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QuantLib::CmsCoupon – CMS coupon class. Synopsis#include <ql/cashflows/cmscoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsCmsCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< SwapIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false) Inspectors const boost::shared_ptr< SwapIndex > &…

QuantLib::Rounding – basic rounding class Synopsis#include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Typesenum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member FunctionsRounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding InspectorsInteger precision () const Type type ()…

QuantLib::Clone – cloning proxy to an underlying object Synopsis#include <ql/utilities/clone.hpp> Public Member FunctionsClone (std::auto_ptr< T >) Clone (const T &) Clone (const Clone< T > &) Clone< T > & operator= (const T &) Clone< T > & operator= (const Clone< T > &) T & operator* () const T * operator-> () const bool…

ql/instruments/cliquetoption.hpp – Cliquet option. Synopsis#include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/payoffs.hpp> #include <ql/time/date.hpp> #include <vector> Classesclass CliquetOption cliquet (Ratchet) option class arguments Arguments for cliquet option calculation class engine Cliquet engine base class. Detailed DescriptionCliquet option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

DisplayOfCCC, VisualOfCCC, ScreenNumberOfCCC, ScreenWhitePointOfCCC, ClientWhitePointOfCCC – Color Conversion Context macros SyntaxDisplay *DisplayOfCCC(XcmsCCC ccc); Visual *VisualOfCCC(XcmsCCC ccc); int ScreenNumberOfCCC(XcmsCCC ccc); XcmsColor *ScreenWhitePointOfCCC(XcmsCCC ccc); XcmsColor *ClientWhitePointOfCCC(XcmsCCC ccc);Argumentsccc Specifies the CCC.DescriptionThe DisplayOfCCC macro returns the display associated with the specified CCC. The VisualOfCCC macro returns the visual associated with the specified CCC. The ScreenNumberOfCCC macro returns the number…

QuantLib::Matrix – Matrix used in linear algebra. Synopsis#include <ql/math/matrix.hpp> Inherited by Disposable< Matrix >. Public Typestypedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator typedef Real * row_iterator typedef const Real * const_row_iterator typedef boost::reverse_iterator< row_iterator > reverse_row_iterator typedef boost::reverse_iterator< const_row_iterator > const_reverse_row_iterator typedef step_iterator<…

QuantLib::China – Chinese calendar. Synopsis#include <ql/time/calendars/china.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { SSE } Public Member FunctionsChina (Market m=SSE) Detailed DescriptionChinese calendar. Holidays: * Saturdays * Sundays * New Year’s day, January 1st (possibly followed by one or two more holidays) * Labour Day, first week in May * National Day, one week from October…

QuantLib::ChfLiborSwapIsdaFix – ChfLiborSwapIsdaFix index base class Synopsis#include <ql/indexes/swap/chfliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsChfLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionChfLiborSwapIsdaFix index base class CHF Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs 3M Libor. Reuters…

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntaxunsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen *screen);…

QuantLib::Rounding – basic rounding class Synopsis#include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Typesenum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member FunctionsRounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding InspectorsInteger precision () const Type type ()…

QuantLib::CdsOption – CDS option. Synopsis#include <ql/experimental/credit/cdsoption.hpp> Inherits QuantLib::Instrument. Public Member FunctionsCdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS) Real forward () const Real riskyAnnuity () const bool isExpired () const returns whether…

QuantLib::CdsHelper – Default-probability bootstrap helper based on quoted CDS spreads. Synopsis#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp> Inherits BootstrapHelper< DefaultProbabilityTermStructure >. Public Member FunctionsCdsHelper (const Handle< Quote > &spread, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true) CdsHelper (Rate spread,…

QuantLib::Cdor – CDOR rate Synopsis#include <ql/indexes/ibor/cdor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsCdor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionCDOR rate Canadian Dollar Offered Rate fixed by IDA. Warning This is the rate fixed in Canada by IDA. Use CADLibor if you’re interested in the London fixing by BBA. Possible enhancements check…

QuantLib::CashOrNothingPayoff – Binary cash-or-nothing payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsCashOrNothingPayoff (Option::Type type, Real strike, Real cashPayoff) Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal cashPayoff_ Detailed DescriptionBinary cash-or-nothing payoff. Examples: Replication.cpp. Member Function Documentationstd::string name…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

ql/termstructures/volatility/optionlet/capletvariancecurve.hpp – caplet variance curve Synopsis#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp> #include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp> #include <ql/termstructures/volatility/flatsmilesection.hpp> Classesclass CapletVarianceCurve Detailed Descriptioncaplet variance curve AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CapPseudoDerivative – Synopsis#include <ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp> Public Member FunctionsCapPseudoDerivative (boost::shared_ptr< MarketModel > inputModel, Real strike, Size startIndex, Size endIndex, Real firstDF) const Matrix & volatilityDerivative (Size i) const const Matrix & priceDerivative (Size i) const Real impliedVolatility () const Detailed DescriptionIn order to compute market vegas, we need a class that gives the derivative of a cap…

QuantLib::CapHelper – calibration helper for ATM cap Synopsis#include <ql/models/shortrate/calibrationhelpers/caphelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsCapHelper (const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, bool includeFirstSwaplet, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > &times) const virtual Real modelValue () const returns…

QuantLib::CapFloorTermVolatilityStructure – Cap/floor term-volatility structure. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by CapFloorTermVolCurve, CapFloorTermVolSurface, and ConstantCapFloorTermVolatility. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) default constructor CapFloorTermVolatilityStructure (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter()) initialize with a fixed reference date…

ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp – Cap/floor smile volatility surface. Synopsis#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp> #include <ql/math/interpolations/interpolation2d.hpp> #include <ql/quote.hpp> #include <ql/patterns/lazyobject.hpp> #include <vector> Classesclass CapFloorTermVolSurface Cap/floor smile volatility surface. Detailed DescriptionCap/floor smile volatility surface. AuthorGenerated automatically by Doxygen for QuantLib from the source code.