SysTutorials Posts

QuantLib::VarianceSwap – Variance swap. Synopsis#include <ql/instruments/varianceswap.hpp> Inherits QuantLib::Instrument. Classesclass arguments Arguments for forward fair-variance calculation class engine base class for variance-swap engines class results Results from variance-swap calculation Public Member FunctionsVarianceSwap (Position::Type position, Real strike, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const void fetchResults (const PricingEngine::results *) const Instrument…

QuantLib::VarianceOption::arguments – Arguments for forward fair-variance calculation Synopsis#include <ql/experimental/varianceoption/varianceoption.hpp> Inherits QuantLib::PricingEngine::arguments. Public Member Functionsvoid validate () const Public Attributesboost::shared_ptr< Payoff > payoff Real notional Date startDate Date maturityDate Detailed DescriptionArguments for forward fair-variance calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::VarianceOption – Variance option. Synopsis#include <ql/experimental/varianceoption/varianceoption.hpp> Inherits QuantLib::Instrument. Classesclass arguments Arguments for forward fair-variance calculation class engine base class for variance-option engines class results Results from variance-option calculation Public Member FunctionsVarianceOption (const boost::shared_ptr< Payoff > &payoff, Real notional, const Date &startDate, const Date &maturityDate) void setupArguments (PricingEngine::arguments *args) const Instrument interface bool isExpired () const…

QuantLib::VanillaSwap::results – Results from simple swap calculation Synopsis#include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap::results. Public Member Functionsvoid reset () Public AttributesRate fairRate Spread fairSpread Detailed DescriptionResults from simple swap calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::VanillaSwap::arguments – Arguments for simple swap calculation Synopsis#include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap::arguments. Inherited by arguments. Public Member Functionsvoid validate () const Public AttributesType type Real nominal std::vector< Date > fixedResetDates std::vector< Date > fixedPayDates std::vector< Time > floatingAccrualTimes std::vector< Date > floatingResetDates std::vector< Date > floatingFixingDates std::vector< Date > floatingPayDates std::vector< Real > fixedCoupons std::vector< Spread…

QuantLib::VanillaSwap – Plain-vanilla swap. Synopsis#include <ql/instruments/vanillaswap.hpp> Inherits QuantLib::Swap. Classesclass arguments Arguments for simple swap calculation class results Results from simple swap calculation Public Typesenum Type { Receiver = -1, Payer = 1 } Public Member FunctionsVanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const boost::shared_ptr< IborIndex >…

QuantLib::VanillaOption – Vanilla option (no discrete dividends, no barriers) on a single asset. Synopsis#include <ql/instruments/vanillaoption.hpp> Inherits QuantLib::OneAssetOption. Inherited by EuropeanOption. Public Member FunctionsVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const Detailed DescriptionVanilla option (no…

QuantLib::UsdLiborSwapIsdaFixPm – UsdLiborSwapIsdaFixPm index base class Synopsis#include <ql/indexes/swap/usdliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsUsdLiborSwapIsdaFixPm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionUsdLiborSwapIsdaFixPm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm New York. Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or…

QuantLib::UsdLiborSwapIsdaFixAm – UsdLiborSwapIsdaFixAm index base class Synopsis#include <ql/indexes/swap/usdliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsUsdLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionUsdLiborSwapIsdaFixAm index base class USD Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am New York. Semiannual 30/360 vs 3M Libor. Reuters page ISDAFIX1 or…

QuantLib::UpperBoundEngine – Market-model engine for upper-bound estimation. Synopsis#include <ql/models/marketmodels/callability/upperboundengine.hpp> Public Member FunctionsUpperBoundEngine (const boost::shared_ptr< MarketModelEvolver > &evolver, const std::vector< boost::shared_ptr< MarketModelEvolver > > &innerEvolvers, const MarketModelMultiProduct &underlying, const MarketModelExerciseValue &rebate, const MarketModelMultiProduct &hedge, const MarketModelExerciseValue &hedgeRebate, const ExerciseStrategy< CurveState > &hedgeStrategy, Real initialNumeraireValue) void multiplePathValues (Statistics &stats, Size outerPaths, Size innerPaths) std::pair< Real, Real >…

QuantLib::UnitedStates – United States calendars. Synopsis#include <ql/time/calendars/unitedstates.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, NYSE, GovernmentBond, NERC } US calendars. Public Member FunctionsUnitedStates (Market market=Settlement) Detailed DescriptionUnited States calendars. Public holidays (see: http://www.opm.gov/fedhol/): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday if actually on Sunday, or to Friday if…

QuantLib::UnitedKingdom – United Kingdom calendars. Synopsis#include <ql/time/calendars/unitedkingdom.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, Exchange, Metals } UK calendars. Public Member FunctionsUnitedKingdom (Market market=Settlement) Detailed DescriptionUnited Kingdom calendars. Public holidays (data from http://www.dti.gov.uk/er/bankhol.htm): * Saturdays * Sundays * New Year’s Day, January 1st (possibly moved to Monday) * Good Friday * Easter Monday * Early…

QuantLib::UnitOfMeasure – Unit of measure specification Synopsis#include <ql/experimental/commodities/unitofmeasure.hpp> Inherited by BarrelUnitOfMeasure, GallonUnitOfMeasure, KilolitreUnitOfMeasure, LitreUnitOfMeasure, LotUnitOfMeasure, MBUnitOfMeasure, MTUnitOfMeasure, and TokyoKilolitreUnitOfMeasure. Public Typesenum Type { Mass, Volume, Energy, Quantity } Public Member FunctionsUnitOfMeasure () default constructor UnitOfMeasure (const std::string &name, const std::string &code, Type unitType) Inspectors const std::string & name () const name, e.g, ‘Barrels’ const std::string…

QuantLib::Ukraine – Ukrainian calendars. Synopsis#include <ql/time/calendars/ukraine.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { USE } Public Member FunctionsUkraine (Market m=USE) Detailed DescriptionUkrainian calendars. Holidays for the Ukrainian stock exchange (data from <http://www.ukrse.kiev.ua/eng/>): * Saturdays * Sundays * New Year’s Day, January 1st * Orthodox Christmas, January 7th * International Women’s Day, March 8th * Easter Monday…

QuantLib::USDLibor – USD LIBOR rate Synopsis#include <ql/indexes/ibor/usdlibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsUSDLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionUSD LIBOR rate US Dollar LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Examples: Bonds.cpp. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::UKRPI – UK Retail Price Inflation Index. Synopsis#include <ql/indexes/inflation/ukrpi.hpp> Inherits QuantLib::ZeroInflationIndex. Public Member FunctionsUKRPI (Frequency frequency, bool revised, bool interpolated, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) Detailed DescriptionUK Retail Price Inflation Index. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::TypePayoff – Intermediate class for put/call payoffs. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::Payoff. Inherited by FloatingTypePayoff, and StrikedTypePayoff. Public Member FunctionsTypePayoff (Option::Type type) Option::Type optionType () const Payoff interface std::string description () const Protected AttributesOption::Type type_ Detailed DescriptionIntermediate class for put/call payoffs. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::TwoFactorModel::ShortRateTree – Recombining two-dimensional tree discretizing the state variable. Synopsis#include <ql/models/shortrate/twofactormodel.hpp> Inherits TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >. Public Member FunctionsShortRateTree (const boost::shared_ptr< TrinomialTree > &tree1, const boost::shared_ptr< TrinomialTree > &tree2, const boost::shared_ptr< ShortRateDynamics > &dynamics) Plain tree build-up from short-rate dynamics. DiscountFactor discount (Size i, Size index) const Detailed DescriptionRecombining two-dimensional tree discretizing the state variable….

QuantLib::TwoFactorModel::ShortRateDynamics – Class describing the dynamics of the two state variables. Synopsis#include <ql/models/shortrate/twofactormodel.hpp> Inherited by Dynamics. Public Member FunctionsShortRateDynamics (const boost::shared_ptr< StochasticProcess1D > &xProcess, const boost::shared_ptr< StochasticProcess1D > &yProcess, Real correlation) virtual Rate shortRate (Time t, Real x, Real y) const =0 const boost::shared_ptr< StochasticProcess1D > & xProcess () const Risk-neutral dynamics of the first…

QuantLib::TwoFactorModel – Abstract base-class for two-factor models. Synopsis#include <ql/models/shortrate/twofactormodel.hpp> Inherits QuantLib::ShortRateModel. Inherited by G2. Classesclass ShortRateDynamics Class describing the dynamics of the two state variables. class ShortRateTree Recombining two-dimensional tree discretizing the state variable. Public Member FunctionsTwoFactorModel (Size nParams) virtual boost::shared_ptr< ShortRateDynamics > dynamics () const =0 Returns the short-rate dynamics. boost::shared_ptr< Lattice > tree…