Section 3: library functions
QuantLib::Option::arguments – basic option arguments Synopsis#include <ql/option.hpp> Inherits QuantLib::PricingEngine::arguments. Inherited by arguments, arguments, arguments, and arguments. Public Member Functionsvoid validate () const Public Attributesboost::shared_ptr< Payoff > payoff boost::shared_ptr< Exercise > exercise Detailed Descriptionbasic option arguments AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::Option – base option class Synopsis#include <ql/option.hpp> Inherits QuantLib::Instrument. Inherited by MultiAssetOption, OneAssetOption, and Swaption. Classesclass arguments basic option arguments Public Typesenum Type { Put = -1, Call = 1 } Public Member FunctionsOption (const boost::shared_ptr< Payoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const boost::shared_ptr< Payoff > payoff () boost::shared_ptr<…
QuantLib::OptimizationMethod – Abstract class for constrained optimization method. Synopsis#include <ql/math/optimization/method.hpp> Inherited by LevenbergMarquardt, LineSearchBasedMethod, and Simplex. Public Member Functionsvirtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)=0 minimize the optimization problem P Detailed DescriptionAbstract class for constrained optimization method. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::OperatorFactory – Black-Scholes-Merton differential operator. Synopsis#include <ql/methods/finitedifferences/operatorfactory.hpp> Static Public Member Functionsstatic TridiagonalOperator getOperator (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const Array &grid, Time residualTime, bool timeDependent) static TridiagonalOperator getOperator (const boost::shared_ptr< OneFactorModel::ShortRateDynamics > &process, const Array &grid) Detailed DescriptionBlack-Scholes-Merton differential operator. Tests coefficients are tested against constant BSM operatorAuthorGenerated automatically by Doxygen for QuantLib from the…
QuantLib::OneFactorStudentGaussianCopula – One-factor Student t – Gaussian Copula. Synopsis#include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorStudentGaussianCopula (const Handle< Quote > &correlation, int nm, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed DescriptionOne-factor Student t – Gaussian Copula. The copula model […
QuantLib::OneFactorStudentCopula – One-factor Double Student t-Copula. Synopsis#include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorStudentCopula (const Handle< Quote > &correlation, int nz, int nm, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed DescriptionOne-factor Double Student t-Copula. The copula model [ Y_i =…
QuantLib::OneFactorModel::ShortRateTree – Recombining trinomial tree discretizing the state variable. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> Inherits TreeLattice1D< OneFactorModel::ShortRateTree >. Public Member FunctionsShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const TimeGrid &timeGrid) Plain tree build-up from short-rate dynamics. ShortRateTree (const boost::shared_ptr< TrinomialTree > &tree, const boost::shared_ptr< ShortRateDynamics > &dynamics, const boost::shared_ptr< TermStructureFittingParameter::NumericalImpl > &phi, const TimeGrid…
QuantLib::OneFactorModel::ShortRateDynamics – Base class describing the short-rate dynamics. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> Inherited by Dynamics, Dynamics, Dynamics, and Dynamics. Public Member FunctionsShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &process) virtual Real variable (Time t, Rate r) const =0 Compute state variable from short rate. virtual Rate shortRate (Time t, Real variable) const =0 Compute short rate from state variable….
QuantLib::OneFactorModel – Single-factor short-rate model abstract class. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::ShortRateModel. Inherited by BlackKarasinski, and OneFactorAffineModel. Classesclass ShortRateDynamics Base class describing the short-rate dynamics. class ShortRateTree Recombining trinomial tree discretizing the state variable. Public Member FunctionsOneFactorModel (Size nArguments) virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0 returns the short-rate dynamics boost::shared_ptr< Lattice > tree (const…
QuantLib::OneFactorGaussianStudentCopula – One-factor Gaussian-Student t-Copula. Synopsis#include <ql/experimental/credit/onefactorstudentcopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorGaussianStudentCopula (const Handle< Quote > &correlation, int nz, Real maximum=10, Size integrationSteps=200) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Detailed DescriptionOne-factor Gaussian-Student t-Copula. The copula model [ Y_i = a_i,M+qrt{1-a_i^2}:Z_i ] is specified…
QuantLib::OneFactorGaussianCopula – One-factor Gaussian Copula. Synopsis#include <ql/experimental/credit/onefactorgaussiancopula.hpp> Inherits QuantLib::OneFactorCopula. Public Member FunctionsOneFactorGaussianCopula (const Handle< Quote > &correlation, Real maximum=5, Size integrationSteps=50) Real density (Real m) const Density function of M. Real cumulativeZ (Real z) const Cumulative distribution of Z. Real cumulativeY (Real y) const Real testCumulativeY (Real y) const Real inverseCumulativeY (Real p) const Detailed…
QuantLib::OneFactorCopula – Abstract base class for one-factor copula models. Synopsis#include <ql/experimental/credit/onefactorcopula.hpp> Inherits QuantLib::LazyObject. Inherited by OneFactorGaussianCopula, OneFactorGaussianStudentCopula, OneFactorStudentCopula, and OneFactorStudentGaussianCopula. Public Member FunctionsOneFactorCopula (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…
QuantLib::OneFactorAffineModel – Single-factor affine base class. Synopsis#include <ql/models/shortrate/onefactormodel.hpp> Inherits QuantLib::OneFactorModel, and QuantLib::AffineModel. Inherited by CoxIngersollRoss, and Vasicek. Public Member FunctionsOneFactorAffineModel (Size nArguments) virtual Real discountBond (Time now, Time maturity, Array factors) const Real discountBond (Time now, Time maturity, Rate rate) const DiscountFactor discount (Time t) const Implied discount curve. Protected Member Functionsvirtual Real A (Time…
QuantLib::OneAssetOption – Base class for options on a single asset. Synopsis#include <ql/instruments/oneassetoption.hpp> Inherits QuantLib::Option. Inherited by BarrierOption, CliquetOption, ContinuousAveragingAsianOption, ContinuousFixedLookbackOption, ContinuousFloatingLookbackOption, option, DiscreteAveragingAsianOption, DividendVanillaOption, ForwardVanillaOption, QuantoVanillaOption, and VanillaOption. Classesclass results Results from single-asset option calculation Public Member FunctionsOneAssetOption (const boost::shared_ptr< Payoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const Instrument…
QuantLib::Observer – Object that gets notified when a given observable changes. Synopsis#include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >,…
QuantLib::ObservableValue – observable and assignable proxy to concrete value Synopsis#include <ql/utilities/observablevalue.hpp> Public Member FunctionsObservableValue (const T &) ObservableValue (const ObservableValue< T > &) operator T () const implicit conversion operator boost::shared_ptr< Observable > () const const T & value () const explicit inspector controlled assignment ObservableValue< T > & operator= (const T &) ObservableValue< T…
QuantLib::Observable – Object that notifies its changes to a set of observables. Synopsis#include <ql/patterns/observable.hpp> Inherited by BootstrapHelper< DefaultProbabilityTermStructure >, BootstrapHelper< YieldTermStructure >, BootstrapHelper< YoYInflationTermStructure >, BootstrapHelper< ZeroInflationTermStructure >, AffineModel [virtual], BootstrapHelper< TS >, CalibratedModel [virtual], CalibrationHelper, Claim, CommodityIndex, Event, FloatingRateCouponPricer [virtual], Link, Index, LazyObject [virtual], MarketModelFactory, PricingEngine, Quote [virtual], SmileSection [virtual], StochasticProcess, TermStructure [virtual], and…
QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member FunctionsNumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const virtual Real…
QuantLib::NullPayoff – Dummy payoff class. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::Payoff. Public Member FunctionsPayoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionDummy payoff class. Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison between payoffs. It is not…
QuantLib::NullCondition – null step condition Synopsis#include <ql/methods/finitedifferences/stepcondition.hpp> Inherits StepCondition< array_type >. Public Member Functionsvoid applyTo (array_type &, Time) const Detailed Descriptiontemplate<class array_type> class QuantLib::NullCondition< array_type >null step condition AuthorGenerated automatically by Doxygen for QuantLib from the source code.