Linux Manuals session 3

QuantLib::ForwardVanillaEngine – Forward engine for vanilla options Synopsis#include <ql/pricingengines/forward/forwardengine.hpp> Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >. Public Member FunctionsForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functionsvoid setup () const void getOriginalResults () const Protected Attributesboost::shared_ptr< GeneralizedBlackScholesProcess > process_ boost::shared_ptr< Engine > originalEngine_ VanillaOption::arguments * originalArguments_ const VanillaOption::results * originalResults_ Detailed…

QuantLib::ForwardValueQuote – quote for the forward value of an index Synopsis#include <ql/quotes/forwardvaluequote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsForwardValueQuote (const boost::shared_ptr< Index > &index, const Date &fixingDate) void update () Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Detailed Descriptionquote…

QuantLib::ForwardTypePayoff – Class for forward type payoffs. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Payoff. Public Member FunctionsForwardTypePayoff (Position::Type type, Real strike) Position::Type forwardType () const Real strike () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const Protected AttributesPosition::Type type_ Real strike_ Detailed DescriptionClass for forward type payoffs. Member Function Documentationstd::string…

QuantLib::ForwardSwapQuote – Quote for a forward starting swap. Synopsis#include <ql/quotes/forwardswapquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsForwardSwapQuote (const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread, const Period &fwdStart) const Date & valueDate () const const Date & startDate () const const Date & fixingDate () const Quote interface Real value () const returns…

QuantLib::ForwardSpreadedTermStructure – Term structure with added spread on the instantaneous forward rate. Synopsis#include <ql/termstructures/yield/forwardspreadedtermstructure.hpp> Inherits QuantLib::ForwardRateStructure. Public Member FunctionsForwardSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar () const the calendar used for reference and/or option date calculation…

QuantLib::ForwardRateStructure – Forward-rate term structure Synopsis#include <ql/termstructures/yield/forwardstructure.hpp> Inherits QuantLib::YieldTermStructure. Inherited by CompoundForward, ForwardSpreadedTermStructure, and InterpolatedForwardCurve< Interpolator >. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. ForwardRateStructure (const DayCounter &dayCounter=Actual365Fixed()) ForwardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dayCounter=Actual365Fixed()) ForwardRateStructure (Natural settlementDays, const Calendar &, const DayCounter &dayCounter=Actual365Fixed()) Protected Member FunctionsYieldTermStructure implementation…

QuantLib::ForwardPerformanceVanillaEngine – Forward performance engine for vanilla options Synopsis#include <ql/pricingengines/forward/forwardperformanceengine.hpp> Inherits ForwardVanillaEngine< Engine >. Public Member FunctionsForwardPerformanceVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functionsvoid getOriginalResults () const Detailed Descriptiontemplate<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine >Forward performance engine for vanilla options Tests * the correctness of the returned value is tested by…

QuantLib::ForwardMeasureProcess1D – forward-measure 1-D stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by HullWhiteForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess1D (Time T) ForwardMeasureProcess1D (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by…

QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by Doxygen for QuantLib…

ql/math/interpolations/forwardflatinterpolation.hpp – forward-flat interpolation between discrete points Synopsis#include <ql/math/interpolation.hpp> #include <vector> Classesclass ForwardFlatInterpolation Forward-flat interpolation between discrete points. class ForwardFlat Forward-flat interpolation factory and traits. Detailed Descriptionforward-flat interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/yield/forwardcurve.hpp – interpolated forward-rate structure Synopsis#include <ql/termstructures/yield/forwardstructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/math/comparison.hpp> #include <boost/noncopyable.hpp> Classesclass InterpolatedForwardCurve< Interpolator > Term structure based on interpolation of forward rates. Typedefstypedef InterpolatedForwardCurve< BackwardFlat > ForwardCurve Term structure based on flat interpolation of forward rates. Detailed Descriptioninterpolated forward-rate structure AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/instruments/forward.hpp – Base forward class. Synopsis#include <ql/instrument.hpp> #include <ql/position.hpp> #include <ql/time/calendar.hpp> #include <ql/time/daycounter.hpp> #include <ql/interestrate.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/payoff.hpp> #include <ql/termstructures/yieldtermstructure.hpp> Classesclass Forward Abstract base forward class. class ForwardTypePayoff Class for forward type payoffs. Detailed DescriptionBase forward class. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

QuantLib::FloatingTypePayoff – Payoff based on a floating strike Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::TypePayoff. Public Member FunctionsFloatingTypePayoff (Option::Type type) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPayoff based on a floating strike Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…

QuantLib::FloatingRateBond – floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/instruments/bonds/floatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFloatingRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate…

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis#include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap. Classesclass arguments Arguments for asset swap calculation class results Results from simple swap calculation Public Member FunctionsAssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(),…

ql/cashflows/cashflowvectors.hpp – Cash flow vector builders. Synopsis#include <ql/cashflows/fixedratecoupon.hpp> #include <ql/cashflows/replication.hpp> #include <ql/time/schedule.hpp> #include <ql/utilities/null.hpp> #include <ql/utilities/vectors.hpp> #include <ql/position.hpp> #include <ql/indexes/swapindex.hpp> FunctionsRate effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) bool noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) template<typename InterestRateIndexType…

QuantLib::FlatHazardRate – flat hazard-rate curve Synopsis#include <ql/termstructures/credit/flathazardrate.hpp> Inherits QuantLib::HazardRateStructure. Public Member FunctionsConstructors FlatHazardRate (const Handle< Quote > &hazardRate, const DayCounter &) FlatHazardRate (const Date &todaysDate, const Handle< Quote > &hazardRate, const DayCounter &) TermStructure interface Date maxDate () const the latest date for which the curve can return values Detailed Descriptionflat hazard-rate curve AuthorGenerated automatically…

QuantLib::FlatForward – Flat interest-rate curve. Synopsis#include <ql/termstructures/yield/flatforward.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Public Member FunctionsFlatForward (const Date &referenceDate, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &forward, const DayCounter…