SysTutorials Posts

QuantLib::MCAmericanBasketEngine – least-square Monte Carlo engine Synopsis#include <ql/pricingengines/basket/mcamericanbasketengine.hpp> Inherits MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >. Public Member FunctionsMCAmericanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) Protected Member Functionsboost::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer () const Detailed…

QuantLib::LossDistMonteCarlo – Loss distribution with Monte Carlo simulation. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistMonteCarlo (Size nBuckets, Real maximum, Size simulations, long seed=42, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed DescriptionLoss distribution with Monte Carlo simulation. Loss distribution…

QuantLib::LossDistHomogeneous – Loss Distribution for Homogeneous Pool. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistHomogeneous (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (Real volume, const std::vector< Real > &probabilities) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Size size () const…

QuantLib::LossDistBucketing – Loss distribution with Hull-White bucketing. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistBucketing (Size nBuckets, Real maximum, Real epsilon=1e-6) Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Detailed DescriptionLoss distribution with Hull-White bucketing. Loss distribution with Hull-White bucketing Loss distribution for…

QuantLib::LossDistBinomial – Binomial loss distribution. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherits QuantLib::LossDist. Public Member FunctionsLossDistBinomial (Size nBuckets, Real maximum) Distribution operator() (Size n, Real volume, Real probability) const Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const Size buckets () const Real maximum () const Real volume () const Size size () const std::vector<…

QuantLib::LossDist – Probability formulas and algorithms. Synopsis#include <ql/experimental/credit/lossdistribution.hpp> Inherited by LossDistBinomial, LossDistBucketing, LossDistHomogeneous, and LossDistMonteCarlo. Public Member Functionsvirtual Distribution operator() (const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0 virtual Size buckets () const =0 virtual Real maximum () const =0 Static Public Member Functionsstatic Real binomialProbabilityOfNEvents (int n, std::vector< Real >…

QuantLib::LongstaffSchwartzPathPricer – Longstaff-Schwarz path pricer for early exercise options. Synopsis#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp> Inherits PathPricer< PathType >. Public Typestypedef EarlyExerciseTraits< PathType >::StateType StateType Public Member FunctionsLongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) Real operator() (const PathType &path) const virtual void calibrate () Protected Attributesbool calibrationPhase_ const boost::shared_ptr< EarlyExercisePathPricer<…

QuantLib::LogNormalFwdRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalFwdRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const CurveState…

QuantLib::LogNormalFwdRateIpc – Iterative Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalFwdRateIpc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const…

QuantLib::LogNormalFwdRateEulerConstrained – euler stepping Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp> Inherits QuantLib::ConstrainedEvolver. Public Member FunctionsLogNormalFwdRateEulerConstrained (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModelConstrained interface virtual void setConstraintType (const std::vector< Size > &startIndexOfSwapRate, const std::vector< Size > &endIndexOfSwapRate) call once virtual void setThisConstraint (const std::vector< Rate > &rateConstraints, const std::vector< bool >…

QuantLib::LogNormalFwdRateEuler – Euler. Synopsis#include <ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalFwdRateEuler (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) const std::vector< Real > & browniansThisStep () const accessor methods useful for doing pathwise vegas MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep…

QuantLib::LogNormalCotSwapRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalCotSwapRatePc (const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void setInitialState (const CurveState…

QuantLib::LogNormalCmSwapRatePc – Predictor-Corrector. Synopsis#include <ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp> Inherits QuantLib::MarketModelEvolver. Public Member FunctionsLogNormalCmSwapRatePc (const Size spanningForwards, const boost::shared_ptr< MarketModel > &, const BrownianGeneratorFactory &, const std::vector< Size > &numeraires, Size initialStep=0) MarketModel interface const std::vector< Size > & numeraires () const Real startNewPath () Real advanceStep () Size currentStep () const const CurveState & currentState () const void…

QuantLib::LogLinearInterpolation – log-linear interpolation between discrete points Synopsis#include <ql/math/interpolations/loginterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > LogLinearInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Detailed Descriptionlog-linear interpolation between discrete points Constructor & Destructor DocumentationLogLinearInterpolation (const I1 & xBegin, const I1 & xEnd, const I2 & yBegin)Precondition: the $ x $…

QuantLib::LogLinear – log-linear interpolation factory and traits Synopsis#include <ql/math/interpolations/loginterpolation.hpp> Public Member Functionstemplate<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = false static const Size requiredPoints = 2 Detailed Descriptionlog-linear interpolation factory and traits AuthorGenerated automatically by Doxygen for QuantLib…

QuantLib::LogCubicInterpolation – log-cubic interpolation between discrete points Synopsis#include <ql/math/interpolations/loginterpolation.hpp> Inherits QuantLib::Interpolation. Public Member Functionstemplate<class I1 , class I2 > LogCubicInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, CubicInterpolation::DerivativeApprox da, bool monotonic, CubicInterpolation::BoundaryCondition leftC, Real leftConditionValue, CubicInterpolation::BoundaryCondition rightC, Real rightConditionValue) Detailed Descriptionlog-cubic interpolation between discrete points Constructor & Destructor DocumentationLogCubicInterpolation (const I1 & xBegin,…

QuantLib::LogCubic – log-cubic interpolation factory and traits Synopsis#include <ql/math/interpolations/loginterpolation.hpp> Public Member FunctionsLogCubic (CubicInterpolation::DerivativeApprox da, bool monotonic=true, CubicInterpolation::BoundaryCondition leftCondition=CubicInterpolation::SecondDerivative, Real leftConditionValue=0.0, CubicInterpolation::BoundaryCondition rightCondition=CubicInterpolation::SecondDerivative, Real rightConditionValue=0.0) template<class I1 , class I2 > Interpolation interpolate (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) const Static Public Attributesstatic const bool global = true static const Size requiredPoints =…

QuantLib::LocalVolTermStructure – Synopsis#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp> Inherits QuantLib::VolatilityTermStructure. Inherited by LocalConstantVol, LocalVolCurve, and LocalVolSurface. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. LocalVolTermStructure (const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) default constructor LocalVolTermStructure (const Date &referenceDate, const Calendar &cal=Calendar(), BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter()) initialize with a fixed reference date LocalVolTermStructure (Natural settlementDays,…

QuantLib::LocalVolSurface – Local volatility surface derived from a Black vol surface. Synopsis#include <ql/termstructures/volatility/equityfx/localvolsurface.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member FunctionsLocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, const Handle< Quote > &underlying) LocalVolSurface (const Handle< BlackVolTermStructure > &blackTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< YieldTermStructure > &dividendTS, Real…

QuantLib::LocalVolCurve – Local volatility curve derived from a Black curve. Synopsis#include <ql/termstructures/volatility/equityfx/localvolcurve.hpp> Inherits QuantLib::LocalVolTermStructure. Public Member FunctionsLocalVolCurve (const Handle< BlackVarianceCurve > &curve) TermStructure interface const Date & referenceDate () const the date at which discount = 1.0 and/or variance = 0.0 DayCounter dayCounter () const the day counter used for date/time conversion Date maxDate ()…