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QuantLib::CrankNicolson – Crank-Nicolson scheme for finite difference methods. Synopsis #include <ql/methods/finitedifferences/cranknicolson.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 CrankNicolson (const operator_type &L, const bc_set &bcs) Detailed Description template<class Operator> class QuantLib::CrankNicolson< Operator > Crank-Nicolson scheme for…

QuantLib::CoxRossRubinstein – Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Synopsis #include <ql/methods/lattices/binomialtree.hpp> Inherits EqualJumpsBinomialTree< CoxRossRubinstein >. Public Member Functions CoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed Description Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. Author Generated automatically by Doxygen for QuantLib from the source code.

NAME ql/models/shortrate/onefactormodels/coxingersollross.hpp – Cox-Ingersoll-Ross model. SYNOPSIS #include <ql/models/shortrate/onefactormodel.hpp> #include <ql/stochasticprocess.hpp> Classes class CoxIngersollRoss Cox-Ingersoll-Ross model class. class Dynamics Dynamics of the short-rate under the Cox-Ingersoll-Ross model Detailed Description Cox-Ingersoll-Ross model. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::CovarianceDecomposition – Covariance decomposition into correlation and variances. Synopsis #include <ql/math/matrixutilities/getcovariance.hpp> Public Member Functions CovarianceDecomposition (const Matrix &covarianceMatrix, Real tolerance=1.0e-12, SalvagingAlgorithm::Type sa=SalvagingAlgorithm::None) const Array & variances () const const Array & standardDeviations () const const Matrix & correlationMatrix () const Detailed Description Covariance decomposition into correlation and variances. Extracts the correlation matrix and the vector…

QuantLib::Coupon – coupon accruing over a fixed period Synopsis #include <ql/cashflows/coupon.hpp> Inherits QuantLib::CashFlow. Inherited by FixedRateCoupon, and FloatingRateCoupon. Public Member Functions Coupon (Real nominal, const Date &paymentDate, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) Partial CashFlow interface Date date () const Inspectors Real nominal () const const Date & accrualStartDate…

QuantLib::CoterminalSwapCurveState – Curve state for coterminal-swap market models Synopsis #include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp> Inherits QuantLib::CurveState. Public Member Functions CoterminalSwapCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate coterminalSwapRate (Size i)…

Core — The Core widget class Synopsis #include <Xm/Xm.h> Description Core is the Xt Intrinsic base class for windowed widgets. The Object and RectObj classes provide support for windowless widgets. Classes All widgets are built from Core. The class pointer is widgetClass. The class name is Core. New Resources The following table defines a set…

NAME ql/math/interpolations/convexmonotoneinterpolation.hpp – convex monotone interpolation method SYNOPSIS #include <ql/math/interpolation.hpp> #include <map> Classes class ConvexMonotoneInterpolation< I1, I2 > Convex monotone yield-curve interpolation method. class ConvexMonotone Convex-monotone interpolation factory and traits. Detailed Description convex monotone interpolation method Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::ConvexMonotone – Convex-monotone interpolation factory and traits. Synopsis #include <ql/math/interpolations/convexmonotoneinterpolation.hpp> Public Member Functions ConvexMonotone (Real quadraticity=0.3, Real monotonicity=0.7, bool forcePositive=true) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const template<class I1 , class I2 > Interpolation localInterpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin,…

QuantLib::ConvertibleZeroCouponBond – convertible zero-coupon bond Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member Functions ConvertibleZeroCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Description convertible zero-coupon bond Warning Most methods inherited from…

QuantLib::ConvertibleFloatingRateBond – convertible floating-rate bond Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member Functions ConvertibleFloatingRateBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const boost::shared_ptr< IborIndex > &index, Natural fixingDays, const std::vector< Spread > &spreads, const DayCounter &dayCounter, const Schedule &schedule,…

QuantLib::ConvertibleFixedCouponBond – convertible fixed-coupon bond Synopsis #include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::ConvertibleBond. Public Member Functions ConvertibleFixedCouponBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule &dividends, const CallabilitySchedule &callability, const Handle< Quote > &creditSpread, const Date &issueDate, Natural settlementDays, const std::vector< Rate > &coupons, const DayCounter &dayCounter, const Schedule &schedule, Real redemption=100) Detailed Description convertible fixed-coupon bond…

NAME ql/instruments/bonds/convertiblebond.hpp – convertible bond class SYNOPSIS #include <ql/instruments/bond.hpp> #include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/dividendschedule.hpp> #include <ql/instruments/callabilityschedule.hpp> #include <ql/time/schedule.hpp> #include <ql/quote.hpp> Classes class SoftCallability callability leaving to the holder the possibility to convert class ConvertibleBond base class for convertible bonds class ConvertibleZeroCouponBond convertible zero-coupon bond class ConvertibleFixedCouponBond convertible fixed-coupon bond class ConvertibleFloatingRateBond convertible floating-rate bond Detailed Description…

QuantLib::Quantity – Amount of a commodity. Synopsis #include <ql/experimental/commodities/quantity.hpp> Public Member Functions Constructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings…

QuantLib::ConvergenceStatistics – statistics class with convergence table Synopsis #include <ql/math/statistics/convergencestatistics.hpp> Inherits T. Public Types typedef T::value_type value_type typedef std::vector< std::pair< Size, value_type > > table_type Public Member Functions ConvergenceStatistics (const T &stats, const U &rule=U()) ConvergenceStatistics (const U &rule=U()) void add (const value_type &value, Real weight=1.0) template<class DataIterator > void addSequence (DataIterator begin, DataIterator end)…

QuantLib::ContinuousFloatingLookbackOption – Continuous-floating lookback option. Synopsis #include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Arguments for continuous floating lookback option calculation class engine Continuous floating lookback engine base class Public Member Functions ContinuousFloatingLookbackOption (Real currentMinmax, const boost::shared_ptr< TypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected Attributes Real minmax_ Detailed Description…

QuantLib::ContinuousFixedLookbackOption – Continuous-fixed lookback option. Synopsis #include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Arguments for continuous fixed lookback option calculation class engine Continuous fixed lookback engine base class Public Member Functions ContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected Attributes Real minmax_ Detailed Description…

QuantLib::ContinuousAveragingAsianOption – Continuous-averaging Asian option. Synopsis #include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Extra arguments for single-asset continuous-average Asian option. class engine Continuous-averaging Asian engine base class. Public Member Functions ContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected Attributes Average::Type averageType_ Detailed Description Continuous-averaging…

NAME ql/math/optimization/constraint.hpp – Abstract constraint class. SYNOPSIS #include <ql/math/array.hpp> Classes class Constraint Base constraint class. class Impl Base class for constraint implementations. class NoConstraint No constraint. class PositiveConstraint Constraint imposing positivity to all arguments class BoundaryConstraint Constraint imposing all arguments to be in [low,high] class CompositeConstraint Constraint enforcing both given sub-constraints Detailed Description Abstract constraint…

QuantLib::ConstantSwaptionVolatility – Constant swaption volatility, no time-strike dependence. Synopsis #include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp> Inherits QuantLib::SwaptionVolatilityStructure. Public Member Functions ConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc)…