SysTutorials Posts

QwtAbstractSeriesStore – Bridge between QwtSeriesStore and QwtPlotSeriesItem. Synopsis #include <qwt_series_store.h> Inherited by QwtPlotSeriesItem [virtual], QwtSeriesStore< T > [virtual], QwtSeriesStore< QPointF > [virtual], QwtSeriesStore< QwtIntervalSample > [virtual], QwtSeriesStore< QwtOHLCSample > [virtual], QwtSeriesStore< QwtPoint3D > [virtual], and QwtSeriesStore< QwtSetSample > [virtual]. Protected Member Functions virtual ~QwtAbstractSeriesStore () Destructor. virtual void dataChanged ()=0 dataChanged() indicates, that the series…

QwtAbstractScaleDraw – A abstract base class for drawing scales. Synopsis #include <qwt_abstract_scale_draw.h> Inherited by QwtRoundScaleDraw, and QwtScaleDraw. Public Types enum ScaleComponent { Backbone = 0x01, Ticks = 0x02, Labels = 0x04 } typedef QFlags< ScaleComponent > ScaleComponents Scale components. Public Member Functions QwtAbstractScaleDraw () Constructor. virtual ~QwtAbstractScaleDraw () Destructor. void setScaleDiv (const QwtScaleDiv &s) const…

QwtAbstractScale – An abstract base class for widgets having a scale. Synopsis #include <qwt_abstract_scale.h> Inherits QWidget. Inherited by QwtAbstractSlider, and QwtThermo. Public Member Functions QwtAbstractScale (QWidget *parent=NULL) virtual ~QwtAbstractScale () Destructor. void setScale (double lowerBound, double upperBound) Specify a scale. void setScale (const QwtInterval &) Specify a scale. void setScale (const QwtScaleDiv &) Specify a…

QwtAbstractLegend – Abstract base class for legend widgets. Synopsis #include <qwt_abstract_legend.h> Inherits QFrame. Inherited by QwtLegend. Public Slots virtual void updateLegend (const QVariant &itemInfo, const QList< QwtLegendData > &data)=0 Update the entries for a plot item. Public Member Functions QwtAbstractLegend (QWidget *parent=NULL) virtual ~QwtAbstractLegend () Destructor. virtual void renderLegend (QPainter *painter, const QRectF &rect, bool…

Date and time calculations – Classes class DateInterval Date interval described by a number of a given time unit. class PricingPeriod Time pricingperiod described by a number of a given time unit. class Calendar calendar class class Date Concrete date class. struct DateGeneration Date-generation rule. class DayCounter day counter class class Period Modules Calendars Day…

ql/instruments/quantovanillaoption.hpp – Quanto version of a vanilla option. Synopsis #include <ql/instruments/oneassetoption.hpp> #include <ql/instruments/payoffs.hpp> Classes class QuantoOptionResults< ResultsType > Results from quanto option calculation class QuantoVanillaOption quanto version of a vanilla option Detailed Description Quanto version of a vanilla option. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::QuantoTermStructure – Quanto term structure. Synopsis #include <ql/termstructures/yield/quantotermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member Functions QuantoTermStructure (const Handle< YieldTermStructure > &underlyingDividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &foreignRiskFreeTS, const Handle< BlackVolTermStructure > &underlyingBlackVolTS, Real strike, const Handle< BlackVolTermStructure > &exchRateBlackVolTS, Real exchRateATMlevel, Real underlyingExchRateCorrelation) YieldTermStructure interface DayCounter dayCounter () const the day counter used…

QuantLib::QuantoForwardVanillaOption – Quanto version of a forward vanilla option. Synopsis #include <ql/instruments/quantoforwardvanillaoption.hpp> Inherits QuantLib::ForwardVanillaOption. Public Types typedef ForwardVanillaOption::arguments arguments typedef QuantoOptionResults< ForwardVanillaOption::results > results Public Member Functions QuantoForwardVanillaOption (Real moneyness, const Date &resetDate, const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real…

ql/pricingengines/quanto/quantoengine.hpp – Quanto option engine. Synopsis #include <ql/instruments/quantovanillaoption.hpp> #include <ql/processes/blackscholesprocess.hpp> #include <ql/termstructures/yield/quantotermstructure.hpp> #include <ql/instruments/payoffs.hpp> Classes class QuantoEngine< Instr, Engine > Quanto engine. Detailed Description Quanto option engine. Author Generated automatically by Doxygen for QuantLib from the source code.

QuantLib::QuantoBarrierOption – Quanto version of a barrier option. Synopsis #include <ql/instruments/quantobarrieroption.hpp> Inherits QuantLib::BarrierOption. Public Types typedef BarrierOption::arguments arguments typedef QuantoOptionResults< BarrierOption::results > results Public Member Functions QuantoBarrierOption (Barrier::Type barrierType, Real barrier, Real rebate, const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real…

QuantLib::Quantity – Amount of a commodity. Synopsis #include <ql/experimental/commodities/quantity.hpp> Public Member Functions Constructors Quantity () Quantity (const CommodityType &commodityType, const UnitOfMeasure &unitOfMeasure, Real amount) Inspectors const CommodityType & commodityType () const const UnitOfMeasure & unitOfMeasure () const Real amount () const Quantity rounded () const Quantity arithmetics See below for non-member functions and for settings…

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 (const…

QuantLib::Zibor – CHF ZIBOR rate Synopsis #include <ql/indexes/ibor/zibor.hpp> Inherits QuantLib::IborIndex. Public Member Functions Zibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed Description CHF ZIBOR rate Zurich Interbank Offered Rate. Warning This is the rate fixed in Zurich by BBA. Use CHFLibor if you’re interested in the London fixing by BBA. Possible…

QuantLib::ZeroYieldStructure – Zero-yield term structure. Synopsis #include <ql/termstructures/yield/zeroyieldstructure.hpp> Inherits QuantLib::YieldTermStructure. Inherited by DriftTermStructure, InterpolatedZeroCurve< Interpolator >, PiecewiseZeroSpreadedTermStructure, QuantoTermStructure, and ZeroSpreadedTermStructure. Public Member Functions Constructors See the TermStructure documentation for issues regarding constructors. ZeroYieldStructure (const DayCounter &dc=DayCounter()) ZeroYieldStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) ZeroYieldStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter())…

QuantLib::ZeroYield – Zero-curve traits. Synopsis #include <ql/termstructures/yield/bootstraptraits.hpp> Public Types typedef BootstrapHelper< YieldTermStructure > helper Static Public Member Functions static Date initialDate (const YieldTermStructure *c) static Rate initialValue (const YieldTermStructure *) static bool dummyInitialValue () static Rate initialGuess () static Rate guess (const YieldTermStructure *c, const Date &d) static Rate minValueAfter (Size, const std::vector< Real >…

QuantLib::ZeroSpreadedTermStructure – Term structure with an added spread on the zero yield rate. Synopsis #include <ql/termstructures/yield/zerospreadedtermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member Functions ZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const Handle< Quote > &spread, Compounding comp=Continuous, Frequency freq=NoFrequency, const DayCounter &dc=DayCounter()) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Calendar calendar ()…

QuantLib::ZeroInflationTraits – Bootstrap traits to use for PiecewiseZeroInflationCurve. Synopsis #include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp> Public Types typedef BootstrapHelper< ZeroInflationTermStructure > helper Static Public Member Functions static Size maxIterations () static Date initialDate (const ZeroInflationTermStructure *t) static bool dummyInitialValue () static Rate initialValue (const ZeroInflationTermStructure *t) static Rate initialGuess () static Rate guess (const ZeroInflationTermStructure *, const Date &)…

QuantLib::ZeroInflationTermStructure – Interface for zero inflation term structures. Synopsis #include <ql/termstructures/inflationtermstructure.hpp> Inherits QuantLib::InflationTermStructure. Inherited by InterpolatedZeroInflationCurve< Interpolator >, and InterpolatedZeroInflationCurve< Interpolator >. Public Member Functions Constructors ZeroInflationTermStructure (const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > &yTS) ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag,…

QuantLib::ZeroInflationIndex – Base class for zero inflation indices. Synopsis #include <ql/indexes/inflationindex.hpp> Inherits QuantLib::InflationIndex. Inherited by EUHICP, and UKRPI. Public Member Functions ZeroInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilityLag, const Currency &currency, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) Always use the evaluation date as the reference…

QuantLib::ZeroCouponInflationSwap – Zero-coupon inflation-indexed swap. Synopsis #include <ql/instruments/zerocouponinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member Functions ZeroCouponInflationSwap (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< ZeroInflationTermStructure > &inflationTS) Instrument interface bool isExpired () const returns whether the instrument is still…