Linux Manuals session 3

QuantLib::MakeSwaption – helper class Synopsis MakeSwaption (const boost::shared_ptr< SwapIndex > &swapIndex, const Period &optionTenor, Rate strike=Null< Rate >()) operator Swaption () const operator boost::shared_ptr< Swaption > () const MakeSwaption & withSettlementType (Settlement::Type delivery) MakeSwaption & withOptionConvention (BusinessDayConvention bdc) MakeSwaption & withExerciseDate (const Date &) MakeSwaption & withPricingEngine (const boost::shared_ptr< PricingEngine > &engine) Public Member Functions…

QuantLib::MakeMCPathBasketEngine – Monte Carlo Path Basket engine factory. Synopsis MakeMCPathBasketEngine & withSteps (Size steps) MakeMCPathBasketEngine & withBrownianBridge (bool b=true) MakeMCPathBasketEngine & withSamples (Size samples) MakeMCPathBasketEngine & withTolerance (Real tolerance) MakeMCPathBasketEngine & withMaxSamples (Size samples) MakeMCPathBasketEngine & withSeed (BigNatural seed) MakeMCPathBasketEngine & withAntitheticVariate (bool b=true) MakeMCPathBasketEngine & withControlVariate (bool b=true) operator boost::shared_ptr< PricingEngine > () const…

QuantLib::MakeMCPathBasketEngine – Monte Carlo Path Basket engine factory. Synopsis MakeMCPathBasketEngine & withSteps (Size steps) MakeMCPathBasketEngine & withBrownianBridge (bool b=true) MakeMCPathBasketEngine & withSamples (Size samples) MakeMCPathBasketEngine & withTolerance (Real tolerance) MakeMCPathBasketEngine & withMaxSamples (Size samples) MakeMCPathBasketEngine & withSeed (BigNatural seed) MakeMCPathBasketEngine & withAntitheticVariate (bool b=true) MakeMCPathBasketEngine & withControlVariate (bool b=true) operator boost::shared_ptr< PricingEngine > () const…

QuantLib::MakeCapFloor – helper class Synopsis MakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days) operator CapFloor () const operator boost::shared_ptr< CapFloor > () const MakeCapFloor & withNominal (Real n) MakeCapFloor & withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded) MakeCapFloor & withTenor (const Period &t) MakeCapFloor &…

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis DigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg & withFixingDays (const std::vector< Natural…

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis DigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg & withFixingDays (const std::vector< Natural…

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis DigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg & withFixingDays (const std::vector< Natural…

QuantLib::DigitalCmsLeg – helper class building a sequence of digital ibor-rate coupons Synopsis DigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index) DigitalCmsLeg & withNotionals (Real notional) DigitalCmsLeg & withNotionals (const std::vector< Real > &notionals) DigitalCmsLeg & withPaymentDayCounter (const DayCounter &) DigitalCmsLeg & withPaymentAdjustment (BusinessDayConvention) DigitalCmsLeg & withFixingDays (Natural fixingDays) DigitalCmsLeg & withFixingDays (const std::vector< Natural…

QuantLib::MakeCapFloor – helper class Synopsis MakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days) operator CapFloor () const operator boost::shared_ptr< CapFloor > () const MakeCapFloor & withNominal (Real n) MakeCapFloor & withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded) MakeCapFloor & withTenor (const Period &t) MakeCapFloor &…

QuantLib::MakeMCAmericanEngine – Monte Carlo American engine factory. Synopsis MakeMCAmericanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) MakeMCAmericanEngine & withSteps (Size steps) MakeMCAmericanEngine & withStepsPerYear (Size steps) MakeMCAmericanEngine & withSamples (Size samples) MakeMCAmericanEngine & withTolerance (Real tolerance) MakeMCAmericanEngine & withMaxSamples (Size samples) MakeMCAmericanEngine & withSeed (BigNatural seed) MakeMCAmericanEngine & withAntitheticVariate (bool b=true) MakeMCAmericanEngine & withControlVariate (bool b=true) MakeMCAmericanEngine…

QuantLib::AverageBMALeg – helper class building a sequence of average BMA coupons Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Public Member Functions AverageBMALeg (const Schedule &schedule, const boost::shared_ptr< BMAIndex > &index) AverageBMALeg & withNotionals (Real notional) AverageBMALeg & withNotionals (const std::vector< Real > &notionals) AverageBMALeg & withPaymentDayCounter (const DayCounter &) AverageBMALeg & withPaymentAdjustment (BusinessDayConvention) AverageBMALeg & withGearings (Real gearing) AverageBMALeg…

QuantLib::AverageBMALeg – helper class building a sequence of average BMA coupons Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Public Member Functions AverageBMALeg (const Schedule &schedule, const boost::shared_ptr< BMAIndex > &index) AverageBMALeg & withNotionals (Real notional) AverageBMALeg & withNotionals (const std::vector< Real > &notionals) AverageBMALeg & withPaymentDayCounter (const DayCounter &) AverageBMALeg & withPaymentAdjustment (BusinessDayConvention) AverageBMALeg & withGearings (Real gearing) AverageBMALeg…

QuantLib::MakeSwaption – helper class Synopsis MakeSwaption (const boost::shared_ptr< SwapIndex > &swapIndex, const Period &optionTenor, Rate strike=Null< Rate >()) operator Swaption () const operator boost::shared_ptr< Swaption > () const MakeSwaption & withSettlementType (Settlement::Type delivery) MakeSwaption & withOptionConvention (BusinessDayConvention bdc) MakeSwaption & withExerciseDate (const Date &) MakeSwaption & withPricingEngine (const boost::shared_ptr< PricingEngine > &engine) Public Member Functions…

QuantLib::RangeAccrualLeg – helper class building a sequence of range-accrual floating-rate coupons Synopsis #include <ql/cashflows/rangeaccrual.hpp> Public Member Functions RangeAccrualLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) RangeAccrualLeg & withNotionals (Real notional) RangeAccrualLeg & withNotionals (const std::vector< Real > &notionals) RangeAccrualLeg & withPaymentDayCounter (const DayCounter &) RangeAccrualLeg & withPaymentAdjustment (BusinessDayConvention) RangeAccrualLeg & withFixingDays (Natural fixingDays) RangeAccrualLeg…

QuantLib::RangeAccrualLeg – helper class building a sequence of range-accrual floating-rate coupons Synopsis #include <ql/cashflows/rangeaccrual.hpp> Public Member Functions RangeAccrualLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) RangeAccrualLeg & withNotionals (Real notional) RangeAccrualLeg & withNotionals (const std::vector< Real > &notionals) RangeAccrualLeg & withPaymentDayCounter (const DayCounter &) RangeAccrualLeg & withPaymentAdjustment (BusinessDayConvention) RangeAccrualLeg & withFixingDays (Natural fixingDays) RangeAccrualLeg…

QuantLib::AverageBMALeg – helper class building a sequence of average BMA coupons Synopsis #include <ql/cashflows/averagebmacoupon.hpp> Public Member Functions AverageBMALeg (const Schedule &schedule, const boost::shared_ptr< BMAIndex > &index) AverageBMALeg & withNotionals (Real notional) AverageBMALeg & withNotionals (const std::vector< Real > &notionals) AverageBMALeg & withPaymentDayCounter (const DayCounter &) AverageBMALeg & withPaymentAdjustment (BusinessDayConvention) AverageBMALeg & withGearings (Real gearing) AverageBMALeg…

QuantLib::MakeCapFloor – helper class Synopsis MakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days) operator CapFloor () const operator boost::shared_ptr< CapFloor > () const MakeCapFloor & withNominal (Real n) MakeCapFloor & withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded) MakeCapFloor & withTenor (const Period &t) MakeCapFloor &…

QuantLib::MakeCapFloor – helper class Synopsis MakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const boost::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days) operator CapFloor () const operator boost::shared_ptr< CapFloor > () const MakeCapFloor & withNominal (Real n) MakeCapFloor & withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded) MakeCapFloor & withTenor (const Period &t) MakeCapFloor &…

QuantLib::MakeMCPathBasketEngine – Monte Carlo Path Basket engine factory. Synopsis MakeMCPathBasketEngine & withSteps (Size steps) MakeMCPathBasketEngine & withBrownianBridge (bool b=true) MakeMCPathBasketEngine & withSamples (Size samples) MakeMCPathBasketEngine & withTolerance (Real tolerance) MakeMCPathBasketEngine & withMaxSamples (Size samples) MakeMCPathBasketEngine & withSeed (BigNatural seed) MakeMCPathBasketEngine & withAntitheticVariate (bool b=true) MakeMCPathBasketEngine & withControlVariate (bool b=true) operator boost::shared_ptr< PricingEngine > () const…

QuantLib::RangeAccrualLeg – helper class building a sequence of range-accrual floating-rate coupons Synopsis #include <ql/cashflows/rangeaccrual.hpp> Public Member Functions RangeAccrualLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) RangeAccrualLeg & withNotionals (Real notional) RangeAccrualLeg & withNotionals (const std::vector< Real > &notionals) RangeAccrualLeg & withPaymentDayCounter (const DayCounter &) RangeAccrualLeg & withPaymentAdjustment (BusinessDayConvention) RangeAccrualLeg & withFixingDays (Natural fixingDays) RangeAccrualLeg…