SysTutorials Posts

QuantLib::SABRInterpolation – SABR smile interpolation between discrete volatility points. Synopsis#include <ql/math/interpolations/sabrinterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=false, const…

ql/math/interpolations/interpolation2d.hpp – abstract base classes for 2-D interpolations Synopsis#include <ql/math/interpolations/extrapolation.hpp> #include <ql/math/comparison.hpp> #include <ql/math/matrix.hpp> #include <ql/errors.hpp> #include <ql/types.hpp> #include <vector> Classesclass Interpolation2D base class for 2-D interpolations. class Impl abstract base class for 2-D interpolation implementations class templateImpl< I1, I2, M > basic template implementation Detailed Descriptionabstract base classes for 2-D interpolations AuthorGenerated automatically by…

ql/math/interpolation.hpp – base class for 1-D interpolations Synopsis#include <ql/math/interpolations/extrapolation.hpp> #include <ql/math/comparison.hpp> #include <ql/errors.hpp> #include <vector> Classesclass Interpolation base class for 1-D interpolations. class Impl abstract base class for interpolation implementations class templateImpl< I1, I2 > basic template implementation Detailed Descriptionbase class for 1-D interpolations AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::InflationIndex – Base class for inflation-rate indexes,. Synopsis#include <ql/indexes/inflationindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by YoYInflationIndex, and ZeroInflationIndex. Public Member FunctionsInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilitiyLag, const Currency &currency) Index interface std::string name () const Returns the name of the index. Calendar fixingCalendar () const…

QuantLib::InflationIndex – Base class for inflation-rate indexes,. Synopsis#include <ql/indexes/inflationindex.hpp> Inherits QuantLib::Index, and QuantLib::Observer. Inherited by YoYInflationIndex, and ZeroInflationIndex. Public Member FunctionsInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilitiyLag, const Currency &currency) Index interface std::string name () const Returns the name of the index. Calendar fixingCalendar () const…

QuantLib::BackwardFlat – Backward-flat interpolation factory and traits. Synopsis#include <ql/math/interpolations/backwardflatinterpolation.hpp> Public Member Functionstemplate<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = false static const Size requiredPoints = 2 Detailed DescriptionBackward-flat interpolation factory and traits. AuthorGenerated automatically by Doxygen for QuantLib…

internal_v_smechname – Internal names and mechanism names Name formsThere are two name representations in GSS-API: Internal form and Contiguous string (‘flat’) form. Functions gss_export_name() and gss_import_name() can be used to convert between the two forms. • The contiguous string form is described by an oid specificing the type and an octet string. A special form…

QuantLib::LmConstWrapperVolatilityModel – caplet const volatility model Synopsis#include <ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp> Inherits QuantLib::LmVolatilityModel. Public Member FunctionsLmConstWrapperVolatilityModel (const boost::shared_ptr< LmVolatilityModel > &volaModel) Disposable< Array > volatility (Time t, const Array &x=Null< Array >()) const Volatility volatility (Size i, Time t, const Array &x=Null< Array >()) Real integratedVariance (Size i, Size j, Time u, const Array &x=Null< Array >()) const…

QuantLib::LfmCovarianceParameterization – Libor market model parameterization Synopsis#include <ql/legacy/libormarketmodels/lfmcovarparam.hpp> Inherited by LfmCovarianceProxy, and LfmHullWhiteParameterization. Public Member FunctionsLfmCovarianceParameterization (Size size, Size factors) Size size () const Size factors () const virtual Disposable< Matrix > diffusion (Time t, const Array &x=Null< Array >()) const =0 virtual Disposable< Matrix > covariance (Time t, const Array &x=Null< Array >()) const…

QuantLib::NumericHaganPricer – CMS-coupon pricer. Synopsis#include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::HaganPricer. Public Member FunctionsNumericHaganPricer (const Handle< SwaptionVolatilityStructure > &swaptionVol, GFunctionFactory::YieldCurveModel modelOfYieldCurve, const Handle< Quote > &meanReversion, Rate lowerLimit=0.0, Rate upperLimit=1.0, Real precision=1.0e-6) Real upperLimit () Real stdDeviations () Real integrate (Real a, Real b, const ConundrumIntegrand &Integrand) const virtual Real optionletPrice (Option::Type optionType, Rate strike) const virtual Real…

system_data_types – overview of system data types Descriptionaiocb Include: <aio.h>. struct aiocb {     int             aio_fildes;    /* File descriptor */     off_t           aio_offset;    /* File offset */     volatile void  *aio_buf;       /* Location of buffer */     size_t          aio_nbytes;    /* Length of transfer */     int             aio_reqprio;   /* Request priority offset */     struct sigevent aio_sigevent;  /* Signal number and value */     int             aio_lio_opcode;/* Operation to be performed */ }; For further information about this structure, see aio(7). Conforming to: POSIX.1-2001 and later. See also: aio_cancel(3), aio_error(3),…

system_data_types – overview of system data types Descriptionaiocb Include: <aio.h>. struct aiocb {     int             aio_fildes;    /* File descriptor */     off_t           aio_offset;    /* File offset */     volatile void  *aio_buf;       /* Location of buffer */     size_t          aio_nbytes;    /* Length of transfer */     int             aio_reqprio;   /* Request priority offset */     struct sigevent aio_sigevent;  /* Signal number and value */     int             aio_lio_opcode;/* Operation to be performed */ }; For further information about this structure, see aio(7). Conforming to: POSIX.1-2001 and later. See also: aio_cancel(3), aio_error(3),…

system_data_types – overview of system data types Descriptionaiocb Include: <aio.h>. struct aiocb {     int             aio_fildes;    /* File descriptor */     off_t           aio_offset;    /* File offset */     volatile void  *aio_buf;       /* Location of buffer */     size_t          aio_nbytes;    /* Length of transfer */     int             aio_reqprio;   /* Request priority offset */     struct sigevent aio_sigevent;  /* Signal number and value */     int             aio_lio_opcode;/* Operation to be performed */ }; For further information about this structure, see aio(7). Conforming to: POSIX.1-2001 and later. See also: aio_cancel(3), aio_error(3),…

system_data_types – overview of system data types Descriptionaiocb Include: <aio.h>. struct aiocb {     int             aio_fildes;    /* File descriptor */     off_t           aio_offset;    /* File offset */     volatile void  *aio_buf;       /* Location of buffer */     size_t          aio_nbytes;    /* Length of transfer */     int             aio_reqprio;   /* Request priority offset */     struct sigevent aio_sigevent;  /* Signal number and value */     int             aio_lio_opcode;/* Operation to be performed */ }; For further information about this structure, see aio(7). Conforming to: POSIX.1-2001 and later. See also: aio_cancel(3), aio_error(3),…

system_data_types – overview of system data types Descriptionaiocb Include: <aio.h>. struct aiocb {     int             aio_fildes;    /* File descriptor */     off_t           aio_offset;    /* File offset */     volatile void  *aio_buf;       /* Location of buffer */     size_t          aio_nbytes;    /* Length of transfer */     int             aio_reqprio;   /* Request priority offset */     struct sigevent aio_sigevent;  /* Signal number and value */     int             aio_lio_opcode;/* Operation to be performed */ }; For further information about this structure, see aio(7). Conforming to: POSIX.1-2001 and later. See also: aio_cancel(3), aio_error(3),…

Financial instruments – Classesclass DigitalCoupon Digital-payoff coupon. class CallableBond Callable bond base class. class CallableFixedRateBond callable/puttable fixed rate bond class CallableZeroCouponBond callable/puttable zero coupon bond class Commodity Commodity base class. class EnergyCommodity Energy commodity class. class EnergyFuture Energy future. class DividendBarrierOption Single-asset barrier option with discrete dividends. class VarianceOption Variance option. class ContinuousAveragingAsianOption Continuous-averaging Asian…

QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis#include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member FunctionsAbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real maximumVolatility ()…

QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis#include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member FunctionsAbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real maximumVolatility ()…

QuantLib::AbcdFunction – Abcd functional form for instantaneous volatility Synopsis#include <ql/termstructures/volatility/abcd.hpp> Inherits std::unary_function<Real, Real>. Public Member FunctionsAbcdFunction (Real a=-0.06, Real b=0.17, Real c=0.54, Real d=0.17) Real operator() (Time u) const volatility function value at time u: [ f(u) ] Real maximumLocation () const time at which the volatility function reaches maximum (if any) Real maximumVolatility ()…

QuantLib::Singleton – Basic support for the singleton pattern. Synopsis#include <ql/patterns/singleton.hpp> Inherits boost::noncopyable. Static Public Member Functionsstatic T & instance () access to the unique instance Detailed Descriptiontemplate<class T> class QuantLib::Singleton< T >Basic support for the singleton pattern. The typical use of this class is: class Foo : public Singleton<Foo> { friend class Singleton<Foo>; private: Foo()…