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QuantLib::QuantoVanillaOption – quanto version of a vanilla option Synopsis#include <ql/instruments/quantovanillaoption.hpp> Inherits QuantLib::OneAssetOption. Public Typestypedef OneAssetOption::arguments arguments typedef QuantoOptionResults< OneAssetOption::results > results typedef GenericEngine< arguments, results > engine Public Member FunctionsQuantoVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &, const boost::shared_ptr< Exercise > &) void fetchResults (const PricingEngine::results *) const greeks Real qvega () const Real qrho () const…

QuantLib::QuantoTermStructure – Quanto term structure. Synopsis#include <ql/termstructures/yield/quantotermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member FunctionsQuantoTermStructure (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 for date/time…

QuantLib::QuantoOptionResults – Results from quanto option calculation Synopsis#include <ql/instruments/quantovanillaoption.hpp> Inherits QuantLib::ResultsType. Public Member Functionsvoid reset () Public AttributesReal qvega Real qrho Real qlambda Detailed Descriptiontemplate<class ResultsType> class QuantLib::QuantoOptionResults< ResultsType >Results from quanto option calculation AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::QuantoForwardVanillaOption – Quanto version of a forward vanilla option. Synopsis#include <ql/instruments/quantoforwardvanillaoption.hpp> Inherits QuantLib::ForwardVanillaOption. Public Typestypedef ForwardVanillaOption::arguments arguments typedef QuantoOptionResults< ForwardVanillaOption::results > results Public Member FunctionsQuantoForwardVanillaOption (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 qrho () const…

QuantLib::QuantoEngine – Quanto engine. Synopsis#include <ql/pricingengines/quanto/quantoengine.hpp> Inherits GenericEngine< Instr::arguments, QuantoOptionResults< Instr::results > >. Public Member FunctionsQuantoEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &, const Handle< YieldTermStructure > &foreignRiskFreeRate, const Handle< BlackVolTermStructure > &exchangeRateVolatility, const Handle< Quote > &correlation) void calculate () const Protected Attributesboost::shared_ptr< GeneralizedBlackScholesProcess > process_ Handle< YieldTermStructure > foreignRiskFreeRate_ Handle< BlackVolTermStructure > exchangeRateVolatility_ Handle< Quote…

QuantLib::QuantoBarrierOption – Quanto version of a barrier option. Synopsis#include <ql/instruments/quantobarrieroption.hpp> Inherits QuantLib::BarrierOption. Public Typestypedef BarrierOption::arguments arguments typedef QuantoOptionResults< BarrierOption::results > results Public Member FunctionsQuantoBarrierOption (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 qrho () const…

QuantLib::Quantity – Amount of a commodity. Synopsis#include <ql/experimental/commodities/quantity.hpp> Public Member FunctionsConstructors 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 which determine…

QuantLib::ProjectedCostFunction – Parameterized cost function. Synopsis#include <ql/math/optimization/projectedcostfunction.hpp> Inherits QuantLib::CostFunction. Public Member FunctionsProjectedCostFunction (const CostFunction &costFunction, const Array &parametersValues, const std::vector< bool > &parametersFreedoms) virtual Disposable< Array > project (const Array &parameters) const returns the subset of free parameters corresponding virtual Disposable< Array > include (const Array &projectedParameters) const returns whole set of parameters corresponding to…

QuantLib::Problem – Constrained optimization problem. Synopsis#include <ql/math/optimization/problem.hpp> Public Member FunctionsProblem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) default constructor void reset () Real value (const Array &x) call cost function computation and increment evaluation counter Disposable< Array > values (const Array &x) call cost values computation and increment evaluation counter void gradient (Array &grad_f, const…

QuantLib::PricingPeriod – Time pricingperiod described by a number of a given time unit. Synopsis#include <ql/experimental/commodities/pricingperiod.hpp> Inherits QuantLib::DateInterval. Public Member FunctionsPricingPeriod (const Date &startDate, const Date &endDate, const Date &paymentDate, const Quantity &quantity) const Date & paymentDate () const const Quantity & quantity () const Detailed DescriptionTime pricingperiod described by a number of a given time…

QuantLib::PricingEngine – interface for pricing engines Synopsis#include <ql/pricingengine.hpp> Inherits QuantLib::Observable. Inherited by GenericEngine< Arguments, Results >, GenericEngine< ArgumentsType, ResultsType >, GenericEngine< BarrierOption::arguments, BarrierOption::results >, GenericEngine< BasketOption::arguments, BasketOption::results >, GenericEngine< Bond::arguments, Bond::results >, GenericEngine< CallableBond::arguments, CallableBond::results >, GenericEngine< CapFloor::arguments, CapFloor::results >, GenericEngine< CliquetOption::arguments, CliquetOption::results >, GenericEngine< ContinuousAveragingAsianOption::arguments, ContinuousAveragingAsianOption::results >, GenericEngine< ContinuousFixedLookbackOption::arguments, ContinuousFixedLookbackOption::results >, GenericEngine< ContinuousFloatingLookbackOption::arguments, ContinuousFloatingLookbackOption::results…

QuantLib::Poland – Polish calendar. Synopsis#include <ql/time/calendars/poland.hpp> Inherits QuantLib::Calendar. Detailed DescriptionPolish calendar. Holidays: * Saturdays * Sundays * Easter Monday * Corpus Christi * New Year’s Day, January 1st * May Day, May 1st * Constitution Day, May 3rd * Assumption of the Blessed Virgin Mary, August 15th * All Saints Day, November 1st * Independence…

QuantLib::PoissonDistribution – Normal distribution function. Synopsis#include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsPoissonDistribution (Real mu) Real operator() (BigNatural k) const Detailed DescriptionNormal distribution function. Given an integer $ k $, it returns its probability in a Poisson distribution. Tests the correctness of the returned value is tested by checking it against known good results.AuthorGenerated automatically by…

QuantLib::PlainVanillaPayoff – Plain-vanilla payoff. Synopsis#include <ql/instruments/payoffs.hpp> Inherits QuantLib::StrikedTypePayoff. Public Member FunctionsPlainVanillaPayoff (Option::Type type, Real strike) Payoff interface std::string name () const Real operator() (Real price) const virtual void accept (AcyclicVisitor &) Detailed DescriptionPlain-vanilla payoff. Examples: DiscreteHedging.cpp, EquityOption.cpp, and Replication.cpp. Member Function Documentationstd::string name () const [virtual]Warning This method is used for output and comparison between…

QuantLib::PiecewiseZeroSpreadedTermStructure – Term structure with an added vector of spreads on the zero-yield rate. Synopsis#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp> Inherits QuantLib::ZeroYieldStructure. Public Member FunctionsPiecewiseZeroSpreadedTermStructure (const Handle< YieldTermStructure > &, const std::vector< Handle< Quote > > &spreads, const std::vector< Date > &dates) YieldTermStructure interface DayCounter dayCounter () const the day counter used for date/time conversion Natural settlementDays () const…

QuantLib::PiecewiseZeroInflationCurve – Piecewise zero-inflation term structure. Synopsis#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp> Inherits InterpolatedZeroInflationCurve< Interpolator >, and QuantLib::LazyObject. Public Typestypedef Traits traits_type typedef Interpolator interpolator_type Public Member FunctionsConstructors PiecewiseZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > &nominalTS, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, Real…

QuantLib::PiecewiseYoYInflationCurve – Piecewise year-on-year inflation term structure. Synopsis#include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp> Inherits InterpolatedYoYInflationCurve< Interpolator >, and QuantLib::LazyObject. Public Typestypedef Traits traits_type typedef Interpolator interpolator_type Public Member FunctionsConstructors PiecewiseYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &nominalTS, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments,…

QuantLib::PiecewiseYieldCurve – Piecewise yield term structure. Synopsis#include <ql/termstructures/yield/piecewiseyieldcurve.hpp> Inherits Traits::template curve::type<Interpolator>, and QuantLib::LazyObject. Public Typestypedef Traits traits_type typedef Interpolator interpolator_type Public Member FunctionsConstructors PiecewiseYieldCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, const std::vector< Handle< Quote > > &jumps=std::vector< Handle< Quote > >(), const std::vector< Date > &jumpDates=std::vector< Date…

QuantLib::PiecewiseDefaultCurve – Piecewise default-probability term structure. Synopsis#include <ql/termstructures/credit/piecewisedefaultcurve.hpp> Inherits Traits::template curve::type<Interpolator>, and QuantLib::LazyObject. Public Typestypedef Traits traits_type typedef Interpolator interpolator_type Public Member FunctionsConstructors PiecewiseDefaultCurve (const Date &referenceDate, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, const DayCounter &dayCounter, Real accuracy=1.0e-12, const Interpolator &i=Interpolator()) PiecewiseDefaultCurve (Natural settlementDays, const Calendar &calendar, const std::vector< boost::shared_ptr< typename Traits::helper >…

QuantLib::PiecewiseConstantParameter – Piecewise-constant parameter. Synopsis#include <ql/models/parameter.hpp> Inherits QuantLib::Parameter. Public Member FunctionsPiecewiseConstantParameter (const std::vector< Time > &times) Detailed DescriptionPiecewise-constant parameter. $ a(t) = a_i if t_{i-1} geq t < t_i $. This kind of parameter is usually used to enhance the fitting of a model AuthorGenerated automatically by Doxygen for QuantLib from the source code.