Linux Manuals session 3

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::Date – Concrete date class. Synopsis#include <ql/time/date.hpp> Public Member Functionsconstructors Date () Default constructor returning a null date. Date (BigInteger serialNumber) Constructor taking a serial number as given by Applix or Excel. Date (Day d, Month m, Year y) More traditional constructor. inspectors Weekday weekday () const Day dayOfMonth () const Day dayOfYear () const…

QuantLib::SphereCylinderOptimizer – Synopsis#include <ql/math/optimization/spherecylinder.hpp> Public Member FunctionsSphereCylinderOptimizer (Real r, Real s, Real alpha, Real z1, Real z2, Real z3, Real zweight=1.0) bool isIntersectionNonEmpty () const void findClosest (Size maxIterations, Real tolerance, Real &y1, Real &y2, Real &y3) const bool findByProjection (Real &y1, Real &y2, Real &y3) const Detailed Description* we are in r^3 sphere centred…

QuantLib::MarketModelComposite – Composition of two or more market-model products. Synopsis#include <ql/models/marketmodels/products/compositeproduct.hpp> Inherits QuantLib::MarketModelMultiProduct. Inherited by MultiProductComposite, and SingleProductComposite. Public Member FunctionsMarketModelMultiProduct interface const EvolutionDescription & evolution () const std::vector< Size > suggestedNumeraires () const std::vector< Time > possibleCashFlowTimes () const void reset () during simulation put product at start of path Composite facilities void add…

QuantLib::Interpolation – base class for 1-D interpolations. Synopsis#include <ql/math/interpolation.hpp> Inherits QuantLib::Extrapolator. Inherited by BackwardFlatInterpolation, ConvexMonotoneInterpolation< I1, I2 >, CubicInterpolation, ForwardFlatInterpolation, LinearInterpolation, LogCubicInterpolation, LogLinearInterpolation, and SABRInterpolation. Classesclass Impl abstract base class for interpolation implementations class templateImpl basic template implementation Public Typestypedef Real argument_type typedef Real result_type Public Member Functionsbool empty () const Real operator() (Real x,…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…

QuantLib::FloatingRateCoupon – base floating-rate coupon class Synopsis#include <ql/cashflows/floatingratecoupon.hpp> Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon. Public Member FunctionsFloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const…

QuantLib::IMM – Main cycle of the International Money Market (a.k.a. IMM) months. Synopsis#include <ql/time/imm.hpp> Public Typesenum Month { F = 1, G = 2, H = 3, J = 4, K = 5, M = 6, N = 7, Q = 8, U = 9, V = 10, X = 11, Z = 12 }…

QuantLib::IMM – Main cycle of the International Money Market (a.k.a. IMM) months. Synopsis#include <ql/time/imm.hpp> Public Typesenum Month { F = 1, G = 2, H = 3, J = 4, K = 5, M = 6, N = 7, Q = 8, U = 9, V = 10, X = 11, Z = 12 }…

QuantLib::Calendar – calendar class Synopsis#include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classesclass Impl abstract base class for calendar implementations class OrthodoxImpl…

QuantLib::VegaBumpCollection – Synopsis#include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp> Public Member FunctionsVegaBumpCollection (const boost::shared_ptr< MarketModel > &volStructure, bool allowFactorwiseBumping=true) VegaBumpCollection (const std::vector< VegaBumpCluster > &allBumps, const boost::shared_ptr< MarketModel > &volStructure) Size numberBumps () const const boost::shared_ptr< MarketModel > & associatedModel () const const std::vector< VegaBumpCluster > & allBumps () const bool isFull () const bool isNonOverlapping () const bool isSensible…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

QuantLib::EnergyFuture – Energy future. Synopsis#include <ql/experimental/commodities/energyfuture.hpp> Inherits QuantLib::EnergyCommodity. Public Member FunctionsEnergyFuture (Integer buySell, const Quantity &quantity, const CommodityUnitCost &tradePrice, const boost::shared_ptr< CommodityIndex > &index, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts) bool isExpired () const returns whether the instrument is still tradable. Quantity quantity () const const CommodityUnitCost & tradePrice () const const boost::shared_ptr<…

QuantLib::Calendar – calendar class Synopsis#include <ql/time/calendar.hpp> Inherited by Argentina, Australia, BespokeCalendar, Brazil, Canada, China, CzechRepublic, Denmark, Finland, Germany, HongKong, Hungary, Iceland, India, Indonesia, Italy, Japan, JointCalendar, Mexico, NewZealand, Norway, NullCalendar, Poland, SaudiArabia, Singapore, Slovakia, SouthAfrica, SouthKorea, Sweden, Switzerland, Taiwan, TARGET, Turkey, Ukraine, UnitedKingdom, and UnitedStates. Classesclass Impl abstract base class for calendar implementations class OrthodoxImpl…

QuantLib::DateInterval – Date interval described by a number of a given time unit. Synopsis#include <ql/experimental/commodities/dateinterval.hpp> Inherited by PricingPeriod. Public Member FunctionsDateInterval (const Date &startDate, const Date &endDate) const Date & startDate () const const Date & endDate () const bool isDateBetween (Date date, bool includeFirst=true, bool includeLast=true) const DateInterval intersection (const DateInterval &di) const bool…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis#include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member FunctionsCappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor () const effective…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…