SysTutorials Posts

QuantLib::HomogeneousPoolCDOEngine – CDO engine, loss distribution convolution for finite homogeneous pool. Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member FunctionsHomogeneousPoolCDOEngine (const Handle< OneFactorCopula > copula, Size nBuckets, Period stepSize=1 *Days) Protected Attributesconst Handle< OneFactorCopula > copula_ Size nBuckets_ Detailed Descriptiontemplate<class CDOEngine> class QuantLib::HomogeneousPoolCDOEngine< CDOEngine >CDO engine, loss distribution convolution for finite homogeneous pool. AuthorGenerated automatically by Doxygen…

QuantLib::HistoricalRatesAnalysis – Historical rate analysis class Synopsis#include <ql/models/marketmodels/historicalratesanalysis.hpp> Public Member FunctionsHistoricalRatesAnalysis (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const std::vector< boost::shared_ptr< InterestRateIndex > > &indexes) const std::vector< Date > & skippedDates () const const std::vector< std::string > & skippedDatesErrorMessage () const const boost::shared_ptr< SequenceStatistics > & stats ()…

QuantLib::HistoricalForwardRatesAnalysisImpl – Historical correlation class Synopsis#include <ql/models/marketmodels/historicalforwardratesanalysis.hpp> Inherits QuantLib::HistoricalForwardRatesAnalysis. Public Member FunctionsHistoricalForwardRatesAnalysisImpl (const boost::shared_ptr< SequenceStatistics > &stats, const Date &startDate, const Date &endDate, const Period &step, const boost::shared_ptr< InterestRateIndex > &fwdIndex, const Period &initialGap, const Period &horizon, const std::vector< boost::shared_ptr< IborIndex > > &iborIndexes, const std::vector< boost::shared_ptr< SwapIndex > > &swapIndexes, const DayCounter &yieldCurveDayCounter, Real…

QuantLib::Histogram – Histogram class. Synopsis#include <ql/math/statistics/histogram.hpp> Public Typesenum Algorithm { None, Sturges, FD, Scott } Public Member Functionsconstructors Histogram () template<class T > Histogram (T data_begin, T data_end, Size breaks) template<class T > Histogram (T data_begin, T data_end, Algorithm algorithm) template<class T , class U > Histogram (T data_begin, T data_end, U breaks_begin, U breaks_end)…

QuantLib::HimalayaOption – Himalaya option. Synopsis#include <ql/instruments/himalayaoption.hpp> Inherits QuantLib::MultiAssetOption. Public Member FunctionsHimalayaOption (const std::vector< Date > &fixingDates, Real strike) void setupArguments (PricingEngine::arguments *) const Detailed DescriptionHimalaya option. The payoff of a Himalaya option is computed in the following way: Given a basket of N assets, and N time periods, at the end of each period the…

QuantLib::HestonProcess – Square-root stochastic-volatility Heston process. Synopsis#include <ql/processes/hestonprocess.hpp> Inherits QuantLib::StochasticProcess. Inherited by BatesProcess. Public Typesenum Discretization { PartialTruncation, FullTruncation, Reflection, ExactVariance } Public Member FunctionsHestonProcess (const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, const Handle< Quote > &s0, Real v0, Real kappa, Real theta, Real sigma, Real rho, Discretization d=FullTruncation) Size size ()…

QuantLib::HestonModelHelper – calibration helper for Heston model Synopsis#include <ql/models/equity/hestonmodelhelper.hpp> Inherits QuantLib::CalibrationHelper. Public Member FunctionsHestonModelHelper (const Period &maturity, const Calendar &calendar, const Real s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, bool calibrateVolatility=false) void addTimesTo (std::list< Time > &) const Real modelValue () const returns…

QuantLib::HestonModel – Heston model for the stochastic volatility of an asset. Synopsis#include <ql/models/equity/hestonmodel.hpp> Inherits QuantLib::CalibratedModel. Inherited by BatesDoubleExpModel, and BatesModel. Public Member FunctionsHestonModel (const boost::shared_ptr< HestonProcess > &process) Real theta () const Real kappa () const Real sigma () const Real rho () const Real v0 () const boost::shared_ptr< HestonProcess > process () const Protected…

QuantLib::HazardRateStructure – hazard-rate adapter for default-probability term structures Synopsis#include <ql/termstructures/credit/hazardratestructure.hpp> Inherits QuantLib::DefaultProbabilityTermStructure. Inherited by FlatHazardRate, and InterpolatedHazardRateCurve< Interpolator >. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. HazardRateStructure (const DayCounter &dc=DayCounter()) default constructor HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date HazardRateStructure (Natural settlementDays,…

QuantLib::HazardRateStructure – hazard-rate adapter for default-probability term structures Synopsis#include <ql/termstructures/credit/hazardratestructure.hpp> Inherits QuantLib::DefaultProbabilityTermStructure. Inherited by FlatHazardRate, and InterpolatedHazardRateCurve< Interpolator >. Public Member FunctionsConstructors See the TermStructure documentation for issues regarding constructors. HazardRateStructure (const DayCounter &dc=DayCounter()) default constructor HazardRateStructure (const Date &referenceDate, const Calendar &cal=Calendar(), const DayCounter &dc=DayCounter()) initialize with a fixed reference date HazardRateStructure (Natural settlementDays,…

QuantLib::HazardRate – Hazard-rate-curve traits. Synopsis#include <ql/termstructures/credit/probabilitytraits.hpp> Public Typestypedef BootstrapHelper< DefaultProbabilityTermStructure > helper Static Public Member Functionsstatic Date initialDate (const DefaultProbabilityTermStructure *c) static Real initialValue (const DefaultProbabilityTermStructure *) static bool dummyInitialValue () static Real initialGuess () static Real guess (const DefaultProbabilityTermStructure *c, const Date &d) static Real minValueAfter (Size, const std::vector< Real > &) static Real…

QuantLib::GenericGaussianStatistics – Statistics tool for gaussian-assumption risk measures. Synopsis #include <ql/math/statistics/gaussianstatistics.hpp> Inherits Stat. Public Types typedef Stat::value_type value_type Public Member Functions GenericGaussianStatistics (const Stat &s) Gaussian risk measures Real gaussianDownsideVariance () const Real gaussianDownsideDeviation () const Real gaussianRegret (Real target) const Real gaussianPercentile (Real percentile) const Real gaussianTopPercentile (Real percentile) const Real gaussianPotentialUpside (Real percentile)…

QuantLib::GenericEngine – template base class for option pricing engines Synopsis#include <ql/pricingengine.hpp> Inherits QuantLib::PricingEngine, and QuantLib::Observer. Inherited by MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >. Public Member FunctionsPricingEngine::arguments * getArguments () const const PricingEngine::results * getResults () const void reset () void update () Protected AttributesArgumentsType arguments_ ResultsType results_ Detailed Descriptiontemplate<class ArgumentsType, class ResultsType> class QuantLib::GenericEngine< ArgumentsType,…

QuantLib::GeneralizedBlackScholesProcess – Generalized Black-Scholes stochastic process. Synopsis#include <ql/processes/blackscholesprocess.hpp> Inherits QuantLib::StochasticProcess1D. Inherited by BlackProcess, BlackScholesMertonProcess, BlackScholesProcess, ExtendedBlackScholesMertonProcess, and GarmanKohlagenProcess. Public Member FunctionsGeneralizedBlackScholesProcess (const Handle< Quote > &x0, const Handle< YieldTermStructure > &dividendTS, const Handle< YieldTermStructure > &riskFreeTS, const Handle< BlackVolTermStructure > &blackVolTS, const boost::shared_ptr< discretization > &d=boost::shared_ptr< discretization >(new EulerDiscretization)) Time time (const Date &) const…

QuantLib::GeneralStatistics – Statistics tool. Synopsis#include <ql/math/statistics/generalstatistics.hpp> Public Typestypedef Real value_type Public Member FunctionsInspectors Size samples () const number of samples collected const std::vector< std::pair< Real, Real > > & data () const collected data Real weightSum () const sum of data weights Real mean () const Real variance () const Real standardDeviation () const Real…

QuantLib::GbpLiborSwapIsdaFix – GbpLiborSwapIsdaFix index base class Synopsis#include <ql/indexes/swap/gbpliborswap.hpp> Inherits QuantLib::SwapIndex. Public Member FunctionsGbpLiborSwapIsdaFix (const Period &tenor, const Handle< YieldTermStructure > &h=Handle< YieldTermStructure >()) Detailed DescriptionGbpLiborSwapIsdaFix index base class GBP Libor Swap indexes fixed by ISDA in cooperation with Reuters and Intercapital Brokers at 11am London. Semiannual Actual/365F vs 6M Libor, 1Y Annual vs 3M Libor….

QuantLib::GaussianRandomDefaultModel – Synopsis#include <ql/experimental/credit/randomdefaultmodel.hpp> Inherits QuantLib::RandomDefaultModel. Public Member FunctionsGaussianRandomDefaultModel (boost::shared_ptr< Pool > pool, Handle< OneFactorCopula > copula, Real accuracy, long seed) void nextSequence (Real tmax=QL_MAX_REAL) Detailed DescriptionRandom default times using a one-factor Gaussian copula. Member Function Documentationvoid nextSequence (Real tmax = QL_MAX_REAL) [virtual]Generate a sequence of random default times, one for each name in the…

QuantLib::GaussianQuadrature – Integral of a 1-dimensional function using the Gauss quadratures method. Synopsis#include <ql/math/integrals/gaussianquadratures.hpp> Inherited by GaussChebyshev2thIntegration, GaussChebyshevIntegration, GaussGegenbauerIntegration, GaussHermiteIntegration, GaussHyperbolicIntegration, GaussJacobiIntegration, GaussLaguerreIntegration, and GaussLegendreIntegration. Public Member FunctionsGaussianQuadrature (Size n, const GaussianOrthogonalPolynomial &p) template<class F > Real operator() (const F &f) const Size order () const Detailed DescriptionIntegral of a 1-dimensional function using the Gauss…

QuantLib::GaussianOrthogonalPolynomial – orthogonal polynomial for Gaussian quadratures Synopsis#include <ql/math/integrals/gaussianorthogonalpolynomial.hpp> Inherited by GaussHermitePolynomial, GaussHyperbolicPolynomial, GaussJacobiPolynomial, and GaussLaguerrePolynomial. Public Member Functionsvirtual Real mu_0 () const =0 virtual Real alpha (Size i) const =0 virtual Real beta (Size i) const =0 virtual Real w (Real x) const =0 Real value (Size i, Real x) const Real weightedValue (Size…

QuantLib::GaussianLHPCDOEngine – Synopsis#include <ql/experimental/credit/syntheticcdoengines.hpp> Inherits CDOEngine. Public Member FunctionsGaussianLHPCDOEngine (const Handle< OneFactorCopula > copula, Period stepSize=1 *Days) Detailed Descriptiontemplate<class CDOEngine> class QuantLib::GaussianLHPCDOEngine< CDOEngine >CDO engine with analytical expected tranche loss for a large homogeneous pool with Gaussian one-factor copula. See for example ‘The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.’, Anna Kalemanova, Bernd Schmid,…