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ql/experimental/callablebonds/callablebondvolstructure.hpp – Callable-bond volatility structure. Synopsis#include <ql/termstructure.hpp> #include <ql/math/interpolations/linearinterpolation.hpp> #include <ql/termstructures/volatility/smilesection.hpp> Classesclass CallableBondVolatilityStructure Callable-bond volatility structure. Detailed DescriptionCallable-bond volatility structure. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ConvertibleBond – base class for convertible bonds Synopsis#include <ql/instruments/bonds/convertiblebond.hpp> Inherits QuantLib::Bond. Inherited by ConvertibleFixedCouponBond, ConvertibleFloatingRateBond, and ConvertibleZeroCouponBond. Public Member FunctionsReal conversionRatio () const const DividendSchedule & dividends () const const CallabilitySchedule & callability () const const Handle< Quote > & creditSpread () const Protected Member FunctionsConvertibleBond (const boost::shared_ptr< Exercise > &exercise, Real conversionRatio, const DividendSchedule…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

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::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::DigitalCoupon – Digital-payoff coupon. Synopsis#include <ql/cashflows/digitalcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by DigitalCmsCoupon, and DigitalIborCoupon. Public Member FunctionsConstructors DigitalCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate callStrike=Null< Rate >(), Position::Type callPosition=Position::Long, bool isCallITMIncluded=false, Rate callDigitalPayoff=Null< Rate >(), Rate putStrike=Null< Rate >(), Position::Type putPosition=Position::Long, bool isPutITMIncluded=false, Rate putDigitalPayoff=Null< Rate >(), const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >()) general constructor…

QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Typestypedef EarlyExerciseTraits< PathType >::StateType StateType Public Member FunctionsLongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributesbool calibrationPhase_ const boost::shared_ptr< EarlyExercisePathPricer<…

QuantLib::CalibrationHelper – liquid market instrument used during calibration Synopsis#include <ql/models/calibrationhelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by CapHelper, HestonModelHelper, and SwaptionHelper. Public Member FunctionsCalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) void update () Real marketValue () const returns the actual price of the instrument (from volatility) virtual Real modelValue ()…

calibrate_joystick_name – Returns the next calibration text string. Allegro game programming library. Synopsis#include <allegro.h> const char *calibrate_joystick_name(int n); DescriptionPass the number of the joystick you want to calibrate as the parameter. Return ValueReturns a text description for the next type of calibration that will be done on the specified joystick, or NULL if no more…

calibrate_joystick – Calibrates the specified joystick. Allegro game programming library. Synopsis#include <allegro.h> int calibrate_joystick(int n); DescriptionMost joysticks need to be calibrated before they can provide full analogue input. This function performs the next operation in the calibration series for the specified stick, assuming that the joystick has been positioned in the manner described by a…

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::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Typestypedef EarlyExerciseTraits< PathType >::StateType StateType Public Member FunctionsLongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributesbool calibrationPhase_ const boost::shared_ptr< EarlyExercisePathPricer<…

Calendars – Classesclass Argentina Argentinian calendars. class Australia Australian calendar. class BespokeCalendar Bespoke calendar. class Brazil Brazilian calendar. class Canada Canadian calendar. class China Chinese calendar. class CzechRepublic Czech calendars. class Denmark Danish calendar. class Finland Finnish calendar. class Germany German calendars. class HongKong Hong Kong calendars. class Hungary Hungarian calendar. class Iceland Icelandic calendars….

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…

QuantLib::LazyObject – Framework for calculation on demand and result caching. Synopsis#include <ql/patterns/lazyobject.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by AbcdAtmVolCurve, CapFloorTermVolCurve, CapFloorTermVolSurface, CmsMarket, EurodollarFuturesImpliedStdDevQuote, FdmBlackScholesSolver [private], FdmHestonSolver [private], FittedBondDiscountCurve, FlatForward, ForwardSwapQuote, ImpliedStdDevQuote, Instrument, InterpolatedSmileSection< Interpolator >, OneFactorCopula, PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >, PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits…