SysTutorials Posts

QuantLib::JarrowRudd – Jarrow-Rudd (multiplicative) equal probabilities binomial tree. Synopsis#include <ql/methods/lattices/binomialtree.hpp> Inherits EqualProbabilitiesBinomialTree< JarrowRudd >. Public Member FunctionsJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) Detailed DescriptionJarrow-Rudd (multiplicative) equal probabilities binomial tree. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Japan – Japanese calendar. Synopsis#include <ql/time/calendars/japan.hpp> Inherits QuantLib::Calendar. Detailed DescriptionJapanese calendar. Holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Bank Holiday, January 2nd * Bank Holiday, January 3rd * Coming of Age Day, 2nd Monday in January * National Foundation Day, February 11th * Vernal Equinox * Greenery Day, April 29th…

QuantLib::JamshidianSwaptionEngine – Jamshidian swaption engine. Synopsis#include <ql/pricingengines/swaption/jamshidianswaptionengine.hpp> Inherits GenericModelEngine< OneFactorAffineModel, Swaption::arguments, Swaption::results >. Public Member FunctionsJamshidianSwaptionEngine (const boost::shared_ptr< OneFactorAffineModel > &model, const Handle< YieldTermStructure > &termStructure=Handle< YieldTermStructure >()) void calculate () const Friendsclass rStarFinder Detailed DescriptionJamshidian swaption engine. Warning The engine assumes that the exercise date equals the start date of the passed swap. Examples:…

QuantLib::JPYLibor – JPY LIBOR rate Synopsis#include <ql/indexes/ibor/jpylibor.hpp> Inherits QuantLib::Libor. Public Member FunctionsJPYLibor (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionJPY LIBOR rate Japanese Yen LIBOR fixed by BBA. See <http://www.bba.org.uk/bba/jsp/polopoly.jsp?d=225&a=1414>. Warning This is the rate fixed in London by BBA. Use TIBOR if you’re interested in the Tokio fixing.AuthorGenerated automatically by…

QuantLib::IterativeBootstrap – Universal piecewise-term-structure boostrapper. Synopsis#include <ql/termstructures/iterativebootstrap.hpp> Public Member Functionsvoid setup (Curve *ts) void calculate () const Detailed Descriptiontemplate<class Curve> class QuantLib::IterativeBootstrap< Curve >Universal piecewise-term-structure boostrapper. AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::Italy – Italian calendars. Synopsis#include <ql/time/calendars/italy.hpp> Inherits QuantLib::Calendar. Public Typesenum Market { Settlement, Exchange } Italian calendars. Public Member FunctionsItaly (Market market=Settlement) Detailed DescriptionItalian calendars. Public holidays: * Saturdays * Sundays * New Year’s Day, January 1st * Epiphany, January 6th * Easter Monday * Liberation Day, April 25th * Labour Day, May 1st *…

QuantLib::InverseCumulativeStudent – Inverse cumulative Student t-distribution. Synopsis#include <ql/math/distributions/studenttdistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsInverseCumulativeStudent (Integer n, Real accuracy=1e-6, Size maxIterations=50) Real operator() (Real x) const Detailed DescriptionInverse cumulative Student t-distribution. Possible enhancements Find/implement an efficient algorithm for evaluating the cumulative Student t-distribution, replacing the Newton iterationAuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::InverseCumulativeRsg – Inverse cumulative random sequence generator. Synopsis#include <ql/math/randomnumbers/inversecumulativersg.hpp> Public Typestypedef Sample< std::vector< Real > > sample_type Public Member FunctionsInverseCumulativeRsg (const USG &uniformSequenceGenerator) InverseCumulativeRsg (const USG &uniformSequenceGenerator, const IC &inverseCumulative) const sample_type & nextSequence () const returns next sample from the Gaussian distribution const sample_type & lastSequence () const Size dimension () const Detailed Descriptiontemplate<class…

QuantLib::InverseCumulativeRng – Inverse cumulative random number generator. Synopsis#include <ql/math/randomnumbers/inversecumulativerng.hpp> Public Typestypedef Sample< Real > sample_type typedef RNG urng_type Public Member FunctionsInverseCumulativeRng (const RNG &uniformGenerator) sample_type next () const returns a sample from a Gaussian distribution Detailed Descriptiontemplate<class RNG, class IC> class QuantLib::InverseCumulativeRng< RNG, IC >Inverse cumulative random number generator. It uses a uniform deviate in…

QuantLib::InverseCumulativePoisson – Inverse cumulative Poisson distribution function. Synopsis#include <ql/math/distributions/poissondistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsInverseCumulativePoisson (Real lambda=1.0) Real operator() (Real x) const Detailed DescriptionInverse cumulative Poisson distribution function. Tests the correctness of the returned value is tested by checking it against known good results.AuthorGenerated automatically by Doxygen for QuantLib from the source code.

QuantLib::InverseCumulativeNormal – Inverse cumulative normal distribution function. Synopsis#include <ql/math/distributions/normaldistribution.hpp> Inherits std::unary_function<Real,Real>. Public Member FunctionsInverseCumulativeNormal (Real average=0.0, Real sigma=1.0) Real operator() (Real x) const Detailed DescriptionInverse cumulative normal distribution function. Given x between zero and one as the integral value of a gaussian normal distribution this class provides the value y such that formula here ……

QuantLib::IntervalPrice – interval price Synopsis#include <ql/prices.hpp> Public Typesenum Type { Open, Close, High, Low } Public Member FunctionsIntervalPrice (Real open, Real close, Real high, Real low) Inspectors Real open () const Real close () const Real high () const Real low () const Real value (IntervalPrice::Type) const Modifiers void setValue (Real value, IntervalPrice::Type) void setValues…

QuantLib::Interpolation::templateImpl – basic template implementation Synopsis#include <ql/math/interpolation.hpp> Inherits QuantLib::Interpolation::Impl. Public Member FunctionstemplateImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin) Real xMin () const Real xMax () const std::vector< Real > xValues () const std::vector< Real > yValues () const bool isInRange (Real x) const Protected Member FunctionsSize locate (Real x) const Protected AttributesI1…

QuantLib::Interpolation::Impl – abstract base class for interpolation implementations Synopsis#include <ql/math/interpolation.hpp> Inherited by templateImpl< I1, I2 >, and templateImpl< I1, I2 >. Public Member Functionsvirtual void update ()=0 virtual Real xMin () const =0 virtual Real xMax () const =0 virtual std::vector< Real > xValues () const =0 virtual std::vector< Real > yValues () const =0…

QuantLib::Interpolation2D::templateImpl – basic template implementation Synopsis#include <ql/math/interpolations/interpolation2d.hpp> Inherits QuantLib::Interpolation2D::Impl. Public Member FunctionstemplateImpl (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, const I2 &yEnd, const M &zData) Real xMin () const Real xMax () const std::vector< Real > xValues () const Real yMin () const Real yMax () const std::vector< Real > yValues () const…

QuantLib::Interpolation2D::Impl – abstract base class for 2-D interpolation implementations Synopsis#include <ql/math/interpolations/interpolation2d.hpp> Inherited by FlatExtrapolator2DImpl, templateImpl< I1, I2, M >, and templateImpl< I1, I2, M >. Public Member Functionsvirtual void calculate ()=0 virtual Real xMin () const =0 virtual Real xMax () const =0 virtual std::vector< Real > xValues () const =0 virtual Size locateX (Real…

QuantLib::Interpolation2D – base class for 2-D interpolations. Synopsis#include <ql/math/interpolations/interpolation2d.hpp> Inherits QuantLib::Extrapolator. Inherited by BicubicSpline, BilinearInterpolation, and FlatExtrapolator2D. Classesclass Impl abstract base class for 2-D interpolation implementations class templateImpl basic template implementation Public Typestypedef Real first_argument_type typedef Real second_argument_type typedef Real result_type Public Member FunctionsReal operator() (Real x, Real y, bool allowExtrapolation=false) const Real xMin ()…

QuantLib::Interpolation – base class for 1-D interpolations. Synopsis#include <ql/math/interpolation.hpp> Inherits QuantLib::Extrapolator. Inherited by BackwardFlatInterpolation, ConvexMonotoneInterpolation< I1, I2 >, CubicInterpolation, ForwardFlatInterpolation, LinearInterpolation, LogCubicInterpolation, LogLinearInterpolation, and SABRInterpolation. Classesclass Impl abstract base class for interpolation implementations class templateImpl basic template implementation Public Typestypedef Real argument_type typedef Real result_type Public Member Functionsbool empty () const Real operator() (Real x,…

QuantLib::InterpolatedZeroInflationCurve – Inflation term structure based on the interpolation of zero rates. Synopsis#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp> Inherits QuantLib::ZeroInflationTermStructure, and boost::noncopyable. Public Member FunctionsInterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator()) InflationTermStructure interface…

QuantLib::InterpolatedZeroCurve – Term structure based on interpolation of zero yields. Synopsis#include <ql/termstructures/yield/zerocurve.hpp> Inherits QuantLib::ZeroYieldStructure, and boost::noncopyable. Public Member FunctionsInterpolatedZeroCurve (const std::vector< Date > &dates, const std::vector< Rate > &yields, const DayCounter &dayCounter, const Interpolator &interpolator=Interpolator()) Inspectorsstd::vector< Date > dates_ std::vector< Time > times_ std::vector< Rate > data_ Interpolation interpolation_ Interpolator interpolator_ Date maxDate () const…