Linux Manuals session 3

QuantLib::Calendar::OrthodoxImpl – partial calendar implementation Synopsis #include <ql/time/calendar.hpp> Inherits QuantLib::Calendar::Impl. Inherited by UseImpl. Protected Member Functions bool isWeekend (Weekday) const Static Protected Member Functions static Day easterMonday (Year) expressed relative to first day of year Detailed Description partial calendar implementation This class provides the means of determining the Orthodox Easter Monday for a given year,…

QuantLib::Calendar::Impl – abstract base class for calendar implementations Synopsis #include <ql/time/calendar.hpp> Inherited by Impl, OrthodoxImpl, WesternImpl, SseImpl, Impl, Impl, Impl, TadawulImpl, SettlementImpl, TsecImpl, and Impl. Public Member Functions virtual std::string name () const =0 virtual bool isBusinessDay (const Date &) const =0 virtual bool isWeekend (Weekday) const =0 Public Attributes std::set< Date > addedHolidays std::set<…

QuantLib::Calendar – calendar class Synopsis #include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classes class Impl abstract base class for calendar implementations…

QuantLib::CMSwapCurveState – Curve state for constant-maturity-swap market models Synopsis #include <ql/models/marketmodels/curvestates/cmswapcurvestate.hpp> Inherits QuantLib::CurveState. Public Member Functions CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards) Modifiers void setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate coterminalSwapRate (Size i) const Rate coterminalSwapAnnuity (Size…

QuantLib::CMSMMDriftCalculator – Drift computation for CMS market models. Synopsis #include <ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp> Public Member Functions CMSMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive, Size spanningFwds) void compute (const CMSwapCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. Detailed Description Drift computation for CMS market models….

QuantLib::CLGaussianRng – Gaussian random number generator. Synopsis #include <ql/math/randomnumbers/centrallimitgaussianrng.hpp> Public Types typedef Sample< Real > sample_type typedef RNG urng_type Public Member Functions CLGaussianRng (const RNG &uniformGenerator) sample_type next () const returns a sample from a Gaussian distribution Detailed Description template<class RNG> class QuantLib::CLGaussianRng< RNG > Gaussian random number generator. It uses the well-known fact that…

QuantLib::CHFLibor – CHF LIBOR rate Synopsis #include <ql/indexes/ibor/chflibor.hpp> Inherits QuantLib::Libor. Public Member Functions CHFLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description CHF LIBOR rate Swiss Franc LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Warning This is the rate fixed in London by BBA. Use ZIBOR if you’re interested in the Zurich…

QuantLib::CDO – collateralized debt obligation Synopsis #include <ql/experimental/credit/cdo.hpp> Inherits QuantLib::Instrument. Public Member Functions CDO (Real attachment, Real detachment, const std::vector< Real > &nominals, const std::vector< Handle< DefaultProbabilityTermStructure > > &basket, const Handle< OneFactorCopula > &copula, bool protectionSeller, const Schedule &premiumSchedule, Rate premiumRate, const DayCounter &dayCounter, Rate recoveryRate, Rate upfrontPremiumRate, const Handle< YieldTermStructure > &yieldTS, Size…

QuantLib::CADLibor – CAD LIBOR rate Synopsis #include <ql/indexes/ibor/cadlibor.hpp> Inherits QuantLib::Libor. Public Member Functions CADLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description CAD LIBOR rate Canadian Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Warning This is the rate fixed in London by BBA. Use CDOR if you’re interested in the Canadian…

QuantLib::BrownianBridge – Builds Wiener process paths using Gaussian variates. Synopsis #include <ql/methods/montecarlo/brownianbridge.hpp> Public Member Functions BrownianBridge (Size steps) unit-time path BrownianBridge (const std::vector< Time > &times) generic times BrownianBridge (const TimeGrid &timeGrid) generic times inspectors Size size () const const std::vector< Time > & times () const Brownian-bridge constructor template<class RandomAccessIterator1 , class RandomAccessIterator2 >…

QuantLib::Brent – Brent 1-D solver Synopsis #include <ql/math/solvers1d/brent.hpp> Inherits Solver1D< Brent >. Public Member Functions template<class F > Real solveImpl (const F &f, Real xAccuracy) const Detailed Description Brent 1-D solver Tests the correctness of the returned values is tested by checking them against known good results. Author Generated automatically by Doxygen for QuantLib from…

QuantLib::Brazil – Brazilian calendar. Synopsis #include <ql/time/calendars/brazil.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, Exchange } Brazilian calendars. Public Member Functions Brazil (Market market=Settlement) Detailed Description Brazilian calendar. Banking holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Tiradentes’s Day, April 21th * Labour Day, May 1st * Independence Day, September…

QuantLib::BoxMullerGaussianRng – Gaussian random number generator. Synopsis #include <ql/math/randomnumbers/boxmullergaussianrng.hpp> Public Types typedef Sample< Real > sample_type typedef RNG urng_type Public Member Functions BoxMullerGaussianRng (const RNG &uniformGenerator) sample_type next () const returns a sample from a Gaussian distribution Detailed Description template<class RNG> class QuantLib::BoxMullerGaussianRng< RNG > Gaussian random number generator. It uses the well-known Box-Muller transformation…

QuantLib::BoundaryCondition – Abstract boundary condition class for finite difference problems. Synopsis #include <ql/methods/finitedifferences/boundarycondition.hpp> Public Types enum Side { None, Upper, Lower } typedef Operator operator_type typedef Operator::array_type array_type Public Member Functions virtual void applyBeforeApplying (operator_type &) const =0 virtual void applyAfterApplying (array_type &) const =0 virtual void applyBeforeSolving (operator_type &, array_type &rhs) const =0 virtual…

QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis #include <ql/termstructures/bootstraphelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by RelativeDateRateHelper. Public Member Functions BootstrapHelper (const Handle< Quote > &quote) BootstrapHelper (Real quote) BootstrapHelper interface Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets…

QuantLib::BootstrapError – bootstrap error Synopsis #include <ql/termstructures/bootstraperror.hpp> Public Member Functions BootstrapError (const Curve *curve, const boost::shared_ptr< typename Traits::helper > &instrument, Size segment) Real operator() (Rate guess) const Detailed Description template<class Curve> class QuantLib::BootstrapError< Curve > bootstrap error Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::Bond – Base bond class. Synopsis #include <ql/instruments/bond.hpp> Inherits QuantLib::Instrument. Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond. Public Member Functions Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) constructor for amortizing or non-amortizing bonds. Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const…

QuantLib::BlackVolatilityTermStructure – Black-volatility term structure. Synopsis #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::BlackVolTermStructure. Inherited by BlackConstantVol. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVolatilityTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolatilityTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date BlackVolatilityTermStructure…

QuantLib::BlackVolTermStructure – Black-volatility term structure. Synopsis #include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by BlackVarianceTermStructure, and BlackVolatilityTermStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference…

QuantLib::BlackVolSurface – Black volatility (smile) surface. Synopsis #include <ql/experimental/volatility/blackvolsurface.hpp> Inherits QuantLib::BlackAtmVolCurve. Inherited by EquityFXVolSurface, and InterestRateVolSurface. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed…