SysTutorials Posts

QuantLib::ZeroCouponBond – zero-coupon bond Synopsis#include <ql/instruments/bonds/zerocouponbond.hpp> Inherits QuantLib::Bond. Public Member FunctionsZeroCouponBond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &issueDate=Date()) Detailed Descriptionzero-coupon bond Tests calculations are tested by checking results against cached values. Examples: Bonds.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ZeroCondition – Zero exercise condition. Synopsis#include <ql/methods/finitedifferences/zerocondition.hpp> Inherits StepCondition< array_type >. Public Member Functionsvoid applyTo (array_type &a, Time) const Detailed Descriptiontemplate<class array_type> class QuantLib::ZeroCondition< array_type >Zero exercise condition. Used in CEV models AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::ZciisInflationHelper – Zero-coupon inflation-swap bootstrap helper. Synopsis#include <ql/termstructures/inflation/inflationhelpers.hpp> Inherits BootstrapHelper< ZeroInflationTermStructure >. Public Member FunctionsZciisInflationHelper (const Handle< Quote > &quote, const Period &lag, const Date &maturity, Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dayCounter, Frequency frequency) void setTermStructure (ZeroInflationTermStructure *) sets the term structure to be used for pricing Real impliedQuote () const…

QuantLib::YyiisInflationHelper – Year-on-year inflation-swap bootstrap helper. Synopsis#include <ql/termstructures/inflation/inflationhelpers.hpp> Inherits BootstrapHelper< YoYInflationTermStructure >. Public Member FunctionsYyiisInflationHelper (const Handle< Quote > &quote, const Period &lag, const Date &maturity, Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dayCounter, Frequency frequency) void setTermStructure (YoYInflationTermStructure *) sets the term structure to be used for pricing Real impliedQuote () const…

QuantLib::YoYInflationTraits – Bootstrap traits to use for PiecewiseZeroInflationCurve. Synopsis#include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp> Public Typestypedef BootstrapHelper< YoYInflationTermStructure > helper Static Public Member Functionsstatic Size maxIterations () static Date initialDate (const YoYInflationTermStructure *t) static bool dummyInitialValue () static Rate initialValue (const YoYInflationTermStructure *t) static Rate initialGuess () static Rate guess (const YoYInflationTermStructure *, const Date &) static Rate minValueAfter…

QuantLib::YoYInflationTermStructure – Base class for year-on-year inflation term structures. Synopsis#include <ql/termstructures/inflationtermstructure.hpp> Inherits QuantLib::InflationTermStructure. Inherited by InterpolatedYoYInflationCurve< Interpolator >, and InterpolatedYoYInflationCurve< Interpolator >. Public Member FunctionsConstructors YoYInflationTermStructure (const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yieldTS) YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency…

QuantLib::YoYInflationIndex – Base class for year-on-year inflation indices. Synopsis#include <ql/indexes/inflationindex.hpp> Inherits QuantLib::InflationIndex. Inherited by YYEUHICP, YYEUHICPr, YYUKRPI, and YYUKRPIr. Public Member FunctionsYoYInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, bool ratio, Frequency frequency, const Period &availabilityLag, const Currency &currency, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Rate fixing (const Date &fixingDate, bool…

QuantLib::YieldTermStructure – Interest-rate term structure. Synopsis#include <ql/termstructures/yieldtermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by InterpolatedDiscountCurve< LogLinear >, FittedBondDiscountCurve, FlatForward, ForwardRateStructure, ImpliedTermStructure, InterpolatedDiscountCurve< Interpolator >, and ZeroYieldStructure. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. YieldTermStructure (const DayCounter &dc=DayCounter()) default constructor YieldTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference…

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap. Synopsis#include <ql/instruments/yearonyearinflationswap.hpp> Inherits QuantLib::InflationSwap. Public Member FunctionsYearOnYearInflationSwap (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 returns whether…

QuantLib::YYUKRPIr – Fake year-on-year UK RPI (i.e. a ratio of UK RPI). Synopsis#include <ql/indexes/inflation/ukrpi.hpp> Inherits QuantLib::YoYInflationIndex. Public Member FunctionsYYUKRPIr (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed DescriptionFake year-on-year UK RPI (i.e. a ratio of UK RPI). AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::YYUKRPI – Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI). Synopsis#include <ql/indexes/inflation/ukrpi.hpp> Inherits QuantLib::YoYInflationIndex. Public Member FunctionsYYUKRPI (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed DescriptionGenuine year-on-year UK RPI (i.e. not a ratio of UK RPI). AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::YYEUHICPr – Fake year-on-year EU HICP (i.e. a ratio of EU HICP). Synopsis#include <ql/indexes/inflation/euhicp.hpp> Inherits QuantLib::YoYInflationIndex. Public Member FunctionsYYEUHICPr (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed DescriptionFake year-on-year EU HICP (i.e. a ratio of EU HICP). AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::YYEUHICP – Genuine year-on-year EU HICP (i.e. not a ratio of EU HICP). Synopsis#include <ql/indexes/inflation/euhicp.hpp> Inherits QuantLib::YoYInflationIndex. Public Member FunctionsYYEUHICP (Frequency frequency, bool revised, bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) Detailed DescriptionGenuine year-on-year EU HICP (i.e. not a ratio of EU HICP). AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::VolatilityTermStructure – Volatility term structure. Synopsis#include <ql/termstructures/voltermstructure.hpp> Inherits QuantLib::TermStructure. Inherited by BlackAtmVolCurve, BlackVolTermStructure, CapFloorTermVolatilityStructure, LocalVolTermStructure, OptionletVolatilityStructure, and SwaptionVolatilityStructure. Public Member Functionsvirtual BusinessDayConvention businessDayConvention () const the business day convention used in tenor to date conversion Date optionDateFromTenor (const Period &) const period/date conversion virtual Rate minStrike () const =0 the minimum strike for which the…

QuantLib::Visitor – Visitor for a specific class Synopsis#include <ql/patterns/visitor.hpp> Public Member Functionsvirtual void visit (T &)=0 Detailed Descriptiontemplate<class T> class QuantLib::Visitor< T >Visitor for a specific class AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::VegaBumpCollection – Synopsis#include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp> Public Member FunctionsVegaBumpCollection (const boost::shared_ptr< MarketModel > &volStructure, bool allowFactorwiseBumping=true) VegaBumpCollection (const std::vector< VegaBumpCluster > &allBumps, const boost::shared_ptr< MarketModel > &volStructure) Size numberBumps () const const boost::shared_ptr< MarketModel > & associatedModel () const const std::vector< VegaBumpCluster > & allBumps () const bool isFull () const bool isNonOverlapping () const bool isSensible…

QuantLib::Vasicek::Dynamics – Short-rate dynamics in the Vasicek model. Synopsis#include <ql/models/shortrate/onefactormodels/vasicek.hpp> Inherits QuantLib::OneFactorModel::ShortRateDynamics. Public Member FunctionsDynamics (Real a, Real b, Real sigma, Real r0) virtual Real variable (Time, Rate r) const Compute state variable from short rate. virtual Real shortRate (Time, Real x) const Compute short rate from state variable. Detailed DescriptionShort-rate dynamics in the Vasicek…

QuantLib::Vasicek – Vasicek model class Synopsis#include <ql/models/shortrate/onefactormodels/vasicek.hpp> Inherits QuantLib::OneFactorAffineModel. Inherited by HullWhite. Classesclass Dynamics Short-rate dynamics in the Vasicek model. Public Member FunctionsVasicek (Rate r0=0.05, Real a=0.1, Real b=0.05, Real sigma=0.01, Real lambda=0.0) virtual Real discountBondOption (Option::Type type, Real strike, Time maturity, Time bondMaturity) const virtual boost::shared_ptr< ShortRateDynamics > dynamics () const returns the short-rate…

QuantLib::VarianceSwap::results – Results from variance-swap calculation Synopsis#include <ql/instruments/varianceswap.hpp> Inherits QuantLib::Instrument::results. Public Member Functionsvoid reset () Public AttributesReal variance Detailed DescriptionResults from variance-swap calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::VarianceSwap::arguments – Arguments for forward fair-variance calculation Synopsis#include <ql/instruments/varianceswap.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functionsvoid validate () const Public AttributesPosition::Type position Real strike Real notional Date startDate Date maturityDate Detailed DescriptionArguments for forward fair-variance calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.