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QuantLib::ForwardPerformanceVanillaEngine – Forward performance engine for vanilla options Synopsis#include <ql/pricingengines/forward/forwardperformanceengine.hpp> Inherits ForwardVanillaEngine< Engine >. Public Member FunctionsForwardPerformanceVanillaEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Protected Member Functionsvoid getOriginalResults () const Detailed Descriptiontemplate<class Engine> class QuantLib::ForwardPerformanceVanillaEngine< Engine >Forward performance engine for vanilla options Tests * the correctness of the returned value is tested by…

QuantLib::ForwardMeasureProcess1D – forward-measure 1-D stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by HullWhiteForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess1D (Time T) ForwardMeasureProcess1D (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure 1-D stochastic process 1-D stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by…

QuantLib::ForwardMeasureProcess – forward-measure stochastic process Synopsis#include <ql/processes/forwardmeasureprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by G2ForwardProcess. Public Member Functionsvoid setForwardMeasureTime (Time) Time getForwardMeasureTime () const Protected Member FunctionsForwardMeasureProcess (Time T) ForwardMeasureProcess (const boost::shared_ptr< discretization > &) Protected AttributesTime T_ Detailed Descriptionforward-measure stochastic process stochastic process whose dynamics are expressed in the forward measure. AuthorGenerated automatically by Doxygen for QuantLib…

ql/math/interpolations/forwardflatinterpolation.hpp – forward-flat interpolation between discrete points Synopsis#include <ql/math/interpolation.hpp> #include <vector> Classesclass ForwardFlatInterpolation Forward-flat interpolation between discrete points. class ForwardFlat Forward-flat interpolation factory and traits. Detailed Descriptionforward-flat interpolation between discrete points AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/termstructures/yield/forwardcurve.hpp – interpolated forward-rate structure Synopsis#include <ql/termstructures/yield/forwardstructure.hpp> #include <ql/math/interpolation.hpp> #include <ql/math/comparison.hpp> #include <boost/noncopyable.hpp> Classesclass InterpolatedForwardCurve< Interpolator > Term structure based on interpolation of forward rates. Typedefstypedef InterpolatedForwardCurve< BackwardFlat > ForwardCurve Term structure based on flat interpolation of forward rates. Detailed Descriptioninterpolated forward-rate structure AuthorGenerated automatically by Doxygen for QuantLib from the source code.

ql/instruments/forward.hpp – Base forward class. Synopsis#include <ql/instrument.hpp> #include <ql/position.hpp> #include <ql/time/calendar.hpp> #include <ql/time/daycounter.hpp> #include <ql/interestrate.hpp> #include <ql/types.hpp> #include <ql/handle.hpp> #include <ql/payoff.hpp> #include <ql/termstructures/yieldtermstructure.hpp> Classesclass Forward Abstract base forward class. class ForwardTypePayoff Class for forward type payoffs. Detailed DescriptionBase forward class. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

Date and time calculations – Classesclass DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period ModulesCalendars Day counters Typedefstypedef…

QuantLib::FloatingTypePayoff – Payoff based on a floating strike Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::TypePayoff. Public Member FunctionsFloatingTypePayoff (Option::Type type) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPayoff based on a floating strike Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison…

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::FloatingRateBond – floating-rate bond (possibly capped and/or floored) Synopsis#include <ql/instruments/bonds/floatingratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFloatingRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< 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(),…

ql/cashflows/cashflowvectors.hpp – Cash flow vector builders. Synopsis#include <ql/cashflows/fixedratecoupon.hpp> #include <ql/cashflows/replication.hpp> #include <ql/time/schedule.hpp> #include <ql/utilities/null.hpp> #include <ql/utilities/vectors.hpp> #include <ql/position.hpp> #include <ql/indexes/swapindex.hpp> FunctionsRate effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) bool noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i) template<typename InterestRateIndexType…

QuantLib::FlatHazardRate – flat hazard-rate curve Synopsis#include <ql/termstructures/credit/flathazardrate.hpp> Inherits QuantLib::HazardRateStructure. Public Member FunctionsConstructors FlatHazardRate (const Handle< Quote > &hazardRate, const DayCounter &) FlatHazardRate (const Date &todaysDate, const Handle< Quote > &hazardRate, const DayCounter &) TermStructure interface Date maxDate () const the latest date for which the curve can return values Detailed Descriptionflat hazard-rate curve AuthorGenerated automatically…

QuantLib::FlatForward – Flat interest-rate curve. Synopsis#include <ql/termstructures/yield/flatforward.hpp> Inherits QuantLib::YieldTermStructure, and QuantLib::LazyObject. Public Member FunctionsFlatForward (const Date &referenceDate, const Handle< Quote > &forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (const Date &referenceDate, Rate forward, const DayCounter &dayCounter, Compounding compounding=Continuous, Frequency frequency=Annual) FlatForward (Natural settlementDays, const Calendar &calendar, const Handle< Quote > &forward, const DayCounter…

QuantLib::FixedRateLeg – helper class building a sequence of fixed rate coupons Synopsis#include <ql/cashflows/fixedratecoupon.hpp> Public Member FunctionsFixedRateLeg (const Schedule &schedule, const DayCounter &paymentDayCounter) FixedRateLeg & withNotionals (Real) FixedRateLeg & withNotionals (const std::vector< Real > &) FixedRateLeg & withCouponRates (Rate) FixedRateLeg & withCouponRates (const InterestRate &) FixedRateLeg & withCouponRates (const std::vector< Rate > &) FixedRateLeg & withCouponRates…

ql/cashflows/fixedratecoupon.hpp – Coupon paying a fixed annual rate. Synopsis#include <ql/cashflows/coupon.hpp> #include <ql/interestrate.hpp> #include <ql/time/daycounter.hpp> #include <ql/time/schedule.hpp> Classesclass FixedRateCoupon Coupon paying a fixed interest rate class FixedRateLeg helper class building a sequence of fixed rate coupons Detailed DescriptionCoupon paying a fixed annual rate. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::FixedRateBondHelper – fixed-coupon bond helper Synopsis#include <ql/termstructures/yield/bondhelpers.hpp> Inherits BootstrapHelper< YieldTermStructure >. Public Member FunctionsFixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &dayCounter, BusinessDayConvention paymentConv=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< FixedRateBond > &bond) BootstrapHelper interface Real…

QuantLib::FixedRateBondForward – Forward contract on a fixed-rate bond Synopsis#include <ql/instruments/fixedratebondforward.hpp> Inherits QuantLib::Forward. Public Member FunctionsConstructors FixedRateBondForward (const Date &valueDate, const Date &maturityDate, Position::Type type, Real strike, Natural settlementDays, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention businessDayConvention, const boost::shared_ptr< FixedRateBond > &fixedCouponBond, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const Handle< YieldTermStructure > &incomeDiscountCurve=Handle< YieldTermStructure >())…

QuantLib::FixedRateBond – fixed-rate bond Synopsis#include <ql/instruments/bonds/fixedratebond.hpp> Inherits QuantLib::Bond. Public Member FunctionsFixedRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date()) FixedRateBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &startDate, const Date &maturityDate, const Period &tenor, const std::vector< Rate > &coupons,…

QuantLib::FixedDividend – Predetermined cash flow. Synopsis#include <ql/cashflows/dividend.hpp> Inherits QuantLib::Dividend. Public Member FunctionsFixedDividend (Real amount, const Date &date) Dividend interface virtual Real amount () const returns the amount of the cash flow virtual Real amount (Real) const Protected AttributesReal amount_ Detailed DescriptionPredetermined cash flow. This cash flow pays a predetermined amount at a given date. Examples:…