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QuantLib::InterpolatedDiscountCurve – Term structure based on interpolation of discount factors. Synopsis #include <ql/termstructures/yield/discountcurve.hpp> Inherits QuantLib::YieldTermStructure, and boost::noncopyable. Inherited by ExtendedDiscountCurve. Public Member Functions InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const Interpolator &interpolator=Interpolator()) Inspectors Date maxDate () const the latest date for which the curve…

NAME ql/termstructures/credit/interpolateddefaultdensitycurve.hpp – interpolated default-density term structure SYNOPSIS #include <ql/termstructures/credit/defaultdensitystructure.hpp> #include <ql/math/interpolation.hpp> #include <boost/noncopyable.hpp> Classes class InterpolatedDefaultDensityCurve< Interpolator > interpolated default-density curve Detailed Description interpolated default-density term structure Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/experimental/volatility/interestratevolsurface.hpp – Interest rate volatility (smile) surface. SYNOPSIS #include <ql/experimental/volatility/blackvolsurface.hpp> #include <ql/experimental/volatility/interestratevolsurface.hpp> #include <ql/indexes/interestrateindex.hpp> Classes class InterestRateVolSurface Interest rate volatility (smile) surface. Detailed Description Interest rate volatility (smile) surface. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME ql/indexes/interestrateindex.hpp – base class for interest rate indexes SYNOPSIS #include <ql/index.hpp> #include <ql/time/calendar.hpp> #include <ql/currency.hpp> #include <ql/time/daycounter.hpp> #include <ql/time/period.hpp> #include <ql/handle.hpp> Classes class InterestRateIndex base class for interest rate indexes Detailed Description base class for interest rate indexes Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::FixedRateCoupon – Coupon paying a fixed interest rate Synopsis #include <ql/cashflows/fixedratecoupon.hpp> Inherits QuantLib::Coupon. Public Member Functions constructors FixedRateCoupon (Real nominal, const Date &paymentDate, Rate rate, const DayCounter &dayCounter, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) FixedRateCoupon (Real nominal, const Date &paymentDate, const InterestRate &interestRate, const DayCounter &dayCounter, const Date &accrualStartDate,…

NAME ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp – integral Heston-model variance-option engine SYNOPSIS #include <ql/experimental/varianceoption/varianceoption.hpp> #include <ql/processes/hestonprocess.hpp> Classes class IntegralHestonVarianceOptionEngine integral Heston-model variance-option engine Detailed Description integral Heston-model variance-option engine Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::IntegralEngine – Pricing engine for European vanilla options using integral approach. Synopsis #include <ql/pricingengines/vanilla/integralengine.hpp> Inherits VanillaOption::engine. Public Member Functions IntegralEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed Description Pricing engine for European vanilla options using integral approach. Possible enhancements define tolerance for calculate() Examples: EquityOption.cpp. Author Generated automatically by Doxygen for QuantLib…

QuantLib::IntegralCDOEngine – CDO base engine taking (possibly) small time steps. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member Functions void calculate () const IntegralCDOEngine (Period stepSize=3 *Months) Protected Attributes Period stepSize_ Detailed Description CDO base engine taking (possibly) small time steps. Author Generated automatically by Doxygen for QuantLib from the source code.

Numeric types – Typedefs typedef Real Probability probability typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous quantity with 1-year units typedef Real DiscountFactor discount factor…

QuantLib::InhomogeneousPoolCDOEngine – CDO engine, loss disctribution bucketing for finite inhomogeneous pool. Synopsis #include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member Functions InhomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributes const Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Description template<class CDOEngine> class QuantLib::InhomogeneousPoolCDOEngine< CDOEngine > CDO engine, loss disctribution bucketing for finite inhomogeneous…

NAME ql/termstructures/inflationtermstructure.hpp – Base classes for inflation term structures. SYNOPSIS #include <ql/termstructures/yieldtermstructure.hpp> Classes class InflationTermStructure Interface for inflation term structures. class ZeroInflationTermStructure Interface for zero inflation term structures. class YoYInflationTermStructure Base class for year-on-year inflation term structures. Functions std::pair< Date, Date > inflationPeriod (const Date &, Frequency) utility function giving the inflation period for a…

QuantLib::InflationSwap – Abstract base class for inflation swaps. Synopsis #include <ql/instruments/inflationswap.hpp> Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member Functions InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const…

NAME ql/indexes/inflationindex.hpp – base classes for inflation indexes SYNOPSIS #include <ql/index.hpp> #include <ql/indexes/region.hpp> #include <ql/termstructures/inflationtermstructure.hpp> #include <ql/currency.hpp> #include <ql/handle.hpp> Classes class InflationIndex Base class for inflation-rate indexes,. class ZeroInflationIndex Base class for zero inflation indices. class YoYInflationIndex Base class for year-on-year inflation indices. Detailed Description base classes for inflation indexes Author Generated automatically by Doxygen…

QuantLib::Indonesia – Indonesian calendars Synopsis #include <ql/time/calendars/indonesia.hpp> Inherits QuantLib::Calendar. Public Types enum Market { BEJ, JSX } Public Member Functions Indonesia (Market m=BEJ) Detailed Description Indonesian calendars Holidays for the Jakarta stock exchange (data from <http://www.jsx.co.id/>): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Ascension of Jesus Christ *…

QuantLib::India – Indian calendars. Synopsis #include <ql/time/calendars/india.hpp> Inherits QuantLib::Calendar. Public Types enum Market { NSE } Public Member Functions India (Market m=NSE) Detailed Description Indian calendars. Holidays for the National Stock Exchange (data from <http://www.nse-india.com/>): * Saturdays * Sundays * Republic Day, January 26th * Good Friday * Ambedkar Jayanti, April 14th * Independence Day,…

QuantLib::ImpliedVolTermStructure – Implied vol term structure at a given date in the future. Synopsis #include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member Functions ImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for which the curve can…

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::ImpliedTermStructure – Implied term structure at a given date in the future. Synopsis #include <ql/termstructures/yield/impliedtermstructure.hpp> Inherits QuantLib::YieldTermStructure. Public Member Functions ImpliedTermStructure (const Handle< YieldTermStructure > &, const Date &referenceDate) 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::ImpliedStdDevQuote – quote for the implied standard deviation of an underlying Synopsis #include <ql/quotes/impliedstddevquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions ImpliedStdDevQuote (Option::Type optionType, const Handle< Quote > &forward, const Handle< Quote > &price, Real strike, Real guess, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid ()…

QuantLib::ImplicitEuler – Backward Euler scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/impliciteuler.hpp> Inherits MixedScheme< Operator >. 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 ImplicitEuler (const operator_type &L, const bc_set &bcs) Detailed Description template<class Operator> class QuantLib::ImplicitEuler< Operator > Backward Euler…