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QuantLib::TARGET – TARGET calendar Synopsis#include <ql/time/calendars/target.hpp> Inherits QuantLib::Calendar. Detailed DescriptionTARGET calendar Holidays (see http://www.ecb.int): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday (since 2000) * Easter Monday (since 2000) * Labour Day, May 1st (since 2000) * Christmas, December 25th * Day of Goodwill, December 26th (since 2000) * December…
QuantLib::SyntheticCDO::engine – CDO base engine. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >. Inherited by IntegralCDOEngine, MidPointCDOEngine, and MonteCarloCDOEngine2. Protected Member Functionsvirtual Real expectedTrancheLoss (const Date &) const =0 virtual void initialize () const Protected Attributesboost::shared_ptr< Basket > remainingBasket_ Detailed DescriptionCDO base engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::SyntheticCDO – Synthetic Collateralized Debt Obligation. Synopsis#include <ql/experimental/credit/syntheticcdo.hpp> Inherits QuantLib::Instrument. Classesclass engine CDO base engine. Public Member FunctionsSyntheticCDO (const boost::shared_ptr< Basket > basket, Protection::Side side, const Schedule &schedule, Rate upfrontRate, Rate runningRate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention, const Handle< YieldTermStructure > &yieldTS) boost::shared_ptr< Basket > basket () const bool isExpired () const returns whether the…
QuantLib::SymmetricSchurDecomposition – symmetric threshold Jacobi algorithm. Synopsis#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp> Public Member FunctionsSymmetricSchurDecomposition (const Matrix &s) const Array & eigenvalues () const const Matrix & eigenvectors () const Detailed Descriptionsymmetric threshold Jacobi algorithm. Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal matrix formed by…
QuantLib::Switzerland – Swiss calendar. Synopsis#include <ql/time/calendars/switzerland.hpp> Inherits QuantLib::Calendar. Detailed DescriptionSwiss calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Berchtoldstag, January 2nd * Good Friday * Easter Monday * Ascension Day * Whit Monday * Labour Day, May 1st * National Day, August 1st * Christmas, December 25th * St. Stephen’s…
QuantLib::Sweden – Swedish calendar. Synopsis#include <ql/time/calendars/sweden.hpp> Inherits QuantLib::Calendar. Detailed DescriptionSwedish calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * Ascension * Whit(Pentecost) Monday * May Day, May 1st * National Day, June 6th * Midsummer Eve (Friday between June 18-24) *…
QuantLib::Swaption::arguments – Arguments for swaption calculation Synopsis#include <ql/instruments/swaption.hpp> Inherits QuantLib::VanillaSwap::arguments, and QuantLib::Option::arguments. Public Member Functionsvoid validate () const Public Attributesboost::shared_ptr< VanillaSwap > swap Settlement::Type settlementType Detailed DescriptionArguments for swaption calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::SwaptionVolatilityStructure – Swaption-volatility structure Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityDiscrete. Public Member FunctionsTime swapLength (const Period &swapTenor) const implements the conversion between swap tenor and swap (time) length Time swapLength (const Date &start, const Date &end) const implements the conversion between swap dates and swap (time) length Constructors See the TermStructure…
QuantLib::SwaptionVolatilityMatrix – At-the-money swaption-volatility matrix. Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete, and boost::noncopyable. Public Member FunctionsSwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter) floating reference date, floating market data SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention…
QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member FunctionsSwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex > &shortSwapIndexBase,…
QuantLib::SwaptionHelper – calibration helper for ATM swaption Synopsis#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsSwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > ×) const virtual…
QuantLib::Swaption – Swaption class Synopsis#include <ql/instruments/swaption.hpp> Inherits QuantLib::Option. Classesclass arguments Arguments for swaption calculation class engine base class for swaption engines Public Member FunctionsSwaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical) Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0)…
QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates. Synopsis#include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member FunctionsSwapRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days) SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter…
QuantLib::SwapIndex – base class for swap-rate indexes Synopsis#include <ql/indexes/swapindex.hpp> Inherits QuantLib::InterestRateIndex. Inherited by ChfLiborSwapIsdaFix, EuriborSwapIfrFix, EuriborSwapIsdaFixA, EuriborSwapIsdaFixB, EurLiborSwapIfrFix, EurLiborSwapIsdaFixA, EurLiborSwapIsdaFixB, GbpLiborSwapIsdaFix, JpyLiborSwapIsdaFixAm, JpyLiborSwapIsdaFixPm, UsdLiborSwapIsdaFixAm, and UsdLiborSwapIsdaFixPm. Public Member FunctionsSwapIndex (const std::string &familyName, const Period &tenor, Natural settlementDays, Currency currency, const Calendar &calendar, const Period &fixedLegTenor, BusinessDayConvention fixedLegConvention, const DayCounter &fixedLegDayCounter, const boost::shared_ptr< IborIndex > &iborIndex)…
QuantLib::Swap – Interest rate swap. Synopsis#include <ql/instruments/swap.hpp> Inherits QuantLib::Instrument. Inherited by AssetSwap, BMASwap, and VanillaSwap. Public Member FunctionsConstructors Swap (const Leg &firstLeg, const Leg &secondLeg) Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *) const void…
QuantLib::SuperSharePayoff – Binary supershare payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsSuperSharePayoff (Real strike, Real secondStrike, Real cashPayoff) Real strike () const Real secondStrike () const Real cashPayoff () const Payoff interface std::string name () const std::string description () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal strike_ Real secondStrike_…
QuantLib::SuperFundPayoff – Binary supershare and superfund payoffs. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsSuperFundPayoff (Real strike, Real secondStrike) Real secondStrike () const Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Protected AttributesReal secondStrike_ Detailed DescriptionBinary supershare and superfund payoffs. Binary superfund payoff Superfund sometimes also called ‘supershare’,…
QuantLib::StulzEngine – Pricing engine for 2D European Baskets. Synopsis#include <ql/pricingengines/basket/stulzengine.hpp> Inherits QuantLib::BasketOption::engine. Public Member FunctionsStulzEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process1, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process2, Real correlation) void calculate () const Detailed DescriptionPricing engine for 2D European Baskets. This class implements formulae from ‘Options on the Minimum or the Maximum of Two Risky Assets’, Rene…
QuantLib::StudentDistribution – Student t-distribution. Synopsis#include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsStudentDistribution (Integer n) Real operator() (Real x) const Detailed DescriptionStudent t-distribution. Probability density function for $ n $ degrees of freedom (see mathworld.wolfram.com or wikipedia.org): [ f(x) = ac {Gammad automatically by Doxygen for QuantLib from the source code.
QuantLib::StrippedOptionletBase – Synopsis#include <ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp> Inherits QuantLib::LazyObject. Inherited by OptionletStripper, and StrippedOptionlet. Public Member Functionsvirtual const std::vector< Rate > & optionletStrikes (Size i) const =0 virtual const std::vector< Volatility > & optionletVolatilities (Size i) const =0 virtual const std::vector< Date > & optionletFixingDates () const =0 virtual const std::vector< Time > & optionletFixingTimes () const =0…