QuantLib::Tian – Tian tree: third moment matching, multiplicative approach Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< Tian >. Public Member FunctionsTian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Real underlying (Size i, Size index) const Real probability (Size, Size, Size branch) const Protected AttributesReal up_ Real down_ Real pu_ Real pd_ Detailed DescriptionTian tree:…
QuantLib::Thirty360 – 30/360 day count convention Synopsis#include <ql/time/daycounters/thirty360.hpp> Inherits QuantLib::DayCounter. Public Typesenum Convention { USA, BondBasis, European, EurobondBasis, Italian } Public Member FunctionsThirty360 (Convention c=Thirty360::BondBasis) Detailed Description30/360 day count convention The 30/360 day count can be calculated according to US, European, or Italian conventions. US (NASD) convention: if the starting date is the 31st of…
QuantLib::TermStructureFittingParameter – Deterministic time-dependent parameter used for yield-curve fitting. Synopsis#include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Inherited by FittingParameter, FittingParameter, and FittingParameter. Public Member FunctionsTermStructureFittingParameter (const boost::shared_ptr< Parameter::Impl > &impl) TermStructureFittingParameter (const Handle< YieldTermStructure > &term) Detailed DescriptionDeterministic time-dependent parameter used for yield-curve fitting. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::TermStructureConsistentModel – Term-structure consistent model class. Synopsis#include <ql/models/model.hpp> Inherits QuantLib::Observable. Inherited by BlackKarasinski, ExtendedCoxIngersollRoss, G2, and HullWhite. Public Member FunctionsTermStructureConsistentModel (const Handle< YieldTermStructure > &termStructure) const Handle< YieldTermStructure > & termStructure () const Detailed DescriptionTerm-structure consistent model class. This is a base class for models that can reprice exactly any discount bond. AuthorGenerated automatically by…
QuantLib::TermStructure – Basic term-structure functionality. Synopsis#include <ql/termstructure.hpp> Inherits QuantLib::Observer, QuantLib::Observable, and QuantLib::Extrapolator. Inherited by CallableBondVolatilityStructure, CommodityCurve, DefaultProbabilityTermStructure, InflationTermStructure, VolatilityTermStructure, and YieldTermStructure. Public Member FunctionsConstructors There are three ways in which a term structure can keep track of its reference date. The first is that such date is fixed; the second is that it is determined…
QuantLib::Taiwan – Taiwanese calendars. Synopsis#include <ql/time/calendars/taiwan.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { TSEC } Public Member FunctionsTaiwan (Market m=TSEC) Detailed DescriptionTaiwanese calendars. Holidays for the Taiwan stock exchange (data from <http://www.tse.com.tw/en/trading/trading_days.php>): * Saturdays * Sundays * New Year’s Day, January 1st * Peace Memorial Day, February 28 * Labor Day, May 1st * Double Tenth…
QuantLib::TabulatedGaussLegendre – tabulated Gauss-Legendre quadratures Synopsis#include <ql/math/integrals/gaussianquadratures.hpp> Public Member FunctionsTabulatedGaussLegendre (Size n=20) template<class F > Real operator() (const F &f) const void order (Size) Size order () const Detailed Descriptiontabulated Gauss-Legendre quadratures AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::TRLibor – TRY LIBOR rate Synopsis#include <ql/indexes/ibor/trlibor.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsTRLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionTRY LIBOR rate TRY LIBOR fixed by TBA. See <http://www.trlibor.org/trlibor/english/default.asp> Possible enhancements check end-of-month adjustment.AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::TARGET – TARGET calendar Synopsis#include <ql/time/calendars/target.hpp> Inherits QuantLib::Calendar. Detailed DescriptionTARGET calendar Holidays (see http://www.ecb.int): * Saturdays * Sundays * New Year’s Day, January 1st * Good Friday (since 2000) * Easter Monday (since 2000) * Labour Day, May 1st (since 2000) * Christmas, December 25th * Day of Goodwill, December 26th (since 2000) * December…
QuantLib::SyntheticCDO::engine – CDO base engine. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits GenericEngine< SyntheticCDO::arguments, SyntheticCDO::results >. Inherited by IntegralCDOEngine, MidPointCDOEngine, and MonteCarloCDOEngine2. Protected Member Functionsvirtual Real expectedTrancheLoss (const Date &) const =0 virtual void initialize () const Protected Attributesboost::shared_ptr< Basket > remainingBasket_ Detailed DescriptionCDO base engine. AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::SyntheticCDO – Synthetic Collateralized Debt Obligation. Synopsis#include <ql/experimental/credit/syntheticcdo.hpp> Inherits QuantLib::Instrument. Classesclass engine CDO base engine. Public Member FunctionsSyntheticCDO (const boost::shared_ptr< Basket > basket, Protection::Side side, const Schedule &schedule, Rate upfrontRate, Rate runningRate, const DayCounter &dayCounter, BusinessDayConvention paymentConvention, const Handle< YieldTermStructure > &yieldTS) boost::shared_ptr< Basket > basket () const bool isExpired () const returns whether the…
QuantLib::SymmetricSchurDecomposition – symmetric threshold Jacobi algorithm. Synopsis#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp> Public Member FunctionsSymmetricSchurDecomposition (const Matrix &s) const Array & eigenvalues () const const Matrix & eigenvectors () const Detailed Descriptionsymmetric threshold Jacobi algorithm. Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal matrix formed by…
QuantLib::Switzerland – Swiss calendar. Synopsis#include <ql/time/calendars/switzerland.hpp> Inherits QuantLib::Calendar. Detailed DescriptionSwiss calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Berchtoldstag, January 2nd * Good Friday * Easter Monday * Ascension Day * Whit Monday * Labour Day, May 1st * National Day, August 1st * Christmas, December 25th * St. Stephen’s…
QuantLib::Sweden – Swedish calendar. Synopsis#include <ql/time/calendars/sweden.hpp> Inherits QuantLib::Calendar. Detailed DescriptionSwedish calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Good Friday * Easter Monday * Ascension * Whit(Pentecost) Monday * May Day, May 1st * National Day, June 6th * Midsummer Eve (Friday between June 18-24) *…
QuantLib::Swaption::arguments – Arguments for swaption calculation Synopsis#include <ql/instruments/swaption.hpp> Inherits QuantLib::VanillaSwap::arguments, and QuantLib::Option::arguments. Public Member Functionsvoid validate () const Public Attributesboost::shared_ptr< VanillaSwap > swap Settlement::Type settlementType Detailed DescriptionArguments for swaption calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.
QuantLib::SwaptionVolatilityStructure – Swaption-volatility structure Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by ConstantSwaptionVolatility, SpreadedSwaptionVolatility, and SwaptionVolatilityDiscrete. Public Member FunctionsTime swapLength (const Period &swapTenor) const implements the conversion between swap tenor and swap (time) length Time swapLength (const Date &start, const Date &end) const implements the conversion between swap dates and swap (time) length Constructors See the TermStructure…
QuantLib::SwaptionVolatilityMatrix – At-the-money swaption-volatility matrix. Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete, and boost::noncopyable. Public Member FunctionsSwaptionVolatilityMatrix (const Calendar &calendar, BusinessDayConvention bdc, const std::vector< Period > &optionTenors, const std::vector< Period > &swapTenors, const std::vector< std::vector< Handle< Quote > > > &vols, const DayCounter &dayCounter) floating reference date, floating market data SwaptionVolatilityMatrix (const Date &referenceDate, const Calendar &calendar, BusinessDayConvention…
QuantLib::SwaptionVolatilityCube – swaption-volatility cube Synopsis#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp> Inherits QuantLib::SwaptionVolatilityDiscrete. Inherited by SwaptionVolCube1, and SwaptionVolCube2. Public Member FunctionsSwaptionVolatilityCube (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 > &shortSwapIndexBase,…
QuantLib::SwaptionHelper – calibration helper for ATM swaption Synopsis#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsSwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false) virtual void addTimesTo (std::list< Time > ×) const virtual…
QuantLib::Swaption – Swaption class Synopsis#include <ql/instruments/swaption.hpp> Inherits QuantLib::Option. Classesclass arguments Arguments for swaption calculation class engine base class for swaption engines Public Member FunctionsSwaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical) Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0)…