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QuantLib::IntegralCDOEngine – CDO base engine taking (possibly) small time steps. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits QuantLib::SyntheticCDO::engine. Public Member Functionsvoid calculate () const IntegralCDOEngine (Period stepSize=3 *Months) Protected AttributesPeriod stepSize_ Detailed DescriptionCDO base engine taking (possibly) small time steps. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

Numeric types – Typedefstypedef Real Probability probability typedef QL_INTEGER Integer integer number typedef QL_BIG_INTEGER BigInteger large integer number typedef unsigned QL_INTEGER Natural positive integer typedef QL_REAL Real real number typedef Real Decimal decimal number typedef std::size_t Size size of a container typedef Real Time continuous quantity with 1-year units typedef Real DiscountFactor discount factor between…

QuantLib::InhomogeneousPoolCDOEngine – CDO engine, loss disctribution bucketing for finite inhomogeneous pool. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member FunctionsInhomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributesconst Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Descriptiontemplate<class CDOEngine> class QuantLib::InhomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss disctribution bucketing for finite inhomogeneous pool. AuthorGenerated automatically by Doxygen…

ql/termstructures/inflationtermstructure.hpp – Base classes for inflation term structures. Synopsis#include <ql/termstructures/yieldtermstructure.hpp> Classesclass InflationTermStructure Interface for inflation term structures. class ZeroInflationTermStructure Interface for zero inflation term structures. class YoYInflationTermStructure Base class for year-on-year inflation term structures. Functionsstd::pair< Date, Date > inflationPeriod (const Date &, Frequency) utility function giving the inflation period for a given date Detailed DescriptionBase…

QuantLib::InflationSwap – Abstract base class for inflation swaps. Synopsis#include <ql/instruments/inflationswap.hpp> Inherits QuantLib::Instrument. Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap. Public Member FunctionsInflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) the constructor sets common data members virtual Rate fairRate () const =0 Inspectors…

ql/indexes/inflationindex.hpp – base classes for inflation indexes Synopsis#include <ql/index.hpp> #include <ql/indexes/region.hpp> #include <ql/termstructures/inflationtermstructure.hpp> #include <ql/currency.hpp> #include <ql/handle.hpp> Classesclass InflationIndex Base class for inflation-rate indexes,. class ZeroInflationIndex Base class for zero inflation indices. class YoYInflationIndex Base class for year-on-year inflation indices. Detailed Descriptionbase classes for inflation indexes AuthorGenerated automatically by Doxygen for QuantLib from the source…

QuantLib::Indonesia – Indonesian calendars Synopsis#include <ql/time/calendars/indonesia.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { BEJ, JSX } Public Member FunctionsIndonesia (Market m=BEJ) Detailed DescriptionIndonesian calendars Holidays for the Jakarta stock exchange (data from <http://www.jsx.co.id/>): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday * Ascension of Jesus Christ * Independence Day, August 17th…

QuantLib::India – Indian calendars. Synopsis#include <ql/time/calendars/india.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { NSE } Public Member FunctionsIndia (Market m=NSE) Detailed DescriptionIndian calendars. Holidays for the National Stock Exchange (data from <http://www.nse-india.com/>): * Saturdays * Sundays * Republic Day, January 26th * Good Friday * Ambedkar Jayanti, April 14th * Independence Day, August 15th * Gandhi…

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::CallableBond – Callable bond base class. Synopsis#include <ql/experimental/callablebonds/callablebond.hpp> Inherits QuantLib::Bond. Inherited by CallableFixedRateBond. Classesclass engine base class for callable fixed rate bond engine class results results for a callable bond calculation Public Member Functionsvirtual void setupArguments (PricingEngine::arguments *args) const Inspectors const CallabilitySchedule & callability () const return the bond’s put/call schedule Calculations Volatility impliedVolatility (Real…

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….

ImageByteOrder, BitmapBitOrder, BitmapPad, BitmapUnit, DisplayHeight, DisplayHeightMM, DisplayWidth, DisplayWidthMM, XListPixmapFormats, XPixmapFormatValues – image format functions and macros SyntaxXPixmapFormatValues *XListPixmapFormats(Display *display, int *count_return); int ImageByteOrder(Display *display); int BitmapBitOrder(Display *display); int BitmapPad(Display *display); int BitmapUnit(Display *display); int DisplayHeight(Display *display, int screen_number); int DisplayHeightMM(Display *display, int screen_number); int DisplayWidth(Display *display, int screen_number); int DisplayWidthMM(Display *display, int screen_number);Argumentsdisplay Specifies the…

Idle Handlers – Callbacks that are called when the program enters or exits an idle state. FunctionsEAPI Ecore_Idle_Enterer * ecore_idle_enterer_add (int(*func)(void *data), const void *data) Add an idle enterer handler. EAPI Ecore_Idle_Enterer * ecore_idle_enterer_before_add (int(*func)(void *data), const void *data) Add an idle enterer handler at the start of the list so it gets called earlier…

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::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::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…

ql/cashflows/iborcoupon.hpp – Coupon paying a Libor-type index. Synopsis#include <ql/cashflows/floatingratecoupon.hpp> #include <ql/indexes/iborindex.hpp> #include <ql/time/schedule.hpp> Classesclass IborCoupon Coupon paying a Libor-type index class IborLeg helper class building a sequence of capped/floored ibor-rate coupons Detailed DescriptionCoupon paying a Libor-type index. AuthorGenerated automatically by Doxygen for QuantLib from the source code.