Linux Manuals session 3

QuantLib::BatesEngine – Bates model engines based on Fourier transform. Synopsis#include <ql/pricingengines/vanilla/batesengine.hpp> Inherits QuantLib::AnalyticHestonEngine. Inherited by BatesDetJumpEngine. Public Member FunctionsBatesEngine (const boost::shared_ptr< BatesModel > &model, Size integrationOrder=144) BatesEngine (const boost::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations) Protected Member Functionsstd::complex< Real > addOnTerm (Real phi, Time t, Size j) const Detailed DescriptionBates model engines based on…

QuantLib::BasketOption – Basket option on a number of assets. Synopsis#include <ql/instruments/basketoption.hpp> Inherits QuantLib::MultiAssetOption. Classesclass engine Basket-option engine base class Public Member FunctionsBasketOption (const boost::shared_ptr< BasketPayoff > &, const boost::shared_ptr< Exercise > &) Detailed DescriptionBasket option on a number of assets. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Basket – Synopsis#include <ql/experimental/credit/basket.hpp> Public Member FunctionsBasket (const std::vector< std::string > &names, const std::vector< Real > &notionals, const boost::shared_ptr< Pool > pool, Real attachmentRatio=0.0, Real detachmentRatio=1.0) Size size () const const std::vector< std::string > & names () const const std::vector< Real > & notionals () const Real notional () boost::shared_ptr< Pool > pool () const…

QuantLib::BarrierOption::engine – Barrier-option engine base class Synopsis#include <ql/instruments/barrieroption.hpp> Inherits GenericEngine< BarrierOption::arguments, BarrierOption::results >. Inherited by AnalyticBarrierEngine, MCBarrierEngine< RNG, S >, and PerturbativeBarrierOptionEngine. Protected Member Functionsbool triggered (Real underlying) const Detailed DescriptionBarrier-option engine base class AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BarrierOption::arguments – Arguments for barrier option calculation Synopsis#include <ql/instruments/barrieroption.hpp> Inherits OneAssetOption::arguments. Inherited by arguments. Public Member Functionsvoid validate () const Public AttributesBarrier::Type barrierType Real barrier Real rebate Detailed DescriptionArguments for barrier option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BarrierOption – Barrier option on a single asset. Synopsis#include <ql/instruments/barrieroption.hpp> Inherits QuantLib::OneAssetOption. Inherited by DividendBarrierOption, and QuantoBarrierOption. Classesclass arguments Arguments for barrier option calculation class engine Barrier-option engine base class Public Member FunctionsBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Volatility…

QuantLib::BaroneAdesiWhaleyApproximationEngine – Barone-Adesi and Whaley pricing engine for American options (1987). Synopsis#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsBaroneAdesiWhaleyApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Static Public Member Functionsstatic Real criticalPrice (const boost::shared_ptr< StrikedTypePayoff > &payoff, DiscountFactor riskFreeDiscount, DiscountFactor dividendDiscount, Real variance, Real tolerance=1e-6) Detailed DescriptionBarone-Adesi and Whaley pricing engine for American options…

QuantLib::BackwardFlatInterpolation – Backward-flat interpolation between discrete points. Synopsis#include <ql/math/interpolations/backwardflatinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > BackwardFlatInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed DescriptionBackward-flat interpolation between discrete points. Constructor & Destructor DocumentationBackwardFlatInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)Precondition: the $ x $…

QuantLib::BackwardFlat – Backward-flat interpolation factory and traits. Synopsis#include <ql/math/interpolations/backwardflatinterpolation.hpp> Public Member Functionstemplate<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = false static const Size requiredPoints = 2 Detailed DescriptionBackward-flat interpolation factory and traits. AuthorGenerated automatically by Doxygen for QuantLib…

QuantLib::BSpline – B-spline basis functions. Synopsis#include <ql/math/bspline.hpp> Public Member FunctionsBSpline (Natural p, Natural n, const std::vector< Real > &knots) Real operator() (Natural i, Real x) const Detailed DescriptionB-spline basis functions. Follows treatment and notation from: Weisstein, Eric W. ‘B-Spline.’ From MathWorld–A Wolfram Web Resource. <http://mathworld.wolfram.com/B-Spline.html> $ (p+1) $-th order B-spline (or p degree polynomial) basis…

QuantLib::BSMOperator – Black-Scholes-Merton differential operator. Synopsis#include <ql/methods/finitedifferences/bsmoperator.hpp> Inherits QuantLib::TridiagonalOperator. Public Member FunctionsBSMOperator (Size size, Real dx, Rate r, Rate q, Volatility sigma) BSMOperator (const Array &grid, const boost::shared_ptr< GeneralizedBlackScholesProcess > &, Time residualTime) Detailed DescriptionBlack-Scholes-Merton differential operator. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsBMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) RateHelper interface Real impliedQuote () const void…

QuantLib::BMASwap – swap paying Libor against BMA coupons Synopsis#include <ql/instruments/bmaswap.hpp> Inherits QuantLib::Swap. Public Typesenum Type { Receiver = -1, Payer = 1 } Public Member FunctionsBMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::shared_ptr< BMAIndex > &bmaIndex, const DayCounter…

QuantLib::BMAIndex – Bond Market Association index. Synopsis#include <ql/indexes/bmaindex.hpp> Inherits QuantLib::InterestRateIndex. Public Member FunctionsBMAIndex (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Index interface std::string name () const bool isValidFixingDate (const Date &fixingDate) const returns TRUE if the fixing date is a valid one InterestRateIndex interface Handle< YieldTermStructure > termStructure () const Date maturityDate (const Date &valueDate)…

QuantLib::AverageBMALeg – helper class building a sequence of average BMA coupons Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Public Member FunctionsAverageBMALeg (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 & withGearings…

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…

QuantLib::Australia – Australian calendar. Synopsis#include <ql/time/calendars/australia.hpp> Inherits QuantLib::Calendar. Detailed DescriptionAustralian calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Australia Day, January 26th (possibly moved to Monday) * Good Friday * Easter Monday * ANZAC Day. April 25th (possibly moved to Monday) * Queen’s Birthday, second Monday in June * Bank…

QuantLib::AssetSwap::results – Results from simple swap calculation Synopsis#include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::results. Public Member Functionsvoid reset () Public AttributesSpread fairSpread Real fairPrice Detailed DescriptionResults from simple swap calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::AssetSwap::arguments – Arguments for asset swap calculation Synopsis#include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::arguments. Public Member Functionsvoid validate () const Public AttributesReal nominal Date settlementDate std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Real > fixedCoupons std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Spread > floatingSpreads Rate…

QuantLib::AssetSwap – Bullet bond vs Libor swap. Synopsis#include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap. Classesclass arguments Arguments for asset swap calculation class results Results from simple swap calculation Public Member FunctionsAssetSwap (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(),…