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QuantLib::LiborForwardModelProcess – libor-forward-model process Synopsis #include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t)…

NAME ql/legacy/libormarketmodels/liborforwardmodel.hpp – libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices. SYNOPSIS #include <ql/legacy/libormarketmodels/lfmprocess.hpp> #include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp> #include <ql/termstructures/volatility/optionlet/capletvariancecurve.hpp> #include <ql/models/model.hpp> #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Classes class LiborForwardModel Libor forward model Detailed Description libor forward model incl. exact cap pricing Rebonato formula to approximate swaption prices. Author Generated automatically by Doxygen for QuantLib…

QuantLib::Libor – base class for all BBA LIBOR indexes but the EUR, O/N, and S/N ones Synopsis #include <ql/indexes/ibor/libor.hpp> Inherits QuantLib::IborIndex. Inherited by AUDLibor, CADLibor, CHFLibor, DKKLibor, GBPLibor, JPYLibor, NZDLibor, SEKLibor, and USDLibor. Public Member Functions Libor (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &financialCenterCalendar, const DayCounter &dayCounter, const…

NAME ql/legacy/libormarketmodels/lfmswaptionengine.hpp – libor forward model swaption engine based on black formula SYNOPSIS #include <ql/instruments/swaption.hpp> #include <ql/pricingengines/genericmodelengine.hpp> #include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Classes class LfmSwaptionEngine Libor forward model swaption engine based on Black formula Detailed Description libor forward model swaption engine based on black formula Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::LfmHullWhiteParameterization – Libor market model parameterization based on Hull White paper Synopsis #include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmHullWhiteParameterization (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< OptionletVolatilityStructure > &capletVol, const Matrix &correlation=Matrix(), Size factors=1) Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix > covariance (Time t, const Array…

QuantLib::LfmCovarianceProxy – proxy for a libor forward model covariance parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp> Inherits QuantLib::LfmCovarianceParameterization. Public Member Functions LfmCovarianceProxy (const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) boost::shared_ptr< LmVolatilityModel > volatilityModel () const boost::shared_ptr< LmCorrelationModel > correlationModel () const Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const Disposable< Matrix…

QuantLib::LfmCovarianceParameterization – Libor market model parameterization Synopsis #include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization. Public Member Functions LfmCovarianceParameterization (Size size, Size factors) Size size () const Size factors () const virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0 virtual Disposable< Matrix > covariance (Time t, const Array &x=Null< Array…

NAME ql/math/lexicographicalview.hpp – Lexicographical 2-D view of a contiguous set of data. SYNOPSIS #include <ql/utilities/steppingiterator.hpp> #include <boost/iterator/reverse_iterator.hpp> Classes class LexicographicalView< RandomAccessIterator > Lexicographical 2-D view of a contiguous set of data. Detailed Description Lexicographical 2-D view of a contiguous set of data. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::LevenbergMarquardt – Levenberg-Marquardt optimization method. Synopsis #include <ql/math/optimization/levenbergmarquardt.hpp> Inherits QuantLib::OptimizationMethod. Public Member Functions LevenbergMarquardt (Real epsfcn=1.0e-8, Real xtol=1.0e-8, Real gtol=1.0e-8) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P virtual Integer getInfo () const void fcn (int m, int n, double *x, double *fvec, int *iflag) Detailed Description Levenberg-Marquardt optimization method….

_Xm* – LessTif Internal Functions Description When the LessTif project began some discussion was undertaken about the use of the previously undocumented internal _Xm.. functions in Motif 1.2. Apparently many of those functions have been transformed to Xme.. functions in OSF/Motif® 2.x and are also documented. As many people use these functions in their code…

QuantLib::LeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis #include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< LeisenReimer >. Public Member Functions LeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected Attributes Real up_ Real down_ Real pu_ Real pd_ Detailed…

NAME QuantLib::Swap – Interest rate swap. SYNOPSIS #include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member Functions Constructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments…

QuantLib::LecuyerUniformRng – Uniform random number generator. Synopsis #include <ql/math/randomnumbers/lecuyeruniformrng.hpp> Public Types typedef Sample< Real > sample_type Public Member Functions LecuyerUniformRng (long seed=0) sample_type next () const Detailed Description Uniform random number generator. Random number generator of L’Ecuyer with added Bays-Durham shuffle (know as ran2 in Numerical recipes) For more details see Section 7.1 of Numerical…

QuantLib::LeastSquareFunction – Cost function for least-square problems. Synopsis #include <ql/math/optimization/leastsquare.hpp> Inherits QuantLib::CostFunction. Public Member Functions LeastSquareFunction (LeastSquareProblem &lsp) Default constructor. virtual ~LeastSquareFunction () Destructor. virtual Real value (const Array &x) const compute value of the least square function virtual Disposable< Array > values (const Array &) const method to overload to compute the cost function…

NAME ql/pricingengines/latticeshortratemodelengine.hpp – Engine for a short-rate model specialized on a lattice. SYNOPSIS #include <ql/models/model.hpp> #include <ql/pricingengines/genericmodelengine.hpp> Classes class LatticeShortRateModelEngine< Arguments, Results > Engine for a short-rate model specialized on a lattice. Detailed Description Engine for a short-rate model specialized on a lattice. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::Lattice – Lattice (tree, finite-differences) base class Synopsis #include <ql/numericalmethod.hpp> Inherited by TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, and TreeLattice< TwoFactorModel::ShortRateTree >. Public Member Functions Lattice (const TimeGrid &timeGrid) virtual Disposable< Array > grid (Time) const =0 Inspectors const TimeGrid & timeGrid () const Numerical method interface…

AllPlanes, BlackPixel, WhitePixel, ConnectionNumber, DefaultColormap, DefaultDepth, XListDepths, DefaultGC, DefaultRootWindow, DefaultScreenOfDisplay, DefaultScreen, DefaultVisual, DisplayCells, DisplayPlanes, DisplayString, XMaxRequestSize, XExtendedMaxRequestSize, LastKnownRequestProcessed, NextRequest, ProtocolVersion, ProtocolRevision, QLength, RootWindow, ScreenCount, ScreenOfDisplay, ServerVendor, VendorRelease – Display macros and functions Syntax unsigned long AllPlanes; unsigned long BlackPixel(Display *display, int screen_number); unsigned long WhitePixel(Display *display, int screen_number); int ConnectionNumber(Display *display); Colormap DefaultColormap(Display *display, int…

NAME ql/quotes/lastfixingquote.hpp – quote for the last fixing available for a given index SYNOPSIS #include <ql/quote.hpp> #include <ql/index.hpp> #include <ql/patterns/observable.hpp> Classes class LastFixingQuote Quote adapter for the last fixing available of a given Index. Detailed Description quote for the last fixing available for a given index Author Generated automatically by Doxygen for QuantLib from the…

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::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/mixedscheme.hpp> 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 MixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributes…