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NAME ql/experimental/commodities/commodity.hpp – Commodity base class. SYNOPSIS #include <ql/instrument.hpp> #include <ql/money.hpp> #include <vector> #include <ostream> Classes class Commodity Commodity base class. Typedefs typedef std::map< std::string, boost::any > SecondaryCosts typedef std::map< std::string, Money > SecondaryCostAmounts typedef std::vector< PricingError > PricingErrors Functions std::ostream & operator<< (std::ostream &out, const SecondaryCostAmounts &secondaryCostAmounts) std::ostream & operator<< (std::ostream &out, const PricingError…

QuantLib::CmsRateBond – CMS-rate bond. Synopsis #include <ql/instruments/bonds/cmsratebond.hpp> Inherits QuantLib::Bond. Public Member Functions CmsRateBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter, 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 > &caps=std::vector<…

QuantLib::CmsMarket – set of CMS quotes Synopsis #include <ql/termstructures/volatility/swaption/cmsmarket.hpp> Inherits QuantLib::LazyObject. Public Member Functions CmsMarket (const std::vector< Period > &swapLengths, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< std::vector< Handle< Quote > > > &bidAskSpreads, const std::vector< boost::shared_ptr< HaganPricer > > &pricers, const Handle< YieldTermStructure > &discountingTS) void reprice…

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

QuantLib::CmsCouponPricer – base pricer for vanilla CMS coupons Synopsis #include <ql/cashflows/couponpricer.hpp> Inherits QuantLib::FloatingRateCouponPricer. Inherited by HaganPricer. Public Member Functions CmsCouponPricer (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Handle< SwaptionVolatilityStructure > swaptionVolatility () const void setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &v=Handle< SwaptionVolatilityStructure >()) Detailed Description base pricer for vanilla CMS coupons Author Generated automatically by Doxygen…

QuantLib::CmsCoupon – CMS coupon class. Synopsis #include <ql/cashflows/cmscoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member Functions CmsCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< SwapIndex > &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< SwapIndex…

QuantLib::Rounding – basic rounding class Synopsis #include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Types enum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member Functions Rounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding Inspectors Integer precision ()…

QuantLib::Clone – cloning proxy to an underlying object Synopsis #include <ql/utilities/clone.hpp> Public Member Functions Clone (std::auto_ptr< T >) Clone (const T &) Clone (const Clone< T > &) Clone< T > & operator= (const T &) Clone< T > & operator= (const Clone< T > &) T & operator* () const T * operator-> ()…

NAME ql/instruments/cliquetoption.hpp – Cliquet option. SYNOPSIS #include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/payoffs.hpp> #include <ql/time/date.hpp> #include <vector> Classes class CliquetOption cliquet (Ratchet) option class arguments Arguments for cliquet option calculation class engine Cliquet engine base class. Detailed Description Cliquet option. Author Generated automatically by Doxygen for QuantLib from the source code. Index

DisplayOfCCC, VisualOfCCC, ScreenNumberOfCCC, ScreenWhitePointOfCCC, ClientWhitePointOfCCC – Color Conversion Context macros Syntax Display *DisplayOfCCC(XcmsCCC ccc); Visual *VisualOfCCC(XcmsCCC ccc); int ScreenNumberOfCCC(XcmsCCC ccc); XcmsColor *ScreenWhitePointOfCCC(XcmsCCC ccc); XcmsColor *ClientWhitePointOfCCC(XcmsCCC ccc); Arguments ccc Specifies the CCC. Description The DisplayOfCCC macro returns the display associated with the specified CCC. The VisualOfCCC macro returns the visual associated with the specified CCC. The…

QuantLib::Matrix – Matrix used in linear algebra. Synopsis #include <ql/math/matrix.hpp> Inherited by Disposable< Matrix >. Public Types typedef Real * iterator typedef const Real * const_iterator typedef boost::reverse_iterator< iterator > reverse_iterator typedef boost::reverse_iterator< const_iterator > const_reverse_iterator typedef Real * row_iterator typedef const Real * const_row_iterator typedef boost::reverse_iterator< row_iterator > reverse_row_iterator typedef boost::reverse_iterator< const_row_iterator > const_reverse_row_iterator…

QuantLib::China – Chinese calendar. Synopsis #include <ql/time/calendars/china.hpp> Inherits QuantLib::Calendar. Public Types enum Market { SSE } Public Member Functions China (Market m=SSE) Detailed Description Chinese calendar. Holidays: * Saturdays * Sundays * New Year’s day, January 1st (possibly followed by one or two more holidays) * Labour Day, first week in May * National Day,…

QuantLib::ChfLiborSwapIsdaFix – ChfLiborSwapIsdaFix index base class Synopsis #include <ql/indexes/swap/chfliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member Functions ChfLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description ChfLiborSwapIsdaFix index base class CHF Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Annual 30/360 vs 6M Libor, 1Y vs…

BlackPixelOfScreen, WhitePixelOfScreen, CellsOfScreen, DefaultColormapOfScreen, DefaultDepthOfScreen, DefaultGCOfScreen, DefaultVisualOfScreen, DoesBackingStore, DoesSaveUnders, DisplayOfScreen, XScreenNumberOfScreen, EventMaskOfScreen, HeightOfScreen, HeightMMOfScreen, MaxCmapsOfScreen, MinCmapsOfScreen, PlanesOfScreen, RootWindowOfScreen, WidthOfScreen, WidthMMOfScreen – screen information functions and macros Syntax unsigned long BlackPixelOfScreen(Screen *screen); unsigned long WhitePixelOfScreen(Screen *screen); int CellsOfScreen(Screen *screen); Colormap DefaultColormapOfScreen(Screen *screen); int DefaultDepthOfScreen(Screen *screen); GC DefaultGCOfScreen(Screen *screen); Visual *DefaultVisualOfScreen(Screen *screen); int DoesBackingStore(Screen *screen); Bool DoesSaveUnders(Screen…

QuantLib::Rounding – basic rounding class Synopsis #include <ql/math/rounding.hpp> Inherited by CeilingTruncation, ClosestRounding, DownRounding, FloorTruncation, and UpRounding. Public Types enum Type { None, Up, Down, Closest, Floor, Ceiling } rounding methods Public Member Functions Rounding () default constructor Rounding (Integer precision, Type type=Closest, Integer digit=5) Decimal operator() (Decimal value) const perform rounding Inspectors Integer precision ()…

QuantLib::CdsOption – CDS option. Synopsis #include <ql/experimental/credit/cdsoption.hpp> Inherits QuantLib::Instrument. Public Member Functions CdsOption (const Date &expiry, Rate strike, const Handle< Quote > &volatility, const Issuer &issuer, Protection::Side side, Real nominal, const Schedule &premiumSchedule, const DayCounter &dayCounter, bool settlePremiumAccrual, const Handle< YieldTermStructure > &yieldTS) Real forward () const Real riskyAnnuity () const bool isExpired () const…

QuantLib::CdsHelper – Default-probability bootstrap helper based on quoted CDS spreads. Synopsis #include <ql/termstructures/credit/defaultprobabilityhelpers.hpp> Inherits BootstrapHelper< DefaultProbabilityTermStructure >. Public Member Functions CdsHelper (const Handle< Quote > &spread, const Period &tenor, Integer settlementDays, const Calendar &calendar, Frequency frequency, BusinessDayConvention paymentConvention, DateGeneration::Rule rule, const DayCounter &dayCounter, Real recoveryRate, const Handle< YieldTermStructure > &discountCurve, bool settlesAccrual=true, bool paysAtDefaultTime=true) CdsHelper…

QuantLib::Cdor – CDOR rate Synopsis #include <ql/indexes/ibor/cdor.hpp> Inherits QuantLib::IborIndex. Public Member Functions Cdor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description CDOR rate Canadian Dollar Offered Rate fixed by IDA. Warning This is the rate fixed in Canada by IDA. Use CADLibor if you’re interested in the London fixing by BBA….

QuantLib::CashOrNothingPayoff – Binary cash-or-nothing payoff. Synopsis #include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member Functions CashOrNothingPayoff (Option::Type type, Real strike, Real cashPayoff) Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected Attributes Real cashPayoff_ Detailed Description Binary cash-or-nothing payoff. Examples: Replication.cpp….

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis #include <ql/cashflows/capflooredcoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions CappedFlooredCoupon (const boost::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) Rate cap () const cap Rate floor () const floor Rate effectiveCap () const effective cap of fixing Rate effectiveFloor ()…