SysTutorials Posts

QuantLib::LexicographicalView – Lexicographical 2-D view of a contiguous set of data. Synopsis#include <ql/math/lexicographicalview.hpp> Public Typestypedef RandomAccessIterator x_iterator iterates over $ v_{ij} $ with $ j $ fixed. typedef boost::reverse_iterator< RandomAccessIterator > reverse_x_iterator iterates backwards over $ v_{ij} $ with $ j $ fixed. typedef step_iterator< RandomAccessIterator > y_iterator iterates over $ v_{ij} $ with $…

QuantLib::LevenbergMarquardt – Levenberg-Marquardt optimization method. Synopsis#include <ql/math/optimization/levenbergmarquardt.hpp> Inherits QuantLib::OptimizationMethod. Public Member FunctionsLevenbergMarquardt (Real epsfcn=1.0e-8, Real xtol=1.0e-8, Real gtol=1.0e-8) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) minimize the optimization problem P virtual Integer getInfo () const void fcn (int m, int n, double *x, double *fvec, int *iflag) Detailed DescriptionLevenberg-Marquardt optimization method. This implementation is…

QuantLib::LeisenReimer – Leisen & Reimer tree: multiplicative approach. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits BinomialTree< LeisenReimer >. Public Member FunctionsLeisenReimer (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 DescriptionLeisen & Reimer…

QuantLib::LecuyerUniformRng – Uniform random number generator. Synopsis#include <ql/math/randomnumbers/lecuyeruniformrng.hpp> Public Typestypedef Sample< Real > sample_type Public Member FunctionsLecuyerUniformRng (long seed=0) sample_type next () const Detailed DescriptionUniform random number generator. Random number generator of L’Ecuyer with added Bays-Durham shuffle (know as ran2 in Numerical recipes) For more details see Section 7.1 of Numerical Recipes in C, 2nd…

QuantLib::LeastSquareProblem – Base class for least square problem. Synopsis#include <ql/math/optimization/leastsquare.hpp> Public Member Functionsvirtual Size size ()=0 size of the problem ie size of target vector virtual void targetAndValue (const Array &x, Array &target, Array &fct2fit)=0 compute the target vector and the values of the function to fit virtual void targetValueAndGradient (const Array &x, Matrix &grad_fct2fit,…

QuantLib::LeastSquareFunction – Cost function for least-square problems. Synopsis#include <ql/math/optimization/leastsquare.hpp> Inherits QuantLib::CostFunction. Public Member FunctionsLeastSquareFunction (LeastSquareProblem &lsp) Default constructor. virtual ~LeastSquareFunction () Destructor. virtual Real value (const Array &x) const compute value of the least square function virtual Disposable< Array > values (const Array &) const method to overload to compute the cost function values in…

QuantLib::LazyObject – Framework for calculation on demand and result caching. Synopsis#include <ql/patterns/lazyobject.hpp> Inherits QuantLib::Observable, and QuantLib::Observer. Inherited by AbcdAtmVolCurve, CapFloorTermVolCurve, CapFloorTermVolSurface, CmsMarket, EurodollarFuturesImpliedStdDevQuote, FdmBlackScholesSolver [private], FdmHestonSolver [private], FittedBondDiscountCurve, FlatForward, ForwardSwapQuote, ImpliedStdDevQuote, Instrument, InterpolatedSmileSection< Interpolator >, OneFactorCopula, PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >, PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits…

QuantLib::LatticeShortRateModelEngine – Engine for a short-rate model specialized on a lattice. Synopsis#include <ql/pricingengines/latticeshortratemodelengine.hpp> Inherits GenericModelEngine< ShortRateModel, Arguments, Results >. Public Member FunctionsLatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, Size timeSteps) LatticeShortRateModelEngine (const boost::shared_ptr< ShortRateModel > &model, const TimeGrid &timeGrid) void update () Protected AttributesTimeGrid timeGrid_ Size timeSteps_ boost::shared_ptr< Lattice > lattice_ Detailed Descriptiontemplate<class Arguments, class Results>…

QuantLib::Lattice – Lattice (tree, finite-differences) base class Synopsis#include <ql/numericalmethod.hpp> Inherited by TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, and TreeLattice< TwoFactorModel::ShortRateTree >. Public Member FunctionsLattice (const TimeGrid &timeGrid) virtual Disposable< Array > grid (Time) const =0 Inspectors const TimeGrid & timeGrid () const Numerical method interface These methods…

QuantLib::LastFixingQuote – Quote adapter for the last fixing available of a given Index. Synopsis#include <ql/quotes/lastfixingquote.hpp> Inherits QuantLib::Quote, and QuantLib::Observer. Public Member FunctionsLastFixingQuote (const boost::shared_ptr< Index > &index) Quote interface Real value () const returns the current value bool isValid () const returns true if the Quote holds a valid value Observer interface void update ()…

QuantLib::LMMNormalDriftCalculator – Drift computation for normal Libor market models. Synopsis#include <ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp> Public Member FunctionsLMMNormalDriftCalculator (const Matrix &pseudo, const std::vector< Time > &taus, Size numeraire, Size alive) void compute (const LMMCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. void compute (const std::vector< Rate > &fwds, std::vector< Real > &drifts) const void computePlain (const LMMCurveState…

QuantLib::LMMDriftCalculator – Drift computation for log-normal Libor market models. Synopsis#include <ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp> Public Member FunctionsLMMDriftCalculator (const Matrix &pseudo, const std::vector< Spread > &displacements, const std::vector< Time > &taus, Size numeraire, Size alive) void compute (const LMMCurveState &cs, std::vector< Real > &drifts) const Computes the drifts. void compute (const std::vector< Rate > &fwds, std::vector< Real > &drifts)…

QuantLib::LMMCurveState – Curve state for Libor market models Synopsis#include <ql/models/marketmodels/curvestates/lmmcurvestate.hpp> Inherits QuantLib::CurveState. Public Member FunctionsLMMCurveState (const std::vector< Time > &rateTimes) std::auto_ptr< CurveState > clone () const Modifiers void setOnForwardRates (const std::vector< Rate > &fwdRates, Size firstValidIndex=0) void setOnDiscountRatios (const std::vector< DiscountFactor > &discRatios, Size firstValidIndex=0) Inspectors Real discountRatio (Size i, Size j) const Rate forwardRate…

QuantLib::KnuthUniformRng – Uniform random number generator. Synopsis#include <ql/math/randomnumbers/knuthuniformrng.hpp> Public Typestypedef Sample< Real > sample_type Public Member FunctionsKnuthUniformRng (long seed=0) sample_type next () const Detailed DescriptionUniform random number generator. Random number generator by Knuth. For more details see Knuth, Seminumerical Algorithms, 3rd edition, Section 3.6. Note: This is not Knuth’s original implementation which is available at…

QuantLib::JumpDiffusionEngine – Jump-diffusion engine for vanilla options. Synopsis#include <ql/pricingengines/vanilla/jumpdiffusionengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsJumpDiffusionEngine (const boost::shared_ptr< Merton76Process > &, Real relativeAccuracy_=1e-4, Size maxIterations=100) void calculate () const Detailed DescriptionJump-diffusion engine for vanilla options. Tests * the correctness of the returned value is tested by reproducing results available in literature. * the correctness of the returned…

QuantLib::JuQuadraticApproximationEngine – Pricing engine for American options with Ju quadratic approximation. Synopsis#include <ql/pricingengines/vanilla/juquadraticengine.hpp> Inherits VanillaOption::engine. Public Member FunctionsJuQuadraticApproximationEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &) void calculate () const Detailed DescriptionPricing engine for American options with Ju quadratic approximation. Reference: An Approximate Formula for Pricing American Options, Journal of Derivatives Winter 1999, Ju, N. Warning Barone-Adesi-Whaley critical…

QuantLib::JpyLiborSwapIsdaFixPm – JpyLiborSwapIsdaFixPm index base class Synopsis#include <ql/indexes/swap/jpyliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsJpyLiborSwapIsdaFixPm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionJpyLiborSwapIsdaFixPm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 3pm Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page ISDAFIX1 or JPYSFIXP=….

QuantLib::JpyLiborSwapIsdaFixAm – JpyLiborSwapIsdaFixAm index base class Synopsis#include <ql/indexes/swap/jpyliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsJpyLiborSwapIsdaFixAm (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionJpyLiborSwapIsdaFixAm index base class JPY Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 10am Tokyo. Semiannual Act/365 vs 6M Libor. Reuters page ISDAFIX1 or JPYSFIXA=….

QuantLib::JointCalendar – Joint calendar. Synopsis#include <ql/time/calendars/jointcalendar.hpp> Inherits QuantLib::Calendar. Public Member FunctionsJointCalendar (const Calendar &, const Calendar &, JointCalendarRule=JoinHolidays) JointCalendar (const Calendar &, const Calendar &, const Calendar &, JointCalendarRule=JoinHolidays) JointCalendar (const Calendar &, const Calendar &, const Calendar &, const Calendar &, JointCalendarRule=JoinHolidays) Detailed DescriptionJoint calendar. Depending on the chosen rule, this calendar has a…

QuantLib::Jibar – JIBAR rate Synopsis#include <ql/indexes/ibor/jibar.hpp> Inherits QuantLib::IborIndex. Public Member FunctionsJibar (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionJIBAR rate Johannesburg Interbank Agreed Rate Possible enhancements check settlement days and day-count convention.AuthorGenerated automatically by Doxygen for QuantLib from the source code.