SysTutorials Posts

NAME QuantLib::step_iterator – Iterator advancing in constant steps. SYNOPSIS #include <ql/utilities/steppingiterator.hpp> Inherits boost::iterator_adaptor<step_iterator<Iterator>, Iterator>. Public Member Functions step_iterator (const Iterator &base, Size step) template<class OtherIterator > step_iterator (const step_iterator< OtherIterator > &i, typename boost::enable_if_convertible< OtherIterator, Iterator >::type *=0) Size step () const void increment () void decrement () void advance (typename super_t::difference_type n) super_t::difference_type distance_to…

NAME QuantLib::MarketModel – base class for market models SYNOPSIS #include <ql/models/marketmodels/marketmodel.hpp> Inherited by AbcdVol, CotSwapToFwdAdapter, FlatVol, FwdPeriodAdapter, FwdToCotSwapAdapter, and PseudoRootFacade. Public Member Functions virtual const std::vector< Rate > & initialRates () const =0 virtual const std::vector< Spread > & displacements () const =0 virtual const EvolutionDescription & evolution () const =0 virtual Size numberOfRates ()…

disnan.f – Synopsis Functions/Subroutines LOGICAL function disnan (DIN) DISNAN tests input for NaN. Function/Subroutine Documentation LOGICAL function disnan (double precisionDIN) DISNAN tests input for NaN. Purpose: DISNAN returns .TRUE. if its argument is NaN, and .FALSE. otherwise. To be replaced by the Fortran 2003 intrinsic in the future.   Parameters: DIN DIN is DOUBLE PRECISION…

NAME ql/discretizedasset.hpp – Discretized asset classes. SYNOPSIS #include <ql/numericalmethod.hpp> #include <ql/math/comparison.hpp> #include <ql/exercise.hpp> Classes class DiscretizedAsset Discretized asset class used by numerical methods. class DiscretizedDiscountBond Useful discretized discount bond asset. class DiscretizedOption Discretized option on a given asset. Detailed Description Discretized asset classes. Author Generated automatically by Doxygen for QuantLib from the source code. Index

NAME QuantLib::StochasticProcess – multi-dimensional stochastic process class. SYNOPSIS #include <ql/stochasticprocess.hpp> Inherits QuantLib::Observer, and QuantLib::Observable. Inherited by ForwardMeasureProcess, G2Process, GJRGARCHProcess, HestonProcess, JointStochasticProcess, LiborForwardModelProcess, StochasticProcess1D, and StochasticProcessArray. Classes class discretization discretization of a stochastic process over a given time interval Public Member Functions Stochastic process interface virtual Size size () const =0 returns the number of dimensions…

NAME QuantLib::DiscrepancyStatistics – Statistic tool for sequences with discrepancy calculation. SYNOPSIS #include <ql/math/statistics/discrepancystatistics.hpp> Inherits GenericSequenceStatistics< Statistics >. Public Types typedef SequenceStatistics::value_type value_type Public Member Functions DiscrepancyStatistics (Size dimension) template<class Sequence > void add (const Sequence &sample, Real weight=1.0) template<class Iterator > void add (Iterator begin, Iterator end, Real weight=1.0) void reset (Size dimension=0) 1-dimensional inspectors…

NAME QuantLib::InterpolatedDiscountCurve – Term structure based on interpolation of discount factors. SYNOPSIS #include <ql/termstructures/yield/discountcurve.hpp> Inherits QuantLib::YieldTermStructure, and boost::noncopyable. Inherited by ExtendedDiscountCurve. Public Member Functions InterpolatedDiscountCurve (const std::vector< Date > &dates, const std::vector< DiscountFactor > &dfs, const DayCounter &dayCounter, const Calendar &cal=Calendar(), const Interpolator &interpolator=Interpolator()) Inspectors Date maxDate () const the latest date for which the…

NAME QuantLib::HaganPricer – CMS-coupon pricer. SYNOPSIS #include <ql/cashflows/conundrumpricer.hpp> Inherits QuantLib::CmsCouponPricer. Inherited by AnalyticHaganPricer, and NumericHaganPricer. Public Member Functions 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…

QuantLib::EnergyBasisSwap – Energy basis swap. Synopsis #include <ql/experimental/commodities/energybasisswap.hpp> Inherits QuantLib::EnergySwap. Public Member Functions EnergyBasisSwap (const Calendar &calendar, const boost::shared_ptr< CommodityIndex > &spreadIndex, const boost::shared_ptr< CommodityIndex > &payIndex, const boost::shared_ptr< CommodityIndex > &receiveIndex, bool spreadToPayLeg, const Currency &payCurrency, const Currency &receiveCurrency, const PricingPeriods &pricingPeriods, const CommodityUnitCost &basis, const CommodityType &commodityType, const boost::shared_ptr< SecondaryCosts > &secondaryCosts, const…

QuantLib::CurveState – Curve state for market-model simulations Synopsis #include <ql/models/marketmodels/curvestate.hpp> Inherited by CMSwapCurveState, CoterminalSwapCurveState, and LMMCurveState. Public Member Functions CurveState (const std::vector< Time > &rateTimes) Inspectors Size numberOfRates () const const std::vector< Time > & rateTimes () const const std::vector< Time > & rateTaus () const virtual Real discountRatio (Size i, Size j) const =0…

QuantLib::CompoundForward – compound-forward structure Synopsis #include <ql/legacy/termstructures/compoundforward.hpp> Inherits QuantLib::ForwardRateStructure. Public Member Functions CompoundForward (const Date &referenceDate, const std::vector< Date > &dates, const std::vector< Rate > &forwards, const Calendar &calendar, const BusinessDayConvention conv, const Integer compounding, const DayCounter &dayCounter) BusinessDayConvention businessDayConvention () const Integer compounding () const Date maxDate () const the latest date for which…

QuantLib::FittedBondDiscountCurve::FittingMethod – Base fitting method used to construct a fitted bond discount curve. Synopsis #include <ql/termstructures/yield/fittedbonddiscountcurve.hpp> Inherited by CubicBSplinesFitting, ExponentialSplinesFitting, NelsonSiegelFitting, and SimplePolynomialFitting. Public Member Functions virtual Size size () const =0 total number of coefficients to fit/solve for Array solution () const output array of results of optimization problem Integer numberOfIterations () const final…

QuantLib::Forward – Abstract base forward class. Synopsis #include <ql/instruments/forward.hpp> Inherits QuantLib::Instrument. Inherited by FixedRateBondForward, and ForwardRateAgreement. Public Member Functions virtual 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 ()…

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::LiborForwardModelProcess – libor-forward-model process Synopsis #include <ql/legacy/libormarketmodels/lfmprocess.hpp> Inherits QuantLib::StochasticProcess. Public Member Functions LiborForwardModelProcess (Size size, const boost::shared_ptr< IborIndex > &index) Disposable< Array > initialValues () const returns the initial values of the state variables Disposable< Array > drift (Time t, const Array &x) const returns the drift part of the equation, i.e., $ mu(t, mathrm{x}_t)…

NAME 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…

NAME disable_hardware_cursor – Disables the OS hardware cursor. Allegro game programming library. SYNOPSIS #include <allegro.h> void disable_hardware_cursor(void); DESCRIPTION After calling this function, Allegro will be responsible for drawing the mouse cursor rather than the operating system. On some platforms calling enable_hardware_cursor() makes the return values of get_mouse_mickeys() unreliable. After calling this function, get_mouse_mickeys() returns reliable…

QuantLib::Extrapolator – base class for classes possibly allowing extrapolation Synopsis #include <ql/math/interpolations/extrapolation.hpp> Inherited by Interpolation, Interpolation2D, and TermStructure. Public Member Functions modifiers void enableExtrapolation (bool b=true) enable extrapolation in subsequent calls void disableExtrapolation (bool b=true) disable extrapolation in subsequent calls inspectors bool allowsExtrapolation () const tells whether extrapolation is enabled Detailed Description base class for…

QuantLib::Bond – Base bond class. Synopsis #include <ql/instruments/bond.hpp> Inherits QuantLib::Instrument. Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond. Public Member Functions Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) constructor for amortizing or non-amortizing bonds. Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const…

QuantLib::Bond – Base bond class. Synopsis #include <ql/instruments/bond.hpp> Inherits QuantLib::Instrument. Inherited by AmortizingCmsRateBond, AmortizingFixedRateBond, AmortizingFloatingRateBond, CallableBond, CmsRateBond, ConvertibleBond, FixedRateBond, FloatingRateBond, and ZeroCouponBond. Public Member Functions Bond (Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) constructor for amortizing or non-amortizing bonds. Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const…