Section 3: library functions
ql/experimental/commodities/commodityindex.hpp – Commodity index. Synopsis#include <ql/experimental/commodities/commoditycurve.hpp> #include <ql/indexes/indexmanager.hpp> Classesclass CommodityIndex base class for commodity indexes Functionsbool operator== (const CommodityIndex &i1, const CommodityIndex &i2) Detailed DescriptionCommodity index. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/experimental/commodities/commoditycurve.hpp – Commodity curve. Synopsis#include <ql/termstructure.hpp> #include <ql/experimental/commodities/commoditytype.hpp> #include <ql/experimental/commodities/unitofmeasure.hpp> #include <ql/experimental/commodities/exchangecontract.hpp> #include <ql/currency.hpp> #include <ql/math/interpolations/forwardflatinterpolation.hpp> Classesclass CommodityCurve Commodity term structure. Functionsbool operator== (const CommodityCurve &c1, const CommodityCurve &c2) Detailed DescriptionCommodity curve. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/experimental/commodities/commoditycashflow.hpp – Commodity cash flow. Synopsis#include <ql/cashflow.hpp> #include <ql/money.hpp> #include <map> Typedefstypedef std::map< Date, boost::shared_ptr< CommodityCashFlow > > CommodityCashFlows Functionsstd::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) Detailed DescriptionCommodity cash flow. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
ql/experimental/commodities/commodity.hpp – Commodity base class. Synopsis#include <ql/instrument.hpp> #include <ql/money.hpp> #include <vector> #include <ostream> Classesclass Commodity Commodity base class. Typedefstypedef std::map< std::string, boost::any > SecondaryCosts typedef std::map< std::string, Money > SecondaryCostAmounts typedef std::vector< PricingError > PricingErrors Functionsstd::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) std::ostream & operator<< (std::ostream &out, const PricingError &error) std::ostream & operator<< (std::ostream…
QuantLib::CmsRateBond – CMS-rate bond. Synopsis#include <ql/instruments/bonds/cmsratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsCmsRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter, 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 std::vector< Rate > &caps=std::vector< Rate >(),…
QuantLib::CmsMarket – set of CMS quotes Synopsis#include <ql/termstructures/volatility/swaption/cmsmarket.hpp> Inherits QuantLib::LazyObject. Public Member FunctionsCmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS) void reprice (const Handle<…
QuantLib::CmsLeg – helper class building a sequence of capped/floored cms-rate coupons Synopsis#include <ql/cashflows/cmscoupon.hpp> Public Member FunctionsCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &swapIndex) CmsLeg & withNotionals (Real notional) CmsLeg & withNotionals (const std::vector< Real > ¬ionals) CmsLeg & withPaymentDayCounter (const DayCounter &) CmsLeg & withPaymentAdjustment (BusinessDayConvention) CmsLeg & withFixingDays (Natural fixingDays) CmsLeg & withFixingDays…
QuantLib::CmsCouponPricer – base pricer for vanilla CMS coupons Synopsis#include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::FloatingRateCouponPricer. Inherited by HaganPricer. Public Member FunctionsCmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Handle< SwaptionVolatilityStructure > swaptionVolatility () const void setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Detailed Descriptionbase pricer for vanilla CMS coupons AuthorGenerated automatically by Doxygen for QuantLib from the…
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,…