{0} $ matricial representation The differential operator $ D_{0} $ discretizes the first derivative with the second-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i-1}}{2h} = D_{0} u_{i} ] Tests the…

QuantLib::DPlusDMinus – $ D_{+}D_{-} $ matricial representation Synopsis #include <ql/methods/finitedifferences/dplusdminus.hpp> Inherits QuantLib::TridiagonalOperator. Public Member Functions DPlusDMinus (Size gridPoints, Real h) Detailed Description $ D_{+}D_{-} $ matricial representation The differential operator $ D_{+}D_{-} $ discretizes the second derivative with the second-order formula [ ac{ artial^2 u_{i}}{ artial x^2} pprox ac{u_{i+1}-2u_{i}+u_{i-1}}{h^2} = D_{+}D_{-} u_{i} ] Tests the…

QuantLib::DPlus – $ D_{+} $ matricial representation Synopsis #include <ql/methods/finitedifferences/dplus.hpp> Inherits QuantLib::TridiagonalOperator. Public Member Functions DPlus (Size gridPoints, Real h) Detailed Description $ D_{+} $ matricial representation The differential operator $ D_{+} $ discretizes the first derivative with the first-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i+1}-u_{i}}{h} = D_{+} u_{i} ] Author Generated…

QuantLib::DMinus – $ D_{-} $ matricial representation Synopsis #include <ql/methods/finitedifferences/dminus.hpp> Inherits QuantLib::TridiagonalOperator. Public Member Functions DMinus (Size gridPoints, Real h) Detailed Description $ D_{-} $ matricial representation The differential operator $ D_{-} $ discretizes the first derivative with the first-order formula [ ac{ artial u_{i}}{ artial x} pprox ac{u_{i}-u_{i-1}}{h} = D_{-} u_{i} ] Author Generated…

QuantLib::DKKLibor – DKK LIBOR rate Synopsis #include <ql/indexes/ibor/dkklibor.hpp> Inherits QuantLib::Libor. Public Member Functions DKKLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description DKK LIBOR rate Danish Krona LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::CzechRepublic – Czech calendars. Synopsis #include <ql/time/calendars/czechrepublic.hpp> Inherits QuantLib::Calendar. Public Types enum Market { PSE } Public Member Functions CzechRepublic (Market m=PSE) Detailed Description Czech calendars. Holidays for the Prague stock exchange (see http://www.pse.cz/): * Saturdays * Sundays * New Year’s Day, January 1st * Easter Monday * Labour Day, May 1st * Liberation Day,…

QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0…

QuantLib::Currency – Currency specification Synopsis #include <ql/currency.hpp> Inherited by ARSCurrency, ATSCurrency, AUDCurrency, BDTCurrency, BEFCurrency, BGLCurrency, BRLCurrency, BYRCurrency, CADCurrency, CHFCurrency, CLPCurrency, CNYCurrency, COPCurrency, CYPCurrency, CZKCurrency, DEMCurrency, DKKCurrency, EEKCurrency, ESPCurrency, EURCurrency, FIMCurrency, FRFCurrency, GBPCurrency, GRDCurrency, HKDCurrency, HUFCurrency, IEPCurrency, ILSCurrency, INRCurrency, IQDCurrency, IRRCurrency, ISKCurrency, ITLCurrency, JPYCurrency, KRWCurrency, KWDCurrency, LTLCurrency, LUFCurrency, LVLCurrency, MTLCurrency, MXNCurrency, NLGCurrency, NOKCurrency, NPRCurrency, NZDCurrency, PEHCurrency,…

QuantLib::CuriouslyRecurringTemplate – Support for the curiously recurring template pattern. Synopsis #include <ql/patterns/curiouslyrecurring.hpp> Protected Member Functions Impl & impl () const Impl & impl () const Detailed Description template<class Impl> class QuantLib::CuriouslyRecurringTemplate< Impl > Support for the curiously recurring template pattern. See James O. Coplien. A Curiously Recurring Template Pattern. In Stanley B. Lippman, editor, C++…

QuantLib::CumulativeStudentDistribution – Cumulative Student t-distribution. Synopsis #include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativeStudentDistribution (Integer n) Real operator() (Real x) const Detailed Description Cumulative Student t-distribution. Cumulative distribution function for $ n $ degrees of freedom (see mathworld.wolfram.com): [ F(x) = int_{-infty}^x,f(y),dy = ac{1}{2}, +,ac{1}{2},sgn(x), regularized incomplete beta function. Author Generated automatically by Doxygen for…

QuantLib::CumulativePoissonDistribution – Cumulative Poisson distribution function. Synopsis #include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativePoissonDistribution (Real mu) Real operator() (BigNatural k) const Detailed Description Cumulative Poisson distribution function. This function provides an approximation of the integral of the Poisson distribution. For this implementation see ‘Numerical Recipes in C’, 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter…

QuantLib::CumulativeNormalDistribution – Cumulative normal distribution function. Synopsis #include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativeNormalDistribution (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Real derivative (Real x) const Detailed Description Cumulative normal distribution function. Given x it provides an approximation to the integral of the gaussian normal distribution: formula here … For this implementation…

QuantLib::CumulativeBinomialDistribution – Cumulative binomial distribution function. Synopsis #include <ql/math/distributions/binomialdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member Functions CumulativeBinomialDistribution (Real p, BigNatural n) Real operator() (BigNatural k) const Detailed Description Cumulative binomial distribution function. Given an integer k it provides the cumulative probability of observing kk<=k: formula here … Author Generated automatically by Doxygen for QuantLib from the source…