SysTutorials Posts

QuantLib::TsiveriotisFernandesLattice – Binomial lattice approximating the Tsiveriotis-Fernandes model. Synopsis#include <ql/methods/lattices/tflattice.hpp> Inherits BlackScholesLattice< T >. Public Member FunctionsTsiveriotisFernandesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps, Real creditSpread, Volatility volatility, Spread divYield) Rate riskFreeRate () const Real creditSpread () const Real dt () const Protected Member Functionsvoid stepback (Size i, const Array &values,…

QuantLib::TrinomialTree – Recombining trinomial tree class. Synopsis#include <ql/methods/lattices/trinomialtree.hpp> Inherits Tree< TrinomialTree >. Public Typesenum Branches { branches = 3 } Public Member FunctionsTrinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false) Real dx (Size i) const const TimeGrid & timeGrid () const Size size (Size i) const Real underlying (Size i, Size index)…

QuantLib::Trigeorgis – Trigeorgis (additive equal jumps) binomial tree Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualJumpsBinomialTree< Trigeorgis >. Public Member FunctionsTrigeorgis (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionTrigeorgis (additive equal jumps) binomial tree AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::TridiagonalOperator – Base implementation for tridiagonal operator. Synopsis#include <ql/methods/finitedifferences/tridiagonaloperator.hpp> Inherited by BSMOperator, DMinus, DPlus, DPlusDMinus, DZero, and PdeOperator< PdeClass >. Classesclass TimeSetter encapsulation of time-setting logic Public Typestypedef Array array_type Public Member FunctionsTridiagonalOperator (Size size=0) TridiagonalOperator (const Array &low, const Array &mid, const Array &high) TridiagonalOperator (const Disposable< TridiagonalOperator > &) TridiagonalOperator & operator= (const…

QuantLib::TreeVanillaSwapEngine – Numerical lattice engine for simple swaps. Synopsis#include <ql/pricingengines/swap/treeswapengine.hpp> Inherits LatticeShortRateModelEngine< VanillaSwap::arguments, VanillaSwap::results >. Public Member Functionsvoid calculate () const Constructors Note: the term structure is only needed when the short-rate model cannot provide one itself. TreeVanillaSwapEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) TreeVanillaSwapEngine (const boost::shared_ptr<…

QuantLib::TreeSwaptionEngine – Numerical lattice engine for swaptions. Synopsis#include <ql/pricingengines/swaption/treeswaptionengine.hpp> Inherits LatticeShortRateModelEngine< Swaption::arguments, Swaption::results >. Public Member Functionsvoid calculate () const Constructors Note: the term structure is only needed when the short-rate model cannot provide one itself. TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel > &, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) TreeSwaptionEngine (const boost::shared_ptr< ShortRateModel…

QuantLib::TreeLattice2D – Two-dimensional tree-based lattice. Synopsis#include <ql/methods/lattices/lattice2d.hpp> Inherits TreeLattice< Impl >. Public Member FunctionsTreeLattice2D (const boost::shared_ptr< T > &tree1, const boost::shared_ptr< T > &tree2, Real correlation) Size size (Size i) const Size descendant (Size i, Size index, Size branch) const Real probability (Size i, Size index, Size branch) const Protected Member FunctionsDisposable< Array > grid…

QuantLib::TreeLattice1D – One-dimensional tree-based lattice. Synopsis#include <ql/methods/lattices/lattice1d.hpp> Inherits TreeLattice< Impl >. Public Member FunctionsTreeLattice1D (const TimeGrid &timeGrid, Size n) Disposable< Array > grid (Time t) const Real underlying (Size i, Size index) const Detailed Descriptiontemplate<class Impl> class QuantLib::TreeLattice1D< Impl >One-dimensional tree-based lattice. Derived classes must implement the following interface: Real underlying(Size i, Size index) const; …

QuantLib::TreeLattice – Tree-based lattice-method base class. Synopsis#include <ql/methods/lattices/lattice.hpp> Inherits QuantLib::Lattice, and CuriouslyRecurringTemplate< Impl >. Public Member FunctionsTreeLattice (const TimeGrid &timeGrid, Size n) const Array & statePrices (Size i) const void stepback (Size i, const Array &values, Array &newValues) const Lattice interface void initialize (DiscretizedAsset &, Time t) const initialize an asset at the given time….

QuantLib::TreeCapFloorEngine – Numerical lattice engine for cap/floors. Synopsis#include <ql/pricingengines/capfloor/treecapfloorengine.hpp> Inherits LatticeShortRateModelEngine< CapFloor::arguments, CapFloor::results >. Public Member Functionsvoid calculate () const Constructors Note: the term structure is only needed when the short-rate model cannot provide one itself. TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) TreeCapFloorEngine (const boost::shared_ptr< ShortRateModel…

QuantLib::TreeCallableZeroCouponBondEngine – Numerical lattice engine for callable zero coupon bonds. Synopsis#include <ql/experimental/callablebonds/treecallablebondengine.hpp> Inherits QuantLib::TreeCallableFixedRateBondEngine. Public Member FunctionsTreeCallableZeroCouponBondEngine (const boost::shared_ptr< ShortRateModel > &model, const Size timeSteps, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) TreeCallableZeroCouponBondEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) Detailed DescriptionNumerical lattice engine for callable zero…

QuantLib::TreeCallableFixedRateBondEngine – Numerical lattice engine for callable fixed rate bonds. Synopsis#include <ql/experimental/callablebonds/treecallablebondengine.hpp> Inherits LatticeShortRateModelEngine< CallableBond::arguments, CallableBond::results >. Inherited by TreeCallableZeroCouponBondEngine. Public Member Functionsvoid calculate () const Constructors Note: the term structure is only needed when the short-rate model cannot provide one itself. TreeCallableFixedRateBondEngine (const boost::shared_ptr< ShortRateModel > &, const Size timeSteps, const Handle< YieldTermStructure >…

QuantLib::Tree – Tree approximating a single-factor diffusion Synopsis#include <ql/methods/lattices/tree.hpp> Inherits CuriouslyRecurringTemplate< T >. Public Member FunctionsTree (Size columns) Size columns () const Detailed Descriptiontemplate<class T> class QuantLib::Tree< T >Tree approximating a single-factor diffusion Derived classes must implement the following interface: public: Real underlying(Size i, Size index) const; Size size(Size i) const; Size descendant(Size i, Size…

QuantLib::TrapezoidIntegral – Integral of a one-dimensional function. Synopsis#include <ql/math/integrals/trapezoidintegral.hpp> Inherits QuantLib::Integrator. Public Member FunctionsTrapezoidIntegral (Real accuracy, Size maxIterations) Protected Member FunctionsReal integrate (const boost::function< Real(Real)> &f, Real a, Real b) const Detailed Descriptiontemplate<class IntegrationPolicy> class QuantLib::TrapezoidIntegral< IntegrationPolicy >Integral of a one-dimensional function. Given a target accuracy $ \psilon $, the integral of a function $…

QuantLib::TransformedGrid – transformed grid Synopsis#include <ql/math/transformedgrid.hpp> Inherited by LogGrid. Public Member FunctionsTransformedGrid (const Array &grid) template<class T > TransformedGrid (const Array &grid, T func) const Array & gridArray () const const Array & transformedGridArray () const const Array & dxmArray () const const Array & dxpArray () const const Array & dxArray () const Real…

QuantLib::TqrEigenDecomposition – tridiag. QR eigen decomposition with explicite shift aka Wilkinson Synopsis#include <ql/math/matrixutilities/tqreigendecomposition.hpp> Public Typesenum EigenVectorCalculation { WithEigenVector, WithoutEigenVector, OnlyFirstRowEigenVector } enum ShiftStrategy { NoShift, Overrelaxation, CloseEigenValue } Public Member FunctionsTqrEigenDecomposition (const Array &diag, const Array &sub, EigenVectorCalculation calc=WithEigenVector, ShiftStrategy strategy=CloseEigenValue) const Array & eigenvalues () const const Matrix & eigenvectors () const Size iterations…

QuantLib::TimeSeries – Container for historical data. Synopsis#include <ql/timeseries.hpp> Public Typestypedef Date key_type typedef T value_type Public Member FunctionsTimeSeries () template<class DateIterator , class ValueIterator > TimeSeries (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin) template<class ValueIterator > TimeSeries (const Date &firstDate, ValueIterator begin, ValueIterator end) Inspectors Date firstDate () const returns the first date for which a…

QuantLib::TimeGrid – time grid class Synopsis#include <ql/timegrid.hpp> Public Member FunctionsConstructors TimeGrid () TimeGrid (Time end, Size steps) Regularly spaced time-grid. template<class Iterator > TimeGrid (Iterator begin, Iterator end) Time grid with mandatory time points. template<class Iterator > TimeGrid (Iterator begin, Iterator end, Size steps) Time grid with mandatory time points. Time grid interface Size index…

QuantLib::TimeBasket – Distribution over a number of dates. Synopsis#include <ql/cashflows/timebasket.hpp> Inherits std::map<Date,Real>. Public Member FunctionsTimeBasket (const std::vector< Date > &dates, const std::vector< Real > &values) Algebra TimeBasket & operator+= (const TimeBasket &other) TimeBasket & operator-= (const TimeBasket &other) Other methods TimeBasket rebin (const std::vector< Date > &buckets) const redistribute the entries over the given dates…

QuantLib::Tibor – JPY TIBOR index Synopsis#include <ql/indexes/ibor/tibor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsTibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionJPY TIBOR index Tokyo Interbank Offered Rate. Warning This is the rate fixed in Tokio by JBA. Use JPYLibor if you’re interested in the London fixing by BBA. Possible enhancements check settlement…