Section 3: library functions
QuantLib::Swap – Interest rate swap. Synopsis void setupExpired () const Protected Attributes Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member Functions Constructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable….
QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure >…
QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure >…
QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr<…
QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr<…
QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis void performCalculations () const Protected Attributes Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr<…
QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis 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(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true) Spread fairSpread () const Real floatingLegBPS () const Real fairPrice () const Spread spread () const Real…
Design patterns – Classes class Composite< T > Composite pattern. class CuriouslyRecurringTemplate< Impl > Support for the curiously recurring template pattern. class LazyObject Framework for calculation on demand and result caching. class Observable Object that notifies its changes to a set of observables. class Observer Object that gets notified when a given observable changes. class…
QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions LongstaffSchwartzPathPricer (const TimeGrid ×, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributes bool…
libpathplan – finds and smooths shortest paths Synopsis #include <graphviz/pathplan.h> typedef struct Pxy_t { double x, y; } Pxy_t; typedef struct Pxy_t Ppoint_t; typedef struct Pxy_t Pvector_t; typedef struct Ppoly_t { Ppoint_t *ps; int pn; } Ppoly_t; typedef Ppoly_t Ppolyline_t; typedef struct Pedge_t { Ppoint_t a, b; } Pedge_t; typedef struct vconfig_s vconfig_t; #define POLYID_NONE…
fpathconf, pathconf – get configuration values for files Synopsis #include <unistd.h> long fpathconf(int fd, int name); long pathconf(const char *path, int name); Description fpathconf() gets a value for the configuration option name for the open file descriptor fd. pathconf() gets a value for configuration option name for the filename path. The corresponding macros defined in…
QuantLib::SingleVariate – default Monte Carlo traits for single-variate models Synopsis enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef RNG::rsg_type rsg_type typedef PathGenerator< rsg_type > path_generator_type Public Types enum { allowsErrorEstimate = RNG::allowsErrorEstimate } typedef RNG rng_traits typedef Path path_type typedef PathPricer< path_type > path_pricer_type typedef…
path_to_handle, path_to_fshandle, fd_to_handle, handle_to_fshandle, open_by_handle, readlink_by_handle, attr_multi_by_handle, attr_list_by_handle, fssetdm_by_handle, free_handle, getparents_by_handle, getparentpaths_by_handle – file handle operations C Synopsis #include <sys/types.h> #include <xfs/handle.h> int path_to_handle(char *path, void **hanp, size_t *hlen); int path_to_fshandle(char *path, void **hanp, size_t *hlen); int fd_to_handle(int fd, void **hanp, size_t *hlen); int handle_to_fshandle(void *hanp, size_t hlen, void **fshanp, size_t *fshlen); int open_by_handle(void *hanp,…
QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis #include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPathBasketEngine (Size timeSteps, bool brownianBridge,…
QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis #include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPathBasketEngine (Size timeSteps, bool brownianBridge,…
QuantLib::MultiPath – Correlated multiple asset paths. Synopsis const Path & operator[] (Size j) const const Path & at (Size j) const Path & operator[] (Size j) Path & at (Size j) Public Member Functions MultiPath (Size nAsset, const TimeGrid &timeGrid) MultiPath (const std::vector< Path > &multiPath) inspectors Size assetNumber () const Size pathSize () const…
QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis #include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Types typedef EarlyExerciseTraits< PathType >::StateType StateType Public Member Functions LongstaffSchwartzPathPricer (const TimeGrid ×, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributes bool…
QuantLib::MCPathBasketEngine – Pricing engine for path dependent basket options using Monte Carlo simulation. Synopsis #include <ql/experimental/mcbasket/mcpathbasketengine.hpp> Inherits QuantLib::PathMultiAssetOption::engine, and McSimulation< MultiVariate, RNG, S >. Public Types typedef McSimulation< MultiVariate, RNG, S >::path_generator_type path_generator_type typedef McSimulation< MultiVariate, RNG, S >::path_pricer_type path_pricer_type typedef McSimulation< MultiVariate, RNG, S >::stats_type stats_type Public Member Functions MCPathBasketEngine (Size timeSteps, bool brownianBridge,…
QuantLib::PathMultiAssetOption – Base class for path-dependent options on multiple assets. Synopsis PathMultiAssetOption (const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) Instrument interface boost::shared_ptr< StochasticProcess > stochasticProcess_ bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const virtual boost::shared_ptr< PathPayoff > pathPayoff () const =0 virtual…
QuantLib::DiscreteAveragingAsianOption – Discrete-averaging Asian option. Synopsis #include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classes class arguments Extra arguments for single-asset discrete-average Asian option. class engine Discrete-averaging Asian engine base class. Public Member Functions DiscreteAveragingAsianOption (Average::Type averageType, Real runningAccumulator, Size pastFixings, const std::vector< Date > &fixingDates, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments…