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QuantLib::ContinuousFixedLookbackOption::arguments – Arguments for continuous fixed lookback option calculation Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits OneAssetOption::arguments. Public Member Functionsvoid validate () const Public AttributesReal minmax Detailed DescriptionArguments for continuous fixed lookback option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ContinuousFixedLookbackOption – Continuous-fixed lookback option. Synopsis#include <ql/instruments/lookbackoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Arguments for continuous fixed lookback option calculation class engine Continuous fixed lookback engine base class Public Member FunctionsContinuousFixedLookbackOption (Real currentMinmax, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesReal minmax_ Detailed DescriptionContinuous-fixed lookback option. Member Function…

QuantLib::ContinuousAveragingAsianOption::arguments – Extra arguments for single-asset continuous-average Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits OneAssetOption::arguments. Public Member Functionsvoid validate () const Public AttributesAverage::Type averageType Detailed DescriptionExtra arguments for single-asset continuous-average Asian option. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ContinuousAveragingAsianOption – Continuous-averaging Asian option. Synopsis#include <ql/instruments/asianoption.hpp> Inherits QuantLib::OneAssetOption. Classesclass arguments Extra arguments for single-asset continuous-average Asian option. class engine Continuous-averaging Asian engine base class. Public Member FunctionsContinuousAveragingAsianOption (Average::Type averageType, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void setupArguments (PricingEngine::arguments *) const Protected AttributesAverage::Type averageType_ Detailed DescriptionContinuous-averaging Asian option. Possible enhancements add…

QuantLib::Constraint – Base constraint class. Synopsis#include <ql/math/optimization/constraint.hpp> Inherited by BoundaryConstraint, PrivateConstraint, CompositeConstraint, FellerConstraint, NoConstraint, and PositiveConstraint. Classesclass Impl Base class for constraint implementations. Public Member Functionsbool empty () const bool test (const Array &p) const Real update (Array &p, const Array &direction, Real beta) Constraint (const boost::shared_ptr< Impl > &impl=boost::shared_ptr< Impl >()) Protected Attributesboost::shared_ptr< Impl…

QuantLib::ConstrainedEvolver – Constrained market-model evolver. Synopsis#include <ql/models/marketmodels/constrainedevolver.hpp> Inherits QuantLib::MarketModelEvolver. Inherited by LogNormalFwdRateEulerConstrained. Public Member Functionsvirtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &EndIndexOfSwapRate)=0 call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool > &isConstraintActive)=0 call before each path Detailed DescriptionConstrained market-model evolver. Abstract base class. Requires extra…

QuantLib::ConstantSwaptionVolatility – Constant swaption volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp> Inherits QuantLib::SwaptionVolatilityStructure. Public Member FunctionsConstantSwaptionVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantSwaptionVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

QuantLib::ConstantParameter – Standard constant parameter $ a(t) = a $. Synopsis#include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member FunctionsConstantParameter (const Constraint &constraint) ConstantParameter (Real value, const Constraint &constraint) Detailed DescriptionStandard constant parameter $ a(t) = a $. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConstantOptionletVolatility – Constant caplet volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/optionlet/constantoptionletvol.hpp> Inherits QuantLib::OptionletVolatilityStructure. Public Member FunctionsConstantOptionletVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantOptionletVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

QuantLib::ConstantEstimator – Constant-estimator volatility model. Synopsis#include <ql/models/volatility/constantestimator.hpp> Inherits QuantLib::VolatilityCompositor. Public Member FunctionsConstantEstimator (Size size) TimeSeries< Volatility > calculate (const TimeSeries< Volatility > &) void calibrate (const TimeSeries< Volatility > &) Detailed DescriptionConstant-estimator volatility model. Volatilities are assumed to be expressed on an annual basis. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConstantCapFloorTermVolatility – Constant caplet volatility, no time-strike dependence. Synopsis#include <ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp> Inherits QuantLib::CapFloorTermVolatilityStructure. Public Member FunctionsConstantCapFloorTermVolatility (Natural settlementDays, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) floating reference date, floating market data ConstantCapFloorTermVolatility (const Date &referenceDate, const Calendar &cal, BusinessDayConvention bdc, const Handle< Quote > &volatility, const DayCounter &dc) fixed reference…

QuantLib::ConjugateGradient – Multi-dimensional Conjugate Gradient class. Synopsis#include <ql/math/optimization/conjugategradient.hpp> Inherits QuantLib::LineSearchBasedMethod. Public Member FunctionsConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >()) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) solve the optimization problem P Detailed DescriptionMulti-dimensional Conjugate Gradient class. Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition. User has to provide line-search method and…

QuantLib::CompoundForward – compound-forward structure Synopsis#include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member FunctionsCompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const Integer compounding () const Date maxDate () const the latest date for which the curve…

QuantLib::CompositeQuote – market element whose value depends on two other market element Synopsis#include <ql/quotes/compositequote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsCompositeQuote (const Handle< Quote > &element1, const Handle< Quote > &element2, const BinaryFunction &f) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a…

QuantLib::CompositeInstrument – Composite instrument Synopsis#include <ql/instruments/compositeinstrument.hpp> Inherits QuantLib::Instrument. Public Member Functionsvoid add (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0) adds an instrument to the composite void subtract (const boost::shared_ptr< Instrument > &instrument, Real multiplier=1.0) shorts an instrument from the composite Instrument interfacebool isExpired () const returns whether the instrument is still tradable. void performCalculations ()…

QuantLib::Composite – Composite pattern. Synopsis#include <ql/patterns/composite.hpp> Inherits T. Protected Typestypedef std::list< boost::shared_ptr< T > >::iterator iterator typedef std::list< boost::shared_ptr< T > >::const_iterator const_iterator Protected Member Functionsvoid add (const boost::shared_ptr< T > &c) Protected Attributesstd::list< boost::shared_ptr< T > > components_ Detailed Descriptiontemplate<class T> class QuantLib::Composite< T >Composite pattern. The typical use of this class is: class…

QuantLib::CommodityType – commodity type Synopsis#include <ql/experimental/commodities/commoditytype.hpp> Inherited by NullCommodityType. Public Member FunctionsCommodityType () default constructor CommodityType (const std::string &code, const std::string &name) Inspectors const std::string & code () const commodity code, e.g, ‘HO’ const std::string & name () const name, e.g, ‘Heating Oil’ Other information bool empty () const is this a usable instance? Protected…

QuantLib::CommoditySettings – global repository for run-time library settings Synopsis#include <ql/experimental/commodities/commoditysettings.hpp> Inherits Singleton< CommoditySettings >. Public Member FunctionsCurrency & currency () UnitOfMeasure & unitOfMeasure () Friendsclass Singleton< CommoditySettings > Detailed Descriptionglobal repository for run-time library settings AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::CommodityPricingHelper – commodity index helper Synopsis#include <ql/experimental/commodities/commoditypricinghelpers.hpp> Static Public Member Functionsstatic Real calculateFxConversionFactor (const Currency &fromCurrency, const Currency &toCurrency, const Date &evaluationDate) static Real calculateUomConversionFactor (const CommodityType &commodityType, const UnitOfMeasure &fromUnitOfMeasure, const UnitOfMeasure &toUnitOfMeasure) static Real calculateUnitCost (const CommodityType &commodityType, const CommodityUnitCost &unitCost, const Currency &baseCurrency, const UnitOfMeasure &baseUnitOfMeasure, const Date &evaluationDate) static void createPricingPeriods…

QuantLib::CommodityIndex – base class for commodity indexes Synopsis#include <ql/experimental/commodities/commodityindex.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Public Member FunctionsCommodityIndex (const std::string &name, const CommodityType &commodityType, const Currency &currency, const UnitOfMeasure &unitOfMeasure, const Calendar &calendar, Real lotQuantity, const boost::shared_ptr< CommodityCurve > &forwardCurve, const boost::shared_ptr< ExchangeContracts > &exchangeContracts, int nearbyOffset) void addQuote (const Date &quoteDate, Real quote) void addQuotes (const…