NAME QuantLib::Index – purely virtual base class for indexes SYNOPSIS #include <ql/index.hpp> Inherits QuantLib::Observable. Inherited by InflationIndex, and InterestRateIndex. Public Member Functions virtual std::string name () const =0 Returns the name of the index. virtual Calendar fixingCalendar () const =0 returns the calendar defining valid fixing dates virtual bool isValidFixingDate (const Date &fixingDate) const =0…
NAME fixfloor – Returns the greatest integer not greater than x. Allegro game programming library. SYNOPSIS #include <allegro.h> int fixfloor(fixed x); DESCRIPTION Returns the greatest integer not greater than x. That is, it rounds towards negative infinity. Example: int result; /* This will put 33 into `result’. */ result = fixfloor(itofix(100) / 3); /* And…
QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…
QuantLib::AssetSwap::arguments – Arguments for asset swap calculation Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::arguments. Public Member Functions void validate () const Public Attributes Real nominal Date settlementDate std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Real > fixedCoupons std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Spread…
QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis #include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member Functions YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) Instrument interface bool isExpired () const…
QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…
QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis #include <ql/experimental/commodities/energyvanillaswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure…
QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis #include <ql/experimental/commodities/energyvanillaswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure…
QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis #include <ql/experimental/commodities/energyvanillaswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure…
QuantLib::EnergyVanillaSwap – Vanilla energy swap. Synopsis #include <ql/experimental/commodities/energyvanillaswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyVanillaSwap (bool payer, const Calendar &calendar, const Money &fixedPrice, const UnitOfMeasure &fixedPriceUnitOfMeasure, const boost::shared_ptr< CommodityIndex > &index, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const Handle< YieldTermStructure > &payLegTermStructure, const Handle< YieldTermStructure…
QuantLib::RiskyAssetSwap – Risky asset-swap instrument. Synopsis #include <ql/experimental/credit/riskyassetswap.hpp> Inherits QuantLib::Instrument. Public Member Functions RiskyAssetSwap (bool fixedPayer, Real nominal, const Schedule &fixedSchedule, const Schedule &floatSchedule, const DayCounter &fixedDayCounter, const DayCounter &floatDayCounter, Rate spread, Rate recoveryRate_, const Handle< YieldTermStructure > &yieldTS, const Handle< DefaultProbabilityTermStructure > &defaultTS, Rate coupon=Null< Rate >()) Real fairSpread () Real floatAnnuity () const…
QuantLib::AssetSwap::arguments – Arguments for asset swap calculation Synopsis #include <ql/instruments/assetswap.hpp> Inherits QuantLib::Swap::arguments. Public Member Functions void validate () const Public Attributes Real nominal Date settlementDate std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Real > fixedCoupons std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Spread…
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 Functions SwapIndex (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…
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 Functions SwapIndex (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…
QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…
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 Functions SwapIndex (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…
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 Functions SwapIndex (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…
QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…
QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis #include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classes class arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Types enum Type { Receiver = -1, Payer = 1 } Public Member Functions VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule,…
QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates. Synopsis #include <ql/termstructures/yield/ratehelpers.hpp> Inherits QuantLib::RelativeDateRateHelper. Public Member Functions SwapRateHelper (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,…