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QuantLib::ExtendedCoxIngersollRoss – Extended Cox-Ingersoll-Ross model class. Synopsis#include <ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp> Inherits QuantLib::CoxIngersollRoss, and QuantLib::TermStructureConsistentModel. Classesclass Dynamics Short-rate dynamics in the extended Cox-Ingersoll-Ross model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real x0=0.05)" Public Member FunctionsExtendedCoxIngersollRoss (const Handle< YieldTermStructure > &termStructure, Real theta=0.1, Real k=0.1, Real sigma=0.1, Real…

QuantLib::ExtendedBlackVarianceSurface – Black volatility surface modelled as variance surface. Synopsis#include <ql/experimental/volatility/extendedblackvariancesurface.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Typesenum Extrapolation { ConstantExtrapolation, InterpolatorDefaultExtrapolation } Public Member FunctionsExtendedBlackVarianceSurface (const Date &referenceDate, const Calendar &calendar, const std::vector< Date > &dates, const std::vector< Real > &strikes, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, Extrapolation lowerExtrapolation=InterpolatorDefaultExtrapolation, Extrapolation upperExtrapolation=InterpolatorDefaultExtrapolation) DayCounter dayCounter…

QuantLib::ExtendedBlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis#include <ql/experimental/volatility/extendedblackvariancecurve.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member FunctionsExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true) DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for…

QuantLib::ExtendedBlackScholesMertonProcess – experimental Black-Scholes-Merton stochastic process Synopsis#include <ql/experimental/processes/extendedblackscholesprocess.hpp> Inherits QuantLib::GeneralizedBlackScholesProcess. Public Typesenum Discretization { Euler, Milstein, PredictorCorrector } Public Member FunctionsExtendedBlackScholesMertonProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization), Discretization evolDisc=Milstein) Real drift (Time t,…

QuantLib::ExtendedBinomialTree – Binomial tree base class. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits Tree< T >. Public Typesenum Branches { branches = 2 } Public Member FunctionsExtendedBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) Size size (Size i) const Size descendant (Size, Size index, Size branch) const Protected Member FunctionsReal driftStep (Time driftTime) const Protected AttributesReal x0_…

QuantLib::ExtendedAdditiveEQPBinomialTree – Additive equal probabilities binomial tree. Synopsis#include <ql/experimental/lattices/extendedbinomialtree.hpp> Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedAdditiveEQPBinomialTree >. Public Member FunctionsExtendedAdditiveEQPBinomialTree (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Protected Member FunctionsReal upStep (Time stepTime) const Detailed DescriptionAdditive equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ExponentialSplinesFitting – Exponential-splines fitting method. Synopsis#include <ql/termstructures/yield/nonlinearfittingmethods.hpp> Inherits QuantLib::FittedBondDiscountCurve::FittingMethod. Public Member FunctionsExponentialSplinesFitting (bool constrainAtZero=true) std::auto_ptr< FittedBondDiscountCurve::FittingMethod > clone () const clone of the current object Detailed DescriptionExponential-splines fitting method. Fits a discount function to the exponential form [ d(t) = um_{i=1}^9 c_i \xp^{-kappa i t} ] where the constants $ c_i $ and $ ppa…

QuantLib::ExplicitEuler – Forward Euler scheme for finite difference methods Synopsis#include <ql/methods/finitedifferences/expliciteuler.hpp> Inherits MixedScheme< Operator >. Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_type bc_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsExplicitEuler (const operator_type &L, const std::vector< boost::shared_ptr< bc_type > > &bcs) Detailed Descriptiontemplate<class Operator> class QuantLib::ExplicitEuler< Operator…

QuantLib::Exercise – Base exercise class. Synopsis#include <ql/exercise.hpp> Inherited by EarlyExercise, and EuropeanExercise. Public Typesenum Type { American, Bermudan, European } Public Member FunctionsExercise (Type type) Type type () const Date date (Size index) const const std::vector< Date > & dates () const Returns all exercise dates. Date lastDate () const Protected Attributesstd::vector< Date > dates_…

QuantLib::ExchangeRateManager – exchange-rate repository Synopsis#include <ql/currencies/exchangeratemanager.hpp> Inherits Singleton< ExchangeRateManager >. Public Member Functionsvoid add (const ExchangeRate &, const Date &startDate=Date::minDate(), const Date &endDate=Date::maxDate()) Add an exchange rate. ExchangeRate lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const void clear () remove the added exchange rates Friendsclass Singleton< ExchangeRateManager > Detailed Descriptionexchange-rate repository…

QuantLib::ExchangeRate – exchange rate between two currencies Synopsis#include <ql/exchangerate.hpp> Public Typesenum Type { Direct, Derived } Public Member FunctionsConstructors ExchangeRate () ExchangeRate (const Currency &source, const Currency &target, Decimal rate) Inspectors const Currency & source () const the source currency. const Currency & target () const the target currency. Type type () const the type…

QuantLib::EvolutionDescription – Market-model evolution description. Synopsis#include <ql/models/marketmodels/evolutiondescription.hpp> Public Member FunctionsEvolutionDescription (const std::vector< Time > &rateTimes, const std::vector< Time > &evolutionTimes=std::vector< Time >(), const std::vector< std::pair< Size, Size > > &relevanceRates=std::vector< range >()) const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const const std::vector< Time > & evolutionTimes ()…

QuantLib::Event – Base class for event. Synopsis#include <ql/event.hpp> Inherits QuantLib::Observable. Inherited by Callability, CashFlow, and DefaultEvent. Public Member FunctionsEvent interface virtual Date date () const =0 returns the date at which the event occurs bool hasOccurred (const Date &d, bool includeToday=false) const returns true if an event has already occurred before a date Visitability virtual…

QuantLib::EuropeanOption – European option on a single asset. Synopsis#include <ql/instruments/europeanoption.hpp> Inherits QuantLib::VanillaOption. Public Member FunctionsEuropeanOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) Detailed DescriptionEuropean option on a single asset. Examples: Replication.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::EuropeanExercise – European exercise. Synopsis#include <ql/exercise.hpp> Inherits QuantLib::Exercise. Public Member FunctionsEuropeanExercise (const Date &date) Detailed DescriptionEuropean exercise. A European option can only be exercised at one (expiry) date. Examples: ConvertibleBonds.cpp, EquityOption.cpp, and Replication.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis#include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsEurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid () const…

QuantLib::EuriborSwapIsdaFixB – EuriborSwapIsdaFixB index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIsdaFixB (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIsdaFixB index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 12am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page…

QuantLib::EuriborSwapIsdaFixA – EuriborSwapIsdaFixA index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIsdaFixA (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIsdaFixA index base class Euribor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am Frankfurt. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. Reuters page…

QuantLib::EuriborSwapIfrFix – EuriborSwapIfrFix index base class Synopsis#include <ql/indexes/swap/euriborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsEuriborSwapIfrFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionEuriborSwapIfrFix index base class Euribor Swap indexes published by IFR Markets and distributed by Reuters page TGM42281 and by Telerate. Annual 30/360 vs 6M Euribor, 1Y vs 3M Euribor. For more…

QuantLib::Euribor6M – 6-months Euribor index Synopsis#include <ql/indexes/ibor/euribor.hpp> Inherits QuantLib::Euribor. Public Member FunctionsEuribor6M (const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description6-months Euribor index Examples: BermudanSwaption.cpp, Bonds.cpp, and swapvaluation.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.