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QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis #include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functions void setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member Functions ForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected Attributes Time T_ Detailed Description forward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. Author…

NAME ql/math/interpolations/forwardflatinterpolation.hpp – forward-flat interpolation between discrete points SYNOPSIS #include <ql/math/interpolation.hpp> #include <vector> Classes class ForwardFlatInterpolation Forward-flat interpolation between discrete points. class ForwardFlat Forward-flat interpolation factory and traits. Detailed Description forward-flat interpolation between discrete points Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME 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> Classes class InterpolatedForwardCurve< Interpolator > Term structure based on interpolation of forward rates. Typedefs typedef InterpolatedForwardCurve< BackwardFlat > ForwardCurve Term structure based on flat interpolation of forward rates. Detailed Description interpolated forward-rate structure Author Generated automatically by Doxygen for QuantLib…

NAME 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> Classes class Forward Abstract base forward class. class ForwardTypePayoff Class for forward type payoffs. Detailed Description Base forward class. Author Generated automatically by Doxygen for QuantLib from the source code….

Date and time calculations – Classes class 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 Modules Calendars Day…

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

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 Functions FloatingRateCoupon (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…

QuantLib::FloatingRateBond – floating-rate bond (possibly capped and/or floored) Synopsis #include <ql/instruments/bonds/floatingratebond.hpp> Inherits QuantLib::Bond. Public Member Functions FloatingRateBond (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…

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for asset swap calculation class results Results from simple swap calculation Public Member Functions AssetSwap (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(),…

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> Functions Rate 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)…

QuantLib::FlatHazardRate – flat hazard-rate curve Synopsis #include <ql/termstructures/credit/flathazardrate.hpp> Inherits QuantLib::HazardRateStructure. Public Member Functions Constructors 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 Description flat hazard-rate…

QuantLib::FlatForward – Flat interest-rate curve. Synopsis #include <ql/termstructures/yield/flatforward.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Public Member Functions FlatForward (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,…

QuantLib::FixedRateLeg – helper class building a sequence of fixed rate coupons Synopsis #include <ql/cashflows/fixedratecoupon.hpp> Public Member Functions FixedRateLeg (const Schedule &schedule, const DayCounter &paymentDayCounter) FixedRateLeg & withNotionals (Real) FixedRateLeg & withNotionals (const std::vector< Real > &) FixedRateLeg & withCouponRates (Rate) FixedRateLeg & withCouponRates (const InterestRate &) FixedRateLeg & withCouponRates (const std::vector< Rate > &) FixedRateLeg…

NAME ql/cashflows/fixedratecoupon.hpp – Coupon paying a fixed annual rate. SYNOPSIS #include <ql/cashflows/coupon.hpp> #include <ql/interestrate.hpp> #include <ql/time/daycounter.hpp> #include <ql/time/schedule.hpp> Classes class FixedRateCoupon Coupon paying a fixed interest rate class FixedRateLeg helper class building a sequence of fixed rate coupons Detailed Description Coupon paying a fixed annual rate. Author Generated automatically by Doxygen for QuantLib from the…

QuantLib::FixedRateBondHelper – fixed-coupon bond helper Synopsis #include <ql/termstructures/yield/bondhelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member Functions FixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &dayCounter, BusinessDayConvention paymentConv=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< FixedRateBond > &bond) BootstrapHelper…

QuantLib::FixedRateBondForward – Forward contract on a fixed-rate bond Synopsis #include <ql/instruments/fixedratebondforward.hpp> Inherits QuantLib::Forward. Public Member Functions Constructors FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle<…

QuantLib::FixedRateBond – fixed-rate bond Synopsis #include <ql/instruments/bonds/fixedratebond.hpp> Inherits QuantLib::Bond. Public Member Functions FixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const Date &maturityDate, const Period &tenor, const std::vector< Rate…

QuantLib::FixedDividend – Predetermined cash flow. Synopsis #include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member Functions FixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected Attributes Real amount_ Detailed Description Predetermined cash flow. This cash flow pays a predetermined amount at…

QuantLib::ExtendedCoxIngersollRoss::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member Functions FittingParameter (const Handle< YieldTermStructure > &termStructure, Real theta, Real k, Real sigma, Real x0) Detailed Description Analytical term-structure fitting parameter $ lytically defined by [ c{2k heta(e^{th}-1)}{2h+(k+h)(e^{th}-1)} – ac{4 x_0 h^2 e^{th}}{(2h+(k+h)(e^{th}-1))^1}, ] where $ f(t) $ is the instantaneous forward rate…

QuantLib::FittedBondDiscountCurve – Discount curve fitted to a set of fixed-coupon bonds. Synopsis #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Classes class FittingMethod Base fitting method used to construct a fitted bond discount curve. Public Member Functions Constructors FittedBondDiscountCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< FixedRateBondHelper > > &instruments, const DayCounter &dayCounter, const FittingMethod &fittingMethod,…