Linux Manuals session 3

QuantLib::Interpolation2D – base class for 2-D interpolations. Synopsis Real operator() (Real x, Real y, bool allowExtrapolation=false) const Real xMin () const Real xMax () const std::vector< Real > xValues () const Size locateX (Real x) const Real yMin () const Real yMax () const std::vector< Real > yValues () const Size locateY (Real y) const…

QuantLib::YyiisInflationHelper – Year-on-year inflation-swap bootstrap helper. Synopsis #include <ql/termstructures/inflation/inflationhelpers.hpp> Inherits BootstrapHelper< YoYInflationTermStructure >. Public Member Functions YyiisInflationHelper (const Handle< Quote > &quote, const Period &lag, const Date &maturity, Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dayCounter, Frequency frequency) void setTermStructure (YoYInflationTermStructure *) sets the term structure to be used for pricing Real impliedQuote…

QuantLib::InterpolatedYoYInflationCurve – Inflation term structure based on interpolated year-on-year rates. Synopsis const std::vector< Date > & dates () const const std::vector< Time > & times () const const std::vector< Rate > & rates () const std::vector< std::pair< Date, Rate > > nodes () const Protected Member Functions InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const…

QuantLib::YoYInflationTermStructure – Base class for year-on-year inflation term structures. Synopsis Rate yoyRate (const Date &d, bool extrapolate=false) const year-on-year inflation rate Rate yoyRate (Time time, bool extrapolate=false) const Protected Member Functions virtual Rate yoyRateImpl (Time time) const =0 to be defined in derived classes Inherits QuantLib::InflationTermStructure. Inherited by InterpolatedYoYInflationCurve< Interpolator >, and InterpolatedYoYInflationCurve< Interpolator >….

y0, y0f, y0l, y1, y1f, y1l, yn, ynf, ynl – Bessel functions of the second kind Synopsis #include <math.h> double y0(double x); double y1(double x); double yn(int n, double x); float y0f(float x); float y1f(float x); float ynf(int n, float x); long double y0l(long double x); long double y1l(long double x); long double ynl(int n,…

y0, y0f, y0l, y1, y1f, y1l, yn, ynf, ynl – Bessel functions of the second kind Synopsis #include <math.h> double y0(double x); double y1(double x); double yn(int n, double x); float y0f(float x); float y1f(float x); float ynf(int n, float x); long double y0l(long double x); long double y1l(long double x); long double ynl(int n,…

y0, y0f, y0l, y1, y1f, y1l, yn, ynf, ynl – Bessel functions of the second kind Synopsis #include <math.h> double y0(double x); double y1(double x); double yn(int n, double x); float y0f(float x); float y1f(float x); float ynf(int n, float x); long double y0l(long double x); long double y1l(long double x); long double ynl(int n,…

Term structures – Classes class InterpolatedDiscountCurve< Interpolator > Term structure based on interpolation of discount factors. class FittedBondDiscountCurve Discount curve fitted to a set of fixed-coupon bonds. class FlatForward Flat interest-rate curve. class InterpolatedForwardCurve< Interpolator > Term structure based on interpolation of forward rates. class ForwardSpreadedTermStructure Term structure with added spread on the instantaneous forward…

QuantLib::CashFlows – cashflow-analysis functions Synopsis #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const…

QuantLib::InflationSwap – Abstract base class for inflation swaps. Synopsis InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const =0 Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member Functions InflationSwap…

QuantLib::Bond – Base bond class. Synopsis Real cleanPrice () const theoretical clean price Real dirtyPrice () const theoretical dirty price Real settlementValue () const theoretical settlement value Rate yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100) const theoretical bond yield Real cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq,…

QuantLib::LexicographicalView – Lexicographical 2-D view of a contiguous set of data. Synopsis #include <ql/math/lexicographicalview.hpp> Public Types typedef RandomAccessIterator x_iterator iterates over $ v_{ij} $ with $ j $ fixed. typedef boost::reverse_iterator< RandomAccessIterator > reverse_x_iterator iterates backwards over $ v_{ij} $ with $ j $ fixed. typedef step_iterator< RandomAccessIterator > y_iterator iterates over $ v_{ij} $…

QuantLib::Period – Synopsis #include <ql/time/period.hpp> Public Member Functions Period (Integer n, TimeUnit units) Period (Frequency f) Integer length () const TimeUnit units () const Frequency frequency () const Period & operator+= (const Period &) Period & operator-= (const Period &) Period & operator/= (Integer) void normalize () Related Functions (Note that these are not member…

QuantLib::GarmanKlassAbstract – Garman-Klass volatility model. Synopsis virtual Real calculatePoint (const IntervalPrice &p)=0 Protected Attributes Inherits QuantLib::LocalVolatilityEstimator<IntervalPrice>. Inherited by GarmanKlassSigma4, GarmanKlassSigma5, GarmanKlassSimpleSigma, and ParkinsonSigma. Public Member Functions GarmanKlassAbstract (Real y) TimeSeries< Volatility > calculate (const TimeSeries< IntervalPrice > &quoteSeries) Protected Member Functions virtual Real calculatePoint (const IntervalPrice &p)=0 Protected Attributes Real yearFraction_ Detailed Description Garman-Klass volatility…

QuantLib::DayCounter – day counter class Synopsis bool empty () const Returns whether or not the day counter is initialized. std::string name () const Returns the name of the day counter. BigInteger dayCount (const Date &, const Date &) const Returns the number of days between two dates. Time yearFraction (const Date &, const Date &,…

QuantLib::LexicographicalView – Lexicographical 2-D view of a contiguous set of data. Synopsis #include <ql/math/lexicographicalview.hpp> Public Types typedef RandomAccessIterator x_iterator iterates over $ v_{ij} $ with $ j $ fixed. typedef boost::reverse_iterator< RandomAccessIterator > reverse_x_iterator iterates backwards over $ v_{ij} $ with $ j $ fixed. typedef step_iterator< RandomAccessIterator > y_iterator iterates over $ v_{ij} $…

QuantLib::LexicographicalView – Lexicographical 2-D view of a contiguous set of data. Synopsis #include <ql/math/lexicographicalview.hpp> Public Types typedef RandomAccessIterator x_iterator iterates over $ v_{ij} $ with $ j $ fixed. typedef boost::reverse_iterator< RandomAccessIterator > reverse_x_iterator iterates backwards over $ v_{ij} $ with $ j $ fixed. typedef step_iterator< RandomAccessIterator > y_iterator iterates over $ v_{ij} $…

QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis OneFactorCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) virtual Real density (Real m) const =0 Density function of M. virtual Real cumulativeZ (Real z) const =0 Cumulative distribution of Z. virtual Real cumulativeY (Real y) const Cumulative distribution of Y. virtual Real inverseCumulativeY…

QuantLib::Interpolation::Impl – abstract base class for interpolation implementations Synopsis virtual void update ()=0 virtual Real xMin () const =0 virtual Real xMax () const =0 virtual std::vector< Real > xValues () const =0 virtual std::vector< Real > yValues () const =0 virtual bool isInRange (Real) const =0 virtual Real value (Real) const =0 virtual Real…

QuantLib::LexicographicalView – Lexicographical 2-D view of a contiguous set of data. Synopsis #include <ql/math/lexicographicalview.hpp> Public Types typedef RandomAccessIterator x_iterator iterates over $ v_{ij} $ with $ j $ fixed. typedef boost::reverse_iterator< RandomAccessIterator > reverse_x_iterator iterates backwards over $ v_{ij} $ with $ j $ fixed. typedef step_iterator< RandomAccessIterator > y_iterator iterates over $ v_{ij} $…