Linux Manuals session 3

QuantLib::ContinuousFloatingLookbackOption – Continuous-floating lookback option. Synopsis #include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Arguments for continuous floating lookback option calculation class engine Continuous floating lookback engine base class Public Member Functions ContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected Attributes Real minmax_ Detailed Description…

QuantLib::ContinuousFixedLookbackOption::arguments – Arguments for continuous fixed 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 fixed lookback option calculation Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::ContinuousFixedLookbackOption – Continuous-fixed lookback option. Synopsis #include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Arguments for continuous fixed lookback option calculation class engine Continuous fixed lookback engine base class Public Member Functions ContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected Attributes Real minmax_ Detailed Description…

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

QuantLib::ContinuousAveragingAsianOption – Continuous-averaging Asian option. Synopsis #include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Extra arguments for single-asset continuous-average Asian option. class engine Continuous-averaging Asian engine base class. Public Member Functions ContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected Attributes Average::Type averageType_ Detailed Description Continuous-averaging…

QuantLib::Constraint – Base constraint class. Synopsis #include <ql/math/optimization/constraint.hpp> Inherited by BoundaryConstraint, PrivateConstraint, CompositeConstraint, FellerConstraint, NoConstraint, and PositiveConstraint. Classes class Impl Base class for constraint implementations. Public Member Functions bool empty () const bool test (const Array &p) const Real update (Array &p, const Array &direction, Real beta) Constraint (const boost::shared_ptr< Impl > &impl=boost::shared_ptr< Impl >())…

QuantLib::ConstrainedEvolver – Constrained market-model evolver. Synopsis #include <ql/models/marketmodels/constrainedevolver.hpp> Inherits QuantLib::MarketModelEvolver. Inherited by LogNormalFwdRateEulerConstrained. Public Member Functions virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0 call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool > &isConstraintActive)=0 call before each path Detailed Description Constrained market-model evolver. Abstract base…

QuantLib::ConstantSwaptionVolatility – Constant swaption volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp> Inherits QuantLib::SwaptionVolatilityStructure. Public Member Functions ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)…

QuantLib::ConstantParameter – Standard constant parameter $ a(t) = a $. Synopsis #include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member Functions ConstantParameter (const Constraint &constraint) ConstantParameter (Real value, const Constraint &constraint) Detailed Description Standard constant parameter $ a(t) = a $. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConstantOptionletVolatility – Constant caplet volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp> Inherits QuantLib::OptionletVolatilityStructure. Public Member Functions ConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)…

QuantLib::ConstantEstimator – Constant-estimator volatility model. Synopsis #include <ql/models/volatility/constantestimator.hpp> Inherits QuantLib::VolatilityCompositor. Public Member Functions ConstantEstimator (Size size) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &) void calibrate (const TimeSeries< Volatility > &) Detailed Description Constant-estimator volatility model. Volatilities are assumed to be expressed on an annual basis. Author Generated automatically by Doxygen for QuantLib from…

QuantLib::ConstantCapFloorTermVolatility – Constant caplet volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure. Public Member Functions ConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)…

QuantLib::ConjugateGradient – Multi-dimensional Conjugate Gradient class. Synopsis #include <ql/math/optimization/conjugategradient.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member Functions ConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >()) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) solve the optimization problem P Detailed Description Multi-dimensional Conjugate Gradient class. Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition. User has to provide…

QuantLib::CompoundForward – compound-forward structure Synopsis #include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member Functions CompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const Integer compounding () const Date maxDate () const the latest date for which…

QuantLib::CompositeQuote – market element whose value depends on two other market element Synopsis #include <ql/quotes/compositequote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member Functions CompositeQuote (const Handle< Quote > &element1, const Handle< Quote > &element2, const BinaryFunction &f) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote…

QuantLib::CompositeInstrument – Composite instrument Synopsis #include <ql/instruments/compositeinstrument.hpp> Inherits QuantLib::Instrument. Public Member Functions void add (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0) adds an instrument to the composite void subtract (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0) shorts an instrument from the composite Instrument interface bool isExpired () const returns whether the instrument is still tradable….

QuantLib::Composite – Composite pattern. Synopsis #include <ql/patterns/composite.hpp> Inherits T. Protected Types typedef std::list< boost::shared_ptr< T > >::iterator iterator typedef std::list< boost::shared_ptr< T > >::const_iterator const_iterator Protected Member Functions void add (const boost::shared_ptr< T > &c) Protected Attributes std::list< boost::shared_ptr< T > > components_ Detailed Description template<class T> class QuantLib::Composite< T > Composite pattern. The typical…

QuantLib::CommodityType – commodity type Synopsis #include <ql/experimental/commodities/commoditytype.hpp> Inherited by NullCommodityType. Public Member Functions CommodityType () default constructor CommodityType (const std::string &code, const std::string &name) Inspectors const std::string & code () const commodity code, e.g, ‘HO’ const std::string & name () const name, e.g, ‘Heating Oil’ Other information bool empty () const is this a usable…

QuantLib::CommoditySettings – global repository for run-time library settings Synopsis #include <ql/experimental/commodities/commoditysettings.hpp> Inherits Singleton< CommoditySettings >. Public Member Functions Currency & currency () UnitOfMeasure & unitOfMeasure () Friends class Singleton< CommoditySettings > Detailed Description global repository for run-time library settings Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::CommodityPricingHelper – commodity index helper Synopsis #include <ql/experimental/commodities/commoditypricinghelpers.hpp> Static Public Member Functions static Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) static Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Currency &baseCurrency, const UnitOfMeasure &baseUnitOfMeasure, const Date &evaluationDate) static…