Section 3: library functions
QuantLib::G2Process – G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions G2Process (Real a, Real sigma, Real b, Real eta, Real rho) Real x0 () const Real y0 () const Real a () const Real sigma () const Real b () const Real eta () const Real rho () const StochasticProcess interface Size…
QuantLib::G2ForwardProcess – Forward G2 stochastic process Synopsis #include <ql/processes/g2process.hpp> Inherits QuantLib::ForwardMeasureProcess. Public Member Functions G2ForwardProcess (Real a, Real sigma, Real b, Real eta, Real rho) StochasticProcess interface Size size () const returns the number of dimensions of the stochastic process Disposable< Array > initialValues () const returns the initial values of the state variables Disposable<…
NAME ql/models/shortrate/twofactormodels/g2.hpp – Two-factor additive Gaussian Model G2++. SYNOPSIS #include <ql/models/shortrate/twofactormodel.hpp> #include <ql/processes/ornsteinuhlenbeckprocess.hpp> #include <ql/instruments/swaption.hpp> Classes class G2 Two-additive-factor gaussian model class. class FittingParameter Analytical term-structure fitting parameter $ iled Description" Detailed Description Two-factor additive Gaussian Model G2++. Author Generated automatically by Doxygen for QuantLib from the source code. Index
QuantLib::FuturesRateHelper – Rate helper for bootstrapping over IborIndex futures prices. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member Functions FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >()) FuturesRateHelper (Real price, const Date &immDate, Natural…
NAME ql/quotes/futuresconvadjustmentquote.hpp – quote for the futures-convexity adjustment of an index SYNOPSIS #include <ql/quote.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/indexes/iborindex.hpp> Classes class FuturesConvAdjustmentQuote quote for the futures-convexity adjustment of an index Detailed Description quote for the futures-convexity adjustment of an index Author Generated automatically by Doxygen for QuantLib from the source code. Index
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,…
NAME ql/time/frequency.hpp – Frequency enumeration. SYNOPSIS #include <ql/qldefines.hpp> #include <ostream> Enumerations enum Frequency { NoFrequency = -1, Once = 0, Annual = 1, Semiannual = 2, EveryFourthMonth = 3, Quarterly = 4, Bimonthly = 6, Monthly = 12, EveryFourthWeek = 13, Biweekly = 26, Weekly = 52, Daily = 365, OtherFrequency = 999 } Frequency…
QuantLib::Germany – German calendars. Synopsis #include <ql/time/calendars/germany.hpp> Inherits QuantLib::Calendar. Public Types enum Market { Settlement, FrankfurtStockExchange, Xetra, Eurex } German calendars. Public Member Functions Germany (Market market=FrankfurtStockExchange) Detailed Description German calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Easter Monday * Ascension Thursday * Whit Monday…
QuantLib::FractionalDividend – Predetermined cash flow. Synopsis #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FractionalDividend (Real rate, const Date &date) FractionalDividend (Real rate, Real nominal, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real underlying) const Inspectors Real rate () const Real nominal ()…
QuantLib::FraRateHelper – Rate helper for bootstrapping over FRA rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter) FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth,…
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,…
NAME ql/instruments/forwardvanillaoption.hpp – Forward version of a vanilla option. SYNOPSIS #include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/payoffs.hpp> #include <ql/time/date.hpp> Classes class ForwardOptionArguments< ArgumentsType > Arguments for forward (strike-resetting) option calculation class ForwardVanillaOption Forward version of a vanilla option Detailed Description Forward version of a vanilla option. Author Generated automatically by Doxygen for QuantLib from the source code. Index
QuantLib::ForwardVanillaEngine – Forward engine for vanilla options Synopsis #include <ql/pricingengines/forward/forwardengine.hpp> Inherits GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results >. Public Member Functions ForwardVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functions void setup () const void getOriginalResults () const Protected Attributes boost::shared_ptr< GeneralizedBlackScholesProcess > process_ boost::shared_ptr< Engine > originalEngine_ VanillaOption::arguments * originalArguments_ const…
QuantLib::ForwardValueQuote – quote for the forward value of an index Synopsis #include <ql/quotes/forwardvaluequote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member Functions ForwardValueQuote (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…
QuantLib::ForwardTypePayoff – Class for forward type payoffs. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Payoff. Public Member Functions ForwardTypePayoff (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 Attributes Position::Type type_ Real strike_ Detailed Description Class for forward type…
QuantLib::ForwardSwapQuote – Quote for a forward starting swap. Synopsis #include <ql/quotes/forwardswapquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member Functions ForwardSwapQuote (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 ()…
QuantLib::ForwardSpreadedTermStructure – Term structure with added spread on the instantaneous forward rate. Synopsis #include <ql/termstructures/yield/forwardspreadedtermstructure.hpp> Inherits QuantLib::ForwardRateStructure. Public Member Functions ForwardSpreadedTermStructure (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…
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 Functions Constructors 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…
QuantLib::ForwardPerformanceVanillaEngine – Forward performance engine for vanilla options Synopsis #include <ql/pricingengines/forward/forwardperformanceengine.hpp> Inherits ForwardVanillaEngine< Engine >. Public Member Functions ForwardPerformanceVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functions void getOriginalResults () const Detailed Description template<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine > Forward performance engine for vanilla options Tests * the correctness of the…
QuantLib::ForwardMeasureProcess1D – forward-measure 1-D stochastic process Synopsis #include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by HullWhiteForwardProcess. Public Member Functions void setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member Functions ForwardMeasureProcess1D (Time T) ForwardMeasureProcess1D (const boost::shared_ptr< discretization > &) Protected Attributes Time T_ Detailed Description forward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the…