Linux Manuals

QuantLib::Instrument – Abstract instrument class. Synopsis void calculate () const virtual void setupExpired () const virtual void performCalculations () const Protected Attributes Inherits QuantLib::LazyObject. Inherited by Bond, CapFloor, CDO, CdsOption, Commodity, CompositeInstrument, CreditDefaultSwap, Forward, InflationSwap, NthToDefault, Option, PathMultiAssetOption, RiskyAssetSwap, Stock, Swap, SyntheticCDO, VarianceOption, and VarianceSwap. Public Member Functions virtual void setupArguments (PricingEngine::arguments *) const virtual…

QuantLib::CommodityCurve – Commodity term structure. Synopsis std::ostream & operator<< (std::ostream &out, const CommodityCurve &curve) std::string name_ CommodityType commodityType_ UnitOfMeasure unitOfMeasure_ Currency currency_ std::vector< Date > dates_ std::vector< Time > times_ std::vector< Real > data_ Interpolation interpolation_ ForwardFlat interpolator_ boost::shared_ptr< CommodityCurve > basisOfCurve_ Real basisOfCurveUomConversionFactor_ const std::string & name () const const CommodityType & commodityType ()…

QuantLib::CappedFlooredCoupon – Capped and/or floored floating-rate coupon. Synopsis void update () Visitability Inherits QuantLib::FloatingRateCoupon. Inherited by CappedFlooredCmsCoupon, and CappedFlooredIborCoupon. Public Member Functions void update () Visitability Coupon interface Rate rate () const accrued rate Rate convexityAdjustment () const convexity adjustment Observer interface void update () Visitability boost::shared_ptr< FloatingRateCoupon > underlying_ bool isCapped_ bool isFloored_ Rate…

QuantLib::LiborForwardModel – Libor forward model Synopsis #include <ql/legacy/libormarketmodels/liborforwardmodel.hpp> Inherits QuantLib::CalibratedModel, and QuantLib::AffineModel. Public Member Functions LiborForwardModel (const boost::shared_ptr< LiborForwardModelProcess > &process, const boost::shared_ptr< LmVolatilityModel > &volaModel, const boost::shared_ptr< LmCorrelationModel > &corrModel) Rate S_0 (Size alpha, Size beta) const virtual boost::shared_ptr< SwaptionVolatilityMatrix > getSwaptionVolatilityMatrix () const DiscountFactor discount (Time t) const Implied discount curve. Real discountBond…

QuantLib::Parameter – Base class for model arguments. Synopsis const Array & params () const void setParam (Size i, Real x) bool testParams (const Array &params) const Size size () const Real operator() (Time t) const const boost::shared_ptr< Impl > & implementation () const Protected Member Functions Inherited by ConstantParameter, NullParameter, PiecewiseConstantParameter, and TermStructureFittingParameter. Classes class…

QuantLib::LMMCurveState – Curve state for Libor market models Synopsis void setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0) void setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, Size firstValidIndex=0) Inherits QuantLib::CurveState. Public Member Functions LMMCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0) void…

QuantLib::LMMCurveState – Curve state for Libor market models Synopsis void setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0) void setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, Size firstValidIndex=0) Inherits QuantLib::CurveState. Public Member Functions LMMCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0) void…

QuantLib::CoterminalSwapCurveState – Curve state for coterminal-swap market models Synopsis void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0) Inherits QuantLib::CurveState. Public Member Functions CoterminalSwapCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnCoterminalSwapRates (const std::vector< Rate > &swapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate…

QuantLib::CMSwapCurveState – Curve state for constant-maturity-swap market models Synopsis void setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0) Inherits QuantLib::CurveState. Public Member Functions CMSwapCurveState (const std::vector< Time > &rateTimes, Size spanningForwards) Modifiers void setOnCMSwapRates (const std::vector< Rate > &cmSwapRates, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate (Size i) const Rate…

QuantLib::GenericModelEngine – Base class for some pricing engine on a particular model. Synopsis #include <ql/pricingengines/genericmodelengine.hpp> Inherits GenericEngine< ArgumentsType, ResultsType >. Public Member Functions GenericModelEngine (const boost::shared_ptr< ModelType > &model) void setModel (const boost::shared_ptr< ModelType > &model) Protected Attributes boost::shared_ptr< ModelType > model_ Detailed Description template<class ModelType, class ArgumentsType, class ResultsType> class QuantLib::GenericModelEngine< ModelType, ArgumentsType, ResultsType…

QuantLib::TridiagonalOperator – Base implementation for tridiagonal operator. Synopsis void swap (TridiagonalOperator &) Protected Attributes Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >. Classes class TimeSetter encapsulation of time-setting logic Public Types typedef Array array_type Public Member Functions void swap (TridiagonalOperator &) Protected Attributes Inspectors Size size () const bool isTimeDependent () const…

QuantLib::TridiagonalOperator – Base implementation for tridiagonal operator. Synopsis void swap (TridiagonalOperator &) Protected Attributes Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >. Classes class TimeSetter encapsulation of time-setting logic Public Types typedef Array array_type Public Member Functions void swap (TridiagonalOperator &) Protected Attributes Inspectors Size size () const bool isTimeDependent () const…

QuantLib::HaganPricer – CMS-coupon pricer. Synopsis virtual Real swapletPrice () const =0 virtual Rate swapletRate () const virtual Real capletPrice (Rate effectiveCap) const virtual Rate capletRate (Rate effectiveCap) const virtual Real floorletPrice (Rate effectiveFloor) const virtual Rate floorletRate (Rate effectiveFloor) const Real meanReversion () const void setMeanReversion (const Handle< Quote > &meanReversion) Protected Member Functions HaganPricer…

QuantLib::Solver1D – Base class for 1-D solvers. Synopsis #include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member Functions Modifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void…

QuantLib::Solver1D – Base class for 1-D solvers. Synopsis #include <ql/math/solver1d.hpp> Inherits CuriouslyRecurringTemplate< Impl >. Public Member Functions Modifiers template<class F > Real solve (const F &f, Real accuracy, Real guess, Real step) const template<class F > Real solve (const F &f, Real accuracy, Real guess, Real xMin, Real xMax) const void setMaxEvaluations (Size evaluations) void…

QuantLib::SampledCurve – This class contains a sampled curve. Synopsis void swap (SampledCurve &) void setLogGrid (Real min, Real max) void regridLogGrid (Real min, Real max) void shiftGrid (Real s) void scaleGrid (Real s) void regrid (const Array &new_grid) template<class T > void regrid (const Array &new_grid, T func) template<class T > const SampledCurve & transform…

QuantLib::TridiagonalOperator – Base implementation for tridiagonal operator. Synopsis void swap (TridiagonalOperator &) Protected Attributes Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >. Classes class TimeSetter encapsulation of time-setting logic Public Types typedef Array array_type Public Member Functions void swap (TridiagonalOperator &) Protected Attributes Inspectors Size size () const bool isTimeDependent () const…

QuantLib::ExtendedBlackVarianceCurve – Black volatility curve modelled as variance curve. Synopsis ExtendedBlackVarianceCurve (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Handle< Quote > > &volatilities, const DayCounter &dayCounter, bool forceMonotoneVariance=true) DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate () const the latest date for which the curve can return…

QuantLib::NonLinearLeastSquare – Non-linear least-square method. Synopsis NonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100) Default constructor. NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om) Default constructor. ~NonLinearLeastSquare () Destructor. Array & perform (LeastSquareProblem &lsProblem) Solve least square problem using numerix solver. void setInitialValue (const Array &initialValue) Array & results () return the results…

QuantLib::MarketModelEvolver – Market-model evolver. Synopsis virtual const std::vector< Size > & numeraires () const =0 virtual Real startNewPath ()=0 virtual Real advanceStep ()=0 virtual Size currentStep () const =0 virtual const CurveState & currentState () const =0 virtual void setInitialState (const CurveState &)=0 Inherited by ConstrainedEvolver, LogNormalCmSwapRatePc, LogNormalCotSwapRatePc, LogNormalFwdRateEuler, LogNormalFwdRateIpc, LogNormalFwdRatePc, NormalFwdRatePc, and SVDDFwdRatePc. Public…