Linux Manuals session 3

QuantLib::CubicInterpolation – Cubic interpolation between discrete points. Synopsis #include <ql/math/interpolations/cubicinterpolation.hpp> Inherits QuantLib::Interpolation. Inherited by MonotonicNaturalCubicInterpolation, and NaturalCubicInterpolation. Public Types enum DerivativeApprox { Spline, FourthOrder, Parabolic, ModifiedParabolic, FritschButland, Akima, Kruger } enum BoundaryCondition { NotAKnot, FirstDerivative, SecondDerivative, Periodic, Lagrange } Public Member Functions template<class I1 , class I2 > CubicInterpolation (const I1 &xBegin, const I1 &xEnd,…

QuantLib::CubicBSplinesFitting – CubicSpline B-splines fitting method. Synopsis #include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member Functions CubicBSplinesFitting (const std::vector< Time > &knotVector, bool constrainAtZero=true) Real basisFunction (Integer i, Time t) const cubic B-spline basis functions std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed Description CubicSpline B-splines fitting method. Fits a discount function to…

QuantLib::Cubic – Cubic interpolation factory and traits Synopsis #include <ql/math/interpolations/cubicinterpolation.hpp> Public Member Functions Cubic (CubicInterpolation::DerivativeApprox da=CubicInterpolation::Kruger, bool monotonic=false, CubicInterpolation::BoundaryCondition leftCondition=CubicInterpolation::SecondDerivative, Real leftConditionValue=0.0, CubicInterpolation::BoundaryCondition rightCondition=CubicInterpolation::SecondDerivative, Real rightConditionValue=0.0) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributes static const bool global = true static const…

QuantLib::CreditDefaultSwap – Credit default swap. Synopsis #include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member Functions Constructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments…

QuantLib::CrankNicolson – Crank-Nicolson scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/cranknicolson.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_set bc_set typedef traits::condition_type condition_type Public Member Functions CrankNicolson (const operator_type &L, const bc_set &bcs) Detailed Description template<class Operator> class QuantLib::CrankNicolson< Operator > Crank-Nicolson scheme for…

QuantLib::CoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis #include <ql/methods/lattices/binomialtree.hpp> Inherits EqualJumpsBinomialTree< CoxRossRubinstein >. Public Member Functions CoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed Description Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::CoxIngersollRoss::Dynamics – Dynamics of the short-rate under the Cox-Ingersoll-Ross model Synopsis #include <ql/models/shortrate/onefactormodels/coxingersollross.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Inherited by Dynamics. Public Member Functions Dynamics (Real theta, Real k, Real sigma, Real x0) virtual Real variable (Time, Rate r) const Compute state variable from short rate. virtual Real shortRate (Time, Real y) const Compute short rate from state…

QuantLib::CoxIngersollRoss – Cox-Ingersoll-Ross model class. Synopsis #include <ql/models/shortrate/onefactormodels/coxingersollross.hpp> Inherits QuantLib::OneFactorAffineModel. Inherited by ExtendedCoxIngersollRoss. Classes class Dynamics Dynamics of the short-rate under the Cox-Ingersoll-Ross model Public Member Functions CoxIngersollRoss (Rate r0=0.05, Real theta=0.1, Real k=0.1, Real sigma=0.1) virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const virtual boost::shared_ptr< ShortRateDynamics > dynamics () const…

QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis #include <ql/math/matrixutilities/getcovariance.hpp> Public Member Functions CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed Description Covariance decomposition into correlation and variances. Extracts the correlation matrix and the vector…

QuantLib::Coupon – coupon accruing over a fixed period Synopsis #include <ql/cashflows/coupon.hpp> Inherits QuantLib::CashFlow. Inherited by FixedRateCoupon, and FloatingRateCoupon. Public Member Functions Coupon (Real nominal, const Date &paymentDate, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) Partial CashFlow interface Date date () const Inspectors Real nominal () const const Date & accrualStartDate…

QuantLib::CoterminalSwapCurveState – Curve state for coterminal-swap market models Synopsis #include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp> Inherits QuantLib::CurveState. Public Member Functions CoterminalSwapCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate coterminalSwapRate (Size i)…

QuantLib::CostFunction – Cost function abstract class for optimization problem. Synopsis #include <ql/math/optimization/costfunction.hpp> Inherited by AbcdError, SABRError, FrobeniusCostFunction, LeastSquareFunction, PenaltyFunction< Curve >, and ProjectedCostFunction. Public Member Functions virtual Real value (const Array &x) const =0 method to overload to compute the cost function value in x virtual Disposable< Array > values (const Array &x) const =0…

QuantLib::ConvexMonotoneInterpolation – Convex monotone yield-curve interpolation method. Synopsis #include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functions ConvexMonotoneInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Real quadraticity, Real monotonicity, bool forcePositive, bool flatFinalPeriod=false, const helper_map &preExistingHelpers=helper_map()) ConvexMonotoneInterpolation (Interpolation &interp) std::map< Real, boost::shared_ptr< detail::SectionHelper > > getExistingHelpers () Detailed Description template<class I1, class I2> class QuantLib::ConvexMonotoneInterpolation<…

QuantLib::ConvexMonotone – Convex-monotone interpolation factory and traits. Synopsis #include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Public Member Functions ConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const template<class I1 , class I2 > Interpolation localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

QuantLib::ConvertibleZeroCouponBond – convertible zero-coupon bond Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member Functions ConvertibleZeroCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Description convertible zero-coupon bond Warning Most methods inherited from…

QuantLib::ConvertibleFloatingRateBond – convertible floating-rate bond Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member Functions ConvertibleFloatingRateBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const boost::shared_ptr< IborIndex > &index, Natural fixingDays, const std::vector< Spread > &spreads, const DayCounter &dayCounter, const Schedule &schedule,…

QuantLib::ConvertibleFixedCouponBond – convertible fixed-coupon bond Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member Functions ConvertibleFixedCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const std::vector< Rate > &coupons, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Description convertible fixed-coupon bond…

QuantLib::ConvertibleBond – base class for convertible bonds Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member Functions Real conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member Functions ConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real…

QuantLib::ConvergenceStatistics – statistics class with convergence table Synopsis #include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Types typedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member Functions ConvergenceStatistics (const T &stats, const U &rule=U()) ConvergenceStatistics (const U &rule=U()) void add (const value_type &value, Real weight=1.0) template<class DataIterator > void addSequence (DataIterator begin, DataIterator end)…

QuantLib::ContinuousFloatingLookbackOption::arguments – Arguments for continuous floating lookback option calculation Synopsis #include <ql/instruments/lookbackoption.hpp> Inherits OneAssetOption::arguments. Public Member Functions void validate () const Public Attributes Real minmax Detailed Description Arguments for continuous floating lookback option calculation Author Generated automatically by Doxygen for QuantLib from the source code.