SysTutorials Posts

QuantLib::AverageBMACoupon – Average BMA coupon. Synopsis#include <ql/cashflows/averagebmacoupon.hpp> Inherits QuantLib::FloatingRateCoupon. Public Member FunctionsAverageBMACoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< BMAIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) FloatingRateCoupon interface Date fixingDate () const not applicable here; use fixingDates() instead std::vector< Date…

NAME index, rindex – locate character in string SYNOPSIS #include <strings.h> char *index(const char *s, int c); char *rindex(const char *s, int c); DESCRIPTION The index() function returns a pointer to the first occurrence of the character c in the string s. The rindex() function returns a pointer to the last occurrence of the character…

NAME ql/math/incompletegamma.hpp – Incomplete Gamma function. SYNOPSIS #include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> Functions Real incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed Description Incomplete Gamma function. Author Generated automatically…

ql/math/incompletegamma.hpp – Incomplete Gamma function. Synopsis#include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> FunctionsReal incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed DescriptionIncomplete Gamma function. AuthorGenerated automatically by Doxygen for QuantLib from…

ql/math/incompletegamma.hpp – Incomplete Gamma function. Synopsis#include <ql/errors.hpp> #include <ql/types.hpp> #include <functional> FunctionsReal incompleteGammaFunction (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Incomplete Gamma function. Real incompleteGammaFunctionSeriesRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Real incompleteGammaFunctionContinuedFractionRepr (Real a, Real x, Real accuracy=1.0e-13, Integer maxIteration=100) Detailed DescriptionIncomplete Gamma function. AuthorGenerated automatically by Doxygen for QuantLib from…

QuantLib::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

QuantLib::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

NAME QuantLib::ProjectedCostFunction – Parameterized cost function. SYNOPSIS #include <ql/math/optimization/projectedcostfunction.hpp> Inherits QuantLib::CostFunction. Public Member Functions ProjectedCostFunction (const CostFunction &costFunction, const Array &parametersValues, const std::vector< bool > &parametersFreedoms) virtual Disposable< Array > project (const Array &parameters) const returns the subset of free parameters corresponding virtual Disposable< Array > include (const Array &projectedParameters) const returns whole set of…

QuantLib::CmsLeg – helper class building a sequence of capped/floored cms-rate coupons Synopsis#include <ql/cashflows/cmscoupon.hpp> Public Member FunctionsCmsLeg (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 & withFixingDays…

QuantLib::Forward – Abstract base forward class. Synopsis#include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functionsvirtual Real spotValue () const =0 returns spot value/price of an underlying financial instrument virtual Real spotIncome (const Handle< YieldTermStructure > &incomeDiscountCurve) const =0 NPV of income/dividends/storage-costs etc. of underlying instrument. Inspectors virtual Date settlementDate () const const…

NAME ql/instruments/impliedvolatility.hpp – Utilities for implied-volatility calculation. SYNOPSIS #include <ql/instrument.hpp> #include <ql/quotes/simplequote.hpp> #include <ql/processes/blackscholesprocess.hpp> Classes class ImpliedVolatilityHelper helper class for one-asset implied-volatility calculation Detailed Description Utilities for implied-volatility calculation. Author Generated automatically by Doxygen for QuantLib from the source code. Index

QuantLib::EurodollarFuturesImpliedStdDevQuote – quote for the Eurodollar-future implied standard deviation Synopsis#include <ql/quotes/eurodollarfuturesquote.hpp> Inherits QuantLib::Quote, and QuantLib::LazyObject. Public Member FunctionsEurodollarFuturesImpliedStdDevQuote (const Handle< Quote > &forward, const Handle< Quote > &callPrice, const Handle< Quote > &putPrice, Real strike, Real guess=.15, Real accuracy=1.0e-6, Natural maxIter=100) Quote interface Real value () const returns the current value bool isValid () const…

QuantLib::InterestRate – Concrete interest rate class. Synopsis#include <ql/interestrate.hpp> Public Member Functionsconstructors InterestRate () Default constructor returning a null interest rate. InterestRate (Rate r, const DayCounter &dc=Actual365Fixed(), Compounding comp=Continuous, Frequency freq=Annual) Standard constructor. conversions operator Rate () const inspectors Rate rate () const const DayCounter & dayCounter () const Compounding compounding () const Frequency frequency ()…

QuantLib::BootstrapHelper – Base helper class for bootstrapping. Synopsis#include <ql/termstructures/bootstraphelper.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by RelativeDateRateHelper. Public Member FunctionsBootstrapHelper (const Handle< Quote > &quote) BootstrapHelper (Real quote) BootstrapHelper interface Real quoteError () const Real quoteValue () const bool quoteIsValid () const virtual Real impliedQuote () const =0 virtual void setTermStructure (TS *) sets the term…

QuantLib::CreditDefaultSwap – Credit default swap. Synopsis#include <ql/instruments/creditdefaultswap.hpp> Inherits QuantLib::Instrument. Public Member FunctionsConstructors CreditDefaultSwap (Protection::Side side, Real notional, Rate spread, const Schedule &schedule, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, bool settlesAccrual=true, bool paysAtDefaultTime=true, const boost::shared_ptr< Claim > &=boost::shared_ptr< Claim >()) Instrument interface bool isExpired () const returns whether the instrument is still tradable. void setupArguments (PricingEngine::arguments *)…

QuantLib::SingleAssetOption – Black-Scholes-Merton option. Synopsis#include <ql/legacy/pricers/singleassetoption.hpp> Inherited by DiscreteGeometricASO. Public Member FunctionsSingleAssetOption (Option::Type type, Real underlying, Real strike, Spread dividendYield, Rate riskFreeRate, Time residualTime, Volatility volatility) virtual void setVolatility (Volatility newVolatility) virtual void setRiskFreeRate (Rate newRate) virtual void setDividendYield (Rate newDividendYield) virtual Real value () const =0 virtual Real delta () const =0 virtual Real…

QuantLib::CmsMarket – set of CMS quotes Synopsis#include <ql/termstructures/volatility/swaption/cmsmarket.hpp> Inherits QuantLib::LazyObject. Public Member FunctionsCmsMarket (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 (const Handle<…

QuantLib::MixedScheme – Mixed (explicit/implicit) scheme for finite difference methods. Synopsis#include <ql/methods/finitedifferences/mixedscheme.hpp> 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 FunctionsMixedScheme (const operator_type &L, Real theta, const bc_set &bcs) void step (array_type &a, Time t) void setStep (Time dt) Protected Attributesoperator_type L_ operator_type I_…

NAME QuantLib::Parameter – Base class for model arguments. SYNOPSIS #include <ql/models/parameter.hpp> Inherited by ConstantParameter, NullParameter, PiecewiseConstantParameter, and TermStructureFittingParameter. Classes class Impl Base class for model parameter implementation. Public Member Functions const Array & params () const void setParam (Size i, Real x) bool testParams (const Array &params) const Size size () const Real operator() (Time…

NAME QuantLib::Interpolation – base class for 1-D interpolations. SYNOPSIS #include <ql/math/interpolation.hpp> Inherits QuantLib::Extrapolator. Inherited by BackwardFlatInterpolation, ConvexMonotoneInterpolation< I1, I2 >, CubicInterpolation, ForwardFlatInterpolation, LinearInterpolation, LogCubicInterpolation, LogLinearInterpolation, and SABRInterpolation. Classes class Impl abstract base class for interpolation implementations class templateImpl basic template implementation Public Types typedef Real argument_type typedef Real result_type Public Member Functions bool empty ()…