SysTutorials Posts

QuantLib::BlackAtmVolCurve – Black at-the-money (no-smile) volatility curve. Synopsis #include <ql/experimental/volatility/blackatmvolcurve.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by AbcdAtmVolCurve, and BlackVolSurface. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. BlackAtmVolCurve (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor BlackAtmVolCurve (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a…

QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis #include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member Functions SwaptionVolatilityCube (const Handle< SwaptionVolatilityStructure > &atmVolStructure, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< Spread > &strikeSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads, const boost::shared_ptr< SwapIndex > &swapIndexBase, const boost::shared_ptr< SwapIndex…

QuantLib::CashFlows – cashflow-analysis functions Synopsis #include <ql/cashflows/cashflows.hpp> Static Public Member Functions static Leg::const_iterator previousCashFlow (const Leg &leg, Date refDate=Date()) static Leg::const_iterator nextCashFlow (const Leg &leg, Date refDate=Date()) static Rate previousCouponRate (const Leg &leg, const Date &refDate=Date()) static Rate nextCouponRate (const Leg &leg, const Date &refDate=Date()) static Date startDate (const Leg &leg) static Date maturityDate (const…

QuantLib::StrippedOptionlet – Synopsis #include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp> Inherits QuantLib::StrippedOptionletBase. Public Member Functions StrippedOptionlet (Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Date > &optionletDates, const std::vector< Rate > &strikes, const std::vector< std::vector< Handle< Quote > > > &, const DayCounter &dc=Actual365Fixed()) StrippedOptionletBase interface const std::vector< Rate > & optionletStrikes (Size i)…

QuantLib::SmileSection – interest rate volatility smile section Synopsis #include <ql/termstructures/volatility/smilesection.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by FlatSmileSection, InterpolatedSmileSection< Interpolator >, SabrInterpolatedSmileSection, SabrSmileSection, and SpreadedSmileSection. Public Member Functions SmileSection (const Date &d, const DayCounter &dc=DayCounter(), const Date &referenceDate=Date()) SmileSection (Time exerciseTime, const DayCounter &dc=DayCounter()) virtual void update () virtual Real minStrike () const =0 virtual Real…

QuantLib::EquityFXVolSurface – Equity/FX volatility (smile) surface. Synopsis #include <ql/experimental/volatility/equityfxvolsurface.hpp> Inherits QuantLib::BlackVolSurface. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. EquityFXVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date EquityFXVolSurface (Natural settlementDays,…

QuantLib::EquityFXVolSurface – Equity/FX volatility (smile) surface. Synopsis #include <ql/experimental/volatility/equityfxvolsurface.hpp> Inherits QuantLib::BlackVolSurface. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. EquityFXVolSurface (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor EquityFXVolSurface (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date EquityFXVolSurface (Natural settlementDays,…

QuantLib::SabrVolSurface – SABR volatility (smile) surface. Synopsis #include <ql/experimental/volatility/sabrvolsurface.hpp> Inherits QuantLib::InterestRateVolSurface. Public Member Functions SabrVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Handle< BlackAtmVolCurve > &, const std::vector< Period > &optionTenors, const std::vector< Spread > &atmRateSpreads, const std::vector< std::vector< Handle< Quote > > > &volSpreads) const Handle< BlackAtmVolCurve > & atmCurve () const std::vector< Volatility >…

QuantLib::OptionletStripper2 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed Description Helper class to extend an OptionletStripper1 object stripping…

QuantLib::OptionletStripper2 – Synopsis #include <ql/termstructures/volatility/optionlet/optionletstripper2.hpp> Inherits QuantLib::OptionletStripper. Public Member Functions OptionletStripper2 (const boost::shared_ptr< OptionletStripper1 > &optionletStripper1, const Handle< CapFloorTermVolCurve > &atmCapFloorTermVolCurve) std::vector< Rate > atmCapFloorStrikes () const std::vector< Real > atmCapFloorPrices () const std::vector< Volatility > spreadsVol () const LazyObject interface void performCalculations () const Detailed Description Helper class to extend an OptionletStripper1 object stripping…

NAME atexit – register a function to be called at normal process termination SYNOPSIS #include <stdlib.h> int atexit(void (*function)(void)); DESCRIPTION The atexit() function registers the given function to be called at normal process termination, either via exit(3) or via return from the program’s main(). Functions so registered are called in the reverse order of their…

NAME atan, atanf, atanl – arc tangent function SYNOPSIS #include <math.h> double atan(double x); float atanf(float x); long double atanl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanf(), atanl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions calculate the principal value of the arc tangent…

NAME atanh, atanhf, atanhl – inverse hyperbolic tangent function SYNOPSIS #include <math.h> double atanh(double x); float atanhf(float x); long double atanhl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanh(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || _XOPEN_SOURCE >= 500     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE atanhf(), atanhl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE…

NAME atanh, atanhf, atanhl – inverse hyperbolic tangent function SYNOPSIS #include <math.h> double atanh(double x); float atanhf(float x); long double atanhl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanh(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || _XOPEN_SOURCE >= 500     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE atanhf(), atanhl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE…

NAME atanh, atanhf, atanhl – inverse hyperbolic tangent function SYNOPSIS #include <math.h> double atanh(double x); float atanhf(float x); long double atanhl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanh(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || _XOPEN_SOURCE >= 500     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE atanhf(), atanhl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE…

NAME atan, atanf, atanl – arc tangent function SYNOPSIS #include <math.h> double atan(double x); float atanf(float x); long double atanl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanf(), atanl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions calculate the principal value of the arc tangent…

NAME atan2, atan2f, atan2l – arc tangent function of two variables SYNOPSIS #include <math.h> double atan2(double y, double x); float atan2f(float y, float x); long double atan2l(long double y, long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atan2f(), atan2l(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…

NAME atan2, atan2f, atan2l – arc tangent function of two variables SYNOPSIS #include <math.h> double atan2(double y, double x); float atan2f(float y, float x); long double atan2l(long double y, long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atan2f(), atan2l(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…

NAME atan2, atan2f, atan2l – arc tangent function of two variables SYNOPSIS #include <math.h> double atan2(double y, double x); float atan2f(float y, float x); long double atan2l(long double y, long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atan2f(), atan2l(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION…

NAME atan, atanf, atanl – arc tangent function SYNOPSIS #include <math.h> double atan(double x); float atanf(float x); long double atanl(long double x); Link with -lm. Feature Test Macro Requirements for glibc (see feature_test_macros(7)): atanf(), atanl(): _ISOC99_SOURCE || _POSIX_C_SOURCE >= 200112L     || /* Since glibc 2.19: */ _DEFAULT_SOURCE     || /* Glibc versions <= 2.19: */ _BSD_SOURCE || _SVID_SOURCE DESCRIPTION These functions calculate the principal value of the arc tangent…