Linux Manuals session 3

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis #include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor ()…

QuantLib::CapletVarianceCurve – Synopsis #include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp> Inherits QuantLib::OptionletVolatilityStructure. Public Member Functions CapletVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Volatility > &capletVolCurve, const DayCounter &dayCounter) Real minStrike () const the minimum strike for which the term structure can return vols Real maxStrike () const the maximum strike for which the term structure can…

QuantLib::CapPseudoDerivative – Synopsis #include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp> Public Member Functions CapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) const Matrix & volatilityDerivative (Size i) const const Matrix & priceDerivative (Size i) const Real impliedVolatility () const Detailed Description In order to compute market vegas, we need a class that gives the derivative…

QuantLib::CapHelper – calibration helper for ATM cap Synopsis #include <ql/models/shortrate/calibrationhelpers/caphelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member Functions CapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > &times) const virtual Real modelValue ()…

QuantLib::CapFloor::arguments – Arguments for cap/floor calculation Synopsis #include <ql/instruments/capfloor.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functions void validate () const Public Attributes CapFloor::Type type std::vector< Date > startDates std::vector< Date > fixingDates std::vector< Date > endDates std::vector< Time > accrualTimes std::vector< Rate > capRates std::vector< Rate > floorRates std::vector< Rate > forwards std::vector< Real > gearings std::vector<…

QuantLib::CapFloorTermVolatilityStructure – Cap/floor term-volatility structure. Synopsis #include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with a fixed…

QuantLib::CapFloorTermVolSurface – Cap/floor smile volatility surface. Synopsis #include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure, and QuantLib::LazyObject. Public Member Functions CapFloorTermVolSurface (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) floating reference date, floating market data CapFloorTermVolSurface (const Date…

QuantLib::CapFloorTermVolCurve – Cap/floor at-the-money term-volatility vector. Synopsis #include <ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure, QuantLib::LazyObject, and boost::noncopyable. Public Member Functions CapFloorTermVolCurve (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Handle< Quote > > &vols, const DayCounter &dc=Actual365Fixed()) floating reference date, floating market data CapFloorTermVolCurve (const Date &settlementDate, const Calendar &calendar, BusinessDayConvention bdc,…

QuantLib::CapFloor – Base class for cap-like instruments. Synopsis #include <ql/instruments/capfloor.hpp> Inherits QuantLib::Instrument. Inherited by Cap, Collar, and Floor. Classes class arguments Arguments for cap/floor calculation class engine base class for cap/floor engines Public Types enum Type { Cap, Floor, Collar } Public Member Functions CapFloor (Type type, const Leg &floatingLeg, const std::vector< Rate > &capRates,…

QuantLib::Canada – Canadian calendar. Synopsis #include <ql/time/calendars/canada.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, TSX } Public Member Functions Canada (Market market=Settlement) Detailed Description Canadian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Family Day, third Monday of February (since 2008) * Good Friday…

QuantLib::CallableZeroCouponBond – callable/puttable zero coupon bond Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableFixedRateBond. Public Member Functions CallableZeroCouponBond (Natural settlementDays, Real faceAmount, const Calendar &calendar, const Date &maturityDate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) Detailed Description callable/puttable zero coupon bond Callable zero coupon bond class. Author Generated automatically by Doxygen for…

QuantLib::CallableFixedRateBond – callable/puttable fixed rate bond Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::CallableBond. Inherited by CallableZeroCouponBond. Public Member Functions CallableFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date(), const CallabilitySchedule &putCallSchedule=CallabilitySchedule()) virtual void setupArguments (PricingEngine::arguments *args) const Detailed Description callable/puttable fixed rate bond…

QuantLib::CallableBondVolatilityStructure – Callable-bond volatility structure. Synopsis #include <ql/experimental/callablebonds/callablebondvolstructure.hpp> Inherits QuantLib::TermStructure. Inherited by CallableBondConstantVolatility. Public Member Functions virtual std::pair< Time, Time > convertDates (const Date &optionDate, const Period &bondTenor) const implements the conversion between dates and times virtual BusinessDayConvention businessDayConvention () const the business day convention used for option date calculation Date optionDateFromTenor (const Period &optionTenor)…

QuantLib::CallableBondConstantVolatility – Constant callable-bond volatility, no time-strike dependence. Synopsis #include <ql/experimental/callablebonds/callablebondconstantvol.hpp> Inherits QuantLib::CallableBondVolatilityStructure. Public Member Functions CallableBondConstantVolatility (const Date &referenceDate, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (const Date &referenceDate, const Handle< Quote > &volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, Volatility volatility, const DayCounter &dayCounter) CallableBondConstantVolatility (Natural settlementDays, const Calendar &, const…

QuantLib::CallableBond – Callable bond base class. Synopsis #include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classes class engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functions virtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations…

QuantLib::Callability::Price – amount to be paid upon callability Synopsis #include <ql/instruments/callabilityschedule.hpp> Public Types enum Type { Dirty, Clean } Public Member Functions Price (Real amount, Type type) Real amount () const Type type () const Detailed Description amount to be paid upon callability Examples: CallableBonds.cpp, and ConvertibleBonds.cpp. Author Generated automatically by Doxygen for QuantLib from…

QuantLib::Callability – instrument callability Synopsis #include <ql/instruments/callabilityschedule.hpp> Inherits QuantLib::Event. Inherited by SoftCallability. Classes class Price amount to be paid upon callability Public Types enum Type { Call, Put } type of the callability Public Member Functions Callability (const Price &price, Type type, const Date &date) const Price & price () const Type type () const…

QuantLib::CalibrationHelper – liquid market instrument used during calibration Synopsis #include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member Functions CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real…

QuantLib::CalibratedModel – Calibrated model class. Synopsis #include <ql/models/model.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by GJRGARCHModel, HestonModel, LiborForwardModel, and ShortRateModel. Public Member Functions CalibratedModel (Size nArguments) void update () void calibrate (const std::vector< boost::shared_ptr< CalibrationHelper > > &, OptimizationMethod &method, const EndCriteria &endCriteria, const Constraint &constraint=Constraint(), const std::vector< Real > &weights=std::vector< Real >()) Calibrate to a…

QuantLib::Calendar::WesternImpl – partial calendar implementation Synopsis #include <ql/time/calendar.hpp> Inherits QuantLib::Calendar::Impl. Inherited by MervalImpl, Impl, ExchangeImpl, SettlementImpl, SettlementImpl, TsxImpl, PseImpl, Impl, Impl, EurexImpl, FrankfurtStockExchangeImpl, SettlementImpl, XetraImpl, HkexImpl, Impl, IcexImpl, NseImpl, BejImpl, ExchangeImpl, SettlementImpl, BmvImpl, Impl, Impl, Impl, SgxImpl, BsseImpl, Impl, Impl, Impl, Impl, ExchangeImpl, MetalsImpl, SettlementImpl, GovernmentBondImpl, NercImpl, NyseImpl, and SettlementImpl. Protected Member Functions bool isWeekend…