Linux Manuals

QuantLib::Index – purely virtual base class for indexes Synopsis#include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functionsvirtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0 returns TRUE if…

QuantLib::IncrementalStatistics – Statistics tool based on incremental accumulation. Synopsis#include <ql/math/statistics/incrementalstatistics.hpp> Public Typestypedef Real value_type Public Member FunctionsInspectors Size samples () const number of samples collected Real weightSum () const sum of data weights Real mean () const Real variance () const Real standardDeviation () const Real errorEstimate () const Real skewness () const Real kurtosis…

QuantLib::ImpliedVolatilityHelper – helper class for one-asset implied-volatility calculation Synopsis#include <ql/instruments/impliedvolatility.hpp> Static Public Member Functionsstatic Volatility calculate (const Instrument &instrument, const PricingEngine &engine, SimpleQuote &volQuote, Real targetValue, Real accuracy, Natural maxEvaluations, Volatility minVol, Volatility maxVol) static boost::shared_ptr< GeneralizedBlackScholesProcess > clone (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, const boost::shared_ptr< SimpleQuote > &volQuote) Detailed Descriptionhelper class for one-asset implied-volatility…

QuantLib::ImpliedVolTermStructure – Implied vol term structure at a given date in the future. Synopsis#include <ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp> Inherits QuantLib::BlackVarianceTermStructure. Public Member FunctionsImpliedVolTermStructure (const Handle< BlackVolTermStructure > &origTS, const Date &referenceDate) TermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for which the curve can return values…

QuantLib::ImpliedTermStructure – Implied term structure at a given date in the future. Synopsis#include <ql/termstructures/yield/impliedtermstructure.hpp> Inherits QuantLib::YieldTermStructure. Public Member FunctionsImpliedTermStructure (const Handle< YieldTermStructure > &, const Date &referenceDate) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar () const the calendar used for reference and/or option date calculation Natural settlementDays…

QuantLib::ImpliedStdDevQuote – quote for the implied standard deviation of an underlying Synopsis#include <ql/quotes/impliedstddevquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsImpliedStdDevQuote (Option::Type optionType, const Handle< Quote > &forward, const Handle< Quote > &price, Real strike, Real guess, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid () const returns…

QuantLib::ImplicitEuler – Backward Euler scheme for finite difference methods. Synopsis#include <ql/methods/finitedifferences/impliciteuler.hpp> Inherits MixedScheme< Operator >. Public Typestypedef OperatorTraits< Operator > traits typedef traits::operator_type operator_type typedef traits::array_type array_type typedef traits::bc_set bc_set typedef traits::condition_type condition_type Public Member FunctionsImplicitEuler (const operator_type &L, const bc_set &bcs) Detailed Descriptiontemplate<class Operator> class QuantLib::ImplicitEuler< Operator >Backward Euler scheme for finite difference methods….

QuantLib::Iceland – Icelandic calendars. Synopsis#include <ql/time/calendars/iceland.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { ICEX } Public Member FunctionsIceland (Market m=ICEX) Detailed DescriptionIcelandic calendars. Holidays for the Iceland stock exchange (data from <http://www.icex.is/is/calendar?languageID=1>): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Holy Thursday * Good Friday * Easter Monday *…

QuantLib::IborLeg – helper class building a sequence of capped/floored ibor-rate coupons Synopsis#include <ql/cashflows/iborcoupon.hpp> Public Member FunctionsIborLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index) IborLeg & withNotionals (Real notional) IborLeg & withNotionals (const std::vector< Real > &notionals) IborLeg & withPaymentDayCounter (const DayCounter &) IborLeg & withPaymentAdjustment (BusinessDayConvention) IborLeg & withFixingDays (Natural fixingDays) IborLeg & withFixingDays…

QuantLib::IborIndex – base class for Inter-Bank-Offered-Rate indexes (e.g. Libor, etc.) Synopsis#include <ql/indexes/iborindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by Cdor, DailyTenorEuribor, DailyTenorEuribor365, DailyTenorEURLibor, DailyTenorLibor, Euribor, Euribor365, EURLibor, Jibar, Libor, Tibor, TRLibor, and Zibor. Public Member FunctionsIborIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, const Currency &currency, const Calendar &fixingCalendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const…

QuantLib::IborCouponPricer – base pricer for capped/floored Ibor coupons Synopsis#include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::FloatingRateCouponPricer. Inherited by BlackIborCouponPricer. Public Member FunctionsIborCouponPricer (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Handle< OptionletVolatilityStructure > capletVolatility () const void setCapletVolatility (const Handle< OptionletVolatilityStructure > &v=Handle< OptionletVolatilityStructure >()) Detailed Descriptionbase pricer for capped/floored Ibor coupons AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::IborCoupon – Coupon paying a Libor-type index Synopsis#include <ql/cashflows/iborcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsIborCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< IborIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false) Inspectors const boost::shared_ptr< IborIndex…

QuantLib::IMM – Main cycle of the International Money Market (a.k.a. IMM) months. Synopsis#include <ql/time/imm.hpp> Public Typesenum Month { F = 1, G = 2, H = 3, J = 4, K = 5, M = 6, N = 7, Q = 8, U = 9, V = 10, X = 11, Z = 12 }…

QuantLib::HybridHestonHullWhiteProcess – Hybrid Heston Hull-White stochastic process. Synopsis#include <ql/processes/hybridhestonhullwhiteprocess.hpp> Inherits QuantLib::JointStochasticProcess. Public Member FunctionsHybridHestonHullWhiteProcess (const boost::shared_ptr< HestonProcess > &hestonProcess, const boost::shared_ptr< HullWhiteForwardProcess > &hullWhiteProcess, Real corrEquityShortRate, Size factors) void preEvolve (Time t0, const Array &x0, Time dt, const Array &dw) const Disposable< Array > postEvolve (Time t0, const Array &x0, Time dt, const Array &dw,…

QuantLib::Hungary – Hungarian calendar. Synopsis#include <ql/time/calendars/hungary.hpp> Inherits QuantLib::Calendar. Detailed DescriptionHungarian calendar. Holidays: * Saturdays * Sundays * Easter Monday * Whit(Pentecost) Monday * New Year’s Day, January 1st * National Day, March 15th * Labour Day, May 1st * Constitution Day, August 20th * Republic Day, October 23rd * All Saints Day, November 1st *…

QuantLib::HullWhite::FittingParameter – Analytical term-structure fitting parameter $ te/onefactormodels/hullwhite.hpp> Inherits QuantLib::TermStructureFittingParameter. Public Member FunctionsFittingParameter (const Handle< YieldTermStructure > &termStructure, Real a, Real sigma) Detailed DescriptionAnalytical term-structure fitting parameter $ lytically defined by [ c{1}{2}[ac{igma(1-e^{-at})}{a}]^2, ] where $ f(t) $ is the instantaneous forward rate at $ t $. AuthorGenerated automatically by Doxygen for QuantLib from the…

QuantLib::HullWhite::Dynamics – Short-rate dynamics in the Hull-White model. Synopsis#include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Public Member FunctionsDynamics (const Parameter &fitting, Real a, Real sigma) Real variable (Time t, Rate r) const Compute state variable from short rate. Real shortRate (Time t, Real x) const Compute short rate from state variable. Detailed DescriptionShort-rate dynamics in the Hull-White model….

QuantLib::HullWhiteProcess – Hull-White stochastic process. Synopsis#include <ql/processes/hullwhiteprocess.hpp> Inherits QuantLib::StochasticProcess1D. Public Member FunctionsHullWhiteProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) StochasticProcess1D interface Real x0 () const returns the initial value of the state variable Real drift (Time t, Real x) const returns the drift part of the equation, i.e. $ mu(t, x_t) $ Real…

QuantLib::HullWhiteForwardProcess – Forward Hull-White stochastic process Synopsis#include <ql/processes/hullwhiteprocess.hpp> Inherits QuantLib::ForwardMeasureProcess1D. Public Member FunctionsHullWhiteForwardProcess (const Handle< YieldTermStructure > &h, Real a, Real sigma) Real a () const Real sigma () const Real alpha (Time t) const Real M_T (Real s, Real t, Real T) const Real B (Time t, Time T) const StochasticProcess1D interface Real x0…

QuantLib::HullWhite – Single-factor Hull-White (extended Vasicek) model class. Synopsis#include <ql/models/shortrate/onefactormodels/hullwhite.hpp> Inherits QuantLib::Vasicek, and QuantLib::TermStructureConsistentModel. Classesclass Dynamics Short-rate dynamics in the Hull-White model. class FittingParameter Analytical term-structure fitting parameter $ ndle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01)" Public Member FunctionsHullWhite (const Handle< YieldTermStructure > &termStructure, Real a=0.1, Real sigma=0.01) boost::shared_ptr< Lattice > tree (const TimeGrid…